<PAGE> 1
BT INVESTMENT FUNDS
CASH
MANAGEMENT
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 2
CASH MANAGEMENT FUND 1
------------------------------------------------------------
TABLE OF CONTENTS
===============================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . 2
CASH MANAGEMENT FUND
Statement of Assets and Liabilities . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . 6
CASH MANAGEMENT PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . 9
CASH MANAGEMENT FUND
Notes to Financial Statements . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . 14
CASH MANAGEMENT PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . 15
Report of Independent Accountants . . . . . . . . . . . . . 16
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Cash
Management Fund may be obtained by calling or writing to Investors Fiduciary
Trust Company or Signature Broker-Dealer Services, Inc., the primary Servicing
Agent and Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Cash Management Fund at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 3
CASH MANAGEMENT FUND 2
------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
===============================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for BT Investment Funds
Cash Management Fund. This report provides you with an investment overview
as well as a financial summary of the Fund's operations for the year ended
December 31, 1995. We have also included a Letter to Shareholders from
Investment Adviser detailing the factors that affected the Fund's
performance for the year ended December 31, 1995. Also presented in your
report is a pie chart displaying diversification of Portfolio investments,
financial statements, financial highlights and a listing of the
Portfolio's holdings.
Looking ahead, we will continue monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the Cash Management Fund and are
looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
===============================================================================
Falling interest rates in conjunction with the Federal Reserve Board's
seeming success in slowing economic growth and keeping inflation contained
led to an overall positive environment in 1995 for fixed income investing
and the money markets in particular.
Nevertheless, signals regarding the strength of the dollar and of the
economy were often mixed, and so the Fund maintained a relatively neutral
duration as compared to its benchmark through much of the year. In fact,
only in the third quarter, shortly after the Fed lowered official interest
rates on July 6, did we position the portfolio somewhat long to take
advantage of falling rates. Constructive action on the budget deficit by
Congress and the administration was expected to spur interest rates still
lower as the second half of the year progressed. But even without real
progress on this front, the Federal Reserve Board cut rates by another 25
basis points on December 19, 1995.
While economic data has been scarce due to the government shutdowns and
thus hampers our assessment to some degree, indicators from private
sources point to the economy proceeding on a course that includes real but
modest growth, inflation around 2.5%, and corporate profits rising within
a range of 5% to 7%. The Federal Reserve Board may respond with another
modest interest rate reduction early in 1996. If so, the fixed income
market should benefit from a very favorable climate.
The Fund's weighted average maturity stands at 36 days. We plan to keep
the Fund's relatively neutral duration position for the near future for
two main reasons. First, resolution of the budget impasse would add a
positive note, but uncertainty surrounding the Federal budgeting process
remains unabated, and any agreement may well be discounted in today's
prices. Second, after the dramatic fall in interest rates during 1995, we
do not expect the prospects for the money markets in 1996 to be quite as
bright. In the meantime, we continue to take advantage of the positive
fixed income market while it lasts as well as daily trading and relative
value opportunities created by market volatility.
<PAGE> 4
CASH MANAGEMENT FUND 3
------------------------------------------------------------
===============================================================================
OBJECTIVE Seeks high current income consistent with
liquidity and preservation of capital.
- -------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Bank obligations, commercial paper, U.S. Treasury
obligations and repurchase agreements
collateralized by U.S. Treasury obligations.
- -------------------------------------------------------------------------------
RATINGS S&P: AAAm
Moody's: AAA
- -------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 5.16%
DECEMBER 31, 1995 Average maturity: 39 days
Net Assets: $136.0 million
- -------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
<TABLE>
<S> <C>
Commercial Paper 38.84%
Certificates of Deposit 30.83%
Eurodollar Time Deposits 22.90%
Repurchase Agreement 3.79%
Floating Rate Notes 2.84%
U.S. Government Agency Note 0.80%
</TABLE>
[FIGURE 1]
===============================================================================
ABOUT THE DARLENE M. RASEL
PORTFOLIO MANAGER Vice President
- Responsible for managing the Money Market and
Treasury Mutual Funds.
- Formerly, Head of Collateral Management Desk for
five years before joining Global Investment
Management.
- Fifteen years investment experience, including
eight years at Bankers Trust.
<PAGE> 5
CASH MANAGEMENT FUND 4
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Cash Management Portfolio, at Value $136,433,097
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 7,548
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 136,440,645
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 79,900
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Payable 337,318
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 25,521
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 442,739
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 136,193,463 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $135,997,906
===================================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share ($135,997,906/136,193,463 Shares) $ 1.00
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital 136,193,463
- -----------------------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (195,557)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $135,997,906
===================================================================================================================================
STATEMENT OF OPERATIONS
===================================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Income Allocated from Cash Management Portfolio, net $9,931,444
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services $944,849
- -----------------------------------------------------------------------------------------------------------------------------------
Professional 9,151
- -----------------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 16,842
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees 2,027
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 2,212
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 975,081
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (4,831) 970,250
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 8,961,194
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 18,633
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $8,979,827
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 6
CASH MANAGEMENT FUND 5
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 8,961,194 $ 5,310,553
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 18,633 (1,514,199)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 8,979,827 3,796,354
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (8,961,194) (5,310,553)
- -----------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at Net Value of $1.00 per share)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 2,113,907,344 2,045,613,960
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Reinvested 4,960,726 2,476,681
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (2,142,060,394) (1,965,282,457)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Transactions
in Shares of Beneficial Interest (23,192,324) 82,808,184
- -----------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed - 1,299,990
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (23,173,691) 82,593,975
===================================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 159,171,597 76,577,622
- -----------------------------------------------------------------------------------------------------------------------------------
End of Year $ 135,997,906 $ 159,171,597
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 7
CASH MANAGEMENT FUND 6
------------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for the Cash Management Fund.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
----------------------------------------------------------------------
1995 1994 1993 1992 1991
================================================================================================================================
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Year $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.05 0.04 0.03 0.03 0.06
Net Realized Gain (Loss) from
Securities Transactions 0.00+ (0.01) 0.00+ 0.00+ 0.00+
----- ----- ----- ----- -----
Total from Investment Operations 0.05 0.03 0.03 0.03 0.06
----- ----- ----- ----- -----
Contribution of Capital - 0.01 - - -
----- ----- ----- ----- -----
Distributions From:
Net Investment Income (0.05) (0.04) (0.03) (0.03) (0.06)
Net Realized Gain from
Securities Transactions - - (0.00)+ (0.00)+ (0.00)+
----- ----- ----- ----- -----
Total Distributions (0.05) (0.04) (0.03) (0.03) (0.06)
----- ----- ----- ----- -----
Net Asset Value, End of Year $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 5.35% 3.67%++ 2.54% 3.05% 5.68%
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 5.22% 3.70% 2.51% 3.04% 5.53%
Ratio of Expenses to Average Net Assets,
Including Expenses of the Cash
Management Portfolio 0.74% 0.73% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust 0.02% 0.08% 0.05% 0.04% 0.03%
Net Assets, End of Year
(000's omitted) $135,998 $159,172 $76,578 $99,649 $127,164
</TABLE>
+ Less than $0.01 per share
++ Increased by 0.96% due to Contribution of Capital.
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 8
CASH MANAGEMENT PORTFOLIO 7
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==================================================================================================================================
December 31, 1995
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
Investments, at Value $2,636,244,326
- ----------------------------------------------------------------------------------------------------------------------------------
Cash 234,792
- ----------------------------------------------------------------------------------------------------------------------------------
Interest Receivable 9,803,616
- ----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 19,395
- ----------------------------------------------------------------------------------------------------------------------------------
Total Assets 2,646,302,129
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 336,262
- ----------------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 30,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 33,650
- ----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 30,369,912
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,615,932,217
==================================================================================================================================
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $2,615,932,217
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $2,615,932,217
==================================================================================================================================
STATEMENT OF OPERATIONS
==================================================================================================================================
For the year ended December 31, 1995
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ----------------------------------------------------------------------------------------------------------------------------------
Interest $152,708,666
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ----------------------------------------------------------------------------------------------------------------------------------
Advisory $3,847,729
- ----------------------------------------------------------------------------------------------------------------------------------
Administration and Services 1,282,576
- ----------------------------------------------------------------------------------------------------------------------------------
Professional 34,574
- ----------------------------------------------------------------------------------------------------------------------------------
Trustees 1,868
- ----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 28,778
- ----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,195,525
- ----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (578,251) 4,617,274
- ----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 148,091,392
- ----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 268,537
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $148,359,929
==================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 9
CASH MANAGEMENT PORTFOLIO 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
==================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- ----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 148,091,392 $ 107,531,263
- ----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 268,537 (21,679,797)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 148,359,929 85,851,466
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 35,062,532,338 29,684,647,236
- ----------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (35,329,985,394) (28,984,267,374)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (267,453,056) 700,379,862
- ----------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- ----------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed - 18,718,663
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (119,093,127) 804,949,991
==================================================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 2,735,025,344 1,930,075,353
- ----------------------------------------------------------------------------------------------------------------------------------
End of Year $ 2,615,932,217 $ 2,735,025,344
==================================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the years
presented for the Cash Management Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
----------------------------------------------------------------------------
1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment
Income to Average Net Assets 5.77% 4.24% 3.06% 3.52% 5.85%
Ratio of Expenses to
Average Net Assets 0.18% 0.18% 0.20% 0.22% 0.25%
Decrease Reflected in Above
Ratio of Expenses to Average
Net Assets Due to Absorption
of Expenses by Bankers Trust 0.02% 0.02% 0.00%+ 0.00%+ 0.01%
Net Assets, End of Year
(000's omitted) $2,615,932 $2,735,025 $1,930,075 $1,438,688 $934,402
</TABLE>
+ Less than 0.01%
See Notes to Financial Statements on Page 15
<PAGE> 10
CASH MANAGEMENT PORTFOLIO 9
------------------------------------------------------------
[CAPTION]
<TABLE>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 31.07%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 5,000,000 Abbey National Bank, 5.76%, 2/1/96 $ 4,999,857
- -----------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of America, 5.78%, 1/31/96 35,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
13,000,000 Bank of Nova Scotia, 5.77%, 2/1/96 13,000,554
- -----------------------------------------------------------------------------------------------------------------------------------
Bank of Tokyo:
30,000,000 5.90%, 1/16/96 30,000,122
29,000,000 5.90%, 1/22/96 29,000,166
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Bayerische Hypotheka, 5.83%, 1/16/96 25,000,205
- -----------------------------------------------------------------------------------------------------------------------------------
21,000,000 Bayerische Landesbank, 5.80%, 1/24/96 21,000,021
- -----------------------------------------------------------------------------------------------------------------------------------
46,000,000 Bayerische Vereinsbank, 5.80%, 1/31/96 46,000,380
- -----------------------------------------------------------------------------------------------------------------------------------
9,000,000 Credit Suisse, 5.73%, 1/9/96 8,999,612
- -----------------------------------------------------------------------------------------------------------------------------------
50,000,000 Deutsche, 5.79%, 1/25/96 50,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
28,000,000 Hessen Thuringer, 5.795%, 1/31/96 27,999,505
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Industrial Bank of Japan, 5.89%, 1/22/96 25,000,143
- -----------------------------------------------------------------------------------------------------------------------------------
Kreditbank:
40,000,000 5.80%, 1/24/96 40,000,253
30,000,000 5.75%, 2/21/96 30,000,420
- -----------------------------------------------------------------------------------------------------------------------------------
26,000,000 Mellon Bank, 5.78%, 2/5/96 26,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Mitsubishi Bank, 6.15%, 1/2/96 25,000,012
- -----------------------------------------------------------------------------------------------------------------------------------
28,000,000 Morgan Guaranty, 5.51%, 6/11/96 28,001,226
- -----------------------------------------------------------------------------------------------------------------------------------
National Westminster Bank:
2,000,000 5.81%, 2/1/96 2,000,111
40,000,000 5.72%, 2/16/96 39,999,770
29,300,000 5.70%, 2/16/96 29,302,639
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Rabobank, 5.76%, 1/31/96 25,000,206
- -----------------------------------------------------------------------------------------------------------------------------------
Sanwa Bank:
38,000,000 5.91%, 1/31/96 38,000,309
24,000,000 5.86%, 2/9/96 23,997,792
- -----------------------------------------------------------------------------------------------------------------------------------
Societe Generale:
25,000,000 5.82%, 1/5/96 25,000,000
39,400,000 5.66%, 3/4/96 39,400,559
30,000,000 5.71%, 3/4/96 30,000,988
- -----------------------------------------------------------------------------------------------------------------------------------
Sumitomo Bank:
35,000,000 5.98%, 1/16/96 35,000,143
20,000,000 5.89%, 1/22/96 20,000,114
10,000,000 5.91%, 1/22/96 10,000,057
- -----------------------------------------------------------------------------------------------------------------------------------
30,000,000 Toronto Dominion, 5.64%, 4/2/96 30,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $812,705,164) $812,705,164
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 11
CASH MANAGEMENT PORTFOLIO 10
-------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C> <C>
COMMERCIAL PAPER - 39.14%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 36,500,000 Abbey National Bank of North America, 5.58%, 3/14/96 $36,087,003
- -----------------------------------------------------------------------------------------------------------------------------------
21,000,000 Asset Securitization, 5.66%, 2/15/96 20,851,425
- -----------------------------------------------------------------------------------------------------------------------------------
11,500,000 Banco Bilbao Vizcaya, 5.71%, 2/5/96 11,436,159
- -----------------------------------------------------------------------------------------------------------------------------------
20,000,000 Bank of America, 5.28%, 6/5/96 19,542,400
- -----------------------------------------------------------------------------------------------------------------------------------
29,000,000 Bank Brussels Lambert of North America, 5.58%, 4/18/96 28,514,540
- -----------------------------------------------------------------------------------------------------------------------------------
30,500,000 BTR Dunlop, 5.65%, 2/16/96 30,279,807
- -----------------------------------------------------------------------------------------------------------------------------------
23,000,000 Caisse des Depots et Consignations, 5.80%, 1/11/96 22,962,944
- -----------------------------------------------------------------------------------------------------------------------------------
15,000,000 Central Hispana, 5.75%, 1/25/96 14,942,500
- -----------------------------------------------------------------------------------------------------------------------------------
50,000,000 Commonwealth Bank Australia, 5.41%, 4/2/96 49,308,722
- -----------------------------------------------------------------------------------------------------------------------------------
7,000,000 Dun & Bradstreet, 5.59%, 3/19/96 6,915,218
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Finnish Export Credit, 5.71%, 1/23/96 24,912,764
- -----------------------------------------------------------------------------------------------------------------------------------
General Electric Capital:
20,000,000 5.81%, 1/18/96 19,945,128
25,000,000 5.53%, 4/3/96 24,642,854
- -----------------------------------------------------------------------------------------------------------------------------------
25,700,000 General Electric Capital Services, 5.68%, 2/5/96 25,558,079
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Goldman Sachs, 5.53%, 3/18/96 24,704,299
- -----------------------------------------------------------------------------------------------------------------------------------
14,000,000 Hanson Finance, 5.65%, 3/7/96 13,854,983
- -----------------------------------------------------------------------------------------------------------------------------------
21,000,000 Hewlett-Packard, 5.63%, 2/15/96 20,852,213
- -----------------------------------------------------------------------------------------------------------------------------------
KFW International Finance:
35,000,000 5.715%, 1/30/96 34,838,869
30,000,000 5.65%, 3/6/96 29,693,958
- -----------------------------------------------------------------------------------------------------------------------------------
Kingdom of Sweden:
20,000,000 5.00%, 1/31/96 19,905,000
6,000,000 5.65%, 2/15/96 5,957,625
25,000,000 5.66%, 2/21/96 24,799,542
1,815,000 5.68%, 2/27/96 1,798,677
25,000,000 5.66%, 2/28/96 24,772,028
25,000,000 5.62%, 3/11/96 24,726,806
- -----------------------------------------------------------------------------------------------------------------------------------
20,300,000 Manitoba Hydro Electric, 5.65%, 2/15/96 20,156,631
- -----------------------------------------------------------------------------------------------------------------------------------
McKenna Triangle:
25,000,000 5.75%, 1/25/96 24,904,167
20,000,000 5.72%, 1/26/96 19,920,556
30,000,000 5.68%, 2/6/96 29,829,600
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Merrill Lynch, 5.72%, 1/31/96 24,880,833
- -----------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
23,500,000 6.00%, 1/5/96 23,484,333
25,000,000 5.77%, 1/25/96 24,903,833
40,000,000 5.70%, 2/9/96 39,753,000
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 12
CASH MANAGEMENT PORTFOLIO 11
-------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C>
$ 30,805,000 National Australia Funding, 5.30%, 6/14/96 $ 30,056,695
- -----------------------------------------------------------------------------------------------------------------------------------
National Rural Utility:
15,000,000 5.65%, 2/16/96 14,891,708
35,000,000 5.50%, 3/5/96 34,657,778
- -----------------------------------------------------------------------------------------------------------------------------------
New South Wales Treasury:
25,000,000 5.70%, 1/24/96 24,908,958
12,000,000 5.56%, 2/9/96 11,927,720
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Philip Morris, 6.20%, 1/2/96 24,995,694
- -----------------------------------------------------------------------------------------------------------------------------------
20,000,000 Province of Alberta, 5.75%, 1/26/96 19,920,139
- -----------------------------------------------------------------------------------------------------------------------------------
70,000,000 Prudential Funding, 6.054%, 1/2/96 70,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
10,000,000 Receivables Capital, 5.80%, 1/31/96 9,951,667
- -----------------------------------------------------------------------------------------------------------------------------------
13,000,000 Sheffield, 5.80%, 1/22/96 12,956,017
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $1,023,902,872) $1,023,902,872
===================================================================================================================================
EURODOLLAR TIME DEPOSITS - 23.08%
- -----------------------------------------------------------------------------------------------------------------------------------
Bank of America:
$ 17,000,000 5.76%, 3/27/96 $ 17,000,000
30,000,000 5.50%, 4/5/96 30,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of Scotland, 5.813%, 2/13/96 35,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
50,000,000 Canadian Imperial Bank of Commerce, 6.00%, 1/2/96 50,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
72,791,998 Commerz Bank, 3.50%, 1/2/96 72,791,998
- -----------------------------------------------------------------------------------------------------------------------------------
Dresdner Bank:
100,000,000 5.938%, 1/2/96 100,000,000
10,000,000 5.75%, 3/4/96 10,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
100,000,000 International Nederlander, 6.00%, 1/2/96 100,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
14,000,000 Kreditbank, 5.75%, 3/15/96 14,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Bank:
25,000,000 6.25%, 1/19/96 25,000,000
25,000,000 5.906%, 3/5/96 25,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 National Westminster, 5.813%, 1/29/96 25,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Nordeutsche Landesbank, 5.75%, 2/29/96 25,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
75,000,000 Toronto Dominion, 6.00%, 1/2/96 75,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $603,791,998) $ 603,791,998
===================================================================================================================================
FLOATING RATE NOTES - 2.86%
- -----------------------------------------------------------------------------------------------------------------------------------
Student Loan Marketing Association:
$ 50,000,000 Variable Rate Weekly, 5.22%, 11/24/97 $ 49,885,005
25,000,000 Variable Rate Weekly, 5.24%, 9/28/98 24,993,148
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $74,878,153) $ 74,878,153
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 13
CASH MANAGEMENT PORTFOLIO 12
-------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C>
U.S. GOVERNMENT AGENCY NOTES - 0.80%
- -----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association:
$ 9,820,000 5.14%, 6/25/96 $ 9,573,234
11,690,000 5.14%, 6/27/96 11,392,905
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY NOTES
(Amortized Cost $20,966,139) $ 20,966,139
===================================================================================================================================
REPURCHASE AGREEMENT - 3.82%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 100,000,000 Repurchase Agreement with Swiss Bank, dated 12/29/1995, 5.90%,
Principal and Interest in the Amount of $100,049,167, due 1/2/96,
(Collateralized by Federal Home Loan Mortgage, par value of
$25,000,000, 7.61%, due 9/1/04, value of $26,386,331, $25,000,000,
7.88%, due 8/5/04, value of $26,659,471, Federal National Mortgage
Association, par value of $970,000, 7.50% due 2/11/02, value of
$1,087,494 Federal Home Loan Banks Medium Term Construction
Bonds, par value of $15,000,000, 6.05%, due 3/10/99, value of $15,281,575,
Federal Farm Credit Banks Construction System-wide Medium-Term
Notes, par value of $6,000,000, 5.41%, due 12/7/98, value of $5,974,410,
Federal Home Loan Bank Construction Discount Notes, par value of
$25,000,000, due 2/22/96, value of $24,828,473 and Federal Home Loan Bank,
par value of $4,000,000, 8.00%, due 7/25/96, value of $4,195,761) $ 100,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Amortized Cost $2,636,244,326) 100.77% $2,636,244,326
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (0.77) (20,312,109)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $2,615,932,217
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 14
CASH MANAGEMENT FUND 13
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as a business trust under
the laws of the Commonwealth of Massachusetts. The Cash Management Fund (the
"Fund") is one of the funds offered to investors by the Trust. The Fund
commenced operations and began offering shares of beneficial interest on
October 5, 1988. Through July 22, 1990, the Fund invested directly in
securities. After that date, the Fund began investing substantially all of its
investable assets in the Cash Management Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the
Act. The Fund seeks to achieve its investment objective by investing all of its
investable assets in the Portfolio. The value of such investment in the
Portfolio reflects the Fund's proportionate interest in the net assets of the
Portfolio. At December 31, 1995, the Fund's investment was approximately 5% of
the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized gains and losses from
the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio.
