<PAGE>
- BT INVESTMENT FUNDS -
----------------------------
CASH MANAGEMENT FUND
NY TAX FREE MONEY FUND
TAX FREE MONEY FUND
TREASURY MONEY FUND
----------------------------
SEMI - ANNUAL REPORT
-----------------------------------
JUNE - 1997
<PAGE>
- --------------------------------------------------------------------------------
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
BT PORTFOLIOS
Schedules of Portfolio Investments . . . . . . . . . . . .11
Statement of Assets and Liabilities. . . . . . . . . . . .21
Statement of Operations. . . . . . . . . . . . . . . . . .21
Statement of Changes in Net Assets . . . . . . . . . . . .22
Financial Highlights . . . . . . . . . . . . . . . . . . .23
Notes to Financial Statements. . . . . . . . . . . . . . .24
2
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT FUNDS
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
MARKET ACTIVITY
Similar to the environment of the preceding nine months or so, the money markets
were dominated virtually throughout the six months ended June 30, 1997, by
ongoing concerns about inflation pressures, an overly strong economy, and an
official move in interest rates by the Federal Reserve Board. The difference
was that during this period, there actually was action by the Federal Reserve
Board, and thus there was much more interest rate volatility in comparison.
For example, 1-year Treasury bills increased 0.50% in yield during the first
calendar quarter and subsequently decreased 0.34% in yield during the second
calendar quarter.
On March 25, 1997, the Federal Reserve Board increased the fed funds rate from
5.25% to 5.50%--the first increase in over two years. Economic strength, as
evidenced by first quarter GDP growth of 5.8%, strong consumer spending and
home-building, and increased manufacturing inventories, prompted the official
and widely expected move. Interestingly, this above-trend economic growth did
not result in a rise in the reported inflation rate. This low inflationary
pressure, along with signs that the economy was slowing in the second quarter,
was likely the major reason the Federal Reserve Board chose not to raise
interest rates again when it met on May 20, surprising many industry analysts
and investors who had anticipated that they would.
The period following this meeting was quiet, punctuated by continuous growth,
high consumer confidence, and a strong equity market. While nonfarm payroll
gains were weak, unemployment stayed low and inflation remained scarce. GDP
growth for the second quarter was only 1.75%. This type of economic activity,
together with the absence of an official move in interest rates, led to very
little price volatility on the money market curve in June.
- --------------------------------------------------------------------------------
CASH MANAGEMENT FUND
The Fund's annualized 7-day effective and current yields were 5.08% and 4.95%,
respectively, as of June 30, 1997.* After lengthening the Fund's average
maturity in the second half of 1996, we moved to a somewhat defensive, shorter-
than-benchmark position throughout the first quarter of 1997, in anticipation of
the late March rate hike. Once the Federal Reserve Board raised rates and
economic growth waned, we moved to a more neutral stance in the portfolio. We
did not extend the portfolio's maturity, because we saw no value in the flat
yield curve. This strategy, along with strong sector allocation, proved to be
effective in producing extremely competitive Fund returns.
----------------------------------------------------
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 JUNE 30, 1997
Seven day effective yield: 5.08%
Average maturity: 30 days
Net assets: $123 million
--------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Floating Rate Notes 15%
Certificates of Deposit 18%
Euro Certificates of Deposit 9%
Commercial Paper 35%
Euro Time Deposits 23%
3
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT FUNDS
LETTER TO SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
NY TAX FREE MONEY FUND+
The Fund's annualized 7-day effective yield was 3.42% as of June 30, 1997, or a
taxable equivalent of 6.46%.* The 7-day current yield for the Fund was 3.36%
as of June 30, 1997. The primary factor contributing to the Fund's competitive
yield was adjusting average maturity to use the volatility in interest rates to
the Fund's advantage. We began the period with a slightly long average maturity
of 53 days. We were able to lock in the higher-term rates available at year-end,
as well as to offset pressure on short-term rates from large, seasonal cash
inflows that occur in January, when large amounts of monies enter the short-term
tax-exempt market as a result of coupon payments and maturing issues. Given
first, that these are short-term pressures, which this year dissipated quicker
than usual; second, that there was ongoing concern about potential Federal
Reserve Board action; and third, that the short-term end of the yield curve was
flat, we let the Fund's average maturity roll down over the rest of the first
quarter to a neutral to slightly short position of 45 days by March 15th. This
proved to be good positioning, since the Fed did act on March 25th, causing a
sell-off in the market.
--------------------------------------------------
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.
--------------------------------------------------
We continued to shorten in April as concerns over interest rates continued and
tax time approached, a period when withdrawals from money market funds are par
for the course. Short-term rates were also up. Thus, on April 15th, the Fund
had an average maturity of 38 days. In May, we began to extend maturity, as 1-
year paper had increased about 0.50% in yield since January, reaching a high
range of 3.80% to 3.85%. We purchased some of the issues for the Fund's
portfolio to take advantage of the added yield potential. The Fund ended the
period with an average maturity of 40 days, and we are planning to extend
further in July when attractively priced longer-term issues come to market.
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Tax Anticipation Notes 3%
Revenue Bonds 13%
General Obligation Bonds 16%
Commercial Paper 3%
Floating Rate Demand Notes 65%
---------------------------------
STATUS AT JUNE 30, 1997
Seven day effective yield: 3.42%
Average maturity: 40 days
Net assets: $89 million
---------------------------------
- --------------------------------------------------------------------------------
TAX FREE MONEY FUND++
The Fund's annualized 7-day effective yield was 3.35% as of June 30, 1997, or a
taxable equivalent of 5.55%.* The 7-day current yield for the Fund was 3.30% as
of June 30, 1997. Overall, with credit spreads tight during this semi-annual
period, the Fund was able to continue buying the highest quality, liquid issues
without giving up any yield. As for maturity positioning, we carried out a
very similar strategy as that of the NY Tax Free Money Fund. Beginning the
period with an average maturity of 55 days, the Fund moved to a shorter 42 days
by March 15th, continued to shorten to 32 days by April 15th, and then began
extending in May as 1-year notes here reached a high range of 3.90% to 3.95%.
As in the NY Tax Free Money Fund, we purchased some of the issues to take
advantage of the added yield potential.
--------------------------------------------------
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.
--------------------------------------------------
The Fund ended the period with an average maturity of 60 days, as the annual
note season in June and July offers investors attractively priced longer-term
issues. 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. Also adding to
supply, and our selection choice, in June of this year was a heavier than usual
selling of 1-year paper by corporations.
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Revenue Bonds 8%
General Obligation Notes 9%
Commercial Paper 10%
General Obligation Bonds 19%
Tax Revenue Anticipation Notes 2%
Tax Anticipation Notes 2%
Floating Rate Demand Notes 50%
---------------------------------
STATUS AT JUNE 30, 1997
Seven day effective yield: 3.35%
Average maturity: 60 days
Net assets: $123 million
---------------------------------
As we believe that the Federal Reserve Board is likely on hold, we intend to
maintain a slightly longer than neutral position for the near term. However, it
is important to note that if the Fed should act one way or the other, the Fund
is highly liquid, enabling us to act quickly in response to changing market
conditions.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT FUNDS
LETTER TO SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
TREASURY MONEY FUND
The Fund's annualized 7-day effective and current yields were 4.91% and 4.79%,
respectively, as of June 30, 1997.* The Fund followed the same general strategy
of adjusting the portfolio's average maturity as was carried out for the Cash
Management Fund.
We remained defensive throughout much of the first quarter, maintaining a
shorter-than-benchmark maturity position. We then moved to a neutral position
after the March 25th rate hike and stayed there throughout the second quarter,
given a very flat yield curve and no incentive to go longer. Through this
strategy, the Fund produced very competitive returns, and we intend to maintain
this strategy until inflationary pressures re-emerge or other economic data
impacts interest rates in a different direction.
--------------------------------------------------
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 JUNE 30, 1997
Seven day effective yield: 4.91%
Average maturity: 29 days
Net assets: $402 million
-----------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
U.S. Treasury Notes and Bills 19%
Repos 81%
- --------------------------------------------------------------------------------
MANAGERS' OUTLOOK
In each of the money market funds, we expect to stay in a slightly defensive
position for the near term for several reasons. First, we view the money market
curve as very expensive right now. We believe the money markets have
essentially priced out any possibility of higher interest rates over the next
year. In addition, with continued low unemployment, record high consumer
confidence, the wealth effect of the equity markets, and a much lower interest
rate structure than existed earlier this year, we feel that the risks are still
asymmetric for a resumption in economic growth for the second half of the year.
In the municipal funds, we expect to stay slightly long not to reflect any
bullishness on rates, but, as explained, to take advantage of seasonal supply
factors.
Current data supports the notion that the Federal Reserve Board is on hold and
that the economy is enjoying the best of all possible worlds. However, while we
are currently in a period of "fixed income nirvana," the future risks for the
acceleration of economic activity and for ultimately higher short-term yields
seems evident.
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.
We appreciate your support of the BT Investment Money Market Funds and look
forward to continuing to serve your investment needs for many years ahead.
/s/ Darlene Rasel
Darlene Rasel
Portfolio Manager of the
CASH MANAGEMENT PORTFOLIO and the
TREASURY MONEY PORTFOLIO
June 30, 1997
/s/ Susan Bradford
Susan Bradford
Portfolio Manager of the
TAX FREE MONEY PORTFOLIO and the
NY TAX FREE MONEY PORTFOLIO
June 30, 1997
- ----------
* 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. Shares of the Funds are
not deposits or obligations of, or are guaranteed by the Federal Depository
Insurance Corporation, the Federal Reserve Board or any other agency.
+ Income may be subject to the federal alternative minimum tax.
++ Income may be subject to the federal alternative minimum tax and state and
local taxes.
