(bullet) BT INVESTMENT FUNDS (bullet)
---------------------
CASH MANAGEMENT FUND
NY TAX FREE MONEY FUND
TAX FREE MONEY FUND
TREASURY MONEY FUND
---------------------
ANNUAL REPORT
----------------------
DECEMBER (bullet) 1997
<PAGE>
BT Investment Funds
Table of Contents
Letter to Shareholders 3
BT Investment Funds
Statements of Assets and Liabilities 6
Statements of Operations 6
Statements of Changes in Net Assets 7
Financial Highlights 8
Notes to Financial Statements 10
Report of Independent Accountants 12
BT Portfolios
Schedules of Portfolio Investments 13
Statements of Assets and Liabilities 26
Statements of Operations 26
Statements of Changes in Net Assets 27
Financial Highlights 28
Notes to Financial Statements 29
Report of Independent Accountants 31
2
<PAGE>
BT Investment Funds
Letter to Shareholders
MARKET ACTIVITY
For virtually the entire year, the pace of economic growth remained above-trend
and inflation was low. Unemployment continued to fall, putting pressure on labor
costs, but productivity improvement was strong enough to more than offset the
rising costs. Against this exceptional backdrop, the money markets were rather
quiet, with yields remaining relatively stable and the money market yield curve
reasonably flat.
The only real interruption to this stability was early in the year. A rapidly
growing economy in the first quarter, supported by strong consumer spending and
home building, prompted the Federal Reserve Board to increase the Fed Funds rate
from 5.25% to 5.50% on March 25, 1997--the first increase in over two years.
Following this, inflationary pressures did not increase, signs pointed to a
slowing economy, and the Federal Reserve Board remained on hold throughout the
rest of the year. A high level of consumer confidence, strong employment gains
and rising incomes further helped support the low price volatility within the
money markets. During the fourth quarter, developments in the Far East
overshadowed the ongoing favorable performance of the U.S. economy. However, to
date, there has been little evidence of any meaningful impact of the turmoil
abroad on domestic activity.
- --------------------------------------------------------------------------------
Cash Management Fund
The Fund's annualized 7-day effective and current net yields were 5.19% and
5.06%, respectively, as of December 31, 1997.* We held a somewhat defensive,
shorter-than-benchmark average maturity 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 in the second quarter. We then maintained a neutral to
shorter-than-benchmark maturity throughout most of the rest of the year, as the
Federal Reserve Board was seemingly on hold, and we saw no benefit in extending
maturity along a flat yield curve. We did extend slightly at the end of the year
to take advantage of the higher year-end rates generated by the financial
turmoil in Asia. This duration strategy, along with a focus on adding value
through what we call "spread product," e.g. floating rate notes, proved to be
effective in producing highly 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 Status at December 31, 1997
S&P: AAAm* Seven day effective yield: 5.19%
Moody's: AAA Average maturity: 39 days
------------ Net assets: $138.4 million
--------------------------------
Diversification of Portfolio Investments
By Asset Type as of December 31, 1997
(percentages are based on market value)
[PIE CHART APPEARS BELOW]
Certificates of Deposit 1%
Eurodollar Certificates of Deposit 9%
Yankee Certificates of Deposit 16%
Commercial Paper 43%
Interest Bearing Commercial Paper & U.S. Treasuries 1%
Floating Rate Notes 12%
Eurodollar Time Deposits 12%
Repurchase Agreements 6%
- ----------
* S&P evaluates a number of factors, including credit quality, market price
exposure and management. Aaa ratings by Moody's are judged to be of an
investment quality similar to Aaa-rated fixed income obligations. Ratings are
subject to change and do not remove market risks.
3
<PAGE>
BT Investment Funds
Letter to Shareholders (continued)
NY Tax Free Money Fund#
The Fund's annualized 7-day effective yield was 3.25% as of December 31, 1997,
or a taxable equivalent of 6.14%.* The 7-day current net yield for the Fund was
3.20% as of December 31, 1997. In the first quarter, we began with a
longer-than-benchmark average maturity of 53 days to lock in the higher-term
rates available at the end of 1996 and to offset pressure on short-term rates
from large, seasonal cash inflows that occur in January. We let the Fund's
average maturity roll down over the rest of the first quarter for three primary
reasons: the short-term pressures dissipated very quickly; there was ongoing
concern about potential Federal Reserve Board action; and the short-term end of
the yield curve was flat. Our strategy proved effective, since the Fed did act
on March 25, 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.