C. Dividends
It is the Fund's policy to declare dividends daily and pay monthly. Dividends
payable to shareholders are recorded by the Fund on the ex-dividend date, which
is the same as the declaration date. Distributions of net realized short-term
and long-term capital gains, if any, earned by the Fund will be made annually
to the extent they are not offset by any capital loss carryforwards.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.55 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $944,849.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the year
ended December 31, 1995, there were no reimbursable expenses incurred under
this agreement.
For the period January 1, 1995 to April 10, 1995 Bankers Trust had voluntarily
undertaken to waive and reimburse expenses of the Fund, to the extent
necessary, to limit all expenses to 0.55 of 1% of the average daily net assets
of the Fund, excluding expenses of the Portfolio and 0.73 of 1% of the average
daily net assets of the Fund, including expenses of the Portfolio. For the
period April 11, 1995 to December 31, 1995 Bankers Trust has voluntarily
undertaken to waive and reimburse the expenses of the Fund, to the extent
necessary, to limit all expenses to 0.57 of 1% of the average daily net assets
of the Fund, excluding expenses of the Portfolio and 0.75 of 1% of the average
daily net assets of the Fund, including expenses of the Portfolio. For the year
ended December 31, 1995, expenses of the Fund have been reduced by $4,831.
<PAGE> 15
CASH MANAGEMENT FUND 14
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
===============================================================================
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such securities to Bankers Trust New York Corporation, the
parent of the Adviser, at the same price, also pursuant to a put agreement. As
a result of these transactions the Fund's Statement of Changes in Net Assets
for the year ended December 31, 1994 reflects its pro rata share of the
Portfolio's realized loss on the sale of these securities and a capital
contribution in the amount of $1,299,990.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - CAPITAL LOSS CARRYFORWARD
At December 31, 1995, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$195,576, which will expire in 2002.
REPORT OF INDEPENDENT ACCOUNTANTS
===============================================================================
To the Trustees and Shareholders of
BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the
Cash Management Fund (one of the funds comprising BT Investment Funds), as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management Fund of BT Investment Funds as of December 31, 1995, the
results of its operations, the changes in its net assets, and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 16
CASH MANAGEMENT PORTFOLIO 15
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990 as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions pro rata among the investors in the Portfolio at the time
of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated
$1,282,576.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $3,847,729.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.18 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $578,251.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such securities to Bankers Trust New York Corporation, the
parent of the Adviser, at the same price, also pursuant to a put agreement. As
a result of these transactions the Portfolio's Statement of Changes in Net
Assets for the year ended December 31, 1994 reflects a realized loss on the
sale of these securities and a capital contribution in the amount of
$18,718,663.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
<PAGE> 17
CASH MANAGEMENT PORTFOLIO 16
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
===============================================================================
To the Trustees and Holders of Beneficial Interest
of the Cash Management Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Cash Management Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 18
BT INVESTMENT FUNDS
TREASURY
MONEY
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 19
TREASURY MONEY FUND 1
-------------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
================================================================================
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM
INVESTMENT ADVISER . . . . . . . . . . . . . . . . . . . . . . . . . . 2
TREASURY MONEY FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 5
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . 6
TREASURY MONEY PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 8
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . . . 9
TREASURY MONEY FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 11
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 12
TREASURY MONEY PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 14
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Treasury Money
Fund may be obtained by calling or writing to Investors Fiduciary Trust Company
or Signature Broker-Dealer Services, Inc., the primary Servicing Agent and
Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Treasury Money Fund at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 20
TREASURY MONEY FUND 2
-------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for the BT Investment
Treasury Money Fund. This report provides you with an investment overview
as well as a financial summary of the Fund's operations for the year ended
December 31, 1995. In addition, the report contains a Letter to
Shareholders from Investment Adviser detailing the factors that affected
the Fund's performance. Also presented in your Report is a pie chart
displaying diversification of Portfolio investments, financial statements,
financial highlights and a listing of the Portfolio's holdings.
Looking ahead, we will continue monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the Treasury Money Fund and are
looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
Falling interest rates in conjunction with the Federal Reserve Board's
seeming success in slowing economic growth and keeping inflation contained
led to an overall positive environment in 1995 for fixed income investing
and the money markets in particular.
Nevertheless, signals regarding the strength of the dollar and of the
economy were often mixed, and so the Fund maintained a relatively neutral
duration as compared to its benchmark through much of the year. In fact,
only in the third quarter, shortly after the Fed lowered official interest
rates on July 6, did we position the portfolio somewhat long to take
advantage of falling rates. Constructive action on the budget deficit by
Congress and the administration was expected to spur interest rates still
lower as the second half of the year progressed. But even without real
progress on this front, the Federal Reserve Board cut rates by another 25
basis points on December 19.
While economic data has been scarce due to the government shutdowns and
thus hampers our assessment to some degree, indicators from private
sources point to the economy proceeding on a course that includes real but
modest growth, inflation around 2.5%, and corporate profits rising within
a range of 5% to 7%. The Federal Reserve Board may respond with another
modest interest rate reduction early in 1996. If so, the fixed income
market should benefit from a very favorable climate.
The Fund's weighted average maturity stands at 44 days. We plan to keep
the Fund's relatively neutral duration position for the near future for
two main reasons. First, resolution of the budget impasse would add a
positive note, but uncertainty surrounding the Federal budgeting process
remains unabated, and any agreement may well be discounted in today's
prices. Second, after the dramatic fall in interest rates during 1995, we
do not expect the prospects for the money markets in 1996 to be quite as
bright. In the meantime, we continue to take advantage of the positive
fixed income market while it lasts as well as daily trading and relative
value opportunities created by market volatility.
<PAGE> 21
TREASURY MONEY FUND 3
-------------------------------------------------------
================================================================================
OBJECTIVE Seeks high current income consistent with liquidity
and preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Direct obligations of U.S. Treasury and repurchase
agreements collateralized by U.S. Treasury
obligations.
- --------------------------------------------------------------------------------
RATINGS S&P: AAAm
Moody's: Aaa
- --------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 4.98%
DECEMBER 31, 1995 Average maturity: 45 days
Net Assets: $615.1 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
<TABLE>
<S> <C>
Repurchase Agreements 48.36%
US Treasury Notes 27.84%
US Treasury Bills 23.80%
</TABLE>
[FIGURE 1]
================================================================================
ABOUT THE DARLENE M. RASEL
PORTFOLIO MANAGER Vice President
- Responsible for managing the Money Market and
Treasury Mutual Funds.
- Formerly, Head of Collateral Management Desk for
five years before joining Global Investment
Management.
- Fifteen years investment experience, including
eight years at Bankers Trust.
<PAGE> 22
TREASURY MONEY FUND 4
-------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=================================================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Investment in Treasury Money Portfolio, at Value $615,693,745
- ---------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 11,004
- ---------------------------------------------------------------------------------------------------------------------------------
Total Assets 615,704,749
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 291,820
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends Payable 297,703
- ---------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 31,228
- ---------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 620,751
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 615,073,473 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $615,083,998
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, Subscription and Redemption Price Per Share
($615,083,998/615,073,473 Shares) $ 1.00
=================================================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $615,073,473
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities Transactions 10,525
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $615,083,998
=================================================================================================================================
STATEMENT OF OPERATIONS
=================================================================================================================================
For the year ended December 31, 1995
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------------------------------------
Income Allocated from Treasury Money Portfolio, net $35,099,794
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------------------------------------------------------
Administration and Services $3,438,574
- --------------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 22,037
- --------------------------------------------------------------------------------------------------------------------------------
Professional 9,375
- --------------------------------------------------------------------------------------------------------------------------------
Registration 8,225
- --------------------------------------------------------------------------------------------------------------------------------
Trustees 2,027
- --------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 14,515
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 3,494,753
- --------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (56,179) 3,438,574
- --------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 31,661,220
- --------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 170,136
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $31,831,356
================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 11
<PAGE> 23
TREASURY MONEY FUND 5
-------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 31,661,220 $ 21,320,179
- ---------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 170,136 (101,079)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 31,831,356 21,219,100
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (31,661,220) (21,320,179)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions (61,251) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (31,722,471) (21,320,179)
- ---------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 7,254,751,559 5,595,560,110
- ---------------------------------------------------------------------------------------------------------------------------------
Dividends Reinvested 29,265,311 17,890,608
- ---------------------------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (7,365,957,016) (5,559,579,511)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Transactions in
Shares of Beneficial Interest (81,940,146) 53,871,207
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (81,831,261) 53,770,128
=================================================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 696,915,259 643,145,131
- ---------------------------------------------------------------------------------------------------------------------------------
End of Year $ 615,083,998 $ 696,915,259
=================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 11
<PAGE> 24
TREASURY MONEY FUND 6
-------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for the Treasury Money Fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
--------------------------------------------------------------------------
1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Year $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.05 0.03 0.02 0.03 0.05
Net Realized Gain (Loss) on Securities 0.00+ (0.00)+ 0.00+ 0.00+ 0.00+
----- ----- ----- ----- -----
Total from Investment Operations 0.05 0.03 0.02 0.03 0.05
----- ----- ----- ----- -----
Distributions From
Net Investment Income (0.05) (0.03) (0.02) (0.03) (0.05)
Net Realized Gain
from Securities Transactions (0.00)+ - (0.00)+ (0.00)+ (0.00)+
----- ----- ----- ----- -----
Total Distributions (0.05) (0.03) (0.02) (0.03) (0.05)
----- ----- ----- ----- -----
Net Asset Value, End of Year $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 5.19% 3.40% 2.43% 3.10% 5.30%
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income
to Average Net Assets 5.06% 3.36% 2.39% 2.90% 5.11%
Ratio of Expenses to Average Net
Assets, Including Expenses of the
Treasury Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses
by Bankers Trust 0.02% 0.02% 0.01% 0.05% 0.00%
Net Assets, End of Year (000's omitted) $615,084 $696,915 $643,145 $1,302,365 $539,260
</TABLE>
+ Less than $0.01 per share
See Notes to Financial Statements on Page 11
<PAGE> 25
TREASURY MONEY PORTFOLIO 7
-------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
========================================================================================================================
December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------------------------
Investments, at Value (including Repurchase Agreements amounting to $934,107,061) $1,931,571,982
- ------------------------------------------------------------------------------------------------------------------------
Interest Receivable 9,881,545
- ------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 9,051
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 1,941,462,578
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 339,711
- ------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 41,271
- ------------------------------------------------------------------------------------------------------------------------
Total Liabilities 380,982
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,941,081,596
========================================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,941,081,596
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,941,081,596
========================================================================================================================
STATEMENT OF OPERATIONS
========================================================================================================================
For the year ended December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------------------
Interest $ 68,065,344
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------------------
Advisory $1,764,890
- ------------------------------------------------------------------------------------------------------------------------
Administration and Services 588,297
- ------------------------------------------------------------------------------------------------------------------------
Professional 32,849
- ------------------------------------------------------------------------------------------------------------------------
Trustees 1,868
- ------------------------------------------------------------------------------------------------------------------------
Miscellaneous 35,248
- ------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,423,152
- ------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (69,965) 2,353,187
- ------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 65,712,157
- ------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 244,290
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 65,956,447
========================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 26
TREASURY MONEY PORTFOLIO 8
-------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 65,712,157 $ 30,804,929
- ---------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 244,290 (124,833)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 65,956,447 30,680,096
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 12,489,163,533 6,929,406,671
- ---------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (11,496,812,976) (6,866,790,869)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 992,350,557 62,615,802
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 1,058,307,004 93,295,898
=================================================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 882,774,592 789,478,694
- ---------------------------------------------------------------------------------------------------------------------------------
End of Year $ 1,941,081,596 $ 882,774,592
=================================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the years
presented for the Treasury Money Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
-----------------------------------------------------------------------
1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 5.58% 3.93% 2.93% 3.44% 5.58%
Ratio of Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.22% 0.25%
Decrease Reflected in Above Ratio of
Expenses to Average Net Assets
Due to Absorption of Expenses
by Bankers Trust 0.01% 0.01% 0.01% 0.01% 0.01%
Net Assets, End of Period (000's omitted) $1,941,082 $882,775 $789,479 $1,408,114 $671,138
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 27
TREASURY MONEY PORTFOLIO 9
-------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===========================================================================================================================
<S> <C>
UNITED STATES TREASURY BILLS - 23.69%
- ---------------------------------------------------------------------------------------------------------------------------
$ 50,000,000 5.42%, 1/18/96 $ 49,872,028
- ---------------------------------------------------------------------------------------------------------------------------
50,000,000 5.44%, 2/8/96 49,712,757
- ---------------------------------------------------------------------------------------------------------------------------
50,000,000 5.47%, 2/22/96 49,605,306
- ---------------------------------------------------------------------------------------------------------------------------
1,000,000 5.35%, 2/29/96 991,231
- ---------------------------------------------------------------------------------------------------------------------------
50,000,000 5.31%, 3/7/96 49,513,250
- ---------------------------------------------------------------------------------------------------------------------------
25,000,000 5.34%, 3/14/96 24,729,545
- ---------------------------------------------------------------------------------------------------------------------------
25,000,000 5.34%, 4/4/96 24,651,416
- ---------------------------------------------------------------------------------------------------------------------------
25,000,000 5.33%, 5/2/96 24,548,854
- ---------------------------------------------------------------------------------------------------------------------------
70,000,000 5.23%, 5/9/96 68,688,769
- ---------------------------------------------------------------------------------------------------------------------------
30,000,000 4.93%, 5/16/96 29,441,833
- ---------------------------------------------------------------------------------------------------------------------------
40,000,000 5.24%, 5/30/96 39,127,500
- ---------------------------------------------------------------------------------------------------------------------------
50,000,000 5.17%, 6/6/96 48,872,653
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL UNITED STATES TREASURY BILLS (COST $459,755,142) $ 459,755,142
===========================================================================================================================
UNITED STATES TREASURY NOTES - 27.70%
- ---------------------------------------------------------------------------------------------------------------------------
$ 125,000,000 4.00%, 1/31/96 $ 124,843,890
- ---------------------------------------------------------------------------------------------------------------------------
137,500,000 4.625%, 2/15/96 137,358,118
- ---------------------------------------------------------------------------------------------------------------------------
125,000,000 7.875%, 2/15/96 125,339,713
- ---------------------------------------------------------------------------------------------------------------------------
25,000,000 5.125%, 3/31/96 25,003,780
- ---------------------------------------------------------------------------------------------------------------------------
125,000,000 5.875%, 5/31/96 125,164,278
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL UNITED STATES TREASURY NOTES (COST $537,709,779) $ 537,709,779
===========================================================================================================================
REPURCHASE AGREEMENTS - 48.12%
- ---------------------------------------------------------------------------------------------------------------------------
$ 55,000,000 Repurchase Agreement with C.S. First Boston, Inc., dated 12/1/95, 5.79%,
principal and interest in the amount of $55,274,221, due 1/8/96,
(Collateralized by U.S. Treasury Strips, par value of $96,977,000,
5.68%, due 5/15/05, value of $57,110,361) $ 55,000,000
- ---------------------------------------------------------------------------------------------------------------------------
200,000,000 Repurchase Agreement with Goldman Sachs & Co., dated 12/29/95,
5.85%, principal and interest in the amount of $200,097,500,
due 1/2/96, (Collateralized by U.S. Treasury Notes, par value
$182,900,000, 7.75%, due 1/31/00, value of $204,568,431) 200,000,000
- ---------------------------------------------------------------------------------------------------------------------------
104,107,061 Repurchase Agreement with Merrill Lynch & Co., Inc., dated 12/29/95, 5.50%,
principal and interest in the amount of $104,154,777, due 1/2/96,
(Collaterized by U.S. Treasury Notes,par value $103,730,000,
6.875%, due 10/31/96, value of $106,282,152) 104,107,061
- ---------------------------------------------------------------------------------------------------------------------------
175,000,000 Repurchase Agreement with Sanwa Bank, Ltd., dated 12/29/95, 5.90%,
principal and interest in the amount of $175,086,042, due 1/2/96,
(Collateralized by U.S. Treasury Notes, par value $25,277,000, 7.25%,
due 8/15/04, value of $28,799,982, $50,000,000, 5.625%, due 10/31/97,
value of $50,861,951, $28,000,000, 6.125%, due 5/31/97, value of
$28,494,839, $40,000,000, 7.50%, due 2/15/05, value of $46,484,261
and $23,000,000, 6.25%, due 8/31/00, value of $24,285,397) 175,000,000
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 28
TREASURY MONEY PORTFOLIO 10
-------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=================================================================================================================================
<S> <C> <C>
$ 200,000,000 Repurchase Agreement with Swiss Bank Corp., dated 12/29/95, 5.90%,
principal and interest in the amount of $200,098,333, due 1/2/96,
(Collateralized by U.S. Treasury Strips, par value of $92,550,000, 5.68%,
due 5/15/05, value of $54,503,273, $118,050,000, 5.67%, due 2/15/05,
value of $70,996,008 and $114,100,000, 5.49%, due 8/15/02, value
of $79,691,719) $ 200,000,000
- --------------------------------------------------------------------------------------------------------------------------------
200,000,000 Tri Party Repurchase Agreement withMorgan Stanley Group, Inc., dated 12/29/95,
5.85%, principal and interest in the amount of $200,097,500, due 1/2/96,
(Collateralized by U.S. Treasury Notes, par value of $177,090,000, 7.50%,
due 2/15/05, $205,797,445 200,000,000
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost $934,107,061) $ 934,107,061
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (Cost $1,931,571,982) 99.51% $1,931,571,982
- --------------------------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.49% 9,509,614
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $1,941,081,596
================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 29
TREASURY MONEY FUND 11
-------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Treasury Money Fund (the "Fund") is one of the investment funds offered to
investors by the Trust. The Fund commenced operations and began offering shares
of beneficial interest on November 1, 1988. Through July 22, 1990, the Fund
invested directly in securities. After that date, the Fund began investing
substantially all of its investable assets in the Treasury Money Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objectives
by investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At December 31, 1995, the Fund's investment was
approximately 32% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio.