5
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT FUNDS
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value*. . . . . . . . . . . . . . . $ 123,338,364 $ 89,559,567 $ 123,708,459 $ 402,691,230
Receivable for Shares of Beneficial Interest Subscribed . . . . 9,830 -- -- --
Prepaid Expenses and Other. . . . . . . . . . . . . . . . . . . 5,789 2,094 6,584 7,887
------------- ------------ ------------- -------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . 123,353,983 89,561,661 123,715,043 402,699,117
------------- ------------ ------------- -------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . . 7,286 34,763 52,139 186,330
Dividends Payable . . . . . . . . . . . . . . . . . . . . . . . 288,828 137,716 222,433 276,457
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . . 76,090 15,724 15,437 18,215
------------- ------------ ------------- -------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . 372,204 188,203 290,009 481,002
------------- ------------ ------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 122,981,779 $ 89,373,458 $ 123,425,034 $ 402,218,115
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
SHARES OUTSTANDING ($0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest Authorized) . . 123,063,340 89,396,928 123,479,223 402,142,448
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
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 . . . . . . . . . . . . . . . . . . . . . . . . $ 123,063,340 $ 89,396,928 $ 123,479,223 $ 402,142,448
Accumulated Net Realized Gain (Loss) from
Investment Transactions. . . . . . . . . . . . . . . . . . . . (81,561) (23,470) (54,189) 75,667
------------- ------------ ------------- -------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 122,981,779 $ 89,373,458 $ 123,425,034 $ 402,218,115
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
</TABLE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income, net+ . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,323,900 $ 1,352,120 $ 2,263,674 $ 11,280,947
------------- ------------ ------------- -------------
EXPENSES
Administration and Services Fees. . . . . . . . . . . . . . . . 339,760 224,542 365,841 1,188,309
Printing and Shareholder Reports. . . . . . . . . . . . . . . . 4,983 4,734 4,982 4,483
Registration Fees . . . . . . . . . . . . . . . . . . . . . . . 5,294 -- -- --
Professional Fees . . . . . . . . . . . . . . . . . . . . . . . 4,708 5,061 4,360 4,489
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . . . 1,385 1,395 1,425 1,374
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . 4,202 4,563 9,357 17,454
------------- ------------ ------------- -------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . 360,332 240,295 385,965 1,216,109
Less: Expenses Absorbed by Bankers Trust . . . . . . . . . . . (8,217) (15,753) (20,124) (27,800)
------------- ------------ ------------- -------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . 352,115 224,542 365,841 1,188,309
------------- ------------ ------------- -------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . 2,971,785 1,127,578 1,897,833 10,092,638
------------- ------------ ------------- -------------
REALIZED GAIN (LOSS) FROM INVESTMENT TRANSACTIONS. . . . . . . . . (695) 7,792 (4,886) (5,950)
------------- ------------ ------------- -------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . $ 2,971,090 $ 1,135,370 $ 1,892,947 $ 10,086,688
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
</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 Page 10
6
<PAGE>
- --------------------------------------------------------------------------------
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
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997+ DECEMBER 31, 1996 JUNE 30, 1997+ DECEMBER 31, 1996
------------------ ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . $ 2,971,785 $ 6,538,626 $ 1,127,578 $ 2,274,310
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . . . . (695) 4,405 7,792 (2,716)
-------------- --------------- ------------ ------------
Net Increase in Net Assets from Operations . . . . . . 2,971,090 6,543,031 1,135,370 2,271,594
-------------- --------------- ------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . (2,971,786) (6,538,626) (1,127,578) (2,274,310)
-------------- --------------- ------------- ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold . . . . . . . . . . . 916,820,650 1,809,262,492 197,431,748 466,071,414
Dividends Reinvested. . . . . . . . . . . . . . . . 1,359,385 3,499,845 416,099 719,990
Value of Shares Redeemed. . . . . . . . . . . . . . (914,166,225) (1,829,906,270) (184,339,950) (461,695,529)
-------------- --------------- ------------- ------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest . . . . 4,013,810 (17,143,933) 13,507,897 5,095,875
-------------- --------------- ------------- ------------
CONTRIBUTIONS OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . . . . . . -- 110,287 -- --
-------------- --------------- ------------- ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . 4,013,114 (17,029,241) 13,515,689 5,093,159
-------------- --------------- ------------ ------------
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . 118,968,665 135,997,906 75,857,769 70,764,610
-------------- -------------- ------------- ------------
End of Period. . . . . . . . . . . . . . . . . . . . . $ 122,981,779 $ 118,968,665 $ 89,373,458 $ 75,857,769
-------------- --------------- ------------- ------------
-------------- --------------- ------------- ------------
<CAPTION>
TAX FREE MONEY TREASURY MONEY
-------------------------------------- -----------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997+ DECEMBER 31, 1996 JUNE 30, 1997+ DECEMBER 31, 1996
------------------ ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . $ 1,897,833 $ 3,488,455 $ 10,092,638 $ 26,397,092
Net Realized Gain (Loss)
from Investment Transactions . . . . . . . . . . . (4,886) (8,495) (5,950) 71,092
-------------- -------------- -------------- -------------
Net Increase in Net Assets from Operations . . . . . . 1,892,947 3,479,960 10,086,688 26,468,184
-------------- -------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . (1,897,833) (3,488,455) (10,092,638) (26,397,092)
-------------- -------------- -------------- -------------
Total Distributions. . . . . . . . . . . . . . . . . . (1,897,833) (3,488,455) (10,092,638) (26,397,092)
-------------- -------------- -------------- -------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold . . . . . . . . . . . 459,561,631 859,320,089 3,616,632,179 7,825,627,385
Dividends Reinvested. . . . . . . . . . . . . . . . 577,215 999,664 9,502,900 22,057,782
Value of Shares Redeemed. . . . . . . . . . . . . . (454,681,107) (861,731,897) (3,778,626,905) (7,908,124,366)
-------------- -------------- -------------- -------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest . . . . 5,457,739 (1,412,144) (152,491,826) (60,439,199)
-------------- -------------- -------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . 5,452,853 (1,420,639) (152,497,776) (60,368,107)
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . 117,972,181 119,392,820 554,715,891 615,083,998
-------------- -------------- -------------- -------------
End of Period. . . . . . . . . . . . . . . . . . . . . $ 123,425,034 $ 117,972,181 $ 402,218,115 $ 554,715,891
-------------- -------------- -------------- -------------
-------------- -------------- -------------- -------------
</TABLE>
- ----------
+ Unaudited
See Notes to Financial Statements on Page 10
7
<PAGE>
- --------------------------------------------------------------------------------
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
periods presented for each of the Funds.
<TABLE>
<CAPTION>
CASH MANAGEMENT
------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ------------------------------------------------------
JUNE 30, 1997+ 1996 1995 1994 1993
------------- -------- --------- --------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . 0.02 0.05 0.05 0.04 0.03
Net Realized Gain (Loss) from Investment Transactions 0.00++ 0.00++ 0.00++ (0.01) 0.00++
------- ------- ------- ------- -------
Total from Investment Operations . . . . . . . . . . . 0.02 0.05 0.05 0.03 0.03
------- ------- ------- ------- -------
CONTRIBUTIONS OF CAPITAL . . . . . . . . . . . . . . . -- 0.00++ -- 0.01 --
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . (0.02) (0.05) (0.05) (0.04) (0.03)
Net Realized Gain from Investment Transactions. . . -- -- -- -- (0.00)++
------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . (0.02) (0.05) (0.05) (0.04) (0.03)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . $1.00 $1.00 $1.00 $1.00 $1.00
------- ------- ------- ------- -------
------- ------- ------- ------- -------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . 2.41% 4.82%** 5.35% 3.67%** 2.54%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . $ 122,982 $ 118,969 $ 135,998 $ 159,172 $ 76,578
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 4.81%* 4.72% 5.22% 3.70% 2.51%
Expenses, including expenses of the
Cash Management Portfolio . . . . . . . . . . . 0.75%* 0.75% 0.74% 0.73% 0.75%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . 0.03%* 0.03% 0.02% 0.08% 0.05%
<CAPTION>
NY TAX FREE MONEY
----------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ----------------------------------------------------
JUNE 30, 1997+ 1996 1995 1994 1993
------------- -------- --------- --------- -------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . 0.01 0.03 0.03 0.02 0.02
Net Realized Loss from Investment Transactions. . . 0.00++ (0.00)++ (0.00)++ (0.00)++ (0.00)++
------- ------- ------- ------- -------
Total from Investment Operations . . . . . . . . . . . 0.01 0.03 0.03 0.02 0.02
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . (0.01) (0.03) (0.03) (0.02) (0.02)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
------- ------- ------- ------- -------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . 1.38% 2.68% 3.12% 2.11% 1.68%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . $ 89,373 $ 75,858 $ 70,765 $ 79,101 $ 103,938
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 2.76%* 2.64% 3.07% 2.05% 1.66%
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. . . 0.07%* 0.09% 0.07% 0.08% 0.06%
</TABLE>
- ----------
+ Unaudited
++ Less than $0.01 per share.
* Annualized
** Increased by approximately 0.08% and 0.96% due to Contributions of Capital
for the years ended December 31, 1996 and 1994, respectively.
