- BT INVESTMENT FUNDS -
CASH MANAGEMENT FUND
NY TAX FREE MONEY FUND
TAX FREE MONEY FUND
TREASURY MONEY FUND
ANNUAL REPORT
-------------
DECEMBER-1996
BT INVESTMENT FUNDS
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTERS TO SHAREHOLDERS. . . . . . . . . . . . . . . . . . . . . 3
BT INVESTMENT FUNDS
Statement of Assets and Liabilities. . . . . . . . . . . . . 6
Statement of Operations. . . . . . . . . . . . . . . . . . . 6
Statement of Changes in Net Assets . . . . . . . . . . . . . 7
Financial Highlights . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . 10
Report of Independent Accountants. . . . . . . . . . . . . . 12
BT PORTFOLIOS
Schedules of Portfolio Investments . . . . . . . . . . . . . 13
Statement of Assets and Liabilities. . . . . . . . . . . . . 24
Statement of Operations. . . . . . . . . . . . . . . . . . . 24
Statement of Changes in Net Assets . . . . . . . . . . . . . 25
Financial Highlights . . . . . . . . . . . . . . . . . . . . 26
Notes to Financial Statements. . . . . . . . . . . . . . . . 27
Report of Independent Accountants. . . . . . . . . . . . . . 28
2
BT INVESTMENT FUNDS
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MARKET ACTIVITY
The Federal Reserve Board acted only once in 1996, cutting the Federal Funds
rate from 5.50% to 5.25% in January, in response to a weaker economy. The
markets expected a near-term recession to drive interest rates even lower.
However, once February economic data indicated stronger than anticipated growth,
most notably through very strong non-farm payroll numbers, market sentiment
changed completely and quickly, and interest rates rose sharply. The economy
remained strong through July, leading market participants, in general, to fear
that the Fed would raise interest rates officially.
Instead, the Federal Reserve Board held monetary policy neutral for the rest of
1996. Rates continued to fluctuate, rising on positive economic news and
dipping on the news that the Fed remained on the sidelines each time they met.
Nevertheless, in contrast to the effects of dramatic increases in interest rates
during the first half of the year, moderate economic activity in the second half
proved much more favorable for the financial markets.
Growth slowed in the third quarter, and inflation data continued to display an
absence of any real pressure. Much of the slowdown appeared in the consumer
sector, even though employment gains remained strong. Total real GDP growth
tapered from an unsustainable 4.7% increase in the second quarter to 2.1% in the
third.
There was no deterioration of economic growth in the final three months of the
year. Consumer spending perked up in response to a high degree of confidence
and a still-favorable jobs market, and business investment continued to expand
rapidly. These conditions, along with status quo results of the November
elections, proved favorable for the money markets, as short-term interest rates
remained steady while longer-term rates drifted lower.
- --------------------------------------------------------------------------------
CASH MANAGEMENT FUND
The Fund's annualized 7-day effective yield was 4.91% as of December 31, 1996.*
In contrast to the short to neutral maturity strategy held for most of the first
half of the year, we began extending the Fund's average maturity in the third
quarter. Although we believed that the next move in interest rates would be
higher, we also anticipated that the Federal Reserve Board would want a clearer
picture of higher inflation and increased economic activity before making an
official move. Thus, as general market expectations of higher rates led to a
steeper short-term yield curve, we were able to extend the Fund's average
maturity position with very little risk.
This strategy proved to be quite effective in adding value to the Fund through
the remainder of the year, and we expect to maintain the current investment
strategy until inflation pressures begin to surface.
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 DECEMBER 31, 1996
Seven day effective yield : 4.91%
Average maturity: 36 days
Net assets: $119.0 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Type as of December 31, 1996
(PERCENTAGES ARE BASED ON MARKET VALUE)
GRAPHIC PRESENTATION "A1" OMITTED. SEE APPENDIX.
Certificates of Deposit 28%
Repurchase Agreements 6%
Floating Rate Notes 8%
Commercial Paper 42%
Eurodollar Time Deposits 16%
3
BT INVESTMENT FUNDS
LETTER TO SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
NY TAX FREE MONEY FUND
The Fund's annualized 7-day effective yield was 3.03% as of December 31, 1996,
or a taxable equivalent of 5.72%.* Throughout the year, the keys to the Fund's
competitive yield were maintaining very high credit quality issues in its
portfolio and adjusting average maturity to use the volatility in interest rates
to the Fund's advantage. Beginning the period with a slightly long average
maturity of 54 days, we gradually shortened it in light of strong economic
indicators. The Fund remained short through most of the second quarter, and
then extended to a more neutral 45 days in July to take advantage of the large
percentage of municipal issues that became available at that time. As no clear
direction for interest rates became apparent for the remainder of the year, the
Fund stayed short to neutral through most of December. Our strategy was to buy
on dips and to concentrate on liquid securities, so that we could shorten the
Fund quickly in the event of Federal Reserve Board action.
We did end the period with a slightly long average maturity of 50 days. Rather
than reflecting any long-term bullishness on rates, this position reflects both
our anticipated need for liquidity at the end of the year as investors make
asset allocation decisions plus our expectation of major cash inflows in
January, a month in which large amounts of monies enter the short-term
tax-exempt market as a result of coupon payments and maturing issues.
OBJECTIVE
Seeks high current income exempt from Federal, New York State and New York City
taxes consistent with liquidity and preservation of capital.
INVESTMENT INSTRUMENTS
Wide range of securities primarily issued by New York 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 DECEMBER 31, 1996
Seven day effective yield : 3.03%
Average maturity: 50 days
Net assets: $75.9 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF DECEMBER 31, 1996
(percentages are based on market value)
GRAPHIC PRESENTATION "A2" OMITTED. SEE APPENDIX.
G.O. Bonds 8%
G.O. Notes 12%
Revenue Bonds 13%
Commercial Paper 3%
Floating Rate Demand Notes 64%
- --------------------------------------------------------------------------------
TAX FREE MONEY FUND
The Fund's annualized 7-day effective yield was 3.18% as of December 31, 1996,
or a taxable equivalent of 5.26%.* Overall, the Fund carried out a very similar
strategy as that of the NY Tax Free Money Fund. Beginning the period with an
average maturity of 58 days, the Fund moved to a shorter 46 days at the end of
January when the Federal Reserve Board cut rates and then reached its shortest
average maturity near the end of May at about 35 days.
In July, we extended to a more neutral 45 days for two reasons. The first was
the typical phenomenon whereby short-term tax-exempt markets absorb a large
inflow of new money during that time and rates drop. In fact, yields on daily
paper came down dramatically to approximately 2.15%-2.30%, and the yield curve
steepened. Second, approximately 80-85% of municipalities begin their fiscal
year in July, and they come to market with their short-term borrowing needs for
the entire year at this one time. This dramatically increases supply, enabling
us to lock in higher yields chosen from a larger number of issues.
In August, yields on 1-year notes reached a high of 3.95%, and the Fund
purchased some of these issues to take advantage of the added yield potential.
This extended the portfolio's average maturity at this time to about 55 days.
By the end of the year, the yields on 1-year notes settled at the 3.50% mark,
the economy and the Federal Reserve Board seemed to be on hold, and the market
was relatively stable. Thus, the Fund remained short to neutral for most of the
last quarter, ending the period with a slightly long average maturity of 52
days. As with the NY Tax Free Money Fund, this extended position primarily
reflects anticipated, typical January supply/demand pressures. A high credit
quality, broadly diversified portfolio that helps to reduce the risks of
volatility continues to be our major priority in meeting the Fund's objective.
OBJECTIVE
Seeks high current income exempt from Federal taxes consistent with liquidity
and preservation of capital.
INVESTMENT INSTRUMENTS
Wide range of securities issued by states and their political subdivisions,
authorities, agencies and instrumentalities providing income free of Federal
income taxes.
STATUS AT DECEMBER 31, 1996
Seven day effective yield : 3.18%
Average maturity: 52 days
Net assets: $118.0 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF DECEMBER 31, 1996
(percentages are based on market value)
GRAPHIC PRESENTATION "A3" OMITTED. SEE APPENDIX.
G.O. Notes 7%
Commercial Paper 9%
G.O. Bonds 10%
Revenue Bonds 6%
Tax Revenue Anticipation Notes 5%
Tax Anticipation Notes 1%
Floating Rate Demand Notes 62%
4
BT Investment Funds
LETTER TO SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
TREASURY MONEY FUND
The Fund's annualized 7-day effective yield was 4.66% as of December 31, 1996,
and the Fund followed the same general strategy of adjusting the portfolio's
average maturity as was carried out for the Cash Management Fund.*
Similar to the money markets, the short-term Treasury yield curve steepened in
anticipation of higher interest rates in mid-year. We took advantage of this
yield curve to extend the portfolio in the last half of the year, and we also
purchased Treasury notes rather than Treasury bills to capture the benefits of
the abnormally wide spreads between the investment vehicles. We intend to
maintain the current strategy until inflationary pressures re-emerge.
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 DECEMBER 31, 1996
Seven day effective yield : 4.66%
Average maturity: 45 days
Net assets: $555.0 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF DECEMBER 31, 1996
(percentages are based on market value)
GRAPHIC PRESENTATION "A4" OMITTED. SEE APPENDIX.
U.S. Treasury Notes 37%
Repurchase Agreements 63%
- --------------------------------------------------------------------------------
MANAGERS' OUTLOOK
We expect continued slow to moderate economic growth and modest inflation in the
months to come. Given that, we believe the Federal Reserve Board will remain on
hold for the near future, with the money markets trading in a narrow range.
Stronger-than- expected economic news may cause some volatility ahead, however
any dips in the market may be opportunities to extend the Funds' average
maturities out along the yield curve and lock in some higher rates. Overall, we
will remain opportunistic, buying when valuations are attractive, and waiting
for the market to take a more definite direction.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
/s/ Darlene Rasel
Darlene Rasel
PORTFOLIO MANAGER OF THE
CASH MANAGEMENT PORTFOLIO AND THE
TREASURY MONEY PORTFOLIO
/s/ Susan Bradford
Susan Bradford
PORTFOLIO MANAGER OF THE
TAX FREE MONEY PORTFOLIO AND THE
NY TAX FREE MONEY PORTFOLIO
- --------------------
* Past performance is not indicative of future results. Yields will vary.
Although money market funds seek to maintain a share value of $1.00, there is no
guarantee that they will be able to do so. Investments in the Funds are neither
insured nor guaranteed by the U.S. government.