- --------------------------------------------------------------------------------
On March 31, the Fund's average maturity stood at 43 days. Given that the Fed
stayed on hold for the remainder of the year and the short-term end of the yield
curve stayed rather flat, we kept the Fund at a short to neutral position,
adjusting maturity primarily to take advantage of seasonal phenomenon. We also
sought to add value when attractive yield opportunities arose. For example, we
stayed short in April as tax time approached, a period when withdrawals from
money market funds are par for the course. In May, we extended slightly, as
1-year paper had increased about 0.50% in yield since January, and we purchased
some of the issues to add yield potential. We maintained this approximate
maturity into the third quarter, as a large percentage of municipal issues
usually become available in July. Interestingly, this year, New York's specialty
state paper was hard to come by and, when found, was selling at a premium.
August through October was a quiet time, and with no incentive to extend along a
flat yield curve, we once again let the Fund's average maturity roll down a bit
into the 38-39 day range. The Asian crisis that exploded in October led to a
rally on U.S. Treasuries and longer-term municipal bonds; however, the
short-term municipal bond market was virtually unaffected.
--------------------------------
Status at December 31, 1997
Seven day effective yield: 3.25%
Average maturity: 48 days
Net assets: $85.4 million
--------------------------------
Diversification of Portfolio Investments
by Asset Type as of December 31, 1997
(percentages are based on market value)
[PIE CHART APPEARS BELOW]
G.O. Bonds 9%
G.O. Notes 8%
Revenue Bonds 13%
Floating Rate Demand Notes 51%
Revenue Anticipation Notes 6%
Tax Anticipation Notes 3%
Commercial Paper 10%
We moved to a more neutral position in November and early December, reflecting
our anticipated need for liquidity at the end of the year, as investors make
asset allocation decisions. Then, we extended slightly at the end of the year,
based on our expectation of major cash inflows in January, a month in which
large amounts of monies traditionally enter the short-term tax-exempt market as
a result of coupon payments and maturing issues. On December 31, 1997, the
Fund's average maturity stood at 48 days.
- --------------------------------------------------------------------------------
Tax Free Money Fund##
The Fund's annualized 7-day effective yield was 3.27% as of December 31, 1997,
or a taxable equivalent of 5.41%.* The 7-day current net yield for the Fund was
3.22% as of December 31, 1997. As was the case during the first half of the
year, credit spreads overall remained tight during the second six months,
enabling the Fund to continue buying the highest quality, liquid issues while
maintaining a highly competitive yield. As for maturity positioning, we carried
out a very similar strategy as that of the NY Tax Free Money Fund throughout the
first half. Beginning the period with an average maturity of 55 days, the Fund
moved to a shorter 35 days by March 31, shortened to 32 days by the end of
April, and then began extending in May as 1-year notes 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.
- --------------------------------------------------------------------------------
On June 30, the Fund had 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
Diversification of Portfolio Investments
by Asset Type as of December 31, 1997
(percentages are based on market value)
[PIE CHART APPEARS BELOW]
G.O. Notes 4%
Commercial Paper 12%
G.O. Bonds 10%
Revenue Anticipation Notes 5%
Floating Rate Demand Notes 56%
Tax Anticipation Notes 3%
Tax Revenue Anticipation Notes 6%
Revenue Bonds 4%
4
<PAGE>
BT Investment Funds
Letter to Shareholders (continued)
our selection choice--in June of this year was a heavier than usual selling of
1-year paper by corporations.
--------------------------------
Status at December 31, 1997
Seven day effective yield: 3.27%
Average maturity: 51 days
Net assets: $150.5 million
--------------------------------
From August through October, with the short-term end of the yield curve flat, we
let the Fund's average maturity roll down. The Fund benefited from its
investments in 1-year paper, which had been trading at 3.75% to 3.85% yield
during the third quarter. When it became clear that the Fed would not raise
interest rates, 1-year paper rallied below the 3.75% range. The Fund ended the
year with a slightly longer than average maturity of 51 days. As with the NY Tax
Free Money Fund, this position primarily reflects anticipated, typical January
supply/demand pressures.