See Notes to Financial Statements on Page 10
8
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT FUNDS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TAX FREE MONEY
------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ------------------------------------------------------
JUNE 30, 1997+ 1996 1995 1994 1993
------------- -------- --------- --------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . 0.01 0.03 0.03 0.02 0.02
Net Realized Gain (Loss) from
Investment Transactions. . . . . . . . . . . . . . (0.00)++ (0.00)++ (0.00)++ 0.00++ 0.00++
------- ------- ------- ------- -------
Total from Investment Operations . . . . . . . . . . . 0.01 0.03 0.03 0.02 0.02
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . (0.01) (0.03) (0.03) (0.02) (0.02)
Net Realized Gain from Investment Transactions. . . -- -- -- (0.00)++ --
------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . (0.01) (0.03) (0.03) (0.02) (0.02)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
------- ------- ------- ------- -------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . 1.41% 2.84% 3.34% 2.27% 1.97%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . $ 123,425 $ 117,972 $ 119,393 $ 110,043 $ 111,285
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 2.85%* 2.80% 3.28% 2.21% 1.95%
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. . . 0.05%* 0.07% 0.07% 0.08% 0.05%
<CAPTION>
TREASURY MONEY
------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED ------------------------------------------------------
JUNE 30, 1997+ 1996 1995 1994 1993
------------- -------- --------- --------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . 0.02 0.05 0.05 0.03 0.02
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . . . . . (0.00)++ 0.00+ 0.00+ (0.00)+ 0.00+
------- ------- ------- ------- -------
Total from Investment Operations . . . . . . . . . . . 0.02 0.05 0.05 0.03 0.02
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . (0.02) (0.05) (0.05) (0.03) (0.02)
Net Realized Gain from Investment Transactions. . . -- -- (0.00)+ -- (0.00)+
------- ------- ------- ------- -------
Total Distributions. . . . . . . . . . . . . . . . . . (0.02) (0.05) (0.05) (0.03) (0.02)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
------- ------- ------- ------- -------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . 2.34% 4.71% 5.19% 3.40% 2.43%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . $ 402,218 $ 554,716 $ 615,084 $ 696,915 $ 643,145
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . 4.67%* 4.61% 5.06% 3.36% 2.39%
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%* 0.01% 0.02% 0.02% 0.01%
</TABLE>
- ----------
+ Unaudited
++ Less than $0.01 per share.
* Annualized
See Notes to Financial Statements on Page 10
9
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 June 30, 1997, Cash Management Fund's
investment was approximately 3% of the Portfolio, Treasury Money Fund's
investment was approximately 18% 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 six months ended June 30,1997:
FUND ANNUAL RATE AGGREGATED FEES
- ----------------------- ----------- ---------------
Cash Management Fund 0.55 of 1% $ 339,760
NY Tax Free Money Fund 0.55 of 1% 224,542
Tax Free Money Fund 0.55 of 1% 365,841
Treasury Money Fund 0.55 of 1% 1,188,309
Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the
Act, Edgewood Services, Inc. ("Edgewood") 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 six months ended June 30, 1997,
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% $8,217
NY Tax Free Money 0.55 of 1% 0.75 of 1% 15,753
Tax Free Money 0.55 of 1% 0.75 of 1% 20,124
Treasury Money 0.55 of 1% 0.75 of 1% 27,800
- ----------
* Excluding Expenses of the Portfolio.
+ Including Expenses of the Portfolio.
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.
10
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
CERTIFICATES OF DEPOSIT - 17.46%
$ 10,000,000 Australia and New Zealand Banking Group,
5.41%, 7/28/97. . . . . . . . . . . . . $ 10,000,073
44,000,000 Bank of America,
5.70%, 8/01/97. . . . . . . . . . . . . 44,000,000
70,000,000 Bank of Montreal,
5.57%, 7/07/97. . . . . . . . . . . . . 70,000,000
50,000,000 Bank of Nova Scotia,
5.56%, 7/02/97. . . . . . . . . . . . . 49,999,916
15,000,000 Bank of Tokyo-Mitsubishi Limited,
5.75%, 9/17/97. . . . . . . . . . . . . 14,999,971
10,000,000 Banque National de Paris,
5.72%, 7/10/97. . . . . . . . . . . . . 10,000,025
45,000,000 Bayerische Landesbank,
5.61%, 7/22/97. . . . . . . . . . . . . 45,000,852
50,000,000 Canadian Imperial Bank of Commerce,
5.68%, 8/21/97. . . . . . . . . . . . . 50,000,000
58,000,000 Nordeutsche,
5.57%, 7/21/97. . . . . . . . . . . . . 58,000,641
Sanwa Bank:
20,000,000 5.68%, 7/02/97. . . . . . . . . . . . . 20,000,010
22,000,000 5.68%, 7/10/97. . . . . . . . . . . . . 22,000,055
Societe Generale:
89,000,000 5.47%, 7/11/97. . . . . . . . . . . . . 89,001,103
15,000,000 6.00%, 7/28/97. . . . . . . . . . . . . 15,002,375
12,000,000 5.72%, 8/12/97. . . . . . . . . . . . . 12,000,552
25,000,000 5.54%, 9/03/97. . . . . . . . . . . . . 25,000,000
35,000,000 5.90%, 11/06/97 . . . . . . . . . . . . 35,000,000
15,000,000 Sumitomo Bank,
5.71%, 7/03/97. . . . . . . . . . . . . 15,000,023
33,000,000 Swiss Bank Corp.,
5.49%, 7/10/97. . . . . . . . . . . . . 33,000,000
Westdeutsche Landesbank:
75,000,000 5.57%, 7/01/97. . . . . . . . . . . . . 75,000,000
10,000,000 5.75%, 8/20/97. . . . . . . . . . . . . 10,000,000
30,000,000 5.69%, 8/21/97. . . . . . . . . . . . . 30,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost - $733,005,596). . . . . . . . . . . . . . . 733,005,596
------------
COMMERCIAL PAPER* - 34.36%
20,000,000 Abbey National North America,
5.40%, 7/11/97. . . . . . . . . . . . . 19,970,000
65,000,000 Alcatel Alsthom,
5.55%, 9/24/97. . . . . . . . . . . . . 64,148,229
Asset Securitization Cooperative Corp.:
70,000,000 5.57%, 7/09/97. . . . . . . . . . . . . 69,913,355
10,000,000 5.65%, 8/05/97. . . . . . . . . . . . . 9,945,069
34,000,000 5.61%, 9/08/97. . . . . . . . . . . . . 33,634,415
20,000,000 Bank of Nova Scotia,
5.57%, 9/19/97. . . . . . . . . . . . . 19,752,267
BTR Dunlop:
22,000,000 5.67%, 11/18/97 . . . . . . . . . . . . 21,514,900
13,000,000 5.68%, 11/18/97 . . . . . . . . . . . . 12,712,844
15,000,000 Caterpillar Financial,
5.71%, 11/14/97 . . . . . . . . . . . . 14,676,433
Daimler Benz:
30,000,000 5.28%, 7/28/97. . . . . . . . . . . . . 29,881,200
10,000,000 5.28%, 8/05/97. . . . . . . . . . . . . 9,948,667
Delaware Funding Corp.:
20,000,000 5.65%, 7/08/97. . . . . . . . . . . . . 19,978,028
74,000,000 5.56%, 7/15/97. . . . . . . . . . . . . 73,839,995
40,000,000 5.58%, 7/15/97. . . . . . . . . . . . . 39,913,200
19,146,000 Elf Aquitaine Financial Services,
5.80%, 10/27/97 . . . . . . . . . . . . 18,782,013
4,370,000 Eksportfinans,
5.61%, 7/07/97. . . . . . . . . . . . . 4,365,914
First Boston:
15,000,000 5.63%, 8/05/97. . . . . . . . . . . . . 14,917,896
10,000,000 5.68%, 11/21/97 . . . . . . . . . . . . 9,774,378
General Electric Capital Corp.:
10,000,000 6.15%, 7/01/97. . . . . . . . . . . . . 10,000,000
25,000,000 5.42%, 7/14/97. . . . . . . . . . . . . 24,951,069
45,000,000 5.65%, 7/28/97. . . . . . . . . . . . . 44,809,312
25,000,000 5.55%, 8/07/97. . . . . . . . . . . . . 24,857,396
30,000,000 5.55%, 8/19/97. . . . . . . . . . . . . 29,773,375
Glaxo Wellcome:
15,000,000 5.59%, 9/11/97. . . . . . . . . . . . . 14,832,300
15,000,000 5.56%, 9/19/97. . . . . . . . . . . . . 14,814,667
Goldman Sachs:
30,000,000 5.55%, 7/07/97. . . . . . . . . . . . . 29,972,250
50,000,000 5.56%, 7/07/97. . . . . . . . . . . . . 49,953,667
30,000,000 5.56%, 7/28/97. . . . . . . . . . . . . 29,874,900
80,000,000 5.62%, 9/02/97. . . . . . . . . . . . . 79,213,200
12,000,000 Halifax Building Society,
5.73%, 10/14/97 . . . . . . . . . . . . 11,799,450
34,000,000 International Lease Finance,
5.63%, 8/14/97. . . . . . . . . . . . . 33,766,042
43,000,000 International Nederlanden (U.S.)