5
BT INVESTMENT FUNDS
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH
NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY
<S> <C> <C>
MONEY MONEY
<C> <C>
------------ ------------ ------------ ------------
ASSETS
Investment in Portfolio, at Value*. . . . . . . . . . . . . . $119,264,619 $ 76,032,536 $117,713,647 $555,220,772
Prepaid Expenses and Other. . . . . . . . . . . . . . . . . . 9,908 6,863 9,746 17,309
Receivable for Shares of Beneficial Interest Subscribed . . . -- -- 520,795 --
------------ ------------ ------------ ------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . 119,274,527 76,039,399 118,244,188 555,238,081
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . 37,549 29,102 51,342 211,609
Payable for Shares of Beneficial Interest Redeemed. . . . . . -- -- 1,390 --
Dividends Payable . . . . . . . . . . . . . . . . . . . . . . 245,353 128,740 197,527 287,610
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . 22,960 23,788 21,748 22,971
------------ ------------ ------------ ------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . 305,862 181,630 272,007 522,190
------------ ------------ ------------ ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . $118,968,665 $ 75,857,769 $117,972,181 $554,715,891
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
SHARES OUTSTANDING ($0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest Authorized) . 119,049,530 75,889,031 118,021,484 554,634,274
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding). . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . $119,049,530 $75,889,031 $118,021,484 $554,634,274
Accumulated Net Realized Gain (Loss) from
Investment Transactions . . . . . . . . . . . . . . . . . . (80,865) (31,262) (49,303) 81,617
------------ ------------ ------------ ------------
NET ASSETS, DECEMBER 31, 1996. . . . . . . . . . . . . . . . . . $118,968,665 $75,857,769 $117,972,181 $554,715,891
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY
<S> <C> <C>
MONEY MONEY
<C> <C>
------------ ------------ ------------ ------------
INVESTMENT INCOME
Income, net+. . . . . . . . . . . . . . . . . . . . . . . . . $7,329,036 $2,748,045 $4,174,092 $29,549,136
------------ ------------ ------------ ------------
EXPENSES
Administration and Services Fees. . . . . . . . . . . . . . . 762,676 473,735 685,637 3,152,044
Printing and Shareholder Reports. . . . . . . . . . . . . . . 14,781 17,012 15,273 14,885
Registration Fees . . . . . . . . . . . . . . . . . . . . . . 15,598 2,712 17,717 18,410
Professional Fees . . . . . . . . . . . . . . . . . . . . . . 9,480 9,483 9,092 8,710
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . . 2,655 2,605 2,605 2,655
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . 4,925 2,766 2,138 11,927
------------ ------------ ------------ ------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . 810,115 508,313 732,462 3,208,631
Less: Expenses Absorbed by Bankers Trust . . . . . . . . . . (19,705) (34,578) (46,825) (56,587)
------------ ------------ ------------ ------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . 790,410 473,735 685,637 3,152,044
------------ ------------ ------------ ------------
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . 6,538,626 2,274,310 3,488,455 26,397,092
------------ ------------ ------------ ------------
Realized Gain (Loss) from Investment Transactions. . . . . . . . 4,405 (2,716) (8,495) 71,092
------------ ------------ ------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . . . $6,543,031 $2,271,594 $3,479,960 $26,468,184
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
* Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
+ Net income allocated from Cash Management Portfolio, NY Tax Free Money
Portfolio, Tax Free Money Portfolio and Treasury Money Portfolio,
respectively.
See Notes to Financial Statements on Pages 10 and 11
6
BT INVESTMENT FUNDS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH MANAGEMENT NY TAX FREE MONEY
-------------------------------------- ------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
<S> <C> <C>
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- ------------------ ----------------- -----------------
<C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . $ 6,538,626 $ 8,961,194 $ 2,274,310 $ 2,562,883
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . . . . . . 4,405 18,633 (2,716) (1,746)
--------------- --------------- ------------- -------------
Net Increase in Net Assets from Operations . . . . . . . 6,543,031 8,979,827 2,271,594 2,561,137
--------------- --------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . (6,538,626) (8,961,194) (2,274,310) (2,562,883)
--------------- --------------- ------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold . . . . . . . . . . . . 1,809,262,492 2,113,907,344 466,071,414 474,692,146
Dividends Reinvested. . . . . . . . . . . . . . . . . 3,499,845 4,960,726 719,990 784,053
Value of Shares Redeemed. . . . . . . . . . . . . . . (1,829,906,270) (2,142,060,394) (461,695,529) (483,810,589)
--------------- --------------- ------------- -------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest . . . . . (17,143,933) (23,192,324) 5,095,875 (8,334,390)
--------------- --------------- ------------- -------------
CONTRIBUTIONS OF CAPITAL
Proceeds Contributed. . . . . . . . . . . . . . . . . 110,287 -- -- --
--------------- --------------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . (17,029,241) (23,173,691) 5,093,159 (8,336,136)
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . 135,997,906 159,171,597 70,764,610 79,100,746
--------------- --------------- ------------- -------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . $118,968,665 $135,997,906 $75,857,769 $70,764,610
--------------- --------------- ------------- -------------
--------------- --------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
TAX FREE MONEY TREASURY MONEY
-------------------------------------- ------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
<S> <C> <C>
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- ------------------ ----------------- -----------------
<C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . $ 3,488,455 $ 3,940,986 $ 26,397,092 $ 31,661,220
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . . . . . . (8,495) (25,044) 71,092 170,136
------------ ------------- -------------- --------------
Net Increase in Net Assets from Operations . . . . . . . 3,479,960 3,915,942 26,468,184 31,831,356
------------ ------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . (3,488,455) (3,940,986) (26,397,092) (31,661,220)
Net Realized Gain from Investment Transactions. . . . -- -- -- (61,251)
------------ ------------- -------------- --------------
Total Distributions. . . . . . . . . . . . . . . . . . . (3,488,455) (3,940,986) (26,397,092) (31,722,471)
------------ ------------- -------------- --------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold . . . . . . . . . . . . 859,320,089 802,388,131 7,825,627,385 7,254,751,559
Dividends Reinvested. . . . . . . . . . . . . . . . . 999,664 954,474 22,057,782 29,265,311
Value of Shares Redeemed. . . . . . . . . . . . . . . (861,731,897) (793,968,165) (7,908,124,366) (7,365,957,016)
------------ ------------- -------------- --------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest . . . . . (1,412,144) 9,374,440 (60,439,199) (81,940,146)
------------ ------------- -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . (1,420,639) 9,349,396 (60,368,107) (81,831,261)
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . 119,392,820 110,043,424 615,083,998 696,915,259
------------ ------------- -------------- --------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . $117,972,181 $119,392,820 $554,715,891 $615,083,998
------------ ------------- -------------- --------------
------------ ------------- -------------- --------------
</TABLE>
See Notes to Financial Statements on Pages 10 and 11
7
BT INVESTMENT FUNDS
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 each of the Funds.
<TABLE>
<CAPTION>
CASH MANAGEMENT
---------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------
1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C>
-------- -------- -------- -------- ---------
PER SHARE OPERATING PERFORMANCE:
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 0.05 0.04 0.03 0.03
Net Realized Gain (Loss) from Investment Transactions . 0.00+ 0.00+ (0.01) 0.00+ 0.00+
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . . . . 0.05 0.05 0.03 0.03 0.03
-------- -------- -------- -------- --------
CONTRIBUTIONS OF CAPITAL . . . . . . . . . . . . . . . . . 0.00+ -- 0.01 -- --
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . (0.05) (0.05) (0.04) (0.03) (0.03)
Net Realized Gain from Investment Transactions. . . . . -- -- -- (0.00)+ (0.00)+
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (0.05) (0.05) (0.04) (0.03) (0.03)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . . . $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 4.82%++ 5.35% 3.67%++ 2.54% 3.05%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted). . . . . . . . . $118,969 $135,998 $159,172 $76,578 $99,649
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . . 4.72% 5.22% 3.70% 2.51% 3.04%
Expenses, including expenses of the
Cash Management Portfolio. . . . . . . . . . . . . . 0.75% 0.74% 0.73% 0.75% 0.75%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . . . . 0.03% 0.02% 0.08% 0.05% 0.04%
</TABLE>
<TABLE>
<CAPTION>
NY TAX FREE MONEY
---------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
---------------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
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 0.03 0.02 0.02 0.02
Net Realized Loss from Investment Transactions. . . . . (0.00)+ (0.00)+ (0.00)+ (0.00)+ (0.00)+
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . . . . 0.03 0.03 0.02 0.02 0.02
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . (0.03) (0.03) (0.02) (0.02) (0.02)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 2.68% 3.12% 2.11% 1.68% 2.38%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted). . . . . . . . . $75,858 $70,765 $79,101 $103,938 $101,196
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . . 2.64% 3.07% 2.05% 1.66% 2.38%
Expenses, 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 . . . . . 0.09% 0.07% 0.08% 0.06% 0.05%
- --------------
+ Less than $0.01 per share.
++ Increased by approximately 0.08% and 0.96% due to Contributions of Capital for the years ended December 31, 1996 and 1994,
respectively.
</TABLE>
See Notes to Financial Statements on Pages 10 and 11
8
BT INVESTMENT FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TAX FREE MONEY
------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
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 0.03 0.02 0.02 0.03
Net Realized Gain (Loss) from Investment Transactions. (0.00)+ (0.00)+ 0.00+ 0.00+ (0.00)+
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . . . . 0.03 0.03 0.02 0.02 0.03
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . (0.03) (0.03) (0.02) (0.02) (0.03)
Net Realized Gain from Investment Transactions . . . . -- -- (0.00)+ -- --
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (0.03) (0.03) (0.02) (0.02) (0.03)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 2.84% 3.34% 2.27% 1.97% 2.69%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . . $117,972 $119,393 $110,043 $111,285 $151,473
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . 2.80% 3.28% 2.21% 1.95% 2.66%
Expenses, 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% 0.07% 0.08% 0.05% 0.05%
</TABLE>
<TABLE>
<CAPTION>
TREASURY MONEY
----------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
----------------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
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 0.05 0.03 0.02 0.03
Net Realized Gain (Loss) from Investment Transactions. 0.00+ 0.00+ (0.00)+ 0.00+ 0.00+
-------- -------- -------- -------- --------
Total from Investment Operations . . . . . . . . . . . . . 0.05 0.05 0.03 0.02 0.03
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . (0.05) (0.05) (0.03) (0.02) (0.03)
Net Realized Gain from Investment Transactions . . . . -- (0.00)+ -- (0.00)+ (0.00)+
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . . . (0.05) (0.05) (0.03) (0.02) (0.03)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . . . $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 4.71% 5.19% 3.40% 2.43% 3.10%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . . $554,716 $615,084 $696,915 $643,145 $1,302,365
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . 4.61% 5.06% 3.36% 2.39% 2.90%
Expenses, 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. . . . . 0.01% 0.02% 0.02% 0.01% 0.05%
</TABLE>
- ------------
+ Less than $0.01 per share.