C. Dividends
It is the Fund's policy to declare dividends daily, and to pay these dividends
monthly. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date, which is the same as the declaration date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
will be made annually.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to that Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.55 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $3,438,574.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the year
ended December 31, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.55 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.75 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the year ended December 31, 1995, expenses of the Fund have
been reduced by $56,179.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
<PAGE> 30
TREASURY MONEY FUND 12
-------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the
Treasury Money Fund (one of the funds comprising BT Investment Funds) as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Treasury Money Fund of BT Investment Funds as of December 31, 1995, the
results of its operations, the changes in its net assets, and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 31
TREASURY MONEY PORTFOLIO 13
-------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Treasury Money Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990,
as an unincorporated trust under the laws of New York and commenced operations
on July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as realized gains and losses from security
transactions pro rata among the investors in the Portfolio at the time of such
determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $588,297.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $1,764,890.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $69,965.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
<PAGE> 32
TREASURY MONEY PORTFOLIO 14
------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
===============================================================================
To the Trustees and Holders of Beneficial
Interest of the Treasury Money Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Treasury Money Portfolio, includ-ing the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year
then ended, the statements of changes in net assets for each of the two years
in the period then ended, and the financial highlights for each of the five
years in the period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of December 31, 1995 by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Treasury Money Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for
the periods referred to above, in conformity with generally accepted
accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 33
BT INVESTMENT FUNDS
TAX FREE
MONEY
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 34
TAX FREE MONEY FUND 1
------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . . 2
TAX FREE MONEY FUND . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 6
TAX FREE MONEY PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . . . 9
TAX FREE MONEY FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 14
TAX FREE MONEY PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 15
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 16
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Tax Free Money
Fund may be obtained by calling or writing to Investors Fiduciary Trust Company
or Signature Broker-Dealer Services, Inc., the primary Servicing Agent and
Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Tax Free Money Fund at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 35
TAX FREE MONEY FUND 2
------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 7, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for BT Investment Funds
Tax Free Money Fund. This report provides you with an investment overview as
well as a financial summary of the Fund's operations for the year ended
December 31, 1995. In addition, the report contains a Letter to Shareholders
from Investment Adviser detailing the factors that affected the Fund's
performance. Also presented in your report is a pie chart displaying
diversification of portfolio investments, financial statements, financial
highlights and a listing of the portfolio's holdings.
Looking ahead, we will continue monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the Tax Free Money Fund and are
looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The Tax Free Money Fund tightly tracked its benchmark, the Donoghue Tax Free
Money Index, throughout the year ended December 31, 1995.
In contrast to most of the first six months of 1995 when the yield curve at
the short-term end was flat, rates had fallen by the end of the year, as the
tax-exempt market rallied along with the Treasury market on the strength of
slow growth, contained inflation, and an easier monetary policy. Thus, in
the fourth quarter, the Fund took advantage of wide spreads between daily
floating rate paper and 1-year notes, emphasizing the very short and long
ends of its maturity spectrum.
Average maturity fluctuated with changes in the yield curve and changes in
the Federal Reserve Board's policy. When the Fed raised interest rates last
February, we extended the Fund's average maturity from approximately 50 days
to approximately 56 days, and then we shortened it to 48 days during the
comparatively steady but flat yield curve of the next several months. On
July 6, 1995, the Fed cut official interest rates by 0.25%, and by the end
of the third quarter, we extended the Fund's average maturity to
approximately 66 days, in large part anticipating a second cut in interest
rates by the end of the year. In fact, in December, interest rates were cut
again. The Fund's significant holdings of the daily floating rate paper
tended to reduce average maturity, which stood at 58 days at the end of the
year.
As we begin 1996, we continue to expect strength from the tax-exempt
markets. Normally, this would indicate a longer average maturity strategy.
However, since daily floating paper remains relatively cheap, we intend to
maintain a barbell strategy, i.e. holding more in daily and 1-year
securities and less with maturities in between. Looking ahead, this strategy
should allow the Fund to benefit from both pricing inefficiencies along the
yield curve and a strong climate for fixed income investing.
<PAGE> 36
TAX FREE MONEY FUND 3
------------------------------------------------------------
================================================================================
OBJECTIVE Seeks high current income exempt from Federal taxes
consistent with liquidity and preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT Wide range of securities issued by states and their
INSTRUMENTS political subdivisions, authorities, agencies and
instrumentalities providing income free of Federal income
taxes.
- --------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 3.78%
DECEMBER 31, 1995 Average maturity: 56 days
Net Assets: $119.4 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
[FIGURE 1]
Variable Rate Demand Notes 66.23%
General Obligation Notes 20.61%
General Obligation Bonds 6.24%
Tax-Exempt Commercial Paper 2.70%
Revenue Notes and Bonds 2.53%
Tax Anticipation Notes 1.69%
================================================================================
ABOUT THE JERRY SAMET
PORTFOLIO MANAGER Assistant Treasurer
- Seven years of investment experience
- Joined Bankers Trust in 1988
- B.A.--Queens College of New York
<PAGE> 37
TAX FREE MONEY FUND 4
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investment in Tax Free Money Portfolio, at Value $119,702,684
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 8,213
- ---------------------------------------------------------------------------------------------------------------
Total Assets 119,710,897
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 33,897
- ---------------------------------------------------------------------------------------------------------------
Dividends Payable 259,807
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 24,373
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 318,077
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 119,433,628 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $119,392,820
===============================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($119,392,820/119,433,628 Shares) $ 1.00
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $119,433,628
- ---------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (40,808)
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $119,392,820
===============================================================================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the year ended December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Income Allocated from Tax Free Money Portfolio, net $4,602,331
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Administration and Services $661,345
- ---------------------------------------------------------------------------------------------------------------
Shareholders Reports 18,680
- ---------------------------------------------------------------------------------------------------------------
Registration 16,107
- ---------------------------------------------------------------------------------------------------------------
Professional 8,901
- ---------------------------------------------------------------------------------------------------------------
Trustees 2,077
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 1,849
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 708,959
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (47,614) 661,345
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,940,986
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED LOSS FROM SECURITIES TRANSACTIONS (25,044)
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,915,942
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 38
TAX FREE MONEY FUND 5
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,940,986 $ 2,696,576
- ---------------------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (25,044) (12,896)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 3,915,942 2,683,680
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income (3,940,986) (2,696,576)
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions -- (2,198)
- ---------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (3,940,986) (2,698,774)
- ---------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
- ---------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 802,388,131 641,985,691
- ---------------------------------------------------------------------------------------------------------------
Dividends Reinvested 954,474 662,604
- ---------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (793,968,165) (643,875,272)
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Transactions in
Shares of Beneficial Interest 9,374,440 (1,226,977)
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 9,349,396 (1,242,071)
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Year 110,043,424 111,285,495
- ---------------------------------------------------------------------------------------------------------------
End of Year $119,392,820 $110,043,424
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 39
TAX FREE MONEY FUND 6
------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for the Tax Free Money Fund.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
For the year ended December 31,
-----------------------------------------------------------
1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Year $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.03 0.02 0.02 0.03 0.04
Net Realized Gain (Loss) from Securities
Transactions (0.00)+ (0.00)+ 0.00+ (0.00)+ (0.00)+
----- ----- ----- ----- -----
Total from Investment Operations 0.03 0.02 0.02 0.03 0.04
----- ----- ----- ----- -----
Distributions From
Net Investment Income (0.03) (0.02) (0.02) (0.03) (0.04)
Net Realized Gain from Securities
Transactions -- (0.00)+ -- -- --
----- ----- ----- ----- -----
Total Distributions (0.03) (0.02) (0.02) (0.03) (0.04)
----- ----- ----- ----- -----
Net Asset Value, End of Year $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 3.34% 2.27% 1.97% 2.69% 4.29%
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 3.28% 2.21% 1.95% 2.66% 4.20%
Ratio of Expenses to Average Net Assets,
Including Expenses of the Tax Free
Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by
Bankers Trust 0.07% 0.08% 0.05% 0.05% 0.03%
Net Assets, End of Year (000's omitted) $119,393 $110,043 $111,285 $151,473 $143,559
</TABLE>
+ Less than $0.01 per share.
See Notes to Financial Statements on Page 13
<PAGE> 40
TAX FREE MONEY PORTFOLIO 7
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value $118,664,248
- ---------------------------------------------------------------------------------------------------------------
Cash 55,321
- ---------------------------------------------------------------------------------------------------------------
Interest Receivable 1,012,415
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 789
- ---------------------------------------------------------------------------------------------------------------
Total Assets 119,732,773
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 5,899
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 24,075
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 29,974
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $119,702,799
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $119,702,799
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $119,702,799
===============================================================================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the year ended December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Interest $4,843,488
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory $180,724
- ---------------------------------------------------------------------------------------------------------------
Administration and Services 60,241
- ---------------------------------------------------------------------------------------------------------------
Professional 25,996
- ---------------------------------------------------------------------------------------------------------------
Trustees 1,918
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 3,627
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 272,506
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (31,541) 240,965
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,602,523
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED LOSS FROM SECURITIES TRANSACTIONS (25,049)
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,577,474
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 41
TAX FREE MONEY PORTFOLIO 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 4,602,523 $ 3,366,308
- ---------------------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (25,049) (12,897)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,577,474 3,353,411
- ---------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 802,388,131 642,000,791
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (797,670,460) (646,550,579)
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions 4,717,671 (4,549,788)
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 9,295,145 (1,196,377)
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Year 110,407,654 111,604,031
- ---------------------------------------------------------------------------------------------------------------
End of Year $ 119,702,799 $ 110,407,654
===============================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the Tax Free Money Portfolio.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
For the period
February 19, 1991
For the year ended December 31, (Commencement
----------------------------------------- of Operations) to
1995 1994 1993 1992 December 31, 1991
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income
to Average Net Assets 3.82% 2.76% 2.50% 3.18% 4.59%*
Ratio of Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.22% 0.25%*
Decrease Reflected in Above Ratio of
Expenses to Average Net Assets Due to
Absorption of Expenses by Bankers Trust 0.03% 0.03% 0.02% 0.02% 0.02%*
Net Assets, End of Period (000's omitted) $119,703 $110,408 $111,604 $157,634 $143,942
</TABLE>
* Annualized
See Notes to Financial Statements on Page 15
<PAGE> 42
TAX FREE MONEY PORTFOLIO 9
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
RATING (c)
- ------------------- PRINCIPAL
S&P / MOODY / FITCH AMOUNT DESCRIPTION (b) VALUE
==============================================================================================================================
<S> <C> <C> <C> <C> <C>
ARIZONA - 3.43%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ $2,000,000 Chandler, Arizona, I.D.A., (LOC: National Westminster),
Variable Rate Monthly Demand Note, 4.25%, 12/15/09 (a) $2,000,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ P1 2,100,000 Pinal County, Arizona, I.D.A., P.C.R., (LOC: National Westminster),
Variable Rate Daily Demand Note, 5.95%, 12/1/09 (a) 2,100,000
- ------------------------------------------------------------------------------------------------------------------------------
4,100,000
==============================================================================================================================
CALIFORNIA - 6.26%
- ------------------------------------------------------------------------------------------------------------------------------
SP1 MIG1 F1+ 4,840,000 California State Warrants, RAWS, 5.75%, 4/25/96 4,868,573
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa AAA 1,415,000 California State Warrants, RAWS, (FGIC Insured), 5.75%, 4/25/96 1,423,475
- ------------------------------------------------------------------------------------------------------------------------------
SP1 MIG1 F1+ 1,200,000 Los Angeles County TRANS, (LOC: Bank of America, Credit
Suisse, Morgan Guaranty, Swiss Bank, Union Bank of Switzerland,
West Deutsche Bank), 4.50%, 7/1/96 1,204,020
- ------------------------------------------------------------------------------------------------------------------------------
7,496,068
==============================================================================================================================
COLORADO - 0.85%
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa 1,010,000 Moffat County, Colorado, P.C.R., Tri-State Generation Project,
(AMBAC Insured), 4.125%, 11/1/96 1,014,266
==============================================================================================================================
CONNECTICUT - 2.51%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 F1+ 3,000,000 Connecticut Unemployment Compensation Revenue Bonds,
(FGIC Insured) 3.90%, 11/15/01, Mandatory Put 7/1/96 3,000,000
==============================================================================================================================
FLORIDA - 8.22%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 200,000 Dade County, Florida, Housing Finance Authority, Bermuda Villas,
Series K, (LOC: John Hancock Insurance), Variable Rate Weekly
Demand Note, 5.40%, 2/1/05 (a) 200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 1,200,000 Dade County, Florida, Housing Finance Authority, Cutler Club
Apartments, Series J, (LOC: John Hancock Insurance), Variable
Rate Weekly Demand Note, 5.40%, 2/1/05 (a) 1,200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 3,000,000 Dade County, Florida, Housing Finance Authority, Nob Hill
Project, Series 1, (LOC: John Hancock Insurance), Variable
Rate Weekly Demand Note, 5.40%, 8/1/05 (a) 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 300,000 Florida Housing Finance Agency, (LOC: Wells Fargo),
Variable Rate Monthly Demand Note, 3.85%, 4/1/07 (a) 300,000
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa 1,100,000 Florida Housing Finance Agency, Lakes of Northdale, (MBIA
Insured), Variable Rate Monthly Demand Note, 3.75%, 6/1/07 (a) 1,100,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 3,000,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank),
Variable Rate Weekly Demand Note, 5.05%, 12/1/07 (a) 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa 1,000,000 Florida State Sunshine Skyway Revenue, G.O., 7.30%, 6/1/05,
Prerefunded 6/1/96 @ 102 1,034,141
- ------------------------------------------------------------------------------------------------------------------------------
9,834,141
==============================================================================================================================
HAWAII - 3.85%
- ------------------------------------------------------------------------------------------------------------------------------
AA Aaa 1,500,000 Hawaii State, G.O., Series BJ, 6.75%, 12/1/97,
Prerefunded 12/1/96 @ 101.50 1,561,744
- ------------------------------------------------------------------------------------------------------------------------------
AA Aaa 1,000,000 Honolulu, Hawaii City and County, G.O., 6.90%, 10/1/96 1,025,171
- ------------------------------------------------------------------------------------------------------------------------------
AA Aaa 2,000,000 Honolulu, Hawaii City and County, G.O., Series A, 5.80%, 8/1/96 2,023,463
- ------------------------------------------------------------------------------------------------------------------------------
4,610,378
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 43
TAX FREE MONEY PORTFOLIO 10
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
RATING (c)
- ------------------- PRINCIPAL
S&P / MOODY / FITCH AMOUNT DESCRIPTION (b) VALUE
==============================================================================================================================
<S> <C> <C> <C> <C> <C>
ILLINOIS - 2.00%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ $1,300,000 Burbank, Illinois, I.D.R., (LOC: Canadian Imperial Bank),
Variable Rate Monthly Demand Note, 4.00%, 9/15/24 (a) $1,300,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 1,100,000 Chicago, Illinois, G.O., Tender Notes, (LOC: Morgan Guaranty),
3.75%, 10/31/96, Mandatory Put 5/1/96 1,100,000
- ------------------------------------------------------------------------------------------------------------------------------
2,400,000
==============================================================================================================================
IOWA - 5.93%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 2,700,000 Des Moines, Iowa, C.D.A., East Grand Office Park Project,
(Guaranteed by Principal Financial Group), Variable Rate Monthly
Demand Note, 4.00%, 4/1/15 (a) 2,700,000
- ------------------------------------------------------------------------------------------------------------------------------
VMIG1 1,500,000 Osceola, Iowa, Babson Brothers Company Project, (LOC: Bank of
New York), Variable Rate Weekly Demand Note, 5.35%, 12/1/96 (a) 1,500,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 2,895,000 Urbandale, Iowa, Meredith Drive Associates, (Guaranteed by
Principal Financial Group), Variable Rate Monthly Demand Note,
4.00%, 11/1/15 (a) 2,895,000
- ------------------------------------------------------------------------------------------------------------------------------
7,095,000
==============================================================================================================================
KANSAS - 2.26%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 1,400,000 Fairway, Kansas, I.D.R., J.C. Nichols Project, (Guaranteed by
Principal Mutual Insurance), Variable Rate Monthly Demand
Note, 4.00%, 11/1/14 (a) 1,400,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 1,300,000 Prairie Village, Kansas, Multi-Family Revenue, J.C. Nichols Project,
(Guaranteed by Bankers Life), Variable Rate Monthly Demand
Note, 4.00%, 12/1/15 (a) 1,300,000
- ------------------------------------------------------------------------------------------------------------------------------
2,700,000
==============================================================================================================================
LOUISIANA - 0.84%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 1,000,000 Jefferson Parish, Louisiana Hospital Revenue, West Jefferson
Medical Center, (LOC: Citibank), Variable Rate Weekly Demand
Note, 5.40%, 1/1/26 (a) 1,000,000
==============================================================================================================================
MARYLAND - 1.00%
- ------------------------------------------------------------------------------------------------------------------------------