- --------------------------------------------------------------------------------
Treasury Money Fund
The Fund's annualized 7-day effective and current net yields were 5.05% and
4.93%, respectively, as of December 31, 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 somewhat defensive, with a shorter-than-benchmark average maturity
position through much of the first quarter of 1997. Once the Federal Reserve
Board raised rates in late March and economic growth began to wane in the second
quarter, we moved to a neutral stance. We maintained a neutral to
shorter-than-benchmark maturity throughout most of the rest of the year for two
primary reasons. First, the Federal Reserve Board was seemingly on hold, and we
saw no benefit in extending maturity along a flat yield curve. Second,
repurchase agreement yields were higher than those of U.S. Treasuries during
this period, and thus we increased the Portfolio's allocation to these
shorter-term instruments. This strategy proved to be effective in producing
highly competitive Fund returns.
- --------------------------------------------------------------------------------
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 Status at December 31, 1997
S&P: AAAm** Seven day effective yield : 5.05%
Moody's: AAA Average maturity: 39 days
------------ Net assets: $268.3 million
---------------------------------
Diversification of Portfolio Investments
By Asset Type as of December 31, 1997
(percentages are based on market value)
[PIE CHART APPEARS BELOW]
U.S. Treasury Notes 18%
U.S. Treasury Bills 2%
Repurchase Agreements 80%
- --------------------------------------------------------------------------------
MANAGERS' OUTLOOK
As we enter 1998, the underlying fundamentals impacting the consumer--a tight
labor market, low inflation, low interest rates and strong economic growth--are
similar to those of most of 1997. Current data also supports the notion that the
Federal Reserve Board is on hold. However, the Asian crisis still looms, as the
delayed effect of the retrenchment in the region may still filter into the U.S.
Given this scenario, we expect a continued flight to quality, which will allow
short-term U.S. Treasuries to remain expensive to the repurchase agreement
market for some time. We also expect the money market yield curve to remain
flat.
In the taxable funds, we intend to maintain a short-to-neutral average maturity
for the near term. In the municipal funds, we expect to stay slightly long even
after seasonal supply/demand factors dissipate, as we are somewhat bullish on
short-term municipal rates. We believe that this sector has not yet participated
in the rally that began for much of the rest of the fixed-income market in the
second quarter of 1997. In addition, state and local economies are generally
strong right now, which has led to increased revenues. While this means
municipalities are issuing less, it also means that what is issued is often not
accompanied by credit enhancements as in years past. Given this scenario, we
feel comfortable locking in what we believe are currently comparatively higher
yields.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
/s/ Darlene M. Rasel
----------------------
Darlene M. Rasel
Portfolio Manager of the Cash Management
Portfolio and the Treasury Money Portfolio
December 31, 1997
/s/ Susan Bradford
--------------------
Susan Bradford
Portfolio Manager of the Tax Free Money
Portfolio and the NY Tax Free Money Portfolio
December 31, 1997
- ----------
* Past performance is not indicative of future results. Yields will vary.
Yields quoted for money market funds most closely reflect the fund's current
earnings. 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. Mutual funds
are not bank deposits or obligations of any bank, are not guaranteed by any
bank, and are not insured or guaranteed by the U.S. government, the Federal
Deposit Insurance Corporation, the Federal Reserve Board, or any other
government agency. Investment in mutual funds involves investment risk,
including possible loss of principal.
** S&P evaluates a number of factors, including credit quality, market price
exposure and management. Aaa ratings by Moody's are judged to be of an
investment quality similar to Aaa-rated fixed income obligations. Ratings are
subject to change and do not remove market risks.