See Notes to Financial Statements on Pages 10 and 11
9
BT INVESTMENT FUNDS
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, NY
Tax Free Money Fund, Tax Free Money Fund and Treasury Money Fund (each a
"Fund", and collectively, the "Funds") are offered to investors by the
Trust. The following Funds commenced operations, began offering shares of
beneficial interest and invested directly in securities through:
COMMENCEMENT
OF OPERATIONS & DIRECT INVESTMENT
BENEFICIAL SHARES OF SECURITIES
FUND OFFERING THROUGH
- ---------------------- ------------------ -----------------
Cash Management Fund October 5, 1988 July 22, 1990
NY Tax Free Money Fund September 27, 1988 February 18, 1991
Tax Free Money Fund June 10, 1987 February 18, 1991
Treasury Money Fund November 1, 1988 July 22, 1990
Subsequent to the direct investment in securities date, the Funds began
investing substantially all of their investable assets in the following
respective Portfolios: Cash Management Fund in the Cash Management Portfolio, NY
Tax Free Money Fund in the NY Tax Free Money Portfolio, Tax Free Money Fund in
the Tax Free Money Portfolio and Treasury Money Fund in the Treasury Money
Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The
Portfolios are open-end management investment companies registered under the
Act. The Funds seek to achieve their investment objectives by investing all of
their investable assets in the respective Portfolios. The value of such
investment in the Portfolios reflects each Fund's proportionate interest in the
net assets of the respective Portfolio. At December 31, 1996, Cash Management
Fund's investment was approximately 4% of the Portfolio, Treasury Money Fund's
investment was approximately 28% of the Portfolio, and NY Tax Free Money Fund's
and Tax Free Money Fund's investments were approximately 99.9% of the respective
Portfolio.
The financial statements of each of the Portfolios, including the Schedule of
Portfolio Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
Each of the Funds earns income, net of expenses, daily on its investment in the
respective Portfolio. All of the net investment income and realized and
unrealized gains and losses from the security transactions of each Portfolio are
allocated pro rata among the investors in the Portfolio at the time of such
determination.
C. DIVIDENDS
It is each Fund's policy to declare dividends daily and pay monthly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by each Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by each Fund will be made
annually.
D. FEDERAL INCOME TAXES
It is each Fund's policy to comply with the requirerments of the Internal
Revenue Code and distribute its income to shareholders. Therefore, no federal
income tax provision is required.
E. OTHER
The Trust accounts separately for the assets, liabilities and operations of each
of the Funds. Expenses directly attributable to each 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
Each 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 each of the Funds in return for a fee computed daily and
paid monthly at an annual rate of each Fund's average daily net assets. The
following provides a table of annual rates and aggregate fees for each of the
Funds for the year ended December 31,1996:
FUND ANNUAL RATE AGGREGATED FEES
- ---------------------- ----------- ---------------
Cash Management Fund 0.55 of 1% $762,676
NY Tax Free Money Fund 0.55 of 1% 473,735
Tax Free Money Fund 0.55 of 1% 685,637
Treasury Money Fund 0.55 of 1% 3,152,044
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement at an annual
rate not exceeding 0.20 of 1% of each Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of each Fund's shares. For the year ended December 31, 1996, there
were no reimbursable expenses incurred under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Fund, to the extent necessary, to limit all expenses as a percentage of each
Fund's average daily net assets as follows:
WAIVER AND
REIMBURSEMENT
FUND ANNUAL RATE* ANNUAL RATE+ AMOUNT
- ----------------- ------------ ----------- -------------
Cash Management 0.57 of 1% 0.75 of 1% $19,705
NY Tax Free Money 0.55 of 1% 0.75 of 1% 34,578
Tax Free Money 0.55 of 1% 0.75 of 1% 46,825
Treasury Money 0.55 of 1% 0.75 of 1% 56,587
- ------------
* Excluding Expenses of the Portfolio.
+ Including Expenses of the Portfolio.
10
BT INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Each Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which each of the Funds sells its shares.
Currently, the most restrictive jurisdiction imposed expense limitation is 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 Funds are also directors, officers and/or
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustees of the Funds. Similarly, none of the Funds' officers
received compensation from the Funds.
NOTE 3--CAPITAL LOSS CARRYFORWARD
At December 31, 1996, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated as
follows:
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD
NET REALIZED EXPIRATION YEAR
CAPITAL LOSS -------------------------------------------------------
FUND CARRYFORWARD 2000 2001 2002 2003 2004
- ----------------- ------------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Cash Management $80,884 $80,884
NY Tax Free Money 17,616 $10,340 $739 2,075 $1,746 $2,716
Tax Free Money 46,435 12,896 25,044 $8,495
</TABLE>
In 1996, Bankers Trust contributed capital in the amount of $110,287 to
reimburse the Cash Management Fund for long term capital losses incurred
in prior years.
11
BT INVESTMENT FUNDS
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, NY Tax Free Money, Tax Free Money, and Treasury Money Funds
(four of the Funds comprising BT Investment Funds) as of December 31, 1996,
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 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,
1996, 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
each of the Funds as of December 31, 1996, the results of their operations,
the changes in their net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting
principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 12, 1997
12
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
CERTIFICATES OF DEPOSIT - 28.50%
$ 15,000,000 ABN Amro Bank,
5.40%, 4/03/97 . . . . . . . . . . . . . . $15,000,376
Abbey National North America:
35,000,000 5.47%, 3/27/97 . . . . . . . . . . . . . . 35,000,000
25,000,000 5.51%, 4/08/97 . . . . . . . . . . . . . . 25,000,490
5,000,000 Australian and New Zealand
Banking Group,
5.50%, 4/23/97 . . . . . . . . . . . . . . 5,000,983
20,000,000 Banco Bilbao Vizcaya,
5.40%, 3/05/97 . . . . . . . . . . . . . . 20,000,345
35,000,000 Bank of Montreal,
5.50%, 1/02/97 . . . . . . . . . . . . . . 35,000,000
50,000,000 Bank of Nova Scotia,
5.47%, 3/19/97 . . . . . . . . . . . . . . 50,000,000
Bank of Tokyo-Mitsubishi Limited:
10,000,000 5.46%, 2/18/97 . . . . . . . . . . . . . . 9,999,252
30,000,000 5.46%, 2/21/97 . . . . . . . . . . . . . . 29,997,829
20,000,000 5.52%, 3/06/97 . . . . . . . . . . . . . . 20,000,000
10,000,000 Barclays,
5.40%, 1/27/97 . . . . . . . . . . . . . . 10,000,048
5,000,000 Bayerische Landesbank,
5.38%, 2/03/97 . . . . . . . . . . . . . . 4,999,983
10,000,000 Bayerische Vereinsbank,
5.44%, 3/17/97 . . . . . . . . . . . . . . 9,999,777
Canadian Imperial Bank of Commerce:
50,000,000 5.42%, 1/07/97 . . . . . . . . . . . . . . 50,000,164
30,000,000 5.37%, 1/21/97 . . . . . . . . . . . . . . 30,000,000
2,000,000 5.41%, 1/21/97 . . . . . . . . . . . . . . 2,000,015
25,000,000 5.39%, 1/31/97 . . . . . . . . . . . . . . 25,000,000
25,000,000 5.44%, 3/18/97 . . . . . . . . . . . . . . 25,000,521
Deutsche Bank:
25,000,000 5.13%, 3/05/97. . . . . . . . . . . . . . 24,964,695
16,000,000 5.59%, 3/26/97. . . . . . . . . . . . . . 16,003,602
2,000,000 First Union National Bank,
5.36%, 2/14/97 . . . . . . . . . . . . . . 1,999,727
40,000,000 Industrial Bank of Japan,
5.48%, 1/08/97 . . . . . . . . . . . . . . 40,000,065
27,000,000 Internationale Nederlanden Bank,
5.39%, 1/21/97 . . . . . . . . . . . . . . 27,000,297
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$25,000,000 J. P. Morgan & Company,
5.61%, 3/27/97 . . . . . . . . . . . . . . $25,006,943
3,000,000 Lloyds Bank,
5.50%, 1/03/97 . . . . . . . . . . . . . . 3,000,012
8,000,000 Morgan Guaranty Bank & Trust,
5.41%, 1/02/97 . . . . . . . . . . . . . . 8,000,002
National Westminster Bank:
12,000,000 5.51%, 2/24/97 . . . . . . . . . . . . . . 11,995,261
55,000,000 5.40%, 4/02/97 . . . . . . . . . . . . . . 55,000,352
Rabobank:
11,000,000 5.52%, 1/02/97 . . . . . . . . . . . . . . 11,000,034
25,000,000 5.46%, 3/19/97 . . . . . . . . . . . . . . 25,000,528
3,500,000 5.50%, 4/28/97 . . . . . . . . . . . . . . 3,500,392
Sanwa Bank:
75,000,000 5.50%, 1/09/97. . . . . . . . . . . . . . 75,000,290
15,000,000 5.50%, 1/21/97. . . . . . . . . . . . . . 15,000,165
17,000,000 5.53%, 1/21/97. . . . . . . . . . . . . . 17,000,192
15,000,000 5.57%, 2/14/97. . . . . . . . . . . . . . 14,996,981