SP1 P1 1,200,000 Montgomery County, Tax-Exempt Commercial Paper, (LOC:
Union Bank of Switzerland), 3.70%, 1/9/96 1,200,000
==============================================================================================================================
MISSOURI - 2.92%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 2,200,000 Kansas City, Missouri, I.D.A., Coach House Project, Variable
Rate Monthly Demand Note, 4.00%, 12/1/15 (a) 2,200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 1,300,000 St. Louis, Missouri, I.D.A., Cedar Run Apartments Project, (LOC:
John Hancock Insurance), Variable Rate Weekly Demand Note,
5.40%, 2/1/07 (a) 1,300,000
- ------------------------------------------------------------------------------------------------------------------------------
3,500,000
==============================================================================================================================
NEW HAMPSHIRE - 0.25%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 300,000 New Hampshire State, I.D.A., (LOC: Union Bank of Switzerland),
Variable Rate Monthly Demand Note, 3.75%, 7/1/13 (a) 300,000
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 44
TAX FREE MONEY PORTFOLIO 11
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
RATING (c)
- ------------------- PRINCIPAL
S&P / MOODY / FITCH AMOUNT DESCRIPTION (b) VALUE
==============================================================================================================================
<S> <C> <C> <C> <C> <C>
NEW YORK - 36.19%
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 $2,700,000 New York City, New York, G.O., (LOC: Chemical Bank),
Variable Rate Daily Demand Note, 4.75%, 8/1/21 (a) $2,700,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 500,000 New York City, New York, G.O., (LOC: Chemical Bank),
Variable Rate Daily Demand Note, 5.95%, 8/1/22 (a) 500,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 400,000 New York City, New York, G.O., (LOC: Chemical Bank),
Variable Rate Daily Demand Note, 5.95%, 8/1/23 (a) 400,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 1,800,000 New York City, New York, G.O., (LOC: Dai-Ichi Kangyo),
Variable Rate Daily Demand Note, 5.05%, 8/15/18 (a) 1,800,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 A- 2,600,000 New York City, New York, G.O., (LOC: Dai-Ichi Kangyo),
Variable Rate Daily Demand Note, 5.05%, 8/15/19 (a) 2,600,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 A- 1,200,000 New York City, New York, G.O., (LOC: Dai-Ichi Kangyo),
Variable Rate Daily Demand Note, 5.05%, 8/15/20 (a) 1,200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 800,000 New York City, New York, G.O., (LOC: Kredietbank),
Variable Rate Daily Demand Note, 5.90%, 8/1/15 (a) 800,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 1,850,000 New York City, New York, G.O., (LOC: Kredietbank),
Variable Rate Daily Demand Note, 5.90%, 8/1/16 (a) 1,850,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 3,200,000 New York City, New York, G.O., (LOC: Sanwa Bank),
Variable Rate Daily Demand Note, 5.05%, 8/15/17 (a) 3,200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 2,800,000 New York City, New York, G.O., (LOC: Sanwa Bank,)
Variable Rate Daily Demand Note, 5.05%, 8/15/18 (a) 2,800,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 6,565,000 New York City, New York, G.O., (LOC: Sumitomo Bank),
Variable Rate Daily Demand Note, 6.10%, 8/1/16 (a) 6,565,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG1 4,200,000 New York City, New York, G.O., (LOC: Sumitomo Bank),
Variable Rate Daily Demand Note, 6.10%, 8/1/17 (a) 4,200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 1,800,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland),
Variable Rate Daily Demand Note, 5.00%, 8/15/21 (a) 1,800,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 4,400,000 New York City, New York, G.O., (MBIA Insured), Variable
Rate Daily Demand Note, 5.90%, 8/15/23 (a) 4,400,000
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG1 F1+ 3,000,000 New York City, New York, RANS, Series A, 4.50%, 4/11/96 3,006,048
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG1 F1+ 2,000,000 New York City, New York, TANS, Series A, 4.50%, 2/15/96 2,001,919
- ------------------------------------------------------------------------------------------------------------------------------
VMIG1 2,500,000 New York State Dormitory Authority Revenue Bonds, (LOC:
Banque Paribas), Variable Rate Daily Demand Note, 5.85%, 7/1/23 (a) 2,500,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 1,000,000 New York State Energy Research and Development Authority,
Niagara Mohawk Power, Series A, (LOC: Toronto Dominion),
5.50%, 7/1/15 (a) 1,000,000
- ------------------------------------------------------------------------------------------------------------------------------
43,322,967
==============================================================================================================================
NORTH CAROLINA - 1.67%
- ------------------------------------------------------------------------------------------------------------------------------
A1 P1 2,000,000 North Carolina Eastern Municipal Power, Tax Exempt Commercial
Paper, (LOC: Morgan Guaranty), 3.70%, 1/11/96 2,000,000
==============================================================================================================================
OHIO - 2.42%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 2,900,000 Ohio State Air Quality Development Authority, (LOC: J.P. Morgan),
Variable Rate Daily Demand Note, 5.50%, 12/1/15 (a) 2,900,000
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 45
TAX FREE MONEY PORTFOLIO 12
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
RATING (c)
- ------------------- PRINCIPAL
S&P / MOODY / FITCH AMOUNT DESCRIPTION (b) VALUE
==============================================================================================================================
<S> <C> <C>
PENNSYLVANIA - 0.58%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ $ 700,000 Lehigh County, Pennsylvania, I.D.R., Allegheny Electric, (LOC:
Rabobank Nederland), Variable Rate Monthly Demand Note,
3.75%, 6/1/14 (a) $ 700,000
==============================================================================================================================
RHODE ISLAND - 4.28%
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa 3,000,000 Rhode Island Depositors Economic Protection, Series A,
(MBIA Insured), 7.25%, 8/1/21, Prefunded 8/1/96 @ 102 3,121,282
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG1 F1+ 2,000,000 Rhode Island State, TANS, (LOC: Union Bank of Switzerland),
4.50%, 6/28/96 2,008,272
- ------------------------------------------------------------------------------------------------------------------------------
5,129,554
==============================================================================================================================
TEXAS - 8.88%
- ------------------------------------------------------------------------------------------------------------------------------
VMIG1 750,000 Harris County, Texas, Health Facility Development-Tirr Project,
(LOC: Texas Commerce Bank), Variable Rate Daily Demand Note,
5.95%, 10/1/17 (a) 750,000
- ------------------------------------------------------------------------------------------------------------------------------
AA- Aa 1,400,000 Houston, Texas, G.O., 5.50%, 3/1/96 1,401,664
- ------------------------------------------------------------------------------------------------------------------------------
Aaa 2,000,000 Houston, Texas, G.O., 8.00%, 3/1/22, Prerefunded 3/1/96 @ 102 2,053,596
- ------------------------------------------------------------------------------------------------------------------------------
VMIG1 1,400,000 Texas Small Business, I.D.R., Texas Public Facilities, (LOC:
Credit Suisse), Variable Rate Weekly Demand Note, 5.20%, 7/1/26 (a) 1,400,000
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG1 F1+ 5,000,000 Texas State, TRANS, 4.75%, 8/30/96 5,021,614
- ------------------------------------------------------------------------------------------------------------------------------
10,626,874
==============================================================================================================================
VERMONT - 3.96%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC:
Toronto Dominion), Variable Rate Monthly Demand Note,
4.25%, 12/1/13 (a) 4,735,000
==============================================================================================================================
WASHINGTON - 0.83%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG1 1,000,000 Chelan County, Washington, Public Utility District 1, (LOC:
Credit Suisse), Variable Rate Weekly Demand Note, 5.05%, 6/1/15 (a) 1,000,000
==============================================================================================================================
TOTAL INVESTMENTS
(Amortized Cost $118,664,248) 99.13% $118,664,248
- ------------------------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.87% 1,038,551
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $119,702,799
==============================================================================================================================
</TABLE>
(a) Securities payable on demand, secured by bank Letters of Credit or other
bank credit agreements. This interest rate, which will change periodically,
is based on bank prime rates or an index of market interest rates.
(b) The following abbreviations are used in portfolio descriptions:
AMBAC -- American Municipal Bond Assurance Corporation
C.D.A. -- Community Development Authority
FGIC -- Financial Guaranty Insurance Corporation
G.O. -- General Obligation
I.D.A. -- Industrial Development Authority
I.D.R. -- Industrial Development Revenue
LOC -- Secured by a Letter of Credit
MBIA -- Municipal Bond Investors Assurance Corporation
P.C.R. -- Pollution Control Revenue
RANS -- Revenue Anticipation Notes
RAWS -- Revenue Anticipation Warrants
TANS -- Tax Anticipation Notes
TRANS -- Tax Revenue Anticipation Notes
(c) Ratings were not audited by Coopers & Lybrand L.L.P.
See Notes to Financial Statements on Page 15
<PAGE> 46
TAX FREE MONEY FUND 13
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The Tax
Free Money Fund (the "Fund") is one of the funds offered to investors by the
Trust. The Fund commenced operations and began offering shares of beneficial
interest on June 10, 1987. Through February 18, 1991, the Fund invested
directly in securities. After that date, the Fund began investing all of its
investable assets in the Tax Free Money Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the
Act. The Fund seeks to achieve its investment objective by investing all of its
investable assets in the Portfolio. The value of such investment in the
Portfolio reflects the Fund's proportionate interest in the net assets of the
Portfolio. At December 31, 1995, the Fund's investment was approximately 100%
of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized gains and losses from
the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio.
C. Dividends
It is the Fund's policy to declare dividends daily and to pay these dividends
monthly. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date, which is the same as the declaration date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
will be made annually to the extent they are not offset by any capital loss
carryforwards.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to that Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.55 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $661,345.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the year
ended December 31, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.55 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.75 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the year ended December 31, 1995, expenses of the Fund have
been reduced by $47,614.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - CAPITAL LOSS CARRYFORWARD
At December 31, 1995, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$37,940 of which $12,896 and $25,044 will expire in 2002 and 2003,
respectively.
<PAGE> 47
TAX FREE MONEY FUND 14
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the Tax
Free Money Fund (one of the funds comprising BT Investment Funds) as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Tax Free Money Fund of BT Investment Funds as of December 31, 1995, the results
of its operations, the changes in its net assets, and the financial highlights
for the periods referred to above, in conformity with generally accepted
accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 48
TAX FREE MONEY PORTFOLIO 15
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Tax Free Money Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990,
as an unincorporated trust under the laws of New York and commenced operations
on February 19, 1991. The Declaration of Trust permits the Board of Trustees
(the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions pro rata among the investors in the Portfolio at the time
of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $60,241.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $180,724.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $31,541.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
<PAGE> 49
TAX FREE MONEY PORTFOLIO 16
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial
Interest of the Tax Free Money Portfolio:
We have audited the accompanying statement of assets and liabilities of the Tax
Free Money Portfolio, including the schedule of portfolio investments, as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the four years in
the period then ended and for the period February 19, 1991 (commencement of
operations) to December 31, 1991. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Tax Free Money Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 50
BT INVESTMENT FUNDS
NY TAX FREE
MONEY
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 51
NY TAX FREE MONEY FUND 1
------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . . 2
NY TAX FREE MONEY FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 6
NY TAX FREE MONEY PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . . . 9
NY TAX FREE MONEY FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 12
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 13
NY TAX FREE MONEY PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 14
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 15
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the NY Tax Free
Money Fund may be obtained by calling or writing to Investors Fiduciary Trust
Company or Signature Broker-Dealer Services, Inc., the primary Servicing Agent
and Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the NY Tax Free Money Fund
at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 52
NY TAX FREE MONEY FUND 2
------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 7, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for BT Investment Funds NY
Tax Free Money Fund. This report provides you with an investment overview as
well as a financial summary of the Fund's operations for the year ended
December 31, 1995. In addition, the report contains a Letter to Shareholders
from Investment Adviser detailing the factors that affected the Fund's
performance. Also presented in your report is a pie chart displaying
diversification of Portfolio investments, financial statements, financial
highlights and a listing of the Portfolio's holdings.
Looking ahead, we will continue monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the NY Tax Free Money Fund and are
looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The NY Tax Free Money Fund closely tracked its benchmark, the Donoghue NY
Tax Free Money Index, throughout the year ended December 31, 1995.
In contrast to most of the first six months of 1995 when the yield curve at
the short-term end was flat due to a drastically reduced supply of New York
tax-exempt short-term securities, rates had fallen by the end of the year,
as the tax-exempt market rallied along with the Treasury market on the
strength of slow growth, contained inflation, and an easier monetary policy.
Thus, in the fourth quarter, the Fund took advantage of wide spreads between
daily floating rate paper and 1-year notes, emphasizing the very short and
long ends of its maturity spectrum.
Average maturity fluctuated with changes in the yield curve and changes in
the Federal Reserve Board's policy. Early in the year, the Fund remained
relatively neutral, beginning the period with an average maturity of 60
days, moving to 57 days during the first quarter, and then moving back to 60
days at the end of the second quarter. On July 6, 1995, the Fed cut official
interest rates by 0.25%, and by the end of the third quarter, the Fund's
average maturity was extended to approximately 65 days, in large part
anticipating a second cut in interest rates by the end of the year. In fact,
in December, interest rates were cut again. The Fund's significant holdings
of the daily floating rate paper tended to reduce average maturity, which
stood at 48 days at the end of the year.
As we begin 1996, we continue to expect strength from the tax-exempt
markets. Normally, this would indicate a longer average maturity strategy.
However, since daily floating paper remains relatively cheap, we intend to
maintain a barbell strategy, i.e. holding more in daily and 1-year
securities and less with maturities in between. Looking ahead, this strategy
should allow the Fund to benefit from both pricing inefficiencies along the
yield curve and a strong climate for fixed income investing.
<PAGE> 53
NY TAX FREE MONEY FUND 3
------------------------------------------------------------
================================================================================
OBJECTIVE Seeks high current income exempt from Federal, New
York State and New York City taxes consistent with
liquidity and preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT Wide range of securities primarily issued by New York
INSTRUMENTS State and its authorities, agencies, instrumentalities
and political subdivisions providing income free of
Federal, New York State and New York City income taxes.
- --------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 3.65%
DECEMBER 31, 1995 Average maturity: 54 days
Net Assets: $70.8 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
Variable Rate Demand Notes 55.89%
General Obligation Notes 22.25%
General Obligation Bonds 9.35%
Revenue Bonds 7.53%
Tax Exempt Commercial Paper 4.98%
[FIGURE 1]
================================================================================
ABOUT THE JERRY SAMET
PORTFOLIO MANAGER Assistant Treasurer
- Seven years of investment experience
- Joined Bankers Trust in 1988
- B.A.--Queens College of New York
<PAGE> 54
NY TAX FREE MONEY FUND 4
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=====================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------
Investment in NY Tax Free Money Portfolio, at Value $70,932,721
- -----------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 871
- -----------------------------------------------------------------------------------------------------
Total Assets 70,933,592
- -----------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------
Due to Bankers Trust 8,432
- -----------------------------------------------------------------------------------------------------
Dividends Payable 137,055
- -----------------------------------------------------------------------------------------------------
Accrued Expenses and Other 23,495
- -----------------------------------------------------------------------------------------------------
Total Liabilities 168,982
- -----------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 70,793,156 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $70,764,610
=====================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($70,764,610/70,793,156 Shares) $ 1.00
=====================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------
Paid-in Capital $70,793,156
- -----------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (28,546)
- -----------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $70,764,610
=====================================================================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=====================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------
Income Allocated from NY Tax Free Money Portfolio, net $3,021,618
- -----------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------
Administration and Services $458,735
- -----------------------------------------------------------------------------------------------------
Shareholders Reports 15,364
- -----------------------------------------------------------------------------------------------------
Professional 8,776
- -----------------------------------------------------------------------------------------------------
Trustees 2,077
- -----------------------------------------------------------------------------------------------------
Registration 1,354
- -----------------------------------------------------------------------------------------------------
Miscellaneous 1,947
- -----------------------------------------------------------------------------------------------------
Total Expenses 488,253
- -----------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (29,518) 458,735
- -----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,562,883
- -----------------------------------------------------------------------------------------------------
NET REALIZED LOSS FROM SECURITIES TRANSACTIONS (1,746)
- -----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $2,561,137
=====================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 12 and 13
<PAGE> 55
NY TAX FREE MONEY FUND 5
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=====================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------
Net Investment Income $ 2,562,883 $ 1,923,406
- -----------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (1,746) (2,075)
- -----------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 2,561,137 1,921,331
- -----------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------
Net Investment Income (2,562,883) (1,923,406)
- -----------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (2,562,883) (1,923,406)
- -----------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
- -----------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 474,692,146 563,055,553
- -----------------------------------------------------------------------------------------------------
Dividends Reinvested 784,053 444,797
- -----------------------------------------------------------------------------------------------------
Value of Shares Redeemed (483,810,589) (588,335,386)
- -----------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Transactions in
Shares of Beneficial Interest (8,334,390) (24,835,036)
- -----------------------------------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (8,336,136) (24,837,111)
=====================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------
Beginning of Year 79,100,746 103,937,857
- -----------------------------------------------------------------------------------------------------
End of Year $ 70,764,610 $ 79,100,746
=====================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 12 and 13
<PAGE> 56
NY TAX FREE MONEY FUND 6
------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for the NY Tax Free Money Fund.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
For the year ended December 31,
-------------------------------------------------
1995 1994 1993 1992 1991
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Year $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.03 0.02 0.02 0.02 0.04
Net Realized Loss from Securities Transactions (0.00)+ (0.00)+ (0.00)+ (0.00)+ (0.00)+
----- ----- ----- ----- -----
Total from Investment Operations 0.03 0.02 0.02 0.02 0.04
Distributions from
Net Investment Income (0.03) (0.02) (0.02) (0.02) (0.04)
----- ----- ----- ----- -----
Net Asset Value, End of Year $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 3.12% 2.11% 1.68% 2.38% 4.07%
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income
to Average Net Assets 3.07% 2.05% 1.66% 2.38% 4.00%
Ratio of Expenses to Average Net Assets,
Including Expenses of the NY Tax Free
Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses
by Bankers Trust 0.07% 0.08% 0.06% 0.05% 0.03%
Net Assets, End of Year (000's omitted) $70,765 $79,101 $103,938 $101,196 $98,905
</TABLE>
+ Less the $0.01 per share.