# 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
Statements of Assets and Liabilities December 31, 1997
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
------------ ------------ ------------ ------------
<S> <C>
Assets
Investment in Portfolio, at Value* $138,851,791 $ 85,610,872 $150,878,639 $268,714,824
Prepaid Expenses 1,719 358 1,843 1,850
------------ ------------ ------------ ------------
Total Assets 138,853,510 85,611,230 150,880,482 268,716,674
------------ ------------ ------------ ------------
Liabilities
Due to Bankers Trust 67,994 41,836 73,839 140,972
Payable for Shares of Beneficial InterestRedeemed -- 14,743 -- --
Dividends Payable 351,109 175,029 309,475 285,464
Accrued Expenses 11,013 15,239 14,584 16,628
------------ ------------ ------------ ------------
Total Liabilities 430,116 246,847 397,898 443,064
------------ ------------ ------------ ------------
Net Assets $138,423,394 $ 85,364,383 $150,482,584 $268,273,610
============ ============ ============ ============
Shares Outstanding ($0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest Authorized) 138,505,560 85,397,419 150,537,600 268,192,162
============ ============ ============ ============
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 $138,505,560 $ 85,397,419 $150,537,600 $268,192,162
Accumulated Net Realized Gain (Loss) from
Investment Transactions (82,166) (33,036) (55,016) 81,448
------------ ------------ ------------ ------------
Net Assets, December 31, 1997 $138,423,394 $ 85,364,383 $150,482,584 $268,273,610
============ ============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
Statements of Operations For the year ended December 31, 1997
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
------------ ------------ ----------- -----------
<S> <C>
Investment Income
Income, net+ $ 7,103,274 $ 3,170,275 $ 4,722,617 $21,201,152
------------ ------------ ----------- -----------
Expenses
Administration and Services Fees 717,130 516,579 752,445 2,204,379
Printing and Shareholder Reports 10,000 10,000 10,000 9,000
Registration Fees 9,111 1,938 9,902 10,667
Professional Fees 9,450 9,688 8,750 9,310
Trustees Fees 2,780 2,753 2,860 2,712
Miscellaneous 6,797 5,253 5,847 19,876
------------ ------------ ----------- -----------
Total Expenses 755,268 546,211 789,804 2,255,944
Less: Expenses Absorbed by Bankers Trust (12,060) (29,632) (37,359) (51,565)
------------ ------------ ----------- -----------
Net Expenses 743,208 516,579 752,445 2,204,379
------------ ------------ ----------- -----------
Net Investment Income 6,360,066 2,653,696 3,970,172 18,996,773
------------ ------------ ----------- -----------
Realized Loss from Investment Transactions (1,301) (1,774) (5,713) (169)
------------ ------------ ----------- -----------
Net Increase in Net Assets from Operations $ 6,358,765 $ 2,651,922 $ 3,964,459 $18,996,604
============ ============ =========== ===========
</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
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Cash Management NY Tax Free Money
------------------------------------ ------------------------------------
For the For the For the For the
year ended year ended year ended year ended
December 31, 1997 December 31, 1996 December 31, 1997 December 31, 1996
----------------- ----------------- ----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 6,360,066 $ 6,538,626 $ 2,653,696 $ 2,274,310
Net Realized Gain (Loss) from Investment
Transactions (1,301) 4,405 (1,774) (2,716)
-------------- -------------- ------------- -------------
Net Increase in Net Assets from Operations 6,358,765 6,543,031 2,651,922 2,271,594
-------------- -------------- ------------- -------------
Distributions to Shareholders
Net Investment Income (6,360,066) (6,538,626) (2,653,696) (2,274,310)
-------------- -------------- ------------- -------------
Capital Transactions in Shares of Beneficial
Interest (at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold 2,040,115,705 1,809,262,492 438,649,915 466,071,414
Dividends Reinvested 2,806,055 3,499,845 754,129 719,990
Value of Shares Redeemed (2,023,465,730) (1,829,906,270) (429,895,656) (461,695,529)
-------------- -------------- ------------- -------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest 19,456,030 (17,143,933) 9,508,388 5,095,875
-------------- -------------- ------------- -------------
Contributions of Capital
Proceeds Contributed -- 110,287 -- --
-------------- -------------- ------------- -------------
Total Increase (Decrease) in Net Assets 19,454,729 (17,029,241) 9,506,614 5,093,159
Net Assets
Beginning of Year 118,968,665 135,997,906 75,857,769 70,764,610
-------------- -------------- ------------- -------------
End of Year $ 138,423,394 $ 118,968,665 $ 85,364,383 $ 75,857,769
============== ============== ============= =============
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money Treasury Money
------------------------------------ ------------------------------------