Funding Corp.,
5.54%, 7/14/97. . . . . . . . . . . . . 42,913,976
See Notes to Financial Statements on Page 24
11
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
Kingdom of Sweden:
$ 8,000,000 5.63%, 7/11/97. . . . . . . . . . . . . $ 7,987,489
17,000,000 5.35%, 8/18/97. . . . . . . . . . . . . 16,878,847
30,000,000 5.34%, 8/26/97. . . . . . . . . . . . . 29,750,800
Merrill Lynch & Co.:
25,000,000 5.56%, 7/07/97. . . . . . . . . . . . . 24,976,833
13,000,000 5.58%, 7/09/97. . . . . . . . . . . . . 12,983,880
20,000,000 5.65%, 7/21/97. . . . . . . . . . . . . 19,937,222
30,000,000 5.60%, 8/19/97. . . . . . . . . . . . . 29,771,333
40,000,000 5.72%, 11/19/97 . . . . . . . . . . . . 39,103,867
Morgan Stanley Group Inc.:
25,000,000 5.57%, 7/21/97. . . . . . . . . . . . . 24,922,639
30,000,000 5.58%, 7/21/97. . . . . . . . . . . . . 29,907,000
National Rural Utility Cooperative
Financial Corp.:
4,700,000 5.55%, 7/03/97. . . . . . . . . . . . . 4,698,551
18,000,000 5.54%. 8/26/97. . . . . . . . . . . . . 17,844,880
25,000,000 New South Wales Treasury Corp.,
5.61%, 8/11/97. . . . . . . . . . . . . 24,840,271
62,800,000 Pacific Bell,
5.65%, 7/11/97. . . . . . . . . . . . . 62,701,439
Receivables Capital Corp.:
30,000,000 5.57%, 7/02/97. . . . . . . . . . . . . 29,995,363
6,000,000 5.60%, 7/02/97. . . . . . . . . . . . . 5,999,067
43,700,000 Repsol International,
5.56%, 7/15/97. . . . . . . . . . . . . 43,605,596
45,000,000 Schering Plough,
6.00%, 7/01/97. . . . . . . . . . . . . 45,000,000
17,100,000 Walt Disney,
6.10%, 7/01/97. . . . . . . . . . . . . 17,100,000
25,000,000 Warner Lambert,
5.52%, 7/11/97. . . . . . . . . . . . . 24,961,667
-------------
TOTAL COMMERCIAL PAPER
(Amortized Cost - $1,442,167,151) . . . . . . . . . . . . . 1,442,167,151
-------------
EURODOLLAR CERTIFICATES OF
DEPOSIT - 8.41%
Abbey National North America:
40,000,000 5.71%, 8/14/97. . . . . . . . . . . . . 40,000,482
12,000,000 5.43%, 8/25/97. . . . . . . . . . . . . 12,000,000
25,000,000 5.65%, 9/25/97. . . . . . . . . . . . . 25,000,000
28,000,000 Australia and New Zealand Banking Group,
5.67%, 9/30/97. . . . . . . . . . . . . 28,000,698
Banco Bilbao Vizcaya:
18,000,000 5.74%, 7/17/97. . . . . . . . . . . . . 18,000,079
15,000,000 5.67%, 9/17/97. . . . . . . . . . . . . 15,000,320
28,000,000 Banco Santander,
5.57%, 7/14/97. . . . . . . . . . . . . 28,000,101
20,000,000 Bank of Tokyo-Mitsubishi Limited,
5.66%, 7/09/97. . . . . . . . . . . . . 20,000,044
20,000,000 Banque National de Paris,
5.71%, 8/19/97. . . . . . . . . . . . . 20,000,134
Berliner Handels Frankfurt:
10,000,000 5.73%, 7/07/97. . . . . . . . . . . . . 9,999,982
35,000,000 5.70%, 7/21/97. . . . . . . . . . . . . 35,000,192
35,000,000 Commerzbank,
5.58%, 7/01/97. . . . . . . . . . . . . 35,000,000
10,000,000 Credit Agricole,
5.79%, 12/16/97 . . . . . . . . . . . . 10,000,907
12,000,000 Rabobank,
5.63%, 9/17/97. . . . . . . . . . . . . 12,004,355
Toronto Dominion Bank:
20,000,000 5.71%, 7/08/97. . . . . . . . . . . . . 20,000,000
25,000,000 5.71%, 9/25/97. . . . . . . . . . . . . 25,000,000
-------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost - $353,007,294) . . . . . . . . . . . . . . 353,007,294
-------------
EURODOLLAR TIME DEPOSITS - 22.09%
Abbey National North America:
30,000,000 5.72%, 7/10/97. . . . . . . . . . . . . 30,000,000
25,000,000 5.75%, 8/01/97. . . . . . . . . . . . . 25,000,000
ABN Amro Bank:
50,000,000 5.73%, 7/07/97. . . . . . . . . . . . . 50,000,000
30,000,000 5.74%, 8/13/97. . . . . . . . . . . . . 30,000,000
20,000,000 6.00%, 10/31/97 . . . . . . . . . . . . 20,000,000
25,000,000 Bank Austria AG,
5.97%, 10/17/97 . . . . . . . . . . . . 25,000,000
80,000,000 Bank of Nova Scotia,
6.19%, 7/02/97. . . . . . . . . . . . . 80,000,000
25,000,000 Banque Bruxelles Lambert,
5.75%, 7/08/97. . . . . . . . . . . . . 25,000,000
40,000,000 Credit Agricole,
5.72%, 7/10/97. . . . . . . . . . . . . 40,000,000
Generale Bank:
30,000,000 5.56%, 9/03/97. . . . . . . . . . . . . 30,000,000
25,000,000 5.70%, 9/04/97. . . . . . . . . . . . . 25,000,000
30,000,000 Internationale Nederlanden (U.S.)
Funding Corp.,
5.73%, 7/08/97. . . . . . . . . . . . . 30,000,000
25,000,000 Nordeutsche Landesbank,
5.73%, 8/13/97. . . . . . . . . . . . . 25,000,000
97,256,680 Norwest,
6.50%, 7/01/97. . . . . . . . . . . . . 97,256,680
See Notes to Financial Statements on Page 24
12
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$ 20,000,000 Societe Generale,
5.55%, 9/03/97. . . . . . . . . . . . . $ 20,000,000
125,000,000 Toronto Dominion Bank,
6.19%, 7/01/97. . . . . . . . . . . . . 125,000,000
175,000,000 Union Bank of Switzerland,
6.25%, 7/01/97. . . . . . . . . . . . . 175,000,000
75,000,000 Westdeutsche Landesbank,
6.38%, 7/01/97. . . . . . . . . . . . . 75,000,000
-------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost - $927,256,680). . . . . . . . . . . . . . . 927,256,680
-------------
FLOATING RATE NOTES - 14.13%
American Express Centurion Bank:
Monthly Variable Rate,
10,000,000 5.658% 10/28/97. . . . . . . . . . . . 10,000,000
10,000,000 5.658%, 11/18/97. . . . . . . . . . . . 10,000,000
20,000,000 5.658%, 3/06/98 . . . . . . . . . . . . 20,000,000
Avco Financial Services Inc.
25,000,000 Quarterly Variable Rate,
5.773%, 11/17/97. . . . . . . . . . . . 24,999,053
Bayerische Landesbank
50,000,000 Monthly Variable Rate,
5.550%, 6/26/98 . . . . . . . . . . . . 49,961,633
Bear Stearns Company, Inc.:
Monthly Variable Rate,
10,000,000 5.938%, 7/17/97 . . . . . . . . . . . . 10,001,115
8,000,000 5.838%, 4/28/98 . . . . . . . . . . . . 8,010,338
BHF Finance
20,000,000 Quarterly Variable Rate,
5.670%, 6/26/98 . . . . . . . . . . . . 19,988,559
Comerica
35,000,000 Monthly Variable Rate,
5.588%, 2/05/98 . . . . . . . . . . . . 34,985,798
CoreStates Bank:
Monthly Variable Rate,
25,000,000 5.658%, 11/07/97. . . . . . . . . . . . 25,000,000
20,000,000 5.648%, 2/02/98 . . . . . . . . . . . . 20,000,000
General Electric Capital Corp.:
Quarterly Variable Rate,
40,000,000 5.750%, 7/08/97 . . . . . . . . . . . . 40,000,000
20,000,000 5.782%, 1/23/98 . . . . . . . . . . . . 20,000,000
Key Bank
40,000,000 Monthly Variable Rate,
5.578%, 3/19/98 . . . . . . . . . . . . 39,978,988
Mellon Bank
10,000,000 Quarterly Variable Rate,
5.753%, 6/16/98 . . . . . . . . . . . . 10,000,000
Merrill Lynch & Co.:
Monthly Variable Rate,
10,000,000 5.782%, 10/31/97. . . . . . . . . . . . 9,998,680
25,000,000 5.648%, 2/06/98 . . . . . . . . . . . . 24,997,051
Morgan Stanley:
Quarterly Variable Rate,
40,000,000 5.648%, 1/30/98 . . . . . . . . . . . . 40,000,000
10,000,000 5.763%, 5/18/98 . . . . . . . . . . . . 10,000,000
National City Cleveland
15,000,000 Monthly Variable Rate,
5.578%, 2/18/98 . . . . . . . . . . . . 14,993,092
Norwest
40,000,000 Quarterly Variable Rate,
5.913%, 12/09/97. . . . . . . . . . . . 40,031,417
PNC Bank Corp.:
Monthly Variable Rate,
25,000,000 5.588%, 11/25/97. . . . . . . . . . . . 24,993,048
40,000,000 5.598%, 1/09/98 . . . . . . . . . . . . 39,987,674
20,000,000 5.588%, 5/27/98 . . . . . . . . . . . . 19,989,447
Student Loan Marketing Association
25,000,000 Weekly Variable Rate,
5.26%, 9/28/98. . . . . . . . . . . . . 24,996,892
---------------
TOTAL FLOATING RATE NOTES
(Amortized Cost - $592,912,785). . . . . . . . . . . . . . . 592,912,785
---------------
TOTAL INVESTMENTS
(Amortized Cost - $4,048,349,506). . . . . . 96.45% 4,048,349,506
Other Assets Less Liabilities. . . . . . . . 3.55% 148,808,626
------- ---------------
NET ASSETS . . . . . . . . . . . . . . . . 100.00% $ 4,197,158,132
------- ---------------
------- ---------------
- ----------------------
* Interest rates for Commercial Paper represent discount rates at the time of
purchase.