See Notes to Financial Statements on Pages 12 and 13
<PAGE> 57
NY TAX FREE MONEY PORTFOLIO 7
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=====================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------
Investments, at Value $70,326,852
- -----------------------------------------------------------------------------------------------------
Interest Receivable 659,911
- -----------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 570
- -----------------------------------------------------------------------------------------------------
Due from Bankers Trust 4,076
- -----------------------------------------------------------------------------------------------------
Total Assets 70,991,409
- -----------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------
Due to Custodian 35,778
- -----------------------------------------------------------------------------------------------------
Accrued Expenses and Other 22,795
- -----------------------------------------------------------------------------------------------------
Total Liabilities 58,573
- -----------------------------------------------------------------------------------------------------
NET ASSETS $70,932,836
=====================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------
Paid-in Capital $70,932,836
- -----------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $70,932,836
=====================================================================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=====================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------
Interest $3,188,742
- -----------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------
Advisory $125,340
- -----------------------------------------------------------------------------------------------------
Administration and Services 41,780
- -----------------------------------------------------------------------------------------------------
Professional 24,272
- -----------------------------------------------------------------------------------------------------
Trustees 1,918
- -----------------------------------------------------------------------------------------------------
Miscellaneous 3,561
- -----------------------------------------------------------------------------------------------------
Total Expenses 196,871
- -----------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (29,751) 167,120
- -----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,021,622
- -----------------------------------------------------------------------------------------------------
NET REALIZED LOSS FROM SECURITIES TRANSACTIONS (1,746)
- -----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,019,876
=====================================================================================================
</TABLE>
See Notes to Financial Statements on Page 14
<PAGE> 58
NY TAX FREE MONEY PORTFOLIO 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=====================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------
Net Investment Income $ 3,021,622 $ 2,439,419
- -----------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (1,746) (2,075)
- -----------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 3,019,876 2,437,344
- -----------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 474,692,146 563,055,553
- -----------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (486,113,554) (590,346,393)
- -----------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Capital Transactions (11,421,408) (27,290,840)
- -----------------------------------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (8,401,532) (24,853,496)
=====================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------
Beginning of Year 79,334,368 104,187,864
- -----------------------------------------------------------------------------------------------------
End of Year $ 70,932,836 $ 79,334,368
=====================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the NY Tax Free Money Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
For the period
February 19, 1991
For the year ended December 31, (Commencement
------------------------------------- of Operations) to
1995 1994 1993 1992 December 31, 1991
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment
Income to Average Net Assets 3.62% 2.60% 2.21% 2.90% 4.41%*
Ratio of Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.22% 0.25%*
Decrease Reflected in Above Ratio
of Expenses to Average Net Assets Due to
Absorption of Expenses by Bankers Trust 0.04% 0.03% 0.03% 0.03% 0.03%*
Net Assets, End of Period (000's omitted) $70,933 $79,334 $104,188 $101,419 $98,968
</TABLE>
* Annualized
See Notes to Financial Statements on Page 14
<PAGE> 59
NY TAX FREE MONEY PORTFOLIO 9
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
RATING (c)
- --------------------- PRINCIPAL
S&P / MOODY'S / FITCH AMOUNT DESCRIPTION (b) VALUE
==============================================================================================================================
<S> <C> <C> <C> <C> <C>
NEW YORK - 96.33%
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa AAA $1,000,000 Albany County, New York Civic Center G.O., (FGIC Insured),
6.70%, 6/1/07, Prerefunded 6/1/96 @ 102 $ 1,031,426
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG-1 1,300,000 Buffalo, New York G.O., RANS, Series A, (LOC: Landesbank
Hessen, New York), 4.20%, 7/16/96 1,305,491
- ------------------------------------------------------------------------------------------------------------------------------
MIG-1 1,100,000 Erie County, New York G.O., RANS, (LOC: Union Bank of
Switzerland), 4.50%, 9/20/96 1,104,946
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 AAA 2,400,000 Great Neck North, New York Water Authority Water System
Revenue (FGIC Insured), Variable Rate Weekly Demand Note,
4.90%, 1/1/20 (a) 2,400,000
- ------------------------------------------------------------------------------------------------------------------------------
Aaa 500,000 Metropolitan Transportation Authority, New York, Series G,
8.00%, 7/1/12, Prerefunded 7/1/96 @ 102 519,667
- ------------------------------------------------------------------------------------------------------------------------------
MIG-1 2,500,000 Monroe County, New York, G.O., BANS, Series A, 4.50%, 6/7/96 2,506,223
- ------------------------------------------------------------------------------------------------------------------------------
A1 1,600,000 Montgomery County, New York, I.D.A., Service Merchandise,
(LOC: Industrial Bank of Japan), Variable Rate Monthly Demand
Note, 4.00%, 12/31/24 (a) 1,600,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 1,600,000 New York City, New York G.O., (LOC: Sanwa Bank),
Variable Rate Daily Demand Note, 5.95%, 8/1/17 (a) 1,600,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 400,000 New York City, New York G.O., (LOC: Dai-Ichi Kangyo),
Variable Rate Daily Demand Note, 5.05%, 8/15/18 (a) 400,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 100,000 New York City, New York G.O., (LOC: Sanwa Bank), Variable
Rate Daily Demand Note, 5.05%, 8/15/18 (a) 100,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 900,000 New York City, New York G.O., (LOC: Sumitomo Bank),
Variable Rate Daily Demand Note, 6.10%, 8/1/16 (a) 900,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 3,350,000 New York City, New York G.O., (MBIA Insured), Variable Rate
Daily Demand Note, 5.90%, 8/15/04 (a) 3,350,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 700,000 New York City, New York G.O., (LOC: Sumitomo Bank), Variable
Rate Daily Demand Note, 6.10%, 8/1/17 (a) 700,000
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG-1 F1+ 2,000,000 New York City, New York G.O., TANS, Series A, 4.50%, 2/15/96 2,001,978
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 200,000 New York City, New York G.O., (LOC: Union Bank of Switzerland),
Variable Rate Daily Demand Note, 5.00%, 8/15/22 (a) 200,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 225,000 New York City, New York G.O., (LOC: Chemical Bank),
Variable Rate Daily Demand Note, 5.95%, 8/1/22 (a) 225,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 2,600,000 New York City, New York G.O., (LOC: Landesbank Hessen),
Variable Rate Weekly Demand Note, 4.90%, 8/1/19 (a) 2,600,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 700,000 New York City, New York G.O., (FGIC Insured), Variable Rate
Daily Demand Note, 5.00%, 10/1/20 (a) 700,000
- ------------------------------------------------------------------------------------------------------------------------------
SP1+ MIG-1 F1+ 2,000,000 New York City, New York G.O., RANS, Series A, 4.50%, 4/11/96 2,004,032
- ------------------------------------------------------------------------------------------------------------------------------
A1 P1 3,500,000 New York State, G.O., Series Q, Tax Exempt Commercial Paper,
(LOC: Westdeutsche), 3.80%, 1/18/96 3,500,000
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa AAA 1,225,000 New York State Dormitory Authority Revenue, State University
Dormitory Facility, 3.70%, 7/1/96 1,225,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 2,500,000 New York State Energy Research & Development Authority, P.C.R.,
Orange/Rockland Utility, (AMBAC Insured), Variable Rate
Weekly Demand Note, 4.90%, 8/1/15 (a) 2,500,000
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Page 14
<PAGE> 60
NY TAX FREE MONEY PORTFOLIO 10
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
RATING (c)
- --------------------- PRINCIPAL
S&P / MOODY'S / FITCH AMOUNT DESCRIPTION (b) VALUE
==============================================================================================================================
<S> <C> <C> <C> <C> <C>
VMIG-1 $3,100,000 New York State Energy Research & Development Authority, P.C.R.,
Lilco Project, (LOC: Deutsche Bank), 4.70%, 3/1/16,
Mandatory Put 3/1/96 $ 3,100,000
- ------------------------------------------------------------------------------------------------------------------------------
P1 3,000,000 New York State Energy Research & Development Authority, P.C.R.,
Rochester Gas and Electric, (LOC: Bank of New York), Variable
Rate Monthly Demand Bond, 3.55%, 10/1/14 (a) 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa AAA 725,000 New York State Environmental Facilities, P.C.R., 3.70%, 5/15/96 725,000
- ------------------------------------------------------------------------------------------------------------------------------
VMIG-1 1,300,000 New York State Housing Finance Agency, Mount Sinai Medical
School, (LOC: Sanwa Bank), Variable Rate Weekly Demand Note,
4.90%, 11/1/14 (a) 1,300,000
- ------------------------------------------------------------------------------------------------------------------------------
VMIG-1 2,080,000 New York State Housing Finance Agency, Hospital Special Surgery
Staff, (LOC: Chemical Bank), Variable Rate Weekly Demand Note,
4.70%, 11/1/10 (a) 2,080,000
- ------------------------------------------------------------------------------------------------------------------------------
AAA Aaa 1,000,000 New York State Housing Finance Agency, State University
Construction, Series A, 7.90%, 11/1/06, Prerefunded 5/1/96 @ 102 1,033,410
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 1,685,000 New York State Job Development Authority, (LOC: Sumitomo Bank),
Variable Rate Monthly Demand Bond, 4.20%, 3/1/00 (a) 1,685,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 765,000 New York State Job Development Authority, (LOC: Sumitomo Bank),
Variable Rate Monthly Demand Bond, 4.30%, 3/1/99 (a) 765,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 1,600,000 New York State Local Assistance, Series B, (LOC: Swiss Bank &
Credit Suisse), Variable Rate Weekly Demand Bond, 4.95%, 4/1/23 (a) 1,600,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 2,000,000 New York State Local Assistance, Series A, (LOC: Credit Suisse &
Union Bank of Switzerland), Variable Rate Weekly Demand Bond,
4.95%, 4/1/22 (a) 2,000,000
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 3,000,000 New York State Local Government Assistance, Series G,
(LOC: National Westminster), Variable Weekly Demand Bond,
4.90%, 4/1/25 (a) 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------
Aaa 500,000 New York State Power Authority Revenue & General Purpose,
Series T, 7.375%, 1/1/18, Prefunded 1/1/96 @ 102 510,000
- ------------------------------------------------------------------------------------------------------------------------------
A1 VMIG-1 2,200,000 New York State Power Authority Revenue & General Purpose,
3.85%, 3/1/20, Optional Put Date 3/1/96 2,200,000
- ------------------------------------------------------------------------------------------------------------------------------
Aaa 2,000,000 New York State Urban Development Correction Facility, 8.00%,
1/1/15, Prerefunded 1/1/96 @ 102 2,040,000
- ------------------------------------------------------------------------------------------------------------------------------
MIG-1 3,000,000 Northport - East Northport, New York, UFSD, TANS, 4.125%, 6/28/96 3,006,431
- ------------------------------------------------------------------------------------------------------------------------------
A1 1,800,000 Onondaga County New York, I.D.A., (LOC: Banque Nationale De
Paris), Variable Rate Monthly Demand Bond, 3.95%, 11/13/98 (a) 1,800,000
- ------------------------------------------------------------------------------------------------------------------------------
MIG-1 1,000,000 Sayville, New York UFSD, TANS, 4.25%, 6/27/96 1,002,578
- ------------------------------------------------------------------------------------------------------------------------------
A1+ 2,800,000 Seneca County, New York, I.D.A., (LOC: Barclays Bank),
Variable Rate Weekly Demand Bond, 4.95%, 10/1/21 (a) 2,800,000
- ------------------------------------------------------------------------------------------------------------------------------
MIG-1 2,200,000 Smithtown, New York Central School District, TANS, 4.25%, 6/27/96 2,205,670
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL NEW YORK OBLIGATIONS $68,326,852
==============================================================================================================================
PUERTO RICO - 2.82%
- ------------------------------------------------------------------------------------------------------------------------------
A1+ VMIG-1 $2,000,000 Puerto Rico Commonwealth Government Development Bank,
(LOC: Credit Suisse), Variable Rate Weekly Demand Bond,
4.50%, 12/1/15 (a) $ 2,000,000
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 14
<PAGE> 61
NY TAX FREE MONEY PORTFOLIO 11
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
VALUE
==============================================================================================================================
<S> <C> <C>
TOTAL INVESTMENTS
(Amortized Cost $70,326,852) 99.15% $70,326,852
- ------------------------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.85% 605,984
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $70,932,836
==============================================================================================================================
</TABLE>
(a) Securities payable on demand, secured by bank Letters of Credit or other
bank credit agreements. This interest rate, which will change periodically,
is based on bank prime rates or an index of market interest rates.
(b) The following abbreviations are used in portfolio descriptions:
AMBAC -- American Municipal Bond Assurance Corporation
BANS -- Bond Anticipation Notes
FGIC -- Financial Guaranty Insurance Corporation
G.O. -- General Obligation
I.D.A. -- Industrial Development Authority
LOC -- Secured by a Letter of Credit
MBIA -- Municipal Bond Investors Assurance Corporation
P.C.R. -- Pollution Control Revenue
RANS -- Revenue Anticipation Notes
TANS -- Tax Anticipation Notes
UFSD -- Union Free School District
(c) Ratings were taken from published sources and were not audited by Coopers &
Lybrand L.L.P.
See Notes to Financial Statements on Page 14
<PAGE> 62
NY TAX FREE MONEY FUND 12
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The NY Tax
Free Money Fund (the "Fund") is one of the funds offered to investors by the
Trust. The Fund commenced operations and began offering shares of beneficial
interest on September 27, 1988. Through February 18, 1991, the Fund invested
directly in securities. After that date, the NY Tax Free Money Fund began
investing substantially all of its investable assets in the NY Tax Free Money
Portfolio. The NY Tax Free Money Portfolio (the "Portfolio") is an open-end
management investment company registered under the Act. The Fund seeks to
achieve its investment objective by investing all of its investable assets in
the Portfolio. The value of such investment in the Portfolio reflects the
Fund's proportionate interest in the net assets of the Portfolio. At December
31, 1995, the NY Tax Free Money Fund's investment was approximately 100% of the
NY Tax Free Money Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized gains and losses from
the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio.
C. Dividends
It is the Fund's policy to declare dividends daily and to pay these dividends
monthly. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date, which is the same as the declaration date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
will be made annually to the extent they are not offset by any capital loss
carryforwards.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no Federal income tax provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
The preparation of the financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.55 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $458,735.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the year
ended December 31, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.55 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio, and
0.75 of 1% of the average daily net assets of the Fund, including the expenses
of the Portfolio. For the year ended December 31, 1995, expenses of the Fund
have been reduced by $29,518.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
<PAGE> 63
NY TAX FREE MONEY FUND 13
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 3 - CAPITAL LOSS CARRYFORWARD
At December 31, 1995, the NY Tax Free Money Fund had accumulated net realized
capital loss carryforwards available as a reduction against future net realized
capital gains aggregating $14,900, of which $10,340, $739, $2,075, and $1,746
will expire in 2000, 2001, 2002 and 2003, respectively.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders
of BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the NY
Tax Free Money Fund (one of the funds comprising BT Investment Funds) as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
NY Tax Free Money Fund of BT Investment Funds as of December 31, 1995, the
results of its operations, the changes in its net assets, and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 64
NY TAX FREE MONEY PORTFOLIO 14
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The NY Tax Free Money Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990
and commenced operations on February 19, 1991 as an unincorporated trust under
the laws of New York. The Declaration of Trust permits the Board of Trustees
(the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are valued at amortized cost which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from security transactions are recorded on the identified cost
basis.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions, pro rata among the investors in the Portfolio at the
time of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no Federal income tax provision is
required. The cost of securities in the Portfolio for Federal income tax
purposes is the same as for financial reporting purposes.
F. Other
The preparation of the financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $41,780.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $125,340.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $29,751.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
<PAGE> 65
NY TAX FREE MONEY PORTFOLIO 15
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the NY Tax Free Money Portfolio:
We have audited the accompanying statement of assets and liabilities of the NY
Tax Free Money Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the four years in
the period then ended and for the period February 19, 1991 (commencement of
operations) to December 31, 1991. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
NY Tax Free Money Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 66
[This Page Intentionally Left Blank]
<PAGE> 67
BT INVESTMENT FUNDS
UTILITY
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 68
UTILITY FUND 1
-------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . 2
UTILITY FUND
Statement of Assets and Liabilities . . . . . . . . . . . 5
Statement of Operations . . . . . . . . . . . . . . . . . 5
Statements of Changes in Net Assets . . . . . . . . . . . 6
Financial Highlights . . . . . . . . . . . . . . . . . . 7
UTILITY PORTFOLIO . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . 8
Statement of Operations . . . . . . . . . . . . . . . . . 8
Statements of Changes in Net Assets . . . . . . . . . . . 9
Financial Highlights . . . . . . . . . . . . . . . . . . 9
Schedule of Portfolio Investments . . . . . . . . . . . . 10
UTILITY FUND
Notes to Financial Statements . . . . . . . . . . . . . . 11
Report of Independent Accountants . . . . . . . . . . . . 12
UTILITY PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . 14
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Utility Fund
may be obtained by calling or writing to Investors Fiduciary Trust Company or
Signature Broker-Dealer Services, Inc., the primary Servicing Agent and
Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Utility Fund at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 69
UTILITY FUND 2
-------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 7, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for the BT Investment
Funds Utility Fund. This report provides you with an investment overview
as well as a financial summary of the Fund's operations for the year ended
December 31, 1995. We have also included a Letter to Shareholders from
Investment Adviser detailing the factors that affected the Fund's
performance and a performance chart which illustrates your Fund's return
versus a relevant financial index. Also presented in your report is a pie
chart displaying diversification of Portfolio investments, financial
statements, financial highlights and a listing of the Portfolio's
holdings.
Looking ahead, we will continue monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the Utility Fund and look forward to
serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The Utility Fund (the "Fund") produced a strong return of 30.12% for the
year ended December 31, 1995. In fact, it outperformed the Lipper Utility
Average, which had a return of 27.34% for the same period.
As telecommunications stocks were the overwhelmingly best performing
sector in the Index virtually throughout the year, we increased the Fund's
holdings in U.S. telecommunications companies from just under 13% of total
net assets at the beginning of the year to 35% at the end of the
semi-annual period to 46% at the end of the year, bringing the Fund very
close to the benchmark's sector weighting of 51%. The individual companies
the Fund holds within this sector performed well.
The performance of electric utility stocks, as anticipated, improved in
the second half of 1995 as a result of the declining interest rate
environment. Though we remain underweighted in this sector, the Fund's
selection of electric stocks performed very well during this period.
Following the Federal Reserve Board's second 1995 cut in interest rates
just this past December, we expect this sector to continue to make a
positive contribution to the Fund's overall performance. The portfolio
remains slightly overweighted in the natural gas sector.
Whether interest rates remain at their current low levels or come down
even further will, in our opinion, most influence the Utility Index in the
months ahead. For now, no meaningful shifts either in Fund holdings or
sector allocation are anticipated in the near term. After a year when
growth-oriented, risk-seeking strategies were often rewarded by the stock
market, we believe that the Fund's strategy, i.e. seeking a high level of
current income primarily through high quality utility stocks offering
healthy dividends, will become increasingly appealing in 1996.