Societe Generale:
20,000,000 5.52%, 1/09/97 . . . . . . . . . . . . . . 20,000,000
25,000,000 5.38%, 2/14/97 . . . . . . . . . . . . . . 24,998,013
5,000,000 5.62%, 4/01/97 . . . . . . . . . . . . . . 4,999,339
15,000,000 5.65%, 4/01/97 . . . . . . . . . . . . . . 14,999,520
Sumitomo Bank:
28,000,000 5.64%, 1/06/97 . . . . . . . . . . . . . . 28,000,039
15,000,000 5.69%, 1/14/97 . . . . . . . . . . . . . . 15,000,108
20,000,000 Swiss Bank Corp.,
5.75%, 3/04/97 . . . . . . . . . . . . . . 20,000,000
25,000,000 Westpac Banking Corp.,
5.48%, 3/25/97 . . . . . . . . . . . . . . 25,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost - $929,466,340) . . . . . . . . . . . . . $929,466,340
------------
COMMERCIAL PAPER* - 41.66%
Ameritech Capital Funding Corp.:
35,000,000 5.29%, 2/05/97 . . . . . . . . . . . . . . $34,819,823
16,000,000 5.31%, 3/06/97 . . . . . . . . . . . . . . 15,848,960
Asset Securitization Cooperative Corp.:
30,000,000 5.31%, 1/29/97 . . . . . . . . . . . . . . 29,876,100
30,000,000 5.30%, 2/07/97 . . . . . . . . . . . . . . 29,836,583
30,000,000 5.38%, 2/26/97 . . . . . . . . . . . . . . 29,748,933
15,000,000 5.37%, 3/18/97 . . . . . . . . . . . . . . 14,829,950
See Notes to Financial Statements on Page 27
13
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$23,000,000 Australia Wheat Board,
5.40%, 1/13/97 . . . . . . . . . . . . . . $22,958,600
50,000,000 Bank of Nova Scotia,
5.32%, 3/04/97 . . . . . . . . . . . . . . 49,542,035
20,000,000 BBL North America, Inc.,
5.32%, 1/07/97 . . . . . . . . . . . . . . 19,982,267
Caisse Des Amortissement
De La Dette Sociale:
25,000,000 5.32%, 1/21/97 . . . . . . . . . . . . . . 24,926,111
3,600,000 5.30%, 2/21/97 . . . . . . . . . . . . . . 3,572,970
20,000,000 5.31%, 3/10/97 . . . . . . . . . . . . . . 19,799,400
25,000,000 5.33%, 3/10/97 . . . . . . . . . . . . . . 24,748,306
12,000,000 Caisse des Depots et Consignations,
5.30%, 2/14/97 . . . . . . . . . . . . . . 11,922,267
17,500,000 Coca Cola Enterprises, Inc.,
5.42%, 1/24/97 . . . . . . . . . . . . . . 17,439,401
50,000,000 Commerzbank,
5.54%, 1/07/97 . . . . . . . . . . . . . . 49,953,833
Commonwealth Bank of Australia:
35,000,000 5.29%, 2/25/97 . . . . . . . . . . . . . . 34,717,132
21,000,000 5.40%, 3/20/97 . . . . . . . . . . . . . . 20,754,300
Delaware Funding Corp.:
35,000,000 5.30%, 2/20/97 . . . . . . . . . . . . . . 34,742,361
18,348,000 5.40%, 2/20/97 . . . . . . . . . . . . . . 18,210,390
35,000,000 Finnish Export Credit Ltd.,
5.45%, 1/14/97 . . . . . . . . . . . . . . 34,931,118
40,000,000 First Boston,
5.33%, 1/09/97 . . . . . . . . . . . . . . 39,952,622
General Electric Capital Corp.:
5,000,000 5.41%, 1/10/97 . . . . . . . . . . . . . . 4,993,238
25,000,000 5.30%, 2/21/97 . . . . . . . . . . . . . . 24,812,292
31,000,000 5.38%, 3/17/97 . . . . . . . . . . . . . . 30,652,542
10,000,000 5.34%, 4/29/97 . . . . . . . . . . . . . . 9,824,967
15,000,000 5.70%, 5/30/97 . . . . . . . . . . . . . . 14,646,125
6,500,000 Hitachi American Ltd.,
5.40%, 3/25/97 . . . . . . . . . . . . . . 6,419,075
Heinz (H.J.) Co.:
17,500,000 5.40%, 1/10/97 . . . . . . . . . . . . . . 17,476,375
18,000,000 5.40%, 1/13/97 . . . . . . . . . . . . . . 17,967,600
22,000,000 5.37%, 1/16/97 . . . . . . . . . . . . . . 21,950,775
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$26,335,000 International Lease Finance,
5.32%, 1/06/97 . . . . . . . . . . . . . . $26,315,541
14,000,000 Internationale Nederlanden (U.S.)
Funding Corp.,
5.35%, 4/14/97 . . . . . . . . . . . . . . 13,785,703
30,800,000 Kingdom of Spain,
5.50%, 3/06/97 . . . . . . . . . . . . . . 30,498,844
Kingdom of Sweden:
20,000,000 5.38%, 1/28/97 . . . . . . . . . . . . . . 19,919,300
2,169,000 5.60%, 2/14/97 . . . . . . . . . . . . . . 2,154,154
48,000,000 5.29%, 2/20/97 . . . . . . . . . . . . . . 47,647,333
40,000,000 5.29%, 2/24/97 . . . . . . . . . . . . . . 39,682,600
5,000,000 MCI Communications Corp.,
5.47%, 4/30/97 . . . . . . . . . . . . . . 4,909,593
Merrill Lynch & Co.:
20,000,000 5.45%, 1/23/97 . . . . . . . . . . . . . . 19,933,389
40,000,000 5.30%, 1/24/97 . . . . . . . . . . . . . . 39,863,789
30,000,000 5.34%, 1/27/97 . . . . . . . . . . . . . . 29,884,300
35,000,000 5.32%, 2/03/97 . . . . . . . . . . . . . . 34,829,317
Morgan Stanley Group, Inc.:
31,500,000 5.32%, 2/10/97 . . . . . . . . . . . . . . 31,313,800
45,000,000 5.32%, 2/14/97 . . . . . . . . . . . . . . 44,707,400
50,000,000 National Australia Funding (DE), Inc.,
5.41%, 1/06/97 . . . . . . . . . . . . . . 49,962,431
8,000,000 National Rural Utility Cooperative
Financial Corp.,
5.30%, 3/11/97 . . . . . . . . . . . . . . 7,918,733
8,000,000 Pacific Dunlop Holdings, Inc.,
5.32%, 1/31/97 . . . . . . . . . . . . . . 7,964,533
35,000,000 Pfizer, Inc.,
5.28%, 3/19/97 . . . . . . . . . . . . . . 34,604,733
Receivables Capital Corp.:
15,000,000 5.50%, 1/03/97 . . . . . . . . . . . . . . 14,995,417
6,200,000 5.43%, 1/31/97 . . . . . . . . . . . . . . 6,171,945
25,000,000 Royal Bank of Canada,
5.32%, 1/31/97 . . . . . . . . . . . . . . 24,889,167
Sheffield Receivables Corp.:
20,000,000 5.68%, 1/23/97 . . . . . . . . . . . . . . 19,930,578
13,000,000 5.35%, 2/03/97 . . . . . . . . . . . . . . 12,936,246
9,300,000 5.35%, 2/04/97 . . . . . . . . . . . . . . 9,253,009
See Notes to Financial Statements on Page 27
14
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$ 8,100,000 TransAmerica Finance Corp.,
5.42%, 1/06/97 . . . . . . . . . . . . . . $ 8,093,903
25,000,000 Xerox Corp.,
5.37%, 1/13/97 . . . . . . . . . . . . . . 24,955,250
20,000,000 Wool International,
5.30%, 1/16/97 . . . . . . . . . . . . . . 19,955,833
--------------
TOTAL COMMERICAL PAPER
(Amortized Cost - $1,358,933,292) . . . . . . . . . . . . $1,358,933,292
--------------
EURODOLLAR TIME DEPOSITS - 15.67%
140,000,000 Banco Bilbao Vizcaya,
7.00%, 1/02/97 . . . . . . . . . . . . . . $140,000,000
10,000,000 Bank of America,
5.50%, 4/24/97. . . . . . . . . . . . . . 10,000,000
55,000,000 Bank Austria AG,
5.48%, 3/12/97 . . . . . . . . . . . . . . 55,000,000
25,000,000 Bank of Nova Scotia,
5.75%, 1/06/97. . . . . . . . . . . . . . . 25,000,000
Bank of Tokyo-Mitsubishi Limited:
25,000,000 5.532%, 1/09/97. . . . . . . . . . . . . . 25,000,000
28,000,000 5.50%, 2/14/97 . . . . . . . . . . . . . . 28,000,000
138,247,384 Chase Manhattan Bank Corp.,
7.00%, 1/02/97 . . . . . . . . . . . . . . 138,247,384
40,000,000 International Nederlanden,
5.81%, 3/06/97 . . . . . . . . . . . . . . 40,000,000
20,000,000 Rabobank,
5.50%, 4/30/97 . . . . . . . . . . . . . . 20,000,000
30,000,000 Toronto Dominion Bank,
5.42%, 1/23/97 . . . . . . . . . . . . . . 30,000,000
--------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost - $511,247,384) . . . . . . . . . . . . . $ 511,247,384
--------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
FLOATING RATE NOTES - 7.66%
American Express Centurion Bank:
Monthly Variable Rate,
$10,000,000 5.634%, 10/28/97 . . . . . . . . . . . . . $ 10,000,000
10,000,000 5.587%, 11/18/97. . . . . . . . . . . . . . 10,000,000
25,000,000 Avco Financial Services, Inc.
Monthly Variable Rate,
5.46%, 11/17/97. . . . . . . . . . . . . . 24,997,820
25,000,000 Bayerische Landesbank
Monthly Variable Rate,
5.475%, 1/15/97. . . . . . . . . . . . . . 24,999,310
10,000,000 Bear Stearns Company, Inc.
Monthly Variable Rate,
5.867%, 7/17/97. . . . . . . . . . . . . . 10,013,725
25,000,000 CoreStates Bank
Monthly Variable Rate,
5.533%, 11/07/97 . . . . . . . . . . . . . 25,000,000
40,000,000 General Electric Capital Corp.
Quarterly Variable Rate,
5.469%, 7/08/97. . . . . . . . . . . . . . 40,000,000
10,000,000 Merrill Lynch & Co.
Monthly Variable Rate,
5.461%, 10/31/97 . . . . . . . . . . . . . 9,996,721
25,000,000 PNC Bank Corp.
Quarterly Variable Rate,
5.568%, 11/25/97 . . . . . . . . . . . . . 24,984,487
Wachovia Bank of North Carolina:
Monthly Variable Rate,
20,000,000 5.437%, 3/03/97. . . . . . . . . . . . . . 19,997,552
25,000,000 5.539%, 4/25/97. . . . . . . . . . . . . . 24,992,767
25,000,000 Student Loan Marketing Association
Weekly Variable Rate,
5.24%, 9/28/98 . . . . . . . . . . . . . . 24,995,653
------------
TOTAL FLOATING RATE NOTES
(Amortized Cost - $249,978,035) . . . . . . . . . . . . . $249,978,035
------------
See Notes to Financial Statements on Page 27
15
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
REPURCHASE AGREEMENTS - 6.13%
$150,000,000 Tri-Party Repurchase Agreement
with Chase Securities,Inc., dated
12/31/96, 7.50%, principal and
interest in the amount of $150,062,500,
due 1/02/97 (Collateralized by Federal
National Mortgage Association Obligations,
par value of $247,618,495, 5.50% to 11.00%,
due 11/01/97 to
3/01/25, value of $153,000,496). . . . . . $150,000,000
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$50,000,000 Tri-Party Repurchase Agreement
with NationsBank, dated 12/31/96,
7.375%, principal and interest in
the amount of $50,020,486, due 1/02/97
(Collateralized by U.S. Treasury Note,
par value of $2,703,000, 7.75%, due
1/31/00, value of $2,924,761; U.S.