See Notes to Financial Statements on Page 24
13
<PAGE>
- --------------------------------------------------------------------------------
NY TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
---------------- ----------- -----
<S> <C> <C>
NEW YORK - 96.79%
$ 2,500,000 Buffalo, New York, G.O., RANS, Series A, (LOC: Landesbank Hessen,
New York), 4.25%, 7/15/97 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,500,638
3,700,000 Great Neck North, New York Water Authority Water System Revenue, Series A,
(FGIC Insured), Variable Rate Weekly Demand Note, 4.05%, 1/1/20 (a) . . . . . . . . . . . . . 3,700,000
1,000,000 Half Hollow Hills, CSD, New York, Huntington & Babylon, G.O., TANS, 4.00%, 6/26/98. . . . . . . 1,001,760
2,000,000 Half Hollow Hills, CSD, New York, Huntington & Babylon, G.O., TANS, 4.25%, 6/26/98. . . . . . . 2,008,340
1,000,000 Metropolitan Transportation Authority, New York, Commuter Facility Contract,
Series 1, (Escrowed to Maturity), 8.50%, 7/1/17, Prerefunded 7/1/97 @ 102. . . . . . . . . . . 1,020,000
1,500,000 Metropolitan Transportation Authority, New York, Transportation Facility Contract,
Series 1, (Escrowed to Maturity), 8.50%, 7/1/17, Prerefunded 7/1/97 @ 102. . . . . . . . . . . 1,530,000
1,455,000 Monroe County, New York, G.O., Series E, 4.50%, 2/1/98. . . . . . . . . . . . . . . . . . . . . 1,459,907
1,600,000 Montgomery County, New York, I.D.A., Service Merchandise Co., (LOC: Canadian
Imperial Bank), Variable Rate Monthly Demand Note, 3.85%, 12/31/24 (a) . . . . . . . . . . . . 1,600,000
1,500,000 Municipal Assistance Corp., New York, Tax-Exempt Commercial Paper, (LOC: Landesbank
Hessen), 3.80%,8/19/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500,000
1,500,000 Municipal Assistance Corp., New York City, New York, (LOC: Bayerische Landesbank),
Variable Rate Weekly Demand Note, 4.05%, 7/1/08 (a). . . . . . . . . . . . . . . . . . . . . . 1,500,000
200,000 New York City, New York, G.O., Series D, (Escrowed to Maturity), 6.90%, 2/1/98. . . . . . . . . 203,291
100,000 New York City, New York, G.O. (LOC: Morgan GuarantyTrust), Variable Rate Daily
Demand Note, 5.50%, 8/15/18 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000
300,000 New York City, New York, G.O., Series B, (Insured by FGIC), Variable Rate Daily
Demand Note, 5.50%, 10/1/20 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300,000
700,000 New York City, New York, G.O., (LOC: Chase Manhattan Bank), Variable Rate Daily
Demand Note, 4.00%, 8/1/21 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700,000
2,100,000 New York City, New York, G.O., (LOC: Chase Manhattan Bank), Variable Rate Daily
Demand Note, 3.90%, 8/1/23 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,100,000
300,000 New York City, New York, G.O., (LOC: Morgan Guaranty Trust), Variable Rate Daily
Demand Note, 5.50%, 8/15/19 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300,000
1,500,000 New York City, New York, G.O., (LOC: Morgan Guaranty Trust), Variable Rate Daily
Demand Note, 5.50%, 8/15/20 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500,000
1,000,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland), Variable Rate
Daily Demand Note, 5.50%, 8/15/22 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000
2,000,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland), Variable
Rate Daily Demand Note, 5.50%, 8/15/23 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000,000
3,800,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, (Insured by FGIC), Variable Rate Daily Demand Note, 5.50%, 6/15/25 (a). . . . . . . . 3,800,000
1,000,000 New York State, G.O., Series S, Tax Exempt Commercial Paper, 3.65%, 7/14/97 . . . . . . . . . . 1,000,000
500,000 New York State, G.O., Series S, Tax Exempt Commercial Paper, 3.65%, 7/16/97 . . . . . . . . . . 500,000
1,500,000 New York State, G.O., Series S, Tax Exempt Commercial Paper, 3.60%, 7/22/97 . . . . . . . . . . 1,500,000
3,100,000 New York State Dormitory Authority Revenue, City University, 8.125%, 7/1/17,
Prerefunded 7/1/97 @ 102 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,162,000
3,600,000 New York State Energy Research & Development Authority, P.C.R., Rochester Gas and Electric,
(LOC: Credit Suisse), Variable Rate Monthly Demand Note, 3.55%, 10/1/14 (a). . . . . . . . . . 3,600,000
7,300,000 New York State Energy Research & Development Authority, P.C.R., Niagara Mohawk Power,
Series A, (LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note, 5.45%, 7/1/15 (a) . . 7,300,000
2,000,000 New York State Energy Research & Development Authority, P.C.R., Lilco Project,
Series B, (LOC: Deutsche Bank), 3.60%, 3/1/16 (a). . . . . . . . . . . . . . . . . . . . . . . 2,000,000
1,000,000 New York State Energy Research & Development Authority, P.C.R., New York Electric and Gas,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 3.75%, 6/1/29 (a) . . . . . . . 1,000,000
3,200,000 New York State Energy Research & Development Authority, P.C.R., New York Electric and Gas,
(LOC: Union Bank of Switzerland), Variable Rate Daily Demand Note, 5.40%, 10/1/29 (a). . . . . 3,200,000
4,250,000 New York State Energy Research & Development Authority, P.C.R., Orange/Rockland Utility, (AMBAC
Insured), Variable Rate Weekly Demand Note, 4.05%, 8/01/15 (a) . . . . . . . . . . . . . . . . 4,250,000
1,550,000 New York State Environmental Facilities, P.C.R., State Water Revolving Fund,
Series B, 6.00%, 9/15/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,557,480
1,590,000 New York State Environmental Facilities, P.C.R., State Water Revolving Fund,
Series A, 3.40%, 8/15/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,590,000
490,000 New York State Environmental Facilities, P.C.R., State Water Revolving Fund,
Series A, 3.85%, 2/15/98 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 490,000
3,180,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A,
(LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note, 4.10%, 11/1/10 (a). . . . . . . 3,180,000
3,500,000 New York State Housing Finance Agency, Normandie Contract I Project,
(LOC: Landesbank Hessen), Variable Rate Weekly Demand Note, 4.00%, 5/15/15 (a) . . . . . . . . 3,500,000
580,000 New York State Job Development Authority, (LOC: Sumitomo Bank), Variable Rate
Monthly Demand Note, 4.00%, 3/1/99 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 580,000
1,270,000 New York State Job Development Authority, (LOC: Sumitomo Bank), Variable Rate
Monthly Demand Note, 3.80%, 3/1/00 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,270,000
</TABLE>
See Notes to Financial Statements on Page 24
14
<PAGE>
- --------------------------------------------------------------------------------
NY TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
---------------- ----------- -----
<S> <C> <C>
$ 3,700,000 New York State Local Government Assistance, Series G, (LOC: National
Westminster), Variable Weekly Demand Note, 4.05%, 4/1/25 (a) . . . . . . . . . . . . . . . .$ 3,700,000
1,400,000 New York State Medical Care Facilities Finance Agency, Lenox Hill Hospital,
Series A, (LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note, 4.10%,
11/1/08 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,400,000
1,800,000 Onondaga County, New York, I.D.A., (LOC: Banque Nationale De Paris), Variable
Rate Monthly Demand Note, 3.80%, 11/13/98 (a). . . . . . . . . . . . . . . . . . . . . . . . 1,800,000
1,880,000 Oyster Bay, New York, G.O., 4.80%, 12/1/97. . . . . . . . . . . . . . . . . . . . . . . . . . 1,887,404
3,500,000 Senaca County, New York, I.D.A., Civic Facilities Revenue, (LOC: Barclays Bank),
Variable Rate Weekly Demand Note, 4.05%, 10/1/21 (a) . . . . . . . . . . . . . . . . . . . . 3,500,000
1,000,000 Suffolk County, New York, I.D.A., Photronics Corporate Facility, (LOC: Morgan
Guaranty Trust), Variable Rate Daily Demand Note, 4.00%, 1/1/98 (a). . . . . . . . . . . . . 1,000,000
3,100,000 Triborough Bridge and Tunnel Authority, Series M, 7.375%, 1/1/08, (Escrowed to
Maturity), Prerefunded 1/1/98 @ 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,215,304
270,000 Triborough Bridge and Tunnel Authority, Series M, 7.50%, 1/1/15, (Escrowed to Maturity),
Prerefunded 1/1/98 @ 102 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280,101
400,000 Westchester County, New York, G.O., Series B, 5.75%, 9/15/97. . . . . . . . . . . . . . . . . 401,524
-----------
TOTAL NEW YORK OBLIGATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86,687,749
-----------
PUERTO RICO - 5.06%
3,200,000 Puerto Rico Commonwealth Government Development Bank, (LOC: Credit Suisse), Variable
Rate Weekly Demand Note, 3.75%, 12/1/15 (a). . . . . . . . . . . . . . . . . . . . . . . . . 3,200,000
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, 4.20%, 12/1/15 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,335,000
-----------
TOTAL PUERTO RICO OBLIGATIONS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,535,000
-----------
TOTAL INVESTMENTS (Amortized Cost $91,222,749) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101.85% 91,222,749
Liabilities in Excess of Other Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1.85)% (1,663,061)
-------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $89,559,688
-------- -----------
-------- -----------
</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
CSD - Central School District
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
TANS - Tax Anticipation Notes
See Notes to Financial Statements on Page 24
15
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
ARIZONA - 3.38%
$ 2,250,000 Chandler, Arizona, I.D.A., (LOC: National Westminster), Variable Rate Monthly
Demand Note, 4.10%, 12/15/09 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,250,000
900,000 Pinal County, Arizona, I.D.A., P.C.R., (LOC: National Westminster), Variable Rate
Daily Demand Note, 4.00%, 12/1/09 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . 900,000
1,000,000 Salt River Project, Arizona, Agriculture Improvement & Power District Electric System