<PAGE> 70
UTILITY FUND 3
-------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund's return versus the S&P Utility
Index, from August 31, 1992 to December 31, 1995, assuming a $10,000
initial investment:
================================================================================
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE [FIGURE 1]
UTILITY FUND AND THE
S&P UTILITY INDEX
<TABLE>
<CAPTION>
S&P
Utility Utility
Fund Index
<S> <C> <C>
8/92 10,000 10,000
9/92 9,970 10,072
12/92 10,215 10,327
3/93 11,004 11,441
6/93 11,239 11,712
9/93 11,784 12,532
12/93 11,343 11,818
3/94 10,526 10,842
6/94 10,059 10,839
9/94 10,223 10,890
12/94 10,019 10,879
3/95 10,415 11,630
6/95 10,839 12,494
9/95 11,829 13,895
12/95 13,036 15,353
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED DECEMBER 31, 1995
<S> <C>
One Year Since 8/3/92*
30.12% 30.75%
</TABLE>
* The Fund's inception date
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
<PAGE> 71
UTILITY FUND 4
-------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
OBJECTIVE Seeks high level of current income with the
preservation of capital. Also seeks to achieve
growth of income and capital appreciation, but
only when consistent with the primary
objective.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Equity securities of public utility companies
including the electric, natural gas, water,
telephone, telegraph and other public
communication sectors.
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS BellSouth Corp. Southern Co.
SBC Communications Bell Atlantic Corp.
Ameritech Corp. Frontier Corp.
GTE Corp. Duke Power
NYNEX Corp. MCN Corp.
================================================================================
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY INDUSTRY
as of December 31, 1995
(percentages are based on market value)
[FIGURE 2]
Telecommunications 47.86%
Utility-Electric 36.44%
Utility-Gas 13.28%
U.S. Treasury Bill 2.42%
================================================================================
ABOUT THE
PORTFOLIO MANAGER SARAH BLAIR
Vice President
- Fifteen years previous experience with
Equitable Capital Management in New York
and London, and Chemical Bank
- Broad experience in major global equity
markets analyzing numerous diverse
industry groups including media, cellular
and cable
- Joined Bankers Trust in 1994
- B.A., Fordham University
- M.B.A., Columbia University
<PAGE> 72
UTILITY FUND 5
-------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=============================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------
Investment in Utility Portfolio, at Value $10,237,825
- -----------------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 16,545
- -----------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 6,527
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 10,260,897
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 9,127
- -----------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 26,672
- -----------------------------------------------------------------------------------------------------------------------------
Total Liabilities 35,799
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 898,962 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $10,225,098
=============================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share ($10,225,098/898,962 Shares) $ 11.37
=============================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $11,677,209
- -----------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 732
- -----------------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (3,880,960)
- -----------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 2,428,117
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $10,225,098
=============================================================================================================================
STATEMENT OF OPERATIONS
=============================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------
Income Allocated from Utility Portfolio, net $ 647,999
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------
Administration and Services $ 94,929
- -----------------------------------------------------------------------------------------------------------------------------
Professional 9,276
- -----------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 20,458
- -----------------------------------------------------------------------------------------------------------------------------
Registration 14,755
- -----------------------------------------------------------------------------------------------------------------------------
Trustees 2,030
- -----------------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,670
- -----------------------------------------------------------------------------------------------------------------------------
Miscellaneous 1,642
- -----------------------------------------------------------------------------------------------------------------------------
Total Expenses 144,760
- -----------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (49,831) 94,929
=============================================================================================================================
NET INVESTMENT INCOME 553,070
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (976,540)
- -----------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 4,040,936
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 3,064,396
- -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 3,617,466
=============================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 11 and 12
<PAGE> 73
UTILITY FUND 6
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===========================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------
Net Investment Income $ 553,070 $ 1,389,860
- -----------------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (976,540) (2,904,432)
- -----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 4,040,936 (2,717,782)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 3,617,466 (4,232,354)
- -----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------
Net Investment Income (569,392) (1,391,368)
- -----------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (569,392) (1,391,368)
- -----------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- -----------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Transactions in
Shares of Beneficial Interest (9,726,463) (15,030,493)
- -----------------------------------------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (6,678,389) (20,654,215)
===========================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------
Beginning of Year 16,903,487 37,557,702
- -----------------------------------------------------------------------------------------------------------
End of Year (including Undistributed Net Investment Income of
$732 and $17,054 for 1995 and 1994, respectively) $10,225,098 $ 16,903,487
===========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 11 and 12
<PAGE> 74
UTILITY FUND 7
-------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods presented for the Utility Fund.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
August 3, 1992
(Commencement
For the year ended December 31, of Operations)
-------------------------------- to December
1995 1994 1993 31, 1992
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.10 $ 10.83 $ 10.10 $ 10.00
------ ------- -------- --------
Income from Investment Operations
Net Investment Income 0.40 0.48 0.39 0.15
Net Realized and Unrealized Gain (Loss)
on Securities 2.28 (1.74) 0.73 0.10
------ ------- -------- --------
Total from Investment Operations 2.68 (1.26) 1.12 0.25
------ ------- -------- --------
Distributions from Net Investment Income (0.41) (0.47) (0.39) (0.15)
------ ------- -------- --------
Net Asset Value, End of Period $ 11.37 $ 9.10 $ 10.83 $ 10.10
====== ======= ======== ========
TOTAL INVESTMENT RETURN 30.12% (11.67%) 11.04% 6.09%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 3.79% 4.57% 3.95% 4.55%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Utility Portfolio 1.25% 1.25% 1.25% 1.25%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust 0.65% 0.48% 0.39% 0.96%*
Net Assets, End of Period (000's omitted) $10,225 $16,903 $37,558 $15,997
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 11 and 12
<PAGE> 75
UTILITY PORTFOLIO 8
-------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=============================================================================================================
December 31, 1995
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $7,786,053) $10,214,194
- -------------------------------------------------------------------------------------------------------------
Cash 5,500
- -------------------------------------------------------------------------------------------------------------
Dividends Receivable 32,107
- -------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 6,204
- -------------------------------------------------------------------------------------------------------------
Total Assets 10,258,005
- -------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 20,050
- -------------------------------------------------------------------------------------------------------------
Total Liabilities 20,050
- -------------------------------------------------------------------------------------------------------------
NET ASSETS $10,237,955
=============================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------
Paid-in Capital $ 7,809,814
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 2,428,141
- -------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $10,237,955
=============================================================================================================
STATEMENT OF OPERATIONS
=============================================================================================================
For the year ended December 31, 1995
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $8,209) $709,522
- -------------------------------------------------------------------------------------------------------------
Interest 26,531
- -------------------------------------------------------------------------------------------------------------
Total Investment Income $ 736,053
- -------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------
Advisory 95,386
- -------------------------------------------------------------------------------------------------------------
Administration and Services 14,675
- -------------------------------------------------------------------------------------------------------------
Professional 18,426
- -------------------------------------------------------------------------------------------------------------
Trustees 1,918
- -------------------------------------------------------------------------------------------------------------
Miscellaneous 3,179
- -------------------------------------------------------------------------------------------------------------
Total Expenses 133,584
- -------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (45,535) 88,049
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 648,004
- -------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -------------------------------------------------------------------------------------------------------------
Net Realized Loss from SecuritiesTransactions (976,544)
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 4,040,966
- -------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 3,064,422
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 3,712,426
=============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 76
UTILITY PORTFOLIO 9
--------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=============================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------
Net Investment Income $ 648,004 $ 1,587,451
- -------------------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (976,544) (2,904,443)
- -------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 4,040,966 (2,717,788)
- -------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 3,712,426 (4,034,780)
- -------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- -------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 539,419 5,634,667
- -------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (12,746,962) (20,456,949)
- -------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Capital Transactions (12,207,543) (14,822,282)
- -------------------------------------------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (8,495,117) (18,857,062)
=============================================================================================================
NET ASSETS
- -------------------------------------------------------------------------------------------------------------
Beginning of Year 18,733,072 37,590,134
- -------------------------------------------------------------------------------------------------------------
End of Year $ 10,237,955 $18,733,072
=============================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the Utility Portfolio.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
August 3, 1992
(Commencement
For the year ended December 31, of Operations)
----------------------------------- to December
1995 1994 1993 31, 1992
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 4.42% 5.21% 4.60% 5.20%*
Ratio of Expenses to Average Net Assets 0.60% 0.60% 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to
Average Net Assets Due to Absorption of
Expenses by Bankers Trust 0.31% 0.27% 0.26% 0.57%*
Portfolio Turnover Rate 53.71% 11.43% 0.00% 0.00%
Net Assets, End of Period (000's omitted) $10,238 $18,733 $37,590 $16,002
</TABLE>
* Annualized
See Notes to Financial Statements on Page 13
<PAGE> 77
UTILITY PORTFOLIO 10
--------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=============================================================================
<S> <C>
COMMON STOCKS - 97.35%
- -----------------------------------------------------------------------------
TELECOMMUNICATIONS - 47.75%
- -----------------------------------------------------------------------------
4,600 AirTouch Communications (a) $ 129,950
- -----------------------------------------------------------------------------
6,200 ALLTEL Corp. 182,900
- -----------------------------------------------------------------------------
10,400 Ameritech Corp. 613,600
- -----------------------------------------------------------------------------
1,800 BCE Inc. 62,100
- -----------------------------------------------------------------------------
5,600 Bell Atlantic Corp. 374,500
- -----------------------------------------------------------------------------
22,800 BellSouth Corp. 991,800
- -----------------------------------------------------------------------------
9,300 Frontier Corp. 279,000
- -----------------------------------------------------------------------------
12,950 GTE Corp. 569,800
- -----------------------------------------------------------------------------
1,800 MCI Communications 47,025
- -----------------------------------------------------------------------------
8,000 NYNEX Corp. 432,000
- -----------------------------------------------------------------------------
2,800 Southern New England
Telecommunications 111,300
- -----------------------------------------------------------------------------
15,400 SBC Communications 885,500
- -----------------------------------------------------------------------------
1,850 Telecom Corporation of
New Zealand, ADR 128,344
- -----------------------------------------------------------------------------
2,250 US West 80,437
- -----------------------------------------------------------------------------
4,888,256
=============================================================================
UTILITY-ELECTRIC - 36.36%
- -----------------------------------------------------------------------------
5,200 American Electric Power 210,600
- -----------------------------------------------------------------------------
4,300 Baltimore Gas & Electric 122,550
- -----------------------------------------------------------------------------
5,700 Carolina Power & Light 196,650
- -----------------------------------------------------------------------------
3,700 CILCORP Inc. 156,788
- -----------------------------------------------------------------------------
5,700 CINergy Corp. 174,562
- -----------------------------------------------------------------------------
5,200 CMS Energy 155,350
- -----------------------------------------------------------------------------
5,200 Detroit Edison 179,400
- -----------------------------------------------------------------------------
7,500 DPL Inc. 185,625
- -----------------------------------------------------------------------------
5,800 Duke Power 274,775
- -----------------------------------------------------------------------------
4,700 FPL Group 217,963
- -----------------------------------------------------------------------------
7,500 Houston Industries 181,875
- -----------------------------------------------------------------------------
3,600 Illinova Corp. 108,000
- -----------------------------------------------------------------------------
3,900 LG&E Energy 164,775
- -----------------------------------------------------------------------------
4,300 Ohio Edison 101,050
- -----------------------------------------------------------------------------
4,300 PacifiCorp 91,375
- -----------------------------------------------------------------------------
6,600 Pinnacle West Capital 189,750
- -----------------------------------------------------------------------------
2,800 Portland General Corp. 81,550
- -----------------------------------------------------------------------------
5,200 San Diego Gas &Electric 123,500
- -----------------------------------------------------------------------------
15,300 Southern Co. 376,762
- -----------------------------------------------------------------------------
2,800 Union Electric 116,900
- -----------------------------------------------------------------------------
5,600 Western Resources 186,900
- -----------------------------------------------------------------------------
3,700 WPS Resources 125,800
- -----------------------------------------------------------------------------
3,722,500
=============================================================================
UTILITY-GAS - 13.24%
- -----------------------------------------------------------------------------
5,700 Brooklyn Union Gas 166,725
- -----------------------------------------------------------------------------
2,200 Coastal Corp. 81,950
- -----------------------------------------------------------------------------
6,500 Enron Corp. 247,813
- -----------------------------------------------------------------------------
11,400 MCN Corp. 265,050
- -----------------------------------------------------------------------------
1,500 Pacific Enterprises 42,375
- -----------------------------------------------------------------------------
5,200 Questar Corp. 174,200
- -----------------------------------------------------------------------------
4,200 Sonat Inc. 149,625
- -----------------------------------------------------------------------------
5,200 Williams Cos. 228,150
- -----------------------------------------------------------------------------
1,355,888
=============================================================================
TOTAL COMMON STOCKS
(Cost $7,538,529) $ 9,966,644
=============================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
=============================================================================
<S> <C> <C>
SHORT-TERM INVESTMENT - 2.42%
- -----------------------------------------------------------------------------
$250,000U.S. Treasury Bill - 5.30%, 3/14/96
(Cost $247,524) $ 247,550
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $7,786,053) 99.77% $10,214,194
- -----------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.23% 23,761
- -----------------------------------------------------------------------------
NET ASSETS 100.00% $10,237,955
=============================================================================
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Page 13
<PAGE> 78
UTILITY FUND 11
--------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986 as a business trust under the
laws of the Commonwealth of Massachusetts. The Utility Fund (the "Fund") is one
of the funds offered to investors by the Trust. The Fund commenced operations
and began offering shares of beneficial interest on August 3, 1992. The Fund
invests substantially all of its assets in the Utility Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At December 31, 1995, the Fund's investment was
approximately 100% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio.
C. Organizational Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a period of sixty months.
D. Dividends
The Fund declares and distributes dividends quarterly to shareholders from net
investment income. Dividends payable to shareholders are recorded by the Fund
on the ex-dividend date. Distributions of net realized short-term and long-term
capital gains, if any, will be made annually to the extent they are not offset
by any capital loss carryforwards.
The Fund may periodically make reclassifications among certain of its capital
accounts as a result of the timing and characterization of certain income and
capital gains distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
F. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.65 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $94,929.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the year
ended December 31, 1995, there were no reimbursable expenses incurred under
this agreement.
<PAGE> 79
UTILITY FUND 12
--------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
===============================================================================
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.65 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio, and
1.25 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the year ended December 31, 1995, expenses of the Fund have
been reduced by $49,831.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - SHARES OF BENEFICIAL INTEREST
At December 31, 1995, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the year ended For the year ended
December 31, 1995 December 31, 1994
----------------------------- -----------------------------
Shares Amount Shares Amount
----------- --------------- ---------- --------------
<S> <C> <C> <C> <C>
Sold 53,280 $ 518,659 552,277 $ 5,655,427
Reinvested 40,122 401,054 84,987 801,750
Redeemed (1,051,315) (10,646,176) (2,249,914) (21,487,670)
----------- ------------ ----------- --------------
Net Decrease (957,913) $ (9,726,463) (1,612,650) $(15,030,493)
=========== ============ =========== ==============
</TABLE>
NOTE 4 - CAPITAL LOSS CARRYFORWARD
At December 31, 1995, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$3,856,710, of which $2,813,113 and $1,043,597 will expire in 2002 and 2003,
respectively.
REPORT OF INDEPENDENT ACCOUNTANTS
===============================================================================
To the Trustees and Shareholders
of BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the
Utility Fund (one of the funds comprising BT Investment Funds) as of December
31, 1995, and the related statement of operations for the year then ended, the
statements of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the three years in the
period then ended and for the period August 3, 1992 (commencement of
operations) to December 31, 1992. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Utility Fund of BT Investment Funds as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 80
UTILITY PORTFOLIO 13
--------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Utility Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940 (the "Act"), as amended, as an open-end management
investment company. The Portfolio was organized on December 11, 1991 as an
unincorporated trust under the laws of New York and commenced operations on
August 3, 1992. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on national
exchanges or traded in the NASDAQ National Market System are valued at the last
sales prices reported at the close of business each day. Over-the-counter
securities not included in the NASDAQ National Market System and listed
securities for which no sale was reported are valued at the mean of the bid and
asked prices. Short-term obligations with remaining maturities of 60 days or
less, are valued at amortized cost which with accrued interest approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Trustees.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at annual rate of 0.10 of 1% of the Portfolio's average daily net
assets. For the year ended December 31, 1995, this fee aggregated $14,675.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.65 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $95,386.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $45,535.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the year ended December 31, 1995 were
$7,647,855 and $19,382,077, respectively. The cost of investments for federal
income tax purposes was $7,810,315. On December 31, 1995, the composition of
unrealized appreciation of investment securities based on aggregate cost of
investments for Federal income tax purposes was $2,403,879.
<PAGE> 81
UTILITY PORTFOLIO 14
--------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial
Interest of the Utility Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Utility Portfolio, including the schedule of portfolio investments, as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the three years in
the period then ended and for the period August 3, 1992 (commencement of
operations) to December 31, 1992. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Utility Portfolio as of December 31, 1995, the results of its operations, the
changes in its net assets, and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 82
BT INVESTMENT FUNDS
SHORT/
INTERMEDIATE
U.S.
GOVERNMENT
SECURITIES
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 83
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 1
------------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . 2
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . 6
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . 9
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . 10
Report of Independent Accountants . . . . . . . . . . . . . . 11
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . 12
Report of Independent Accountants . . . . . . . . . . . . . . 13
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the
Short/Intermediate U.S. Government Securities Fund may be obtained by calling
or writing to Investors Fiduciary Trust Company or Signature Broker-Dealer
Services, Inc., the primary Servicing Agent and Distributor, respectively, of
BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Short/Intermediate U.S. Government Securities Fund at the
following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 84
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 2
------------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 2, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for the BT Investment
Funds Short/Intermediate U.S. Government Securities Fund. This report
provides you with an investment overview as well as a financial summary of
the Fund's operations for the year ended December 31, 1995. We have also
included a Letter to Shareholders from the Investment Adviser detailing
the factors that affected the Fund's performance and a performance chart
which illustrates your Fund's return versus a relevant financial index.
Also presented in your report is a pie chart displaying diversification of
portfolio investments, financial statements, financial highlights and a
listing of the portfolio's holdings.
Looking ahead, we will continue monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the BT Investment Funds
Short/Intermediate U.S. Government Securities Fund and are looking forward
to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The Short/Intermediate U.S. Government Securities Fund (the "Fund")
returned 9.54% for the year ended December 31, 1995.
Overall, the bond market had one of its best years ever in 1995. In fact,
the magnitude and strength of the bond market rally took many by surprise.
The impact of the Federal Reserve Board's monetary policy was felt more
quickly than anticipated, and evidence of a slowing economy and continued
low inflation created a climate of optimism that pushed rates down across
the board. The yield curve, over the course of the twelve months,
steepened, with the intermediate range experiencing the greatest change
along the curve. Specifically, yields on 5-year Treasury Notes declined by
2.45% over the year, and yields on 2-year Treasury Notes declined by more
than 2.50%.