Treasury Bills, par value of $8,740,000,
due 2/06/97 to 6/05/97, value of
$8,551,830; Federal National Mortgage
Association Obligations, par value of
$18,971,071, 6.50%, due 3/28/97 to
4/01/26, value of $16,065,699; Tennessee
Valley Authority, par value of $300,000,
due 10/01/99, value of $323,364; Federal
Home Loan Bank, par value of $13,110,000,
6.01% to 6.91%, due 6/25/97 to 4/30/01,
value of $12,783,630; and Federal
Mortgage Association Corp., par value of
$11,254,481, 7.00% to 8.00%, due 5/01/00
to 12/01/26, value of $10,351,353).. . . . $ 50,000,000
--------------
TOTAL REPURCHASE AGREEMENTS
(Amortized Cost - $200,000,000) . . . . . . . . . . . . . $ 200,000,000
--------------
TOTAL INVESTMENTS
(Amortized Cost - $3,249,625,051). . . . . 99.62% $3,249,625,051
Other Assets Less Liabilities . . . . . . . 0.38% 12,284,641
------ --------------
NET ASSETS. . . . . . . . . . . . . . . . . 100% $3,261,909,692
------ --------------
------ --------------
- ------------
* Interest rates for Commercial Paper represents discount rates at the time
of purchase.
See Notes to Financial Statements on Page 27
16
NY TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
NEW YORK - 99.45%
$1,000,000 Buffalo, New York, G.O., RANS, Series A (LOC: Landesbank Hessen, New York), 4.25%, 7/15/97 $ 1,003,409
4,000,000 Great Neck North, New York, G.O., UFSD, TANS, 4.25%, 6/30/97. . . . . . . . . . . . . . . . . . 4,009,359
4,300,000 Great Neck North, New York Water Authority Water System Revenue, Series A, (FGIC Insured),
Variable Rate Weekly Demand Note, 4.00%, 1/1/20 (a) . . . . . . . . . . . . . . . . . . . . . . 4,300,000
3,000,000 Half Hollow Hills, New York, Huntington & Babylon, G.O., TANS, 4.25%, 6/27/97 . . . . . . . . . 3,005,829
2,000,000 Huntington, New York, G.O., UFSD, TANS, 4.25%, 6/24/97. . . . . . . . . . . . . . . . . . . . 2,004,133
1,000,000 Metropolitan Transportation Authority, New York, Commuter Facility Contract, Series 1,
(Escrowed to Maturity), 8.5%, 7/1/17, Prerefunded 7/1/97 @ 102. . . . . . . . . . . . . . . . . 1,043,411
500,000 Metropolitan Transportation Authority, New York, Transportation Facility Contract, Series 1,
(Escrowed to Maturity), 8.5%, 7/1/17, Prerefunded 7/1/97 @ 102. . . . . . . . . . . . . . . . . 520,760
690,000 Monroe County, New York, G.O., 4.50%, 6/1/97. . . . . . . . . . . . . . . . . . . . . . . . . . 692,156
1,600,000 Montgomery County, New York, I.D.A., Service Merchandise Co., (LOC: Canadian Imperial Bank ),
Variable Rate Monthly Demand Note, 3.70%, 12/31/24 (a). . . . . . . . . . . . . . . . . . . . . 1,600,000
500,000 New York City, New York, G.O. (LOC: Kredietbank), Variable Rate Daily Demand Note, 5.00%,
8/1/16 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500,000
300,000 New York City, New York, G.O. (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note,
4.50%, 8/1/17 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300,000
500,000 New York City, New York, G.O. (LOC: Morgan GuarantyTrust), Variable Rate Daily Demand Note,
4.50%, 8/15/18 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500,000
1,500,000 New York City, New York, G.O. 1,500,000 (LOC: Morgan Guaranty Trust), Variable Rate Daily
Demand Note, 4.50%, 8/15/19 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500,000
400,000 New York City, New York, G.O. (LOC: Union Bank of Switzerland), Variable Rate Daily Demand
Note, 4.50%, 8/15/22 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400,000
500,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue,
8.25%, 6/15/16, Prerefunded 6/15/97 @ 102 . . . . . . . . . . . . . . . . . . . . . . . . . . . 519,388
3,100,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue,
(Insured by FGIC), Variable Rate Daily Demand Note, 4.70%, 6/15/25 (a). . . . . . . . . . . . . 3,100,000
300,000 New York State Dormitory Authority Special Obligation - State University Educational Facility,
Series-A, (Escrowed to Maturity), 6.50%, 5/1/97. . . . . . . . . . . . . . . . . . . . . . . . 302,729
2,600,000 New York State Dormitory Authority Revenue, City University (Escrowed to Maturity),
8.125%, 7/1/17, Prerefunded 7/1/97 @ 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,707,896
3,500,000 New York State Energy Research & Development Authority, P.C.R., Rochester Gas and Electric,
(LOC: Credit Suisse), Variable Rate Monthly Demand Note, 3.40%, 10/1/14 (a) . . . . . . . . . . 3,500,000
3,800,000 New York State Energy Research & Development Authority, P.C.R., Niagara Mohawk Power ,
Series A, (LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note, 4.70%, 7/1/15 (a). . . 3,800,000
3,100,000 New York State Energy Research & Development Authority, P.C.R., Lilco Project,
(LOC: Deutsche Bank), 3.25%, 3/1/16, Mandatory Put 3/1/97 . . . . . . . . . . . . . . . . . . . 3,100,000
3,700,000 New York State Energy Research & Development Authority, P.C.R., New York Electric and Gas,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.75%, 6/1/29 (a). . . . . . . . 3,700,000
6,750,000 New York State Energy Research & Development Authority, P.C.R., Orange/Rockland Utility,
(AMBAC Insured), Variable Rate Weekly Demand Note, 3.80%, 8/01/15 (a) . . . . . . . . . . . . . 6,750,000
1,550,000 New York State Environmental Facilities, P.C.R., State Water Revolving Fund, Series B, 6.00%,
9/15/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,575,294
2,500,000 New York State, G.O., Series S, Tax Exempt Commercial Paper, 3.45%, 2/6/97. . . . . . . . . . . 2,500,000
3,780,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A,
(LOC: Chase Manhattan), Variable Rate Weekly Demand Note, 3.95%, 11/1/10 (a). . . . . . . . . . 3,780,000
675,000 New York State Job Development Authority, (LOC: Sumitomo Bank), Variable Rate Monthly
Demand Note, 3.60%, 3/1/99 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 675,000
1,555,000 New York State Job Development Authority, (LOC: Sumitomo Bank), Variable Rate Monthly
Demand Note, 3.65%, 3/1/00 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,555,000
2,000,000 New York State Local Government Assistance, Series A, (LOC: Credit Suisse, Union Bank of
Switzerland), Variable Rate Weekly Demand Note, 4.00%, 4/1/22 (a) . . . . . . . . . . . . . . . 2,000,000
3,800,000 New York State Local Government Assistance, Series G, (LOC: Westminster), Variable Weekly
Demand Note, 3.85%, 4/1/25 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,800,000
</TABLE>
See Notes to Financial Statements on Page 27
17
NY TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
$1,800,000 Onondaga County, New York , I.D.A., (LOC: Banque Nationale De Paris), Variable Rate Monthly
Demand Note, 3.40%, 11/13/98 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,800,000
700,000 Oyster Bay, New York, G.O., 3.75%, 2/15/97. . . . . . . . . . . . . . . . . . . . . . . . . . . 700,208
500,000 Oyster Bay, New York, G.O., (Insured by FGIC), 5.25%, 4/15/97 . . . . . . . . . . . . . . . . . 502,095
3,100,000 Senaca County, New York, I.D.A., Civic Facilities Revenue, (LOC: Barclays Bank),
Variable Rate Weekly Demand Note, 3.80%, 10/1/21 (a). . . . . . . . . . . . . . . . . . . . . . 3,100,000
1,100,000 Suffolk County, New York, I.D.A., Photronics Corporate Facility, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.95%, 1/1/98 (a). . . . . . . . . . . . . . . . . . . . . . . 1,100,000
1,100,000 Triborough Bridge and Tunnel Authority, Series K, 7.60%, 1/1/00, (Escrowed to Maturity),
Prerefunded 1/1/97 @ 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,122,000
2,500,000 Triborough Bridge and Tunnel Authority, Series K, 8.25%, 1/1/17, (Escrowed to Maturity),
Prerefunded 1/1/97 @ 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,550,000
-----------
TOTAL NEW YORK OBLIGATIONS (Amortized Cost - $75,618,667). . . . . . . . . . . . . . . . . . . . . . . . . . . . $75,618,667
-----------
PUERTO RICO - 2.02%
$ 200,000 Puerto Rico Commonwealth Government Development Bank, (LOC: Credit Suisse),
Variable Rate Weekly Demand Note, 3.75%, 12/1/15 (a). . . . . . . . . . . . . . . . . . . . . . $ 200,000
1,335,000 Puerto Rico Industrial Medical and Environmental Pollution Control Facilities Financing
Authority Revenue, (LOC: Bank of Tokyo-Mitsubishi), Variable Rate Weekly Demand Note, 4.10%,
12/1/15 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,335,000
------------
TOTAL PUERTO RICO OBLIGATIONS (Amortized Cost - $1,535,000). . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,535,000
------------
TOTAL INVESTMENTS (Amortized Cost - $77,153,667) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101.47% $ 77,153,667
Liabilities in Excess of Other Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.47%) (1,121,012)
------- ------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $ 76,032,655
------- ------------
------- ------------
</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.