Revenue, Series A, (Escrowed to Maturity), 7.875%, 1/1/28, Prerefunded 1/1/98 @ 102. . . . 1,040,303
-------------
4,190,303
-------------
COLORADO - 1.63%
2,000,000 Colorado State TRANS, Series A, 4.50%, 6/26/98 . . . . . . . . . . . . . . . . . . . . . . 2,012,340
-------------
DELAWARE - 2.04%
2,500,000 Delaware State, G.O., Series B, 5.00%, 5/1/98. . . . . . . . . . . . . . . . . . . . . . . 2,522,181
-------------
FLORIDA - 21.88%
1,130,000 Dade County, Florida, Housing Finance Authority, Bermuda Villas, Series K,
(LOC: John Hancock Insurance), Variable Rate Weekly Demand Note, 4.20%, 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,
4.20%, 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, 4.20%, 8/1/05 (a). . . . 3,000,000
4,700,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank), Variable Rate
Weekly Demand Note, 4.20%, 12/1/07 (a). . . . . . . . . . . . . . . . . . . . . . . . . . 4,700,000
1,340,000 Jacksonville, Florida, Electric Authority Revenue, St. Johns River, 4.25%, 10/1/97 . . . . 1,342,359
5,300,000 Palm Beach County, Florida, Water and Sewer Revenue, (LOC: Sanwa Bank), Variable
Rate Daily Demand Note, 4.10%, 10/1/11 (a). . . . . . . . . . . . . . . . . . . . . . . . 5,300,000
5,800,000 Pinellas County, Florida, Health Facility Authority Revenue, Pooled Hospital Loan
Program, (LOC: Chase Manhattan), Variable Rate Daily Demand Note, 4.00%, 12/1/15 (a). . . 5,800,000
1,000,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt
Commercial Paper, (LOC: Morgan Guaranty, National Westminster, Union Bank
of Switzerland), 3.65%, 7/25/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000
2,500,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt
Commercial Paper, (LOC: Morgan Guaranty, National Westminster, Union Bank of
Switzerland), 3.70%, 8/7/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500,000
1,000,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial Paper,
(LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland),
3.65%, 7/14/97 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000
100,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial
Paper, (LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland),
3.90%, 8/7/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100,000
-------------
27,072,359
-------------
GEORGIA - 2.06%
1,500,000 Georgia State, G.O., Series A, 7.70%, 2/1/98 . . . . . . . . . . . . . . . . . . . . . . . 1,533,173
1,000,000 Georgia State, G.O., Series C, 6.50%, 7/1/98 . . . . . . . . . . . . . . . . . . . . . . . 1,025,712
-------------
2,558,885
-------------
IDAHO - 1.63%
2,000,000 Idaho State, TANS, 4.625%, 6/30/98 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,014,300
-------------
ILLINOIS - 1.05%
1,300,000 Burbank, Illinois, I.D.R., Service Merchandise Inc., (LOC: Canadian Imperial Bank),
Variable Rate Monthly Demand Note, 3.85%, 9/15/24 (a) . . . . . . . . . . . . . . . . . . 1,300,000
-------------
IOWA - 4.52%
2,700,000 Des Moines, Iowa, C.D.A., East Grand Office Park Project, (Guaranteed by Principal
Financial Group), Variable Rate Monthly Demand Note, 4.05%, 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, 4.05%, 11/1/15 (a) . . . . . . . . . 2,895,000
-------------
5,595,000
-------------
KANSAS - 1.13%
1,400,000 Fairway, Kansas, I.D.R., (J.C. Nichols Project,) Guaranteed by Principal Mutual
Insurance), Variable Rate Monthly Demand Note, 4.05%, 11/1/14 (a) . . . . . . . . . . . . 1,400,000
-------------
</TABLE>
See Notes to Financial Statements on Page 24
16
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
LOUISIANA - 0.81%
$ 1,000,000 Jefferson Parish, Louisiana Hospital Revenue, West Jefferson Medical Center, (LOC:
Rabobank Nederland), Variable Rate Weekly Demand Note, 4.25%, 1/1/26 (a). . . . . . . . . $ 1,000,000
------------
MARYLAND - 2.94%
1,000,000 Maryland State, G.O., 6.70%, 7/15/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,001,197
1,500,000 Maryland State Department of Transportation, 6.90%, 7/1/00, Prerefunded 7/1/97 @ 101.25. . 1,518,750
1,095,000 Montgomery County, Maryland Series A, 6.60%, 7/1/98 Prerefunded 7/1/97 @ 102 . . . . . . . 1,116,900
-------------
3,636,847
-------------
MICHIGAN - 5.55%
4,250,000 Michigan State, G.O., 4.50%, 9/30/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,260,771
2,600,000 Michigan State Housing Authority, Series C, (LOC: Credit Suisse), Variable Rate
Weekly Demand Note, 4.35%, 4/1/19 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . 2,600,000
-------------
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,860,771
-------------
MINNESOTA - 5.85%
1,000,000 Minnesota State, G.O., 6.60%, 8/1/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,002,550
2,000,000 Minnesota State, G.O., 5.50%, 8/1/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,003,136
4,200,000 Minnesota State, G.O., 4.50%, 5/1/98 . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,225,410
-------------
7,231,096
-------------
MISSISSIPPI - 1.71%
2,065,000 Mississippi State, Correctional Facility Project, 7.00%, 8/1/00 Prerefunded
8/1/97 @ 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,111,521
-------------
MISSOURI - 1.78%
2,200,000 Kansas City, Missouri, I.D.A., Coach House Project, (Guaranteed by Principal Mutual
Life Insurance), Variable Rate Monthly Demand Note, 4.05%, 12/1/15 (a). . . . . . . . . . 2,200,000
-------------
MONTANA - 2.43%
3,000,000 Forsyth, Montana, P.C.R., Pacificorp Project, (LOC: Rabobank Nederland), Variable Rate
Daily Demand Note, 5.45%, 1/1/18 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000,000
-------------
NEW HAMPSHIRE - 1.70%
2,100,000 New Hampshire State, I.D.A., (LOC: Union Bank of Switzerland), Variable Rate
Monthly Demand Note, 3.80%, 7/1/13 (a). . . . . . . . . . . . . . . . . . . . . . . . . . 2,100,000
-------------
NEW YORK - 14.54%
2,000,000 Municipal Assistance Corp, New York, Tax-Exempt Commercial Paper, (LOC: Landesbank
Hessen), 3.80%, 8/19/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000,000
2,500,000 Municipal Assistance Corp for City New York, New York, (LOC: Bayerische
Landesbank), Variable Rate Weekly Demand Note, 4.05%, 7/1/08 (a). . . . . . . . . . . . . 2,500,000
450,000 New York City, New York, G.O., Series B, (Insured FGIC), Variable Rate Daily
Demand Note, 5.50%, 10/1/20 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 450,000
2,000,000 New York State Dormitory Authority, City University System, Series A, (Escrowed to
Maturity), 3.65%, 7/1/17, Prerefunded 7/1/97 @ 102. . . . . . . . . . . . . . . . . . . . 2,040,000
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,
5.45%, 7/1/15 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400,000
400,000 New York State Environmetal Facility Corp., P.C.R., Series D, 5.20%, 11/15/97. . . . . . . 402,040
2,000,000 New York State Housing Finance Agency, Normandie Ct. Project, (LOC: Landesbank
Hessen), Variable Rate Weekly Demand Note, 4.00%, 5/15/15 (a) . . . . . . . . . . . . . . 2,000,000
1,200,000 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) . . . . . . . . . . . . 1,200,000
3,000,000 New York State Local Assistance, Series G, (LOC: National Westminster), Variable Rate
Weekly Demand Note, 4.05%, 4/1/25 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000,000
2,000,000 New York State, Series S, Tax-Exempt Commerical Paper, 3.65%, 7/14/97. . . . . . . . . . . 2,000,000
1,000,000 New York State, Series S, Tax-Exempt Commerical Paper, 3.65%, 7/16/97. . . . . . . . . . . 1,000,000
1,000,000 New York State, Series S, Tax-Exempt Commerical Paper, 3.70%, 8/5/97 . . . . . . . . . . . 1,000,000
-------------
17,992,040
-------------
OHIO - 2.26%
2,800,000 Cuyahoga County, Ohio, Hospital Revenue, University Hospital Cleveland, (LOC: Dai-Ichi
Kangyo), Variable Rate Daily Demand Note, 4.20%, 1/1/16 (a). . . . . . . . . . . . . . . 2,800,000
-------------
</TABLE>
See Notes to Financial Statements on Page 24
17
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT DESCRIPTION VALUE
- ---------------- ----------- -----
<S> <C> <C>
PENNSYLVANIA - 0.57%
$ 700,000 Lehigh County, Pennsylvania, I.D.R., Allegheny Electric, (LOC:Rabobank Nederland),
Variable Rate Monthly Demand Note, 3.80%, 6/1/14 (a). . . . . . . . . . . . . . . . . . . 700,000
-------------
SOUTH CAROLINA - 0.41%
500,000 South Carolina State, G.O., Series B, 5.30%, 3/1/98. . . . . . . . . . . . . . . . . . . . 504,356
-------------
TEXAS - 13.25%
4,000,000 Dallas, Texas, G.O., 5.20%, 2/15/98. . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,036,383
1,400,000 Sabine River Authority Texas P.C.R., Utilities Electric Company, (LOC: Union Bank
of Switzerland), Variable Rate Daily Demand Note, 5.45%, 6/1/30 (a) . . . . . . . . . . . 1,400,000
1,255,000 San Antonio, Texas, Electric and Gas, 8.00%, 2/1/16. . . . . . . . . . . . . . . . . . . . 1,309,149
4,645,000 Texas Small Business, I.D.R., Texas Public Facilities, (LOC: Credit Suisse, National
Westminster), Variable Rate Weekly Demand Note, 4.20%, 7/1/26 (a) . . . . . . . . . . . . 4,645,000
5,000,000 Texas State, TRANS, 4.75%, 8/29/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,007,022
-------------
16,397,554
-------------
UTAH - 0.81%
1,000,000 Utah State, G.O., 4.90%, 7/1/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000
-------------
VERMONT - 3.83%
4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion), Variable Rate
Monthly Demand Note, 4.10%, 12/1/13 (a) . . . . . . . . . . . . . . . . . . . . . . . . . 4,735,000
-------------
WASHINGTON - 3.05%
3,265,000 Chelan County, Washington, Public Utility District 1, (Insured by MBIA),
Variable Rate Weekly Demand Note, 4.05%, 6/1/15 (a) . . . . . . . . . . . . . . . . . . . 3,265,000
500,000 Washington State G.O., 8.70%, 10/1/00, Prerefunded 10/1/97 @ 100 . . . . . . . . . . . . . 505,945
-------------
3,770,945
-------------
WYOMING - 3.96%
1,000,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper, (LOC: Union Bank of
Switzerland), 3.60%, 7/3/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000