To take advantage of the price appreciation of bonds during this period,
the Fund remained overweighted in Treasury securities, which tend to
outperform in a rally. Plus, in contrast to the first six months of 1995
when the Fund was affected by the changing shape of the yield curve, the
Fund was able to capture part of the strong total returns produced by the
rally in the second half of the year when the yield curve steepened again.
We lengthened the Fund's maturity from its defensive neutral position to
longer than the benchmark toward the end of the third quarter, and this
strategy particularly benefitted the Fund's performance in the fourth
quarter.
The Fund is maintaining its longer maturity as compared to the Index as we
begin 1996. This stance reflects both the output of our proprietary
duration model and our belief that the bond market environment will remain
positive as the U.S. government negotiates a balanced budget, inflation
continues to stay in check, and the Federal Reserve Board, which cut
interest rates for the second time in 1995 on December 19, may do so again
early this year.
<PAGE> 85
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 3
------------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund's return versus the Lehman 1-3
Year Government Index from August 31, 1992 to December 31, 1995, assuming
a $10,000 initial investment:
================================================================================
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE [FIGURE 1]
SHORT/INTERMEDIATE
U.S. GOVERNMENT
SECURITIES FUND AND
THE LEHMAN 1-3 YEAR
GOVERNMENT INDEX
<TABLE>
<CAPTION>
Lehman 1-3 Year Short/Intermediate U.S.
Government Index Government Securities Fund
<S> <C> <C>
8/31/92 10,000 10,000
9/30/92 10,109 10,094
12/31/92 10,026 10,115
3/31/93 10,286 10,333
6/30/93 10,383 10,448
9/30/93 10,585 10,592
12/31/93 10,636 10,659
3/31/94 10,551 10,607
6/30/94 10,561 10,607
9/30/94 10,582 10,714
12/31/94 10,592 10,714
3/31/95 10,895 11,070
6/30/95 11,223 11,421
9/30/95 11,360 11,591
12/31/95 11,603 11,876
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED DECEMBER 31, 1995
One Year Since 8/24/92*
<S> <C>
9.54% 16.34%
</TABLE>
*The Fund's inception date
Investment return and principal
value may fluctuate so that shares,
when redeemed, may be worth
more or less than their original cost.
================================================================================
OBJECTIVE Seeks high level of current income with
the preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Direct obligations issued or guaranteed
by the U.S. Government, or its agencies and
instrumentalities, including repurchase
agreements collateralized by U.S.
Government obligations. The average
weighted maturity of securities will
range from two to five years.
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
<TABLE>
<S> <C>
U.S. Treasury Notes 80.92%
Repurchase Agreement 16.41%
U.S. Government Agency 2.67%
</TABLE>
[FIGURE 2]
================================================================================
ABOUT THE LOU HUDSON
PORTFOLIO MANAGER Vice President
- Thirty-three years of investment experience
- Specializes in short-intermediate fixed income securities
- BA--City College of New York
<PAGE> 86
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 4
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=========================================================================================================================
December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Investment in Short/Intermediate U.S. Government Securities Portfolio, at Value $23,213,347
- -------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 7,235
- -------------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 4,823
- -------------------------------------------------------------------------------------------------------------------------
Total Assets 23,225,405
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 25,678
- -------------------------------------------------------------------------------------------------------------------------
Dividends Payable 7,197
- -------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 24,467
- -------------------------------------------------------------------------------------------------------------------------
Total Liabilities 57,342
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 2,326,397 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $23,168,063
=========================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($23,168,063/2,326,397 Shares) $ 9.96
=========================================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $23,162,691
- -------------------------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities Transactions 55,911
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Depreciation on Securities (50,539)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $23,168,063
=========================================================================================================================
STATEMENT OF OPERATIONS
=========================================================================================================================
For the year ended December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------------
Income Allocated from Short/Intermediate U.S. Government Securities Portfolio, net $1,200,715
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------------------
Administration and Services $ 108,374
- -------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 17,022
- -------------------------------------------------------------------------------------------------------------------------
Registration 15,186
- -------------------------------------------------------------------------------------------------------------------------
Professional 8,879
- -------------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,164
- -------------------------------------------------------------------------------------------------------------------------
Trustees 2,077
- -------------------------------------------------------------------------------------------------------------------------
Miscellaneous 1,756
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 154,458
- -------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (46,084) 108,374
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,092,341
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES
- -------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 337,315
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 297,631
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 634,946
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $1,727,287
=========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 10 and 11
<PAGE> 87
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 5
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=========================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,092,341 $ 590,680
- -------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 337,315 (296,803)
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 297,631 (337,589)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 1,727,287 (43,712)
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income (1,092,347) (590,674)
- -------------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (1,092,347) (590,674)
- -------------------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 8,444,966 579,998
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 9,079,906 (54,388)
=========================================================================================================================
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Beginning of Year 14,088,157 14,142,545
- -------------------------------------------------------------------------------------------------------------------------
End of Year $23,168,063 $14,088,157
=========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 10 and 11
<PAGE> 88
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 6
------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the Short/Intermediate U.S. Government Securities
Fund.
<TABLE>
<CAPTION>
============================================================================================================================
For the period
August 24, 1992
For the year ended December 31, (Commencement
------------------------------------------------ of Operations) to
1995 1994 1993 December 31, 1992
============================================================================================================================
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.61 $ 10.07 $ 9.92 $10.00
------- ------- ------- ------
Income from Investment Operations
Net Investment Income 0.55 0.42 0.39 0.13
Net Realized and Unrealized Gain
(Loss) on Securities 0.35 (0.46) 0.21 (0.08)
------- ------- ------- ------
Total from Investment Operations 0.90 (0.04) 0.60 0.05
------- ------- ------- ------
Distributions from
Net Investment Income (0.55) (0.42) (0.39) (0.13)
Net Realized Gain from Securities Transactions -- -- (0.06) --
------- ------- ------- ------
Total Distributions (0.55) (0.42) (0.45) (0.13)
------- ------- ------- ------
Net Asset Value, End of Period $ 9.96 $ 9.61 $ 10.07 $ 9.92
======= ======= ======= ======
TOTAL INVESTMENT RETURN 9.54% (0.42%) 6.09% 1.48%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.54% 4.28% 3.68% 3.80%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Short/Intermediate U.S.
Government Securities Portfolio 0.85% 0.85% 0.85% 0.85%*
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers Trust 0.28% 0.53% 0.57% 3.29%*
Net Assets, End of Period (000's omitted) $23,168 $14,088 $14,143 $1,812
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 10 and 11
<PAGE> 89
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 7
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $56,358,485, including Repurchase Agreement
amounting to $9,278,124) $56,532,772
- ---------------------------------------------------------------------------------------------------------------
Interest Receivable 613,544
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 23,588
- ---------------------------------------------------------------------------------------------------------------
Total Assets 57,169,904
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 3,102
- ---------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 1,966,313
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 22,576
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 1,991,991
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $55,177,913
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $55,003,626
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 174,287
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $55,177,913
===============================================================================================================
STATEMENT OF OPERATIONS
===============================================================================================================
For the year ended December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Interest $3,342,884
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory $130,819
- ---------------------------------------------------------------------------------------------------------------
Administration and Services 26,164
- ---------------------------------------------------------------------------------------------------------------
Professional 21,223
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 2,265
- ---------------------------------------------------------------------------------------------------------------
Trustees 1,917
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 182,388
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (25,406) 156,982
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,185,902
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 834,099
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 965,227
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 1,799,326
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,985,228
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 90
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 8
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,185,902 $ 1,768,139
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 834,099 (765,789)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 965,227 (800,099)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,985,228 202,251
- ---------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 24,442,594 45,632,673
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (21,520,447) (16,293,202)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 2,922,147 29,339,471
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 7,907,375 29,541,722
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Year 47,270,538 17,728,816
- ---------------------------------------------------------------------------------------------------------------
End of Year $ 55,177,913 $ 47,270,538
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Short/Intermediate U.S. Government Securities
Portfolio.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
For the period
August 24, 1992
For the year ended December 31, (Commencement
------------------------------------------ of Operations) to
1995 1994 1993 December 31, 1992
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 6.09% 4.91% 4.25% 4.36%*
Ratio of Expenses to Average Net Assets 0.30% 0.30% 0.30% 0.30%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption of
Expenses by Bankers Trust 0.05% 0.09% 0.25% 1.41%*
Portfolio Turnover Rate 246% 202% 267% 75%
Net Assets, End of Period (000's omitted) $55,178 $47,271 $17,729 $4,999
</TABLE>
* Annualized
See Notes to Financial Statements on Page 12
<PAGE> 91
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 9
------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=======================================================================
<S> <C>
U.S. GOVERNMENT &
AGENCY OBLIGATIONS - 85.64%
- -----------------------------------------------------------------------
U.S. TREASURY NOTES - 82.91%
- -----------------------------------------------------------------------
$ 1,500,000 7.50%, 12/31/96 $ 1,533,750
- -----------------------------------------------------------------------
5,000,000 6.625%, 3/31/97 5,087,500
- -----------------------------------------------------------------------
7,000,000 5.875%, 7/31/97 7,074,375
- -----------------------------------------------------------------------
13,980,000 5.625%, 10/31/97 14,082,613
- -----------------------------------------------------------------------
15,300,000 5.50%, 11/15/98 15,412,302
- -----------------------------------------------------------------------
1,000,000 7.125%, 9/30/99 1,060,000
- -----------------------------------------------------------------------
1,472,000 5.75%, 10/31/00 1,495,000
- -----------------------------------------------------------------------
45,745,540
=======================================================================
U.S. GOVERNMENT AGENCY - 2.73%
- -----------------------------------------------------------------------
1,500,000 Tennessee Valley Authority,
6.00%, 1/15/97 1,509,108
=======================================================================
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $47,080,361) $47,254,648
=======================================================================
SHORT-TERM INVESTMENT - 16.82%
- -----------------------------------------------------------------------
REPURCHASE AGREEMENT - 16.82%
- -----------------------------------------------------------------------
$ 9,278,124 Repurchase Agreement with Sanwa Bank,
Dated 12/29/95, 5.85%, Principal and
Interest in the Amount of $9,282,647,
(Cost $9,278,124), due 1/2/96,
(Collateralized by U.S. Treasury Notes,
Par Value $6,036,000, 10.625%,
due 8/15/15 Value at $9,236,966) $ 9,278,124
=======================================================================
TOTAL INVESTMENTS
(Cost $56,358,485) 102.46% $56,532,772
- -----------------------------------------------------------------------
Liabilities in Excess of Other Assets (2.46%) (1,354,859)
- -----------------------------------------------------------------------
NET ASSETS 100.00% $55,177,913
=======================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 92
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 10
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 -- ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as a business trust under
the laws of the Commonwealth of Massachusetts. The Short/Intermediate U.S.
Government Securities Fund (the "Fund") is one of the funds offered to
investors by the Trust. The Fund commenced operations and began offering shares
of beneficial interest on August 24, 1992. The Fund invests substantially all
of its assets in the Short/Intermediate U.S. Government Securities Portfolio
(the "Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At December 31, 1995, the Fund's investment was
approximately 42% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. Organizational Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a period of sixty months.
D. Dividends
The Fund declares dividends daily from net investment income and pays these
dividends monthly. Dividends payable to shareholders are recorded by the Fund
on the ex-dividend date, which is the same as the declaration date.
Distributions of net realized short-term and long-term capital gains, if any,
will be made annually to the extent they are not offset by any capital loss
carryforwards.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required.
F. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.55 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $108,374.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's
average daily net assets, for expenses incurred in connection with any
activities primarily intended to result in the sale of the Fund's shares. For
the year ended December 31, 1995, there were no reimbursable expenses incurred
under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.55 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.85 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the year ended December 31, 1995, expenses of the Fund have
been reduced $46,084.
<PAGE> 93
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 11
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At December 31, 1995, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the year ended For the year ended
December 31, 1995 December 31, 1994
------------------------- -------------------------
Shares Amount Shares Amount
---------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sold 1,260,050 $12,376,853 967,064 $ 9,406,195
Reinvested 101,095 996,808 43,948 549,453
Redeemed (500,145) (4,928,695) (950,701) (9,375,650)
--------- ----------- -------- -----------
Net Increase 861,000 $ 8,444,966 60,311 $ 579,998
========= =========== ======== ===========
</TABLE>
NOTE 4 -- CAPITAL LOSS CARRYFORWARD
At December 31, 1995, the accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$67,939 which will expire in 2002.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the
Short/Intermediate U.S. Government Securities Fund (one of the funds comprising
BT Investment Funds) as of December 31, 1995, and the related statement of
operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended, and the financial highlights
for each of the three years in the period then ended and for the period August
24, 1992 (commencement of operations) to December 31, 1992. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above, present fairly, in all material respects, the financial position of the
Short/Intermediate U.S. Government Securities Fund of BT Institutional Funds as
of December 31, 1995, the results of its operations, the changes in its net
assets, and the financial highlights for the periods referred to above, in
conformity with generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 2, 1996
<PAGE> 94
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 12
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Short/Intermediate U.S. Government Securities Portfolio (the "Portfolio')
is registered under the Investment Company Act of 1940 (the "Act"), as amended,
as an open-end management investment company. The Portfolio was organized on
December 11, 1991, as an unincorporated trust under the laws of New York and
commenced operations on August 24, 1992. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.
B. Security Valuation
The Portfolio's investments are carried at fair market value as determined by
an independent pricing service at the end of each business day. Short-term
obligations with remaining maturities of 60 days or less, are valued at
amortized cost which with accrued interest approximates value. Securities for
which quotations are not available are stated at fair value as determined by
the Board of Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
discount on investments. Realized gains and losses from security transactions
are recorded on the identified cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $26,164.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.25 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $130,819.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.30 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced $25,406.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments of
long-term U.S. Government obligations, for the year ended December 31, 1995,
were $132,638,189 and $109,527,306, respectively. The net unrealized
appreciation of investments amounted to $174,287, consisting of gross
unrealized appreciation of $211,820 and gross unrealized depreciation of
$37,533. The cost of investments for federal income tax purposes was
substantially the same as for financial reporting purposes.
<PAGE> 95
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 13
------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the Short/Intermediate U.S. Government
Securities Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Short/Intermediate U.S. Government Securities Portfolio, including the schedule
of portfolio investments, as of December 31, 1995, and the related statement of
operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended, and the financial highlights
for each of the three years in the period then ended and for the period August
24, 1992 (commencement of operations) to December 31, 1992. These financial
statements and financial highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Short/Intermediate U.S. Government Securities Portfolio as of December 31,
1995, the results of its operations, the changes in its net assets, and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 2, 1996
<PAGE> 96
BT INVESTMENT FUNDS
INTERMEDIATE
TAX FREE
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 97
INTERMEDIATE TAX FREE FUND 1
-----------------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
================================================================================
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . 2
INTERMEDIATE TAX FREE FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . 5
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . 6
INTERMEDIATE TAX FREE PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . 8
Financial Highlights . . .. . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . 9
INTERMEDIATE TAX FREE FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . 11
Report of Independent Accountants . . . . . . . . . . . . . . . . . 12
INTERMEDIATE TAX FREE PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . . . . . 14
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Intermediate
Tax Free Fund may be obtained by calling or writing to Investors Fiduciary
Trust Company or Signature Broker-Dealer Services, Inc., the primary Servicing
Agent and Distributor, respectively, of BT Investment Funds:
BT INVESTMENT FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 368-4031
BT INVESTMENT FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Intermediate Tax Free Fund at the following address:
BT INVESTMENT FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 98
INTERMEDIATE TAX FREE FUND 2
-----------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 7, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for the BT
Investment Funds Intermediate Tax Free Fund. This report provides you
with an investment overview as well as a financial summary of the
Fund's operations for the year ended December 31, 1995. We have also
included a Letter to Shareholders from Investment Adviser, detailing
the factors that affected the Fund's performance and a performance
chart which illustrates your Fund's return versus a relevant financial
index. Also presented in your Report is a pie chart displaying
diversification of Portfolio investments, financial statements,
financial highlights and a listing of the Portfolio's holdings.
Looking ahead, we will continue to monitor the economic conditions and
how they affect the financial markets.
We appreciate your ongoing support of the Intermediate Tax Free Fund
and are looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The Intermediate Tax Free Fund (the "Fund") returned 13.71% for the
year ended December 31, 1995, outperforming the Lipper Intermediate
Municipal Debt Average, which returned 12.89%.
In general, the tax-exempt market participated in the same rally
experienced by much of the bond market in 1995, benefitting from
slower economic growth, moderate inflation, and declining interest
rates. As indicated in our last report, the first six months of the
year were mixed for the tax-exempt sector. But even with continuing
concerns about tax reform, the second half of the year saw
intermediate tax-exempt yields fall, as the municipal bond market
caught up with the lead of Treasuries, which had rallied earlier in
the year. Supply and demand of tax-exempt issues stayed low through
the first nine months of the year. However, as municipalities took
advantage of lower yields to finance capital improvements, supply was
higher in the fourth quarter of 1995 than it had been in the same
period one year earlier.
The Fund's strategy remained conservative and focused on high quality
issues. Its performance benefitted from duration positioning, ranging
over the year, from three to six months longer than its benchmark. The
Fund also benefitted from strong issue selection. During the third
quarter, for instance, Los Angeles County became the second California
county to experience financial difficulties. The Fund, however, was
not impacted, since, after a large and timely trade out of these
securities in April, it owned none of the affected bonds. Conversely,
it benefitted from its emphasis on Florida and New York paper, which
was trading cheaply on a relative value basis when the Fund bought it
in the fourth quarter.
Looking ahead, the possibility of an increasing supply in the
municipal market may limit further upward potential. Still, we intend
to keep the Fund with a long duration relative to its benchmark, since
the factors which have driven interest rates down--slow growth, low
inflation, and easier monetary policy--remain in place as we enter
1996.
<PAGE> 99
INTERMEDIATE TAX FREE FUND 3
-----------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund s return versus the Lehman 7
Year G.O. Bond Index since July 31, 1992, assuming a $10,000 initial
investment:
================================================================================
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE [FIGURE 1]
INTERMEDIATE TAX
FREE FUND AND
THE LEHMAN 7 YEAR
G.O. BOND INDEX
<TABLE>
<CAPTION>
Intermediate Lehman
Tax Free 7 Year G.O.
Fund Bond Index
<S> <C> <C>
7/31/92 10,000 10,000
9/30/92 9,957 10,450
12/31/92 10,127 10,782
3/31/93 10,425 11,089
6/30/93 10,703 11,414
9/30/93 11,006 11,569
12/31/93 11,110 11,068
3/31/94 10,668 11,221
6/30/94 10,770 11,308
9/30/94 10,836 11,195
12/31/94 10,712 11,801
3/31/95 11,247 11,821
6/30/95 12,117 11,533
9/30/95 11,778 12,518
12/31/95 12,130 12,826
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED DECEMBER 31, 1995
One Year Since 7/20/92*
<S> <C>
13.71% 22.08%
</TABLE>
*The Fund's inception date
Investment return and principal
value may fluctuate so that shares,
when redeemed, may be worth
more or less than their original cost.