The following abbreviations are used in portfolio descriptions:
AMBAC - American Municipal Bond Assurance Corporation
FGIC - Financial Guaranty Insurance Corporation
G.O. - General Obligation
I.D.A. - Industrial Development Authority
LOC - Letter of Credit
P.C.R. - Pollution Control Revenue
RANS - Revenue Anticipation Notes
TANS - Tax Anticipation Notes
UFSD - Union Free School District
See Notes to Financial Statements on Page 27
18
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
ARIZONA - 7.25%
$2,000,000 Chandler, Arizona, I.D.A., (LOC: National Westminster), Variable Rate Monthly
Demand Note, 3.70%, 12/15/09 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,000,000
2,800,000 Pinal County, Arizona, I.D.A., P.C.R., (LOC: National Westminster), Variable Rate Daily
Demand Note, 5.00%, 12/1/09 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,800,000
2,200,000 Pinal County, Arizona, I.D.A., P.C.R., Newmont Series A, (LOC: National Westminster),
Variable Rate Daily Demand Note, 5.00%, 12/1/09 (a). . . . . . . . . . . . . . . . . . . . . . . 2,200,000
1,500,000 Salt River Project, Arizona, Agriculture Improvement & Power District Electric System Revenue,
Series A, (Escrowed to Maturity), 7.50%, 1/1/27, Prerefunded 1/1/97 @ 102. . . . . . . . . . . . 1,530,000
-----------
8,530,000
-----------
CALIFORNIA - 3.50%
4,100,000 California State RANS, Series A, 4.50%, 6/30/97. . . . . . . . . . . . . . . . . . . . . . . . . 4,116,121
-----------
COLORADO - 4.94%
5,800,000 Colorado State TRANS, Series A, 4.50%, 6/27/97 . . . . . . . . . . . . . . . . . . . . . . . . . 5,818,265
-----------
FLORIDA - 20.67%
1,130,000 Dade County, Florida, Housing Finance Authority, Bermuda Villas, Series K,
(LOC: John Hancock Insurance), Variable Rate Weekly Demand Note, 4.35%, 2/1/05 (a) . . . . . . . 1,130,000
1,200,000 Dade County Florida, Housing Finance Authority, Cutler Club Apartments, Series J,
(LOC: John Hancock Insurance), Variable Rate Weekly Demand Note, 4.35%, 2/1/05 (a). . . . . . . 1,200,000
3,000,000 Dade County Florida, Housing Finance Authority, Nob Hill Project, Series 1,
(LOC: John Hancock Insurance), Variable Rate Weekly Demand Note, 4.35%, 8/1/05 (a) . . . . . . . 3,000,000
3,200,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank), Variable Rate Weekly
Demand Note, 3.85%, 12/1/07 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,200,000
5,800,000 Palm Beach County, Florida, Water and Sewer Revenue, (LOC: Sanwa Bank),
Variable Rate Daily Demand Note, 5.00%, 10/1/11 (a). . . . . . . . . . . . . . . . . . . . . . . 5,800,000
5,500,000 Pinellas County, Florida, Health Facility Authority Revenue, Pooled Hospital Loan Program,
(LOC: Chase Manhattan), Variable Rate Daily Demand Note, 4.80%, 12/1/15 (a). . . . . . . . . . . 5,500,000
1,000,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial Paper,
(LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland), 3.40%, 4/4/97 . . . . . 1,000,000
3,500,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial Paper,
(LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland), 3.45%, 4/4/97 . . . . . 3,500,000
----------
24,330,000
----------
ILLINOIS - 2.21%
1,300,000 Burbank, Illinois, I.D.R., Service Merchandise Inc., (LOC: Canadian Imperial Bank),
Variable Rate Monthly Demand Note, 3.70%, 9/15/24 (a). . . . . . . . . . . . . . . . . . . . . . 1,300,000
1,250,000 Illinois State Sales Tax Revenue, Series E, (Escrowed to Maturity), 7.90%, 6/15/05,
Prerefunded 6/15/97 @ 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,298,648
----------
2,598,648
----------
IOWA - 4.75%
2,700,000 Des Moines, Iowa, C.D.A., East Grand Office Park Project, (Guaranteed by
Principal Financial Group), Variable Rate Monthly Demand Note, 3.90%, 4/1/15 (a) . . . . . . . . 2,700,000
2,895,000 Urbandale, Iowa, I.D.R., Meredith Drive Associates, (Guaranteed by Principal Financial Group),
Variable Rate Monthly Demand Note, 3.90%, 11/1/15 (a). . . . . . . . . . . . . . . . . . . . . . 2,895,000
----------
5,595,000
----------
KANSAS 2.29%
1,400,000 Fairway, Kansas, I.D.R., J.C. Nichols Project, (Guaranteed by Principal Financial Group),
Variable Rate Monthly Demand Note, 3.90%, 11/1/14 (a). . . . . . . . . . . . . . . . . . . . . . 1,400,000
1,300,000 Prairie Village, Kansas Multi-Family Revenue, J.C. Nichols Project, (Guaranteed by
Principal Insurance Group), Variable Rate Monthly Demand Note, 3.90%, 12/1/15 (a). . . . . . . . 1,300,000
----------
2,700,000
----------
</TABLE>
See Notes to Financial Statements on Page 27
19
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
LOUISIANA - 0.85%
$1,000,000 Jefferson Parish, Louisiana Hospital Revenue, West Jefferson Medical Center,
(LOC: Rabobank Nederland), Variable Rate Weekly Demand Note, 4.10%, 1/1/26 (a) . . . . . . . . . $ 1,000,000
-----------
MASSACHUSETTS - 4.77%
5,600,000 Massachusetts State, Series A, 4.25%, 6/10/97. . . . . . . . . . . . . . . . . . . . . . . . . . 5,609,309
-----------
MICHIGAN - 1.53%
1,800,000 Michigan State Housing Authority, Series C, (LOC: Credit Suisse),
Variable Rate Weekly Demand Note, 4.15%, 4/1/19 (a). . . . . . . . . . . . . . . . . . . . . . . 1,800,000
-----------
MISSOURI - 2.97%
2,200,000 Kansas City, Missouri, I.D.A., Coach House Project, (Guaranteed by Principal Financial Group),
Variable Rate Monthly Demand Note, 3.90%, 12/1/15 (a) . . . . . . . . . . . . . . . . . . . . . 2,200,000
1,300,000 St. Louis, Missouri, I.D.A., Cedar Run Apartments Project, (LOC: John Hancock Insurance),
Variable Rate Weekly Demand Note, 4.35%, 2/1/07 (a). . . . . . . . . . . . . . . . . . . . . . . 1,300,000
-----------
3,500,000
-----------
NEW HAMPSHIRE -1.78%
2,100,000 New Hampshire State, I.D.A., (LOC: Union Bank of Switzerland),
Variable Rate Monthly Demand Note, 3.65%, 7/1/13 (a) . . . . . . . . . . . . . . . . . . . . . . 2,100,000
-----------
NEW YORK - 17.45%
400,000 New York City, New York, G.O., (LOC: Morgan Guaranty Trust ),
Variable Rate Daily Demand Note, 4.50%, 8/15/18 (a). . . . . . . . . . . . . . . . . . . . . . . 400,000
300,000 New York City, New York, G.O., (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.50%, 8/15/19(a) . . . . . . . . . . . . . . . . . . . . . . . 300,000
400,000 New York City, New York, G.O., Series B, (Insured FGIC ),
Variable Rate Daily Demand Note, 4.50%, 10/1/20 (a). . . . . . . . . . . . . . . . . . . . . . . 400,000
700,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland),
Variable Rate Daily Demand Note, 4.50%, 8/15/21 (a). . . . . . . . . . . . . . . . . . . . . . . 700,000
400,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland),
Variable Rate Daily Demand Note, 4.50%, 8/15/22 (a). . . . . . . . . . . . . . . . . . . . . . . 400,000
400,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland),
Variable Rate Daily Demand Note, 4.50%, 8/15/23 (a). . . . . . . . . . . . . . . . . . . . . . . 400,000
2,000,000 New York State Dormitory Authority, City University System, Series A,
(Escrowed to Maturity), 8.125%, 7/1/17, Prerefunded 7/1/97 @102. . . . . . . . . . . . . . . . . 2,083,699
600,000 New York State Energy Research and Development Authority, P.C.R., New York Electric and Gas,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.75%, 6/1/29 (a) . . . . . . . . 600,000
4,400,000 New York State Energy Research and Development Authority, P.C.R., Niagara Mohawk Power,
Series A, (LOC: Toronto Dominion), Variable Rate Daily Demand Note, 4.70%, 7/1/15 (a). . . . . . 4,400,000
2,300,000 New York State Housing Finance Agency, Hospital Special Surgery Staff,
(LOC: Chase Manhattan), Variable Rate Weekly Demand Note, 3.95%, 11/1/10 (a) . . . . . . . . . . 2,300,000
1,800,000 New York State Local Assistance, Series A, (LOC: Credit Suisse, Union Bank of Switzerland),
Variable Rate Weekly Demand Note, 4.00%, 4/1/22 (a). . . . . . . . . . . . . . . . . . . . . . . 1,800,000
3,100,000 New York State Local Assistance, Series G, (LOC: National Westminster),
Variable Rate Weekly Demand Note, 3.85%, 4/1/25 (a). . . . . . . . . . . . . . . . . . . . . . . 3,100,000
1,500,000 New York State, Series S, Tax-Exempt Commerical Paper, 3.45%, 2/7/97 . . . . . . . . . . . . . . 1,500,000
1,110,000 Triborough Bridge and Tunnel Authority, Series K, (Escrowed to Maturity), 7.60%, 1/1/00,
Prerefunded 1/1/97 @ 102 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,132,200
1,000,000 Triborough Bridge and Tunnel Authority, Series K, (Escrowed to Maturity), 7.70%, 1/1/01,
Prerefunded 1/1/97 @ 102 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,020,000
-----------
20,535,899
-----------
</TABLE>
See Notes to Financial Statements on Page 27
20
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
OHIO - 8.09%
$5,500,000 Cuyahoga County, Ohio, Hospital Revenue, University Hospital Cleveland,
(LOC: Dai-Ichi Kangyo), Variable Rate Daily Demand Note, 5.00%, 1/1/16 (a) . . . . . . . . . . . $ 5,500,000
4,000,000 Ohio State, G.O., Series T, 4.80%, 5/15/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,022,360
-------------
9,522,360
-------------
PENNSYLVANIA - 1.45%
700,000 Lehigh County, Pennsylvania, I.D.R., Allegheny Electric, (LOC:Rabobank Nederland),
Variable Rate Monthly Demand Note, 3.65%, 6/1/14 (a) . . . . . . . . . . . . . . . . . . . . . . 700,000
1,000,000 Pennsylvania State TANS, 4.50%, 6/30/97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,005,419
-------------
1,705,419
-------------
SOUTH CAROLINA - 0.85%
500,000 South Carolina State, G.O., Series U, 7.60%, 2/1/97. . . . . . . . . . . . . . . . . . . . . . . 501,805
500,000 South Carolina State, G.O., Series V, 6.50%, 2/1/97. . . . . . . . . . . . . . . . . . . . . . . 501,370
-------------
1,003,175
-------------
TEXAS - 6.52%
2,645,000 Texas Small Business, I.D.R., Texas Public Facilities, (LOC: Credit Suisse,
National Westminster), Variable Rate Weekly Demand Note, 4.15%, 7/1/26 (a) . . . . . . . . . . . 2,645,000
5,000,000 Texas State, TRANS, 4.75%, 8/29/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,028,492
-------------
7,673,492
-------------
VERMONT - 4.02%
4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion), Variable Rate
Monthly Demand Note, 3.70%, 12/1/13 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,735,000
-------------
VIRGINIA - 0.85%
1,000,000 Virginia State Transportation Board, Route 28 Project, (Escrowed to Maturity), 6.80%, 3/1/97 . . 1,005,148
-------------
WASHINGTON - 4.64%
5,455,000 Chelan County, Washington, Public Utility District 1, (Insured by MBIA),
Variable Rate Weekly Demand Note, 4.00%, 6/1/15 (a). . . . . . . . . . . . . . . . . . . . . . . 5,455,000
-------------
WYOMING - 3.82%
2,000,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper,
(LOC: Union Bank of Switzerland), 3.45%, 2/6/97. . . . . . . . . . . . . . . . . . . . . . . . . 2,000,000
1,000,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper,
(LOC: Union Bank of Switzerland), 3.50%, 3/3/97. . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000
1,500,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper,
(LOC: Union Bank of Switzerland), 3.50%, 3/3/97. . . . . . . . . . . . . . . . . . . . . . . . . 1,500,000
-------------
4,500,000
-------------
TOTAL INVESTMENTS - (Amortized Cost - $123,832,836) . . . . . . . . . . . . . . . . . . . . . . . . . . 105.20% $123,832,836
Liabilities in Excess of Other Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (5.20%) (6,119,070)
------- ------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $117,713,766
------- ------------
------- ------------
</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.