1,500,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper, (LOC: Union Bank of
Switzerland), 3.70%, 7/22/97 (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,500,000
2,000,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper, (LOC: Union Bank of
Switzerland), 3.60%, 8/1/97 (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000,000
400,000 Sweetwater County, Wyoming, P.C.R., Pacificorp Project, (LOC: Canadian Imperial
Bank), Variable Rate Daily Demand Note, 5.45%, 1/1/14 (a) . . . . . . . . . . . . . . . . 400,000
-------------
4,900,000
-------------
TOTAL INVESTMENTS (amortized cost $129,605,498). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104.77% 129,605,498
Liabilities less Other Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (4.77)% (5,896,917)
------ -------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $123,708,581
------ -------------
------ -------------
</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
FGIC - Financial Guaranty Insurance Corporation
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 Corporation
P.C.R. - Pollution Control Revenue
TANS - Tax Anticipation Notes
TRANS - Tax Revenue Anticipation Notes
See Notes to Financial Statements on Page 24
18
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Description Value
- ---------------- ----------- -----
<S> <C> <C>
UNITED STATES TREASURY NOTES- 18.67%
$ 85,000,000 5.75%, 9/30/97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 85,064,755
135,000,000 5.625%, 10/31/97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134,929,944
50,000,000 5.75%, 10/31/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,044,678
155,000,000 5.25%, 12/31/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154,756,580
--------------
TOTAL UNITED STATES TREASURY NOTES (Amortized Cost $424,795,957) . . . . . . . . . . . . . . . . . . . . . . . 424,795,957
--------------
REPURCHASE AGREEMENTS - 81.81%
75,000,000 Tri-Party Repurchase Agreement with Bear Stearns, Dated 5/22/97, 5.48%, Principal &
Interest in the Amount of $75,456,667, Due 7/21/97, (Collateralized by U.S. Treasury
Strips, Par Value of $75,000,000, Coupon rate of 6.22% to 6.52%, Due 8/15/07 to 8/15/16,
Value of $75,684,999) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,000,000
200,000,000 Open Tri-party Repurchase Agreement with Canadian Imperial Bank, Dated 6/30/97, Daily
Variable Rate, Principal amount of $200,000,000 (Collateralized by U.S. Treasury Notes,
Par Value of $187,444,000, Coupon rates of 5.50% to 6.25%, Due 3/31/98 to 11/15/98,
Value of $190,755,344; U.S. Treasury Bond, Par Value of $11,224,000, Coupon rate of 7.875%,
Due 2/15/21, Value of $13,249,272). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,000,000
85,000,000 Tri-party Repurchase Agreement with Citicorp, Dated 6/30/97, 6.00%, Principal & Interest in
the amount of $85,014,167, Due 7/01/97, (Collateralized by U.S. Treasury Notes, Par Value
of $84,920,000, Coupon rates of 5.875% to 6.25%, Due 8/15/98 to 3/31/99, Value of
$86,705,700). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,000,000
175,000,000 Tri-party Repurchase Agreement with Deutche Bank, Dated 6/30/97, 6.10%, Principal & Interest
in the amount of $175,029,653, Due 7/01/97, (Collateralized by U.S. Treasury Bonds, Par
Value of $12,370,000, Coupon rates of 7.50% to 10.625%, Due 8/15/15 to 11/15/24, Value of
$14,284,118; U.S. Treasury Notes, Par Value of $163,708,000, Coupon rates of 5.50% to 7.50%,
Due 8/15/97 to 5/15/07, Value of $164,216,715). . . . . . . . . . . . . . . . . . . . . . . 175,000,000
15,000,000 Tri-party Repurchase Agreement with Dean Witter, Dated 6/30/97, 5.75%, Principal & Interest in
the amount of $15,002,396, Due 7/01/97, (Collateralized by U.S. Treasury Notes, Par Value of
$16,087,000, Coupon rate of 6.75% to 8.5%, Due 3/15/98 to 6/01/05, Value of $16,484,971). . . 15,000,000
75,000,000 Tri-party Repurchase Agreement with Dean Witter, Dated 6/30/97, 5.90%, Principal & Interest
in the amount of $75,012,292, Due 7/01/97, (Collateralized by U.S. Treasury Bonds, Par
Value of $73,420,000, Coupon rates of 6.5% to 8.0%, Due 9/25/15 to 3/01/24, Value of
$75,605,070). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,000,000
75,000,000 Tri-party Repurchase Agreement with First Boston, Dated 5/22/97, 5.48%, Principal & Interest
in the amount of $75,456,667, Due 7/21/97 (Collateralized by U.S. Treasury Strips, Par Value
$111,786,000, Due 11/15/97 to 2/15/15, Value of $77,240,263). . . . . . . . . . . . . . . . 75,000,000
15,000,000 Tri-party Repurchase Agreement with First Boston, Dated 6/30/97, 5.75%, Principal & Interest in
the amount of $15,002,396, Due 7/01/97 (Collateralized by U.S. Treasury Strips, Par Value of
$33,040,000, Due from 11/15/97 to 2/15/25, Value of $15,693,353). . . . . . . . . . . . . . 15,000,000
90,000,000 Tri-party Repurchase Agreement with Goldman Sachs, Dated 6/30/97, 5.50%, Principal & Interest
in the amount of $90,013,750, Due 7/01/97 (Collateralized by U.S. Treasury Note, Par Value of
$89,947,000, Coupon rate of 6.625%, Due 5/15/07, Value of $91,800,021). . . . . . . . . . . 90,000,000
200,000,000 Open Tri-party Repurchase Agreement with HSBC Securities, Dated 6/26/97, Daily Variable Rate,
Principal amount of $200,000,000 (Collateralized by U.S. Treasury Strips, Par Value of
$15,668,000, Due from 5/15/20 to 2/15/26, Value of $2,764,644; U.S. Treasury Principal Strip,
Par Value of $327,262,000, Due from 2/15/15 to 11/15/26, Value of $201,237,585) . . . . . . 200,000,000
85,000,000 Tri-party Repurchase Agreement with J.P. Morgan, Dated 6/30/97, 5.95%, Principal & Interest in
the amount of $85,014,049, Due 7/01/97, (Collateralized by U.S. Treasury Bills, Par Value of
$85,314,000, Coupon rates of 6.25% to 6.50%, Due from 3/31/99 to 4/30/99, Value of
$88,085,998). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,000,000
180,000,000 Tri-party Repurchase Agreement with Merrill Lynch, Dated 5/21/97, 5.49%, Principal & Interest
in the amount of $181,125,450, Due 7/18/97, (Collateralized by U.S. Treasury Bonds, Par Value
of $131,560,000, Coupon rates of 11.625% to 13.75%, Due from 8/15/04 to 5/15/05, Value of
$183,601,707) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180,000,000
See Notes to Financial Statements on Page 24
19
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Description Value
- ---------------- ----------- -----
<S> <C> <C>
$ 80,000,000 Tri-party Repurchase Agreement with Nomura, Dated 6/30/97, 5.90%, Principal & Interest in the
amount of $80,013,111, Due 7/01/97, (Collateralized by U.S. Treasury Bonds, Par Value of
$71,532,000, Coupon rates of 7.125% to 8.125%, Due from 8/15/19 to 2/15/23, Value of
$81,600,275). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 80,000,000
120,000,000 Open Tri-party Repurchase Agreement with Sanwa Bank, Dated 6/26/97, Daily Variable Rate,
Principal amount of $120,000,000 (Collateralized by U.S. Treasury Notes, Par Value of
$113,807,000, Coupon rates of 5.50% to 7.875%, Due from 4/15/98 to 11/30/00, Value of
$115,520,135; U.S. Treasury Bonds, Par Value of $5,028,000, Coupon rates of 6.75% to 12.00%,
Due from 8/15/13 to 8/15/26, Value of $7,112,243) . . . . . . . . . . . . . . . . . . . . . 120,000,000
85,000,000 Tri-party Repurchase Agreement with Smith Barney, Dated 6/30/97, 5.95%, Principal & Interest in
the amount of $85,014,049, Due 7/01/97, (Collateralized by U.S. Treasury Notes, Par Value of
$30,608,000, Coupon rate of 6.625%, Due 5/15/07, Value of $31,238,563; U.S. Treasury Bills,
Par Value of $21,998,000, Due 12/04/97, Value of $21,508,720; U.S. Treasury Strips, Par Value
of $90,852,000, Due from 5/15/02 to 11/15/17, Value of $33,953,122) . . . . . . . . . . . . 85,000,000
136,865,335 Tri-party Repurchase Agreement with Swiss Bank, Dated 6/30/97, 5.80%, Principal & Interest in
the amount of $136,887,386, Due 7/01/97, (Collateralized by U.S. Treasury Notes, Par Value of
$120,565,000, Coupon rates of 5.50% to 7.875%, Due from 7/31/98 to 8/15/05, Value of
$123,590,774; U.S. Treasury Bond, Par Value of $14,000,000, Coupon rate of 8.125%, Due
8/15/21, Value of $16,549,378). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136,865,335
85,000,000 Tri-party Repurchase Agreement with Swiss Bank, Dated 6/30/97, 5.95%, Principal & Interest in
the amount of $85,014,049, Due 7/01/97, (Collateralized by U.S. Treasury Principal Strip, Par
Value of $398,799,000, Due from 2/15/19 to 2/15/20, Value of $87,300,565) . . . . . . . . . 85,000,000
85,000,000 Tri-party Repurchase Agreement with UBS, Dated 6/30/97, 5.90%, Principal & Interest in the amount
of $85,013,931, Due 7/01/97, (Collateralized by U.S. Treasury Notes, Par Value of $84,935,000,
Coupon rate of 6.00%, Due 8/15/99, Value of $86,702,982). . . . . . . . . . . . . . . . . . 85,000,000
--------------
TOTAL REPURCHASE AGREEMENTS (Amortized Cost $1,861,865,335). . . . . . . . . . . . . . . . . . . . . . . . . . 1,861,865,335
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Amortized Cost $2,286,661,292). . . . . . . . . . . . . . . . . . . . . . . 100.48% 2,286,661,292
Liabilities in Excess of Other Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.48)% (10,884,532)
------ ----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.00% $ 2,275,776,760
------ ----------------
------ ----------------
</TABLE>
See Notes to Financial Statements on Page 24
20
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at Value* . . . . . . . . . . . $ 4,048,349,506 $ 91,222,749 $ 129,605,498 $ 2,286,661,292
Cash . . . . . . . . . . . . . . . . . . . . 472,565 110,224 96,953 --
Receivable for Securities Sold . . . . . . . -- 500,337 1,300,866 --
Interest Receivable. . . . . . . . . . . . . 149,003,266 759,977 1,269,359 5,496,207
Prepaid Expenses and Other . . . . . . . . . 26,114 150 43 5,714
---------------- ---------------- ---------------- ----------------
Total Assets . . . . . . . . . . . . . . . . . 4,197,851,451 92,593,437 132,272,719 2,292,163,213