================================================================================
Objective Seeks high current income exempt from Federal taxes
with moderate risk to capital.
- --------------------------------------------------------------------------------
Investment Instruments Diversified range of high grade intermediate term
securities issued by states and their political
subdivisions, authorities, agencies and
instrumentalities, providing income exempt from
Federal income taxes. The weighted average maturity
of securities will range from three to eight years.
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY STATE
as of December 31, 1995
(percentages are based on market value)
================================================================================
<TABLE>
<S> <C>
FLORIDA 7.22%
ARIZONA 5.51%
CALIFORNIA 6.05%
ILLINOIS 8.32%
KANSAS 4.72%
NEW YORK 28.06%
OHIO 5.06%
TEXAS 12.34%
OTHER 22.72%
</TABLE>
[FIGURE 2]
* NO ONE STATE REPRESENTS MORE THAN 4.00% OF PORTFOLIO HOLDINGS.
ABOUT THE GARY POLLACK
PORTFOLIO MANAGER VICE PRESIDENT
- - Heads the Municipal Bond Team for Bankers Trust's Global Investment
Management Group
- - 16 years of investment experience including tax-exempt
portfolio management and credit analysis
- - B.A. and M.A. from the State University of New York at Albany
<PAGE> 100
INTERMEDIATE TAX FREE FUND 4
-----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Investment in Intermediate Tax Free Portfolio, at Value $22,252,574
- -----------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 6,621
- -----------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 15,271
- -----------------------------------------------------------------------------------------------------------------------
Total Assets 22,274,466
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 17,000
- -----------------------------------------------------------------------------------------------------------------------
Dividends Payable 23,868
- -----------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 20,492
- -----------------------------------------------------------------------------------------------------------------------
Total Liabilities 61,360
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 2,104,168 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $22,213,106
=======================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($22,213,106/2,104,168 Shares) $ 10.56
=======================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Paid-in Capital $21,730,133
- -----------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (980,979)
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,463,952
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $22,213,106
=======================================================================================================================
STATEMENT OF OPERATIONS
=======================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------
Income Allocated from Intermediate Tax Free Portfolio, net $1,199,984
- -----------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------
Administration and Services $ 96,355
- -----------------------------------------------------------------------------------------------------------------------
Shareholders Reports 19,470
- -----------------------------------------------------------------------------------------------------------------------
Registration 15,496
- -----------------------------------------------------------------------------------------------------------------------
Professional 9,001
- -----------------------------------------------------------------------------------------------------------------------
Trustees 2,027
- -----------------------------------------------------------------------------------------------------------------------
Miscellaneous 2,622
- -----------------------------------------------------------------------------------------------------------------------
Total Expenses 144,971
- -----------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (48,616) 96,355
- -----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,103,629
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES
- -----------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 373,106
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,660,101
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 2,033,207
- -----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,136,836
=======================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 11 and 12
<PAGE> 101
INTERMEDIATE TAX FREE FUND 5
-----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=====================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,103,629 $ 1,229,998
- -------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 373,106 (1,317,897)
- -------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 1,660,101 (1,188,163)
- -------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 3,136,836 (1,276,062)
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------
Net Investment Income (1,103,629) (1,229,998)
- -------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions -- (955)
- -------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (1,103,629) (1,230,953)
- -------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- -------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Transactions in Shares of
Beneficial Interest (5,123,127) (3,898,488)
- -------------------------------------------------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (3,089,920) (6,405,503)
===================================================================================================================
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------
Beginning of Year 25,303,026 31,708,529
- -------------------------------------------------------------------------------------------------------------------
End of Year $22,213,106 $25,303,026
===================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 11 and 12
<PAGE> 102
INTERMEDIATE TAX FREE FUND 6
-----------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods presented for the Intermediate Tax Free Fund.
<TABLE>
<CAPTION>
=================================================================================================================================
For the period
July 20, 1992
(Commencement
For the year ended December 31, of Operations)
------------------------------------------- to December
1995 1994 1993 31, 1992
=================================================================================================================================
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $ 9.72 $10.54 $ 9.99 $10.00
------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.47 0.42 0.41 0.16
Net Realized and Unrealized Gain (Loss)
on Securities 0.84 (0.82) 0.57 (0.01)
------ ------ ------ ------
Total from Investment Operations 1.31 (0.40) 0.98 0.15
------ ------ ------ ------
Distributions From
Net Investment Income (0.47) (0.42) (0.41) (0.16)
Net Realized Gain from Securities Transactions -- -- (0.02) --
------ ------ ------ ------
Total Distributions (0.47) (0.42) (0.43) (0.16)
------ ------ ------ ------
Net Asset Value, End of Period $10.56 $ 9.72 $10.54 $ 9.99
====== ====== ====== ======
TOTAL INVESTMENT RETURN 13.71% (3.81)% 9.94% 3.42%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 4.58% 4.20% 3.88% 3.72%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Intermediate Tax Free Portfolio 0.85% 0.85% 0.85% 0.85%*
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers Trust 0.28% 0.36% 0.35% 0.80%*
Net Assets, End of Period (000's omitted) $22,213 $25,303 $31,709 $9,992
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 11 and 12
<PAGE> 103
INTERMEDIATE TAX FREE PORTFOLIO 7
-----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
========================================================================================================================
December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $20,438,516) $21,902,889
- ------------------------------------------------------------------------------------------------------------------------
Cash 20,065
- ------------------------------------------------------------------------------------------------------------------------
Interest and Other Receivables 342,956
- ------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 1,576
- ------------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 4,843
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 22,272,329
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 19,625
- ------------------------------------------------------------------------------------------------------------------------
Total Liabilities 19,625
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS $22,252,704
========================================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $20,788,331
- ------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,464,373
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $22,252,704
========================================================================================================================
STATEMENT OF OPERATIONS
========================================================================================================================
For the year ended December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------------
Interest $1,308,894
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------------------
Advisory $ 96,572
- ------------------------------------------------------------------------------------------------------------------------
Administration and Services 12,072
- ------------------------------------------------------------------------------------------------------------------------
Professional 14,493
- ------------------------------------------------------------------------------------------------------------------------
Trustees 1,867
- ------------------------------------------------------------------------------------------------------------------------
Miscellaneous 2,212
- ------------------------------------------------------------------------------------------------------------------------
Total Expenses 127,216
- ------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (18,572) 108,644
- ------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,200,250
- ------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- ------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 373,137
- ------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,660,679
- ------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 2,033,816
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,234,066
========================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 104
INTERMEDIATE TAX FREE PORTFOLIO 8
-----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=======================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,200,250 $ 1,347,292
- -----------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 373,137 (1,317,949)
- ------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 1,660,679 (1,188,059)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 3,234,066 (1,158,716)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 4,536,602 11,949,297
- -----------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (10,844,181) (17,209,743)
- ------------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Capital Transactions (6,307,579) (5,260,446)
- ------------------------------------------------------------------------------------------------------------------------
TOTAL DECREASE IN NET ASSETS (3,073,513) (6,419,162)
========================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Beginning of Year 25,326,217 31,745,379
- -----------------------------------------------------------------------------------------------------------------------
End of Year $ 22,252,704 $ 25,326,217
=======================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the Intermediate Tax Free Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
For the period
July 20, 1992
For the year ended December 31, (Commencement
-------------------------------------------- of Operations) to
1995 1994 1993 December 31, 1992
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 4.97% 4.58% 4.29% 4.11%*
Ratio of Expenses to Average Net Assets 0.45% 0.45% 0.45% 0.45%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption of
Expenses by Bankers Trust 0.08% 0.14% 0.18% 0.43%*
Portfolio Turnover Rate 95% 118% 40% 132%
Net Assets, End of Period (000's omitted) $22,253 $25,326 $31,745 $9,995
</TABLE>
* Annualized
See Notes to Financial Statements on Page 13
<PAGE> 105
INTERMEDIATE TAX FREE PORTFOLIO 9
-----------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
====================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
====================================================================================
<S> <C> <C>
ARIZONA - 5.42%
- ------------------------------------------------------------------------------------
$1,080,000 Phoenix Arizona Series C,
6.375%, 7/1/02 $ 1,206,328
====================================================================================
CALIFORNIA - 5.95%
- ------------------------------------------------------------------------------------
1,000,000 California State, 6.20%, 11/1/02 1,102,570
- ------------------------------------------------------------------------------------
205,000 California State Maturities,
5.90%, 9/1/02 222,179
- ------------------------------------------------------------------------------------
1,324,749
====================================================================================
CONNECTICUT - 3.78%
- ------------------------------------------------------------------------------------
500,000 Connecticut State Special Tax
Obligatory Revenue, Transportation
Infrastructure Series B, 5.90%, 9/1/05 545,560
- ------------------------------------------------------------------------------------
275,000 Connecticut State Special Tax
Obligatory Revenue, Transportation
Series A, 6.75%, 2/15/99 295,553
- ------------------------------------------------------------------------------------
841,113
====================================================================================
DELAWARE - 2.55%
- ------------------------------------------------------------------------------------
520,000 Delaware Transportation Authority,
6.10%, 7/1/02 566,322
====================================================================================
FLORIDA - 7.10%
- ------------------------------------------------------------------------------------
550,000 Dade County Florida Aviation
Revenue Reference Series E,
5.40%, 10/1/07 576,565
- ------------------------------------------------------------------------------------
1,000,000 Tampa Florida Water and Sewer
Revenue, 5.00%, 10/1/08 1,003,900
- ------------------------------------------------------------------------------------
1,580,465
====================================================================================
ILLINOIS - 8.19%
- ------------------------------------------------------------------------------------
700,000 Illinois State, 5.60%, 10/1/99 734,167
- ------------------------------------------------------------------------------------
1,000,000 Illinois State Sales Tax Series Q,
6.00%, 6/15/12 1,088,320
- ------------------------------------------------------------------------------------
1,822,487
====================================================================================
INDIANA - 1.49%
- ------------------------------------------------------------------------------------
300,000 Indiana University Revenue, Student
Fees Series H, 6.60%, 8/1/01 331,902
====================================================================================
KANSAS - 4.64%
- ------------------------------------------------------------------------------------
1,000,000 Kansas State Department of
Transportation Highway Revenue,
5.10%, 3/1/05 1,032,850
====================================================================================
KENTUCKY - 2.83%
- ------------------------------------------------------------------------------------
600,000 Kentucky State Turnpike Authority
Economic Development Road
Revenue, 5.625%, 7/1/10 629,562
====================================================================================
MICHIGAN - 3.40%
- ------------------------------------------------------------------------------------
500,000 Michigan State Building Authority
(AMBAC Insured) Series I,
6.00%, 10/1/02+ 545,515
- ------------------------------------------------------------------------------------
200,000 Michigan State Housing
Development Authority Single
Family Mortgage Revenue Series B,
6.30%, 12/1/03 210,414
- ------------------------------------------------------------------------------------
755,929
====================================================================================
NEBRASKA - 1.44%
- ------------------------------------------------------------------------------------
300,000 Nebraska Public Power District
Revenue, 5.70%, 1/1/05 320,799
====================================================================================
NEVADA - 2.40%
- ------------------------------------------------------------------------------------
500,000 Clark County, Nevada (AMBAC
Insured), 5.70%, 7/1/03+ 534,410
====================================================================================
NEW JERSEY - 1.09%
- ------------------------------------------------------------------------------------
225,000 New Jersey State Turnpike
Authority Series A, 6.00%, 1/1/05 241,654
====================================================================================
NEW YORK - 27.62%
- ------------------------------------------------------------------------------------
500,000 New York City, New York G.O.,
5.625%, 8/1/01 510,650
- ------------------------------------------------------------------------------------
400,000 New York City, New York G.O.,
Series B, Variable Rate Daily
Demand Note, 10/1/20 400,000
- ------------------------------------------------------------------------------------
700,000 New York City, New York G.O.,
Subseries A-5, Variable Rate Daily
Demand Note, 8/1/15 700,000
- ------------------------------------------------------------------------------------
500,000 New York City, New York G.O.,
Subseries B-2, Variable Rate Daily
Demand Note, 8/15/21 500,000
- ------------------------------------------------------------------------------------
1,000,000 New York State Environmental
Facility Corporation Pollution
Control Revenue, 5.75%, 6/15/10 1,070,670
- ------------------------------------------------------------------------------------
1,000,000 New York State G.O., Series B,
5.50%, 8/15/06 1,052,150
- ------------------------------------------------------------------------------------
1,000,000 New York State Power Authority
Revenue and General Purpose
Series CC (AMBAC Insured),
5.125%, 1/1/10+ 1,003,220
- ------------------------------------------------------------------------------------
900,000 Triborough Bridge and Tunnel
Authority New York Revenue
General Purpose Series A,
5.00%, 1/1/07 908,730
- ------------------------------------------------------------------------------------
6,145,420
====================================================================================
OHIO - 4.98%
- ------------------------------------------------------------------------------------
1,000,000 Ohio State Building Authority
Series A, 6.50%, 10/1/01 1,108,080
====================================================================================
TEXAS - 12.15%
- ------------------------------------------------------------------------------------
1,000,000 Austin, Texas Utility System
Revenue Series A, 6.00%, 11/15/04 1,094,760
- ------------------------------------------------------------------------------------
175,000 Garland, Texas Independent School
District, Series A, 6.40%, 2/15/98 179,645
- ------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 106
INTERMEDIATE TAX FREE PORTFOLIO 10
-----------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
=============================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=============================================================================================================
<S> <C> <C>
$ 500,000 Texas State, G.O., Series A,
6.00%, 10/1/06 $ 551,900
- -------------------------------------------------------------------------------------------------------------
300,000 Texas Water Reserve Finance
Authority Revenue, 7.30%,
8/15/04 323,373
- -------------------------------------------------------------------------------------------------------------
500,000 University of Texas, 6.50%,
8/15/01 553,515
- -------------------------------------------------------------------------------------------------------------
2,703,193
=============================================================================================================
WASHINGTON - 2.44%
- -------------------------------------------------------------------------------------------------------------
500,000 Washington State Series B,
6.00%, 5/1/02 543,370
=============================================================================================================
WISCONSIN - 0.96%
- -------------------------------------------------------------------------------------------------------------
200,000 Wisconsin State Transportation
Revenue Series A, 6.00%, 7/1/00 214,256
=============================================================================================================
TOTAL INVESTMENTS
(Cost $20,438,516) 98.43% $21,902,889
- -------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 1.57% 349,815
- -------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $22,252,704
=============================================================================================================
</TABLE>
+ Insured by American Municipal Bond Assurance Corporation ("AMBAC")
See Notes to Financial Statements on Page 13
<PAGE> 107
INTERMEDIATE TAX FREE FUND 11
-----------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on July 21, 1986, as a business trust under
the laws of the Commonwealth of Massachusetts. The Intermediate Tax Free Fund
(the "Fund") is one of the funds offered to investors by the Trust. The Fund
commenced operations and began offering shares of beneficial interest on July
20, 1992. The Fund invests substantially all of its assets in the Intermediate
Tax Free Portfolio (the "Portfolio"). The Portfolio is an open-end management
investment company registered under the Act. The Fund seeks to achieve its
investment objective by investing all of its investable assets in the
Portfolio. The value of such investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. At December 31,
1995, the Fund's investment was approximately 100% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio.
C. Organizational Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a period of sixty months.
D. Dividends
It is the Fund's policy to declare dividends daily, and to pay these dividends
monthly. Dividends payable to shareholders are recorded by the Fund on the
ex-dividend date, which is the same as the declaration date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
will be made annually to the extent they are not offset by any capital loss
carryforwards.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
F. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to that Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.40 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $96,355.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the Fund's average
daily net assets, for expenses incurred in connection with any activities
primarily intended to result in the sale of the Fund's shares. For the year
ended December 31, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.40 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.85 of 1% of the average daily net assets, including expenses of the
Portfolio. For the year ended December 31, 1995, expenses of the Fund have been
reduced by $48,616.
<PAGE> 108
INTERMEDIATE TAX FREE FUND 12
-----------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - CAPITAL SHARE TRANSACTIONS
At December 31, 1995, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the year ended For the year ended
December 31, 1995 December 31, 1994
----------------------------------- -----------------------------------------
Shares Amount Shares Amount
----------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Sold 444,241 $ 4,536,603 1,162,275 $ 11,934,197
Reinvested 84,551 868,327 108,383 1,087,379
Redeemed (1,026,546) (10,528,057) (1,675,824) (16,920,064)
----------- ----------- ---------- -----------
Net Decrease (497,754) $ (5,123,127) (405,166) $ (3,898,488)
=========== ============= ========== =============
</TABLE>
NOTE 4 - CAPITAL LOSS CARRYFORWARD
At December 31, 1995, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$944,791, which will expire in 2002.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Investment Funds:
We have audited the accompanying statement of assets and liabilities of the
Intermediate Tax Free Fund (one of the funds comprising BT Investment Funds),
as of December 31, 1995, and the related statement of operations for the year
then ended, the statements of changes in net assets for each of the two years
in the period then ended, and the financial highlights for each of the three
years in the period then ended and for the period July 20, 1992 (commencement
of operations) to December 31, 1992. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Intermediate Tax Free Fund of BT Investment Funds as of December 31, 1995, the
results of its operations, the changes in its net assets, and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
<PAGE> 109
INTERMEDIATE TAX FREE PORTFOLIO 13
-----------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Intermediate Tax Free Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11,
1991, as an unincorporated trust under the laws of New York and commenced
operations on July 20, 1992. The Declaration of Trust permits the Board of
Trustees (the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are carried at fair market value as determined by
an independent pricing service at the end of each business day. Short-term
obligations with remaining maturities of 60 days or less, are valued at
amortized cost which with accrued interest approximates value. Securities for
which quotations are not available are stated at fair value as determined by
the Board of Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $12,072.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.40 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $96,572.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.45 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $18,572.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT
SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the year ended December 31, 1995, were
$20,691,846 and $22,854,169, respectively. The cost of investment for federal
income tax purposes was substantially the same as for financial reporting
purposes. The aggregate gross unrealized appreciation for all investments was
$1,464,373.
<PAGE> 110
INTERMEDIATE TAX FREE PORTFOLIO 14
-----------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest of
the Intermediate Tax Free Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Intermediate Tax Free Portfolio, including the schedule of portfolio
investments, as of December 31, 1995, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of
the two years in the period then ended, and the financial highlights for each
of the three years in the period then ended and for the period July 20, 1992
(commencement of operations) to December 31, 1992. These financial statements
and financial highlights are the responsibility of the Portfolio's management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Intermediate Tax Free Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 7, 1996