The following abbreviations are used in portfolio descriptions:
C.D.A. - Community Development Authority
G.O. - General Obligation
I.D.A. - Industrial Development Authority
I.D.R. - Industrial Development Revenue
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
P.C.R. - Pollution Control Revenue
RANS - Revenue Anticipation Notes
TANS - Tax Anticipation Notes
TRANS - Tax Revenue Anticipation Notes
See Notes to Financial Statements on Page 27
21
TREASURY MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
U.S. TREASURY NOTES - 36.26%
$260,000,000 7.50%, 1/31/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $260,436,835
50,000,000 6.625%, 3/31/97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,166,400
25,000,000 6.875%, 3/31/97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,099,542
77,000,000 6.50%, 4/30/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77,207,354
49,000,000 6.50%, 5/15/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49,182,354
255,000,000 5.875%, 7/31/97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255,667,028
------------
TOTAL U.S. TREASURY NOTES (Amortized Cost - $717,759,513). . . . . . . . . . . . . . . . . . . . . . . . . . . . $717,759,513
------------
------------
REPURCHASE AGREEMENTS - 62.86%
$ 75,000,000 Tri-Party Repurchase Agreement with Chase Manhattan Bank Corp., dated 12/31/96, 6.45%,
principal & interest in the amount of $75,026,875, due 1/02/97, (Collateralized by U.S.
Treasury Notes, par value of $72,975,000, 6.375% to 6.875%, due 7/15/99 to 7/31/99,
value of $76,504,120) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 75,000,000
150,000,000 Repurchase Agreement with J.P. Morgan, dated 12/31/96, 6.00%, principal & interest in the
amount of $150,050,000, due 1/02/97, (Collateralized by U.S. Treasury Notes, par value of
$151,737,000, 4.75% to 5.625%, due 2/15/97 to 3/31/98, value of $151,911,874) . . . . . . . . . 150,000,000
75,000,000 Tri-Party Repurchase Agreement with Sanwa Bank, Ltd., dated 12/31/96, 6.50%, principal &
interest in the amount of $75,027,083, due 1/02/97, (Collateralized by U.S. Treasury Notes, par
value of $70,472,000, 4.75% to 7.875%, due 7/31/97 to 11/30/01, value of $71,780,437;
U.S. Treasury Bills, par value of $4,726,000, due 1/09/97, value of $4,720,211) . . . . . . . . 75,000,000
75,000,000 Tri-Party Repurchase Agreement with Swiss Bank Corp., dated 12/31/96, 6.00%, principal &
interest in the amount of $75,025,000, due 1/02/97, (Collateralized by U.S. Treasury Bonds,
par value of $64,565,000, 6.00% to 10.625%, due 8/15/15 to 2/15/26, value of $77,159,097) . . . 75,000,000
100,000,000 Tri-Party Repurchase Agreement with United Bank of Switzerland, dated 11/26/96, 5.34%,
principal & interest in the amount of $100,608,167, due 1/06/97, (Collateralized by U.S.
Treasury Notes, par value of $30,945,000, 6.875%, due 8/31/99, value of $32,396,936; U.S.
Treasury Strips, par value of $219,600,000, 6.75% to 9.25%, due 11/15/97 to 8/15/26,
value of $69,606,071) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000,000
25,000,000 Tri-Party Repurchase Agreement with United Bank of Switzerland, dated 12/05/96, 5.35%,
principal & interest in the amount of $25,118,889, due 1/06/97, (Collateralized by U.S. Treasury
Note, par value of $24,360,000, 6.875%, due 8/31/99, value of $25,502,969). . . . . . . . . . . 25,000,000
69,428,366 Tri-Party Repurchase Agreement with Morgan Stanley Group, Inc., dated 12/31/96, 6.25%,
principal & interest in the amount of $69,452,473, due 1/02/97, (Collateralized by U.S.
Treasury Note, par value of $28,943,000, 6.375%, due 3/31/01, value of $29,744,942; U.S.
Treasury Bonds, par value of $32,837,000, 7.875% to 10.375%, due 11/15/12 to 2/15/21,
value of $41,736,149) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69,428,366
150,000,000 Tri-Party Repurchase Agreement with Smith Barney, Inc., dated 12/31/96, 6.25%, principal &
interest in the amount of $150,052,083, due 1/02/97, (Collateralized by U.S. Treasury Strips,
par value of $124,401,000, due 5/15/97 to 8/15/25, value of $65,585,915; U.S. Treasury Notes,
par value of $74,138,000, 6.125% to 6.875%, due 3/31/97 to 7/31/00, value of $75,885,491;
U.S. Treasury Bonds, par value of $9,470,000, 6.50% to 11.875%, due 11/15/03 to 11/15/26,
value of $11,528,631) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150,000,000
200,000,000 Open Tri-Party Repurchase Agreement with Canadian Imperial Bank of Commerce dated
11/14/96, Daily Variable Rate, principal and interest in the amount of $200,075,000,
(Collateralized by U.S. Treasury Bonds, par value of $107,217,000, 6.75% to 12.00%,
due 5/15/05 to 8/15/26, value of $119,656,064; U.S. Treasury Notes, par value of $82,100,000,
6.00% to 8.50%, due 4/15/97 to 7/15/06, value of $84,346,234) . . . . . . . . . . . . . . . . . 200,000,000
100,000,000 Tri-Party Repurchase Agreement with Goldman Sachs & Co., dated 12/31/96, 6.25%, principal
& interest in the amount of $100,034,722, due 1/02/97, (Collateralized by U.S. Treasury Strips,
par value of $10,922,400, due 8/15/02 to 5/15/09, value of $6,213,082; U.S. Treasury Bonds,
par value of $79,414,000, 8.125%, due 8/15/21, value of $95,786,923). . . . . . . . . . . . . . 100,000,000
150,000,000 Tri-Party Repurchase Agreement with Goldman Sachs & Co., dated 12/31/96, 6.60%, principal
& interest in the amount of $150,055,000, due 1/02/97, (Collateralized by U.S. Treasury Strips,
par value of $16,383,600, due 8/15/02 to 5/15/09, value of $9,319,623; U.S. Treasury
Bonds, par value of $119,121,000, 8.125%, due 8/15/21, value of $143,680,385) . . . . . . . . . 150,000,000
</TABLE>
See Notes to Financial Statements on Page 27
22
TREASURY MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
$75,000,000 Repurchase Agreement with Merrill Lynch, dated 12/31/96, 6.25%, principal & interest in the
amount of $75,026,042, due 1/02/97, (Collateralized by U.S. Treasury Strips, par value of
$135,775,000, due 8/15/01 to 2/15/09, value of $76,500,000). . . . . . . . . . . . . . . . . . . $ 75,000,000
--------------
TOTAL REPURCHASE AGREEMENTS (Amortized Cost - $1,244,428,366). . . . . . . . . . . . . . . . . . . . . . . . . . $1,244,428,366
--------------
TOTAL INVESTMENTS (Amortized Cost $1,962,187,879). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99.12% $1,962,187,879
Other Assets Less Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.88% 17,524,967
------- --------------
Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .100.00% $1,979,712,846
------- --------------
</TABLE>
See Notes to Financial Statements on Page 27
23
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
-------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at Value* . . . . . . . . . . . . . $3,249,625,051 $ 77,153,667 $ 123,832,836 $ 1,962,187,879
Cash . . . . . . . . . . . . . . . . . . . . . . -- 8,796 9,232 2,316
Interest Receivable. . . . . . . . . . . . . . . 12,803,264 695,517 986,369 17,820,000
Prepaid Expenses and Other . . . . . . . . . . . 14,044 379 573 25,211
-------------- ------------- ------------- ---------------
Total Assets . . . . . . . . . . . . . . . . . . . 3,262,442,359 77,858,359 124,829,010 1,980,035,406
-------------- ------------- ------------- ---------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . 494,489 7,233 13,424 299,934
Payable for Securities Purchased . . . . . . . . -- 1,800,000 7,082,306 --
Accrued Expenses and Other . . . . . . . . . . . 38,178 18,471 19,514 22,626
-------------- ------------- ------------- ---------------
Total Liabilities. . . . . . . . . . . . . . . . . 532,667 1,825,704 7,115,244 322,560
-------------- ------------- ------------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . $3,261,909,692 $ 76,032,655 $ 117,713,766 $ 1,979,712,846
-------------- ------------- ------------- ---------------
-------------- ------------- ------------- ---------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . $3,261,909,692 $ 76,032,655 $ 117,713,766 $ 1,979,712,846
-------------- ------------- ------------- ---------------
NET ASSETS, DECEMBER 31, 1996. . . . . . . . . . . $3,261,909,692 $ 76,032,655 $ 117,713,766 $ 1,979,712,846
-------------- ------------- ------------- ---------------
-------------- ------------- ------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . $ 179,419,733 $ 2,920,613 $ 4,423,864 $ 99,248,066
------------- ------------- ------------- ---------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . 4,935,288 129,423 187,326 2,787,544
Administration and Services Fees . . . . . . . . 1,645,096 43,141 62,442 929,181
Professional Fees. . . . . . . . . . . . . . . . 49,838 37,290 39,841 39,224
Trustees Fees. . . . . . . . . . . . . . . . . . 2,365 2,315 2,315 2,365
Printing and Shareholder Reports . . . . . . . . -- 588 588 --
Miscellaneous. . . . . . . . . . . . . . . . . . 50,988 810 1,088 18,941
------------- ------------- ------------- ---------------
Total Expenses . . . . . . . . . . . . . . . . . 6,683,575 213,567 293,600 3,777,255
Less: Expenses Absorbed by Bankers Trust. . . . (761,230) (41,003) (43,832) (60,530)
------------- ------------- ------------- ---------------
Net Expenses . . . . . . . . . . . . . . . . . 5,922,345 172,564 249,768 3,716,725
------------- ------------- ------------- ---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . 173,497,388 2,748,049 4,174,096 95,531,341
REALIZED GAIN (LOSS) FROM INVESTMENT TRANSACTIONS. 102,443 (2,716) (8,495) 217,057
------------- ------------- ------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . $ 173,599,831 $ 2,745,333 $ 4,165,601 $ 95,748,398
------------- ------------- ------------- ---------------
------------- ------------- ------------- ---------------
</TABLE>
- -------------------
* For the Treasury Money Portfolio, includes repurchase agreements amounting to
$1,244,428,366.