---------------- ---------------- ---------------- ----------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . 654,943 11,452 16,161 343,138
Due to Custodian . . . . . . . . . . . . . . -- -- -- 16,025,915
Payable for Securities Purchased . . . . . . -- 3,010,100 8,533,914 --
Accrued Expenses and Other . . . . . . . . . 38,376 12,197 14,063 17,400
---------------- ---------------- ---------------- ----------------
Total Liabilities. . . . . . . . . . . . . . . 693,319 3,033,749 8,564,138 16,386,453
---------------- ---------------- ---------------- ----------------
NET ASSETS . . . . . . . . . . . . . . . . . . $ 4,197,158,132 $ 89,559,688 $ 123,708,581 $ 2,275,776,760
---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ----------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . $ 4,197,158,132 $ 89,559,688 $ 123,708,581 $ 2,275,776,760
---------------- ---------------- ---------------- ----------------
NET ASSETS . . . . . . . . . . . . . . . . . . $ 4,197,158,132 $ 89,559,688 $ 123,708,581 $ 2,275,776,760
---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . $ 114,299,785 $ 1,433,923 $ 2,396,967 $ 51,511,531
---------------- ---------------- ---------------- ----------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . 3,090,456 61,351 99,968 1,427,151
Administration and Services Fees . . . . . . . 1,030,152 20,450 33,323 475,717
Professional Fees. . . . . . . . . . . . . . . 15,569 12,404 13,003 14,025
Trustees Fees. . . . . . . . . . . . . . . . . 1,046 1,050 1,046 1,050
Miscellaneous. . . . . . . . . . . . . . . . . 17,734 280 397 14,820
---------------- ---------------- ---------------- ----------------
Total Expenses . . . . . . . . . . . . . . . . 4,154,957 95,535 147,737 1,932,763
Less: Expenses Absorbed by Bankers Trust. . . (446,410) (13,734) (14,446) (29,895)
---------------- ---------------- ---------------- ----------------
Net Expenses . . . . . . . . . . . . . . . . 3,708,547 81,801 133,291 1,902,868
NET INVESTMENT INCOME. . . . . . . . . . . . . . 110,591,238 1,352,122 2,263,676 49,608,663
REALIZED GAIN (LOSS) FROM INVESTMENT
TRANSACTIONS. . . . . . . . . . . . . . . . . . (22,473) 7,792 (4,886) (26,776)
---------------- ---------------- ---------------- ----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . $ 110,568,765 $ 1,359,914 $ 2,258,790 $ 49,581,887
---------------- ---------------- ---------------- ----------------
---------------- ---------------- ---------------- ----------------
</TABLE>
- -----------------
* For the Treasury Money Portfolio, includes repurchase agreements amounting to
$1,861,865,335.
See Notes to Financial Statements on Page 24
21
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH MANAGEMENT NY TAX FREE MONEY
-------------------------------------- --------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997+ DECEMBER 31, 1996 JUNE 30, 1997+ DECEMBER 31, 1996
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . $ 110,591,238 $ 173,497,388 $ 1,352,122 $ 2,748,049
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . (22,473) 102,443 7,792 (2,716)
---------------- ----------------- ---------------- -----------------
Net Increase in Net Assets from Operations . . 110,568,765 173,599,831 1,359,914 2,745,333
---------------- ----------------- ---------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . 12,633,606,938 20,303,004,962 97,330,382 248,919,074
Value of Capital Withdrawn . . . . . . . . . (11,808,927,263) (19,831,740,806) (85,163,263) (246,564,588)
Net Increase in Net Assets from Capital
Transactions . . . . . . . . . . . . . . . . 824,679,675 471,264,156 12,167,119 2,354,486
---------------- ----------------- ---------------- -----------------
CONTRIBUTIONS OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . -- 1,113,488 -- --
---------------- ----------------- ---------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . 935,248,440 645,977,475 13,527,033 5,099,819
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . 3,261,909,692 2,615,932,217 76,032,655 70,932,836
---------------- ----------------- ---------------- -----------------
End of Period. . . . . . . . . . . . . . . . . $ 4,197,158,132 $ 3,261,909,692 $ 89,559,688 $ 76,032,655
---------------- ----------------- ---------------- -----------------
<CAPTION>
TAX FREE MONEY TREASURY MONEY
-------------------------------------- --------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997+ DECEMBER 31, 1996 JUNE 30, 1997+ DECEMBER 31, 1996
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . $ 2,263,676 $ 4,174,096 $ 49,608,663 $ 95,531,341
Net Realized Gain (Loss) from Investment
Transactions . . . . . . . . . . . . . . . (4,886) (8,495) (26,776) 217,057
---------------- ----------------- ---------------- -----------------
Net Increase in Net Assets from Operations . . 2,258,790 4,165,601 49,581,887 95,748,398
---------------- ----------------- ---------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . 159,280,331 336,717,831 6,440,978,183 13,280,023,129
Value of Capital Withdrawn . . . . . . . . . (155,544,306) (342,872,465) (6,194,496,156) (13,337,140,277)
---------------- ----------------- ---------------- -----------------
Net Increase (Decrease) in Net Assets from
Capital Transactions . . . . . . . . . . . . 3,736,025 (6,154,634) 246,482,027 (57,117,148)
---------------- ----------------- ---------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . 5,994,815 (1,989,033) 296,063,914 38,631,250
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . 117,713,766 119,702,799 1,979,712,846 1,941,081,596
---------------- ----------------- ---------------- -----------------
End of Period. . . . . . . . . . . . . . . . . $ 123,708,581 $ 117,713,766 $ 2,275,776,760 $ 1,979,712,846
---------------- ----------------- ---------------- -----------------
---------------- ----------------- ---------------- -----------------
</TABLE>
- ---------------------------
+ Unaudited
See Notes to Financial Statements on Page 24
22
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CASH MANAGEMENT
--------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 1997+ 1996 1995 1994 1993
-------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . $ 4,197,158 $ 3,261,910 $ 2,615,932 $ 2,735,025 $ 1,930,075
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 5.37%* 5.27% 5.77% 4.24% 3.06%
Expenses . . . . . . . . . . . . . . . . . . 0.18%* 0.18% 0.18% 0.18% 0.20%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. 0.02%* 0.02% 0.02% 0.02% 0.00%++
<CAPTION>
NY TAX FREE MONEY
------------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------------------------------
JUNE 30, 1997 1996 1995 1994 1993
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . $ 89,560 $ 76,033 $ 70,933 $ 79,334 $ 104,188
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 3.31%* 3.18% 3.62% 2.60% 2.21%
Expenses . . . . . . . . . . . . . . . . . . 0.20%* 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust . . . . . . . . . . . . . . . . . . . 0.03%* 0.05% 0.04% 0.03% 0.03%
<CAPTION>
TAX FREE MONEY
------------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------------------------------
JUNE 30, 1997 1996 1995 1994 1993
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . $ 123,709 $ 117,714 $ 119,703 $ 110,408 $ 111,604
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 3.40%* 3.34% 3.82% 2.76% 2.50%
Expenses . . . . . . . . . . . . . . . . . . 0.20%* 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. 0.02%* 0.04% 0.03% 0.03% 0.02%
<CAPTION>
TREASURY MONEY
------------------------------------------------------------------------------
FOR THE SIX FOR THE YEAR ENDED DECEMBER 31,
MONTHS ENDED --------------------------------------------------------------
JUNE 30, 1997 1996 1995 1994 1993
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . $ 2,275,777 $ 1,979,713 $ 1,941,082 $ 882,775 $ 789,479
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . 5.21%* 5.14% 5.58% 3.93% 2.93%
Expenses . . . . . . . . . . . . . . . . . . 0.20%* 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. 0.00%*++ 0.00%++ 0.01% 0.01% 0.01%
</TABLE>
---------
+ Unaudited
++ Less than 0.01%
* Annualized
See Notes to Financial Statements on Page 24
23
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
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 six months ended June 30, 1997:
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- -------------------- ----------- ---------------
Cash Management 0.05 of 1% $ 1,030,152
NY Tax Free Money 0.05 of 1% 20,450
Tax Free Money 0.05 of 1% 33,323
Treasury Money 0.05 of 1% 475,717
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 six months ended June 30,
1997:
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- -------------------- ----------- ---------------
Cash Management 0.15 of 1% $ 3,090,456
NY Tax Free Money 0.15 of 1% 61,351
Tax Free Money 0.15 of 1% 99,968
Treasury Money 0.15 of 1% 1,427,151
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 six months ended
June 30, 1997, 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% $ 446,410
NY Tax Free Money 0.20 of 1% 13,734
Tax Free Money 0.20 of 1% 14,446
Treasury Money 0.20 of 1% 29,895
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Edgewood Services, Inc. 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.
24
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25
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26
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27
<PAGE>
BT INVESTMENT FUNDS
CASH MANAGEMENT FUND
NY TAX FREE MONEY FUND
TAX FREE MONEY FUND
TREASURY MONEY FUND
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P.
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
-----------
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or the
BT Mutual Fund Service Center at (800) 730-1313. This report must be preceded
or accompanied by a current prospectus for the Fund.
-----------
Cash Management Fund Cusip #055922108
NY Tax Free Money Fund Cusip #055922207
Tax Free Money Fund Cusip #055922306
Treasury Money Cusip #055922405
COMBMON100 (7/97)
28