See Notes to Financial Statements on Page 27
24
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH MANAGEMENT NY TAX FREE MONEY
------------------------------------ -------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995 DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . $ 173,497,388 $ 148,091,392 $ 2,748,049 $ 3,021,622
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . 102,443 268,537 (2,716) (1,746)
---------------- --------------- ------------ ------------
Net Increase in Net Assets from Operations . . 173,599,831 148,359,929 2,745,333 3,019,876
---------------- --------------- ------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . 20,303,004,962 35,062,532,338 248,919,074 474,692,146
Value of Capital Withdrawn. . . . . . . . . (19,831,740,806) (35,329,985,394) (246,564,588) (486,113,554)
---------------- --------------- ------------ ------------
Net Increase (Decrease) in Net Assets from
Capital Transactions. . . . . . . . . . . . 471,264,156 (267,453,056) 2,354,486 (11,421,408)
---------------- --------------- ------------ ------------
CONTRIBUTIONS OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . . 1,113,488 -- -- --
---------------- --------------- ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . 645,977,475 (119,093,127) 5,099,819 (8,401,532)
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . 2,615,932,217 2,735,025,344 70,932,836 79,334,368
---------------- --------------- ------------ ------------
End of Year. . . . . . . . . . . . . . . . . . $ 3,261,909,692 $ 2,615,932,217 $ 76,032,655 $ 70,932,836
---------------- --------------- ------------ ------------
---------------- --------------- ------------ ------------
<CAPTION>
TX FREE MONEY TREASURY MONEY
------------------------------------ -------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995 DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . $ 4,174,096 $ 4,602,523 $ 95,531,341 $ 65,712,157
Net Realized Gain (Loss) from Investment
Transactions. . . . . . . . . . . . . . . (8,495) (25,049) 217,057 244,290
---------------- --------------- --------------- ------------
Net Increase in Net Assets from Operations . . 4,165,601 4,577,474 95,748,398 65,956,447
---------------- --------------- --------------- ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . 336,717,831 802,388,131 13,280,023,129 12,489,163,533
Value of Capital Withdrawn. . . . . . . . . (342,872,465) (797,670,460) (13,337,140,277) (11,496,812,976)
---------------- --------------- --------------- ------------
Net Increase (Decrease) in Net Assets from
Capital Transactions. . . . . . . . . . . . (6,154,634) 4,717,671 (57,117,148) 992,350,557
---------------- --------------- --------------- ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . (1,989,033) 9,295,145 38,631,250 1,058,307,004
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . 119,702,799 110,407,654 1,941,081,596 882,774,592
---------------- --------------- -------------- --------------
End of Year. . . . . . . . . . . . . . . . . . $ 117,713,766 $ 119,702,799 $1,979,712,846 $1,941,081,596
---------------- --------------- -------------- --------------
---------------- --------------- -------------- --------------
</TABLE>
See Notes to Financial Statements on Page 27
25
- --------------------------------------------------------------------------------
BT PORTFOLIOS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the years
indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CASH MANAGEMENT
-----------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------
1996 1995 1994 1993 1992
----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . $ 3,261,910 $2,615,932 $2,735,025 $1,930,075 $1,438,688
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 5.27% 5.77% 4.24% 3.06% 3.52%
Expenses . . . . . . . . . . . . . . . . . . . . 0.18% 0.18% 0.18% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.02% 0.02% 0.02% 0.00%+ 0.00%+
<CAPTION>
NY TAX FREE MONEY
-----------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------
1996 1995 1994 1993 1992
----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . $ 76,033 $ 70,933 $ 79,334 $ 104,188 $ 101,419
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 3.18% 3.62% 2.60% 2.21% 2.90%
Expenses . . . . . . . . . . . . . . . . . . . . 0.20% 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.05% 0.04% 0.03% 0.03% 0.03%
<CAPTION>
TAX FREE MONEY
-----------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------
1996 1995 1994 1993 1992
----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . $ 117,714 $ 119,703 $ 110,408 $ 111,604 $ 157,634
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 3.34% 3.82% 2.76% 2.50% 3.18%
Expenses . . . . . . . . . . . . . . . . . . . . 0.20% 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.04% 0.03% 0.03% 0.02% 0.02%
<CAPTION>
TREASURY MONEY
-----------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------
1996 1995 1994 1993 1992
----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . $ 1,979,713 $1,941,082 $ 882,775 $ 789,479 $1,408,114
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 5.14% 5.58% 3.93% 2.93% 3.44%
Expenses . . . . . . . . . . . . . . . . . . . . 0.20% 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust. . . . 0.00%+ 0.01% 0.01% 0.01% 0.01%
</TABLE>
- -----------------------
+ Less than 0.01%.
See Notes to Financial Statements on Page 27
26
- --------------------------------------------------------------------------------
BT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio
and Treasury Money Portfolio (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as open-end management investment companies. The following
portfolios were organized as an unincorporated trust under the laws of New York
and commenced operations as follows:
ORGANIZATION COMMENCEMENT
PORTFOLIO DATE OF OPERATIONS
- -------------------- ------------ -----------------
Cash Management March 26, 1990 July 23, 1990
NY Tax Free Money March 26, 1990 February 19, 1991
Tax Free Money March 26, 1990 February 19, 1991
Treasury Money March 26, 1990 July 23, 1990
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
B. SECURITY VALUATION
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of each Portfolio's investments.
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 securities transactions
are recorded on the identified cost basis.
D. REPURCHASE AGREEMENTS
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Adviser,
subject to the seller's agreement to repurchase such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
deposited with the Portfolios' 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 Portfolios 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 Portfolios
maintain the right to sell the underlying securities at market value and may
claim any resulting loss against the seller. However, in the event of default or
bankruptcy by the seller, realization and/or retention of the collateral may be
subject to legal proceedings.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolios are allocated pro rata among
the investors in the respective Portfolios at the time of such determination.
E. FEDERAL INCOME TAXES
It is each 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
Each 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 each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregate fees for
each of the respective Portfolios for the year ended December 31, 1996:
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ------------------- ------------ ---------------
Cash Management 0.05 of 1% $ 1,645,096
NY Tax Free Money 0.05 of 1% 43,141
Tax Free Money 0.05 of 1% 62,442
Treasury Money 0.05 of 1% 929,181
Each 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 the Portfolio's average
daily net assets. The following provides a table of annual rates and aggregate
fees for each of the respective Portfolios for the year ended December 31, 1996:
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ------------------- ------------ ---------------
Cash Management 0.15 of 1% $ 4,935,288
NY Tax Free Money 0.15 of 1% 129,423
Tax Free Money 0.15 of 1% 187,326
Treasury Money 0.15 of 1% 2,787,544
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses based upon an annual
rate of the average daily net assets of the Portfolio. For the year ended
December 31, 1996, the annual rates and expense reductions for the respective
Portfolios were as follows:
WAIVERS AND
REIMBURSEMENT
PORTFOLIO ANNUAL RATE AMOUNT
- ------------------- ------------ ---------------
Cash Management 0.18 of 1% $ 761,230
NY Tax Free Money 0.20 of 1% 41,003
Tax Free Money 0.20 of 1% 43,832
Treasury Money 0.20 of 1% 60,530
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Edgewood Services, Inc., the distributor of the BT
Investment Funds. None of the trustees so affiliated received compensation for
services as trustees of the Portfolios. Similarly, none of the Portfolios'
officers received compensation from the Portfolios.
In 1996, Bankers Trust contributed capital in the amount of $1,113,488 to
reimburse the Cash Management Portfolio for long term capital losses in prior
years.
27
- --------------------------------------------------------------------------------
BT PORTFOLIOS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the BT Portfolios:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Cash Management, NY Tax Free
Money, Tax Free Money and Treasury Money Portfolios (the "Portfolios") as of
December 31, 1996, 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 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, 1996, 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 each
of the Portfolios as of December 31, 1996, the results of their operations, the
changes in their net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 12,1997
28
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29
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30
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31
BT INVESTMENT FUNDS
Cash Management Fund
NY Tax Free Money Fund
Tax Free Money Fund
Treasury Money Fund
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 BT Investment
Funds may be obtained by calling or writing to Investors Fiduciary Trust Company
or Edgewood Services,Inc., the primary Servicing Agent and Distributor,
respectively, of BT Investment Funds:
BT Investment Funds
DST Systems, Inc.
210 West 10th Street
Kansas City, MO 64105
(800) 730-1313
BT Investment Funds
Edgewood Services, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
You may write to the BT Investment Funds
at the following address:
BT Investment Funds
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
A1. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of Cash Management
Fund. The chart is divided into five sections as follows: Repurchase
Agreements, 6%; Floating Rate Notes, 8%; Eurodollar Time Deposits, 16%;
Certificates of Deposit, 28%; and Commercial Paper, 42%.
A2. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of NY Tax Free
Money Fund. The chart is divided into five sections as follows:
Commercial Paper, 3%; G.O. Bonds, 8%; G.O. Notes, 12%; Revenue Bonds, 13%;
and Floating Rate Demand Notes, 64%.
A3. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of Tax Free Money
Fund. The chart is divided into seven sections as follows: Tax
Anticipation Notes, 1%; Tax Revenue Anticipation Notes, 5%; Revenue Bonds,
6%; G.O. Notes, 7%; Commercial Paper, 9%; G.O. Bonds, 10%; and Floating
Rate Demand Notes, 62%.
A4. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of Treasury Money
Fund. The chart is divided into two sections as follows: U.S. Treasury
Notes, 37%, and Repurchase Agreements, 63%.