For the For the For the For the
year ended year ended year ended year ended
December 31, 1997 December 31, 1996 December 31, 1997 December 31, 1996
----------------- ----------------- ----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 3,970,172 $ 3,488,455 $ 18,996,773 $ 26,397,092
Net Realized Gain (Loss) from Investment
Transactions (5,713) (8,495) (169) 71,092
-------------- -------------- ------------- -------------
Net Increase in Net Assets from Operations 3,964,459 3,479,960 18,996,604 26,468,184
-------------- -------------- ------------- -------------
Distributions to Shareholders
Net Investment Income (3,970,172) (3,488,455) (18,996,773) (26,397,092)
-------------- -------------- ------------- -------------
Capital Transactions in Shares of Beneficial
Interest (at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold 957,584,448 859,320,089 7,207,567,766 7,825,627,385
Dividends Reinvested 1,156,319 999,664 14,463,357 22,057,782
Value of Shares Redeemed (926,224,651) (861,731,897) (7,508,473,235) (7,908,124,366)
-------------- -------------- ------------- -------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest 32,516,116 (1,412,144) (286,442,112) (60,439,199)
-------------- -------------- ------------- -------------
Total Increase (Decrease) in Net Assets 32,510,403 (1,420,639) (286,442,281) (60,368,107)
Net Assets
Beginning of Year 117,972,181 119,392,820 554,715,891 615,083,998
-------------- -------------- ------------- -------------
End of Year $ 150,482,584 $ 117,972,181 $ 268,273,610 $ 554,715,891
============== ============== ============= =============
</TABLE>
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
years presented for each of the Funds.
<TABLE>
<CAPTION>
Cash Management
------------------------------------------------------------
For the years ended December 31,
------------------------------------------------------------
1997 1996 1995 1994 1993
-------- -------- ------- ------- -------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- ------- ------- -------
Income from Investment Operations
Net Investment Income 0.05 0.05 0.05 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 0.05 0.05 0.05 0.03 0.03
-------- -------- ------- ------- -------
Contributions of Capital -- 0.00+ -- 0.01 --
-------- -------- ------- ------- -------
Distributions to Shareholders
Net Investment Income (0.05) (0.05) (0.05) (0.04) (0.03)
Net Realized Gain from Investment
Transactions -- -- -- -- (0.00)+
-------- -------- ------- ------- -------
Total Distributions (0.05) (0.05) (0.05) (0.04) (0.03)
-------- -------- ------- ------- -------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======= ======= =======
Total Investment Return 4.98% 4.82%++ 5.35% 3.67%++ 2.54%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 138,423 $ 118,969 $135,998 $159,172 $ 76,578
Ratios to Average Net Assets:
Net Investment Income 4.88% 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%
</TABLE>
<TABLE>
<CAPTION>
NY Tax Free Money
--------------------------------------------------------------
For the years ended December 31,
--------------------------------------------------------------
1997 1996 1995 1994 1993
---------- ----------- ---------- ---------- ---------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- --------- --------- ---------
Income from Investment Operations
Net Investment Income 0.03 0.03 0.03 0.02 0.02
Net Realized Loss from Investment Transactions (0.00)+ (0.00)+ (0.00)+ (0.00)+ (0.00)+
---------- ---------- --------- --------- ---------
Total from Investment Operations 0.03 0.03 0.03 0.02 0.02
---------- ---------- --------- --------- ---------
Distributions to Shareholders
Net Investment Income (0.03) (0.03) (0.03) (0.02) (0.02)
---------- ---------- --------- --------- ---------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========= ========= =========
Total Investment Return 2.86% 2.68% 3.12% 2.11% 1.68%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 85,364 $ 75,858 $ 70,765 $ 79,101 $103,938
Ratios to Average Net Assets:
Net Investment Income 2.83% 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 0.06% 0.09% 0.07% 0.08% 0.06%
</TABLE>
- ----------
+ Less than $0.01 per share.
++ Increased by approximately 0.08% and 0.96% due to Contributions of Capital
for the years ended December 31, 1996 and 1994, respectively.
See Notes to Financial Statements on Page 10
8
<PAGE>
BT Investment Funds
Financial Highlights (continued)
<TABLE>
<CAPTION>
Tax Free Money
-------------------------------------------------------------
For the years ended December 31,
-------------------------------------------------------------
1997 1996 1995 1994 1993
---------- ----------- --------- ----------- --------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- --------- ----------- --------
Income from Investment Operations
Net Investment Income 0.03 0.03 0.03 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 0.03 0.03 0.03 0.02 0.02
---------- ----------- --------- ----------- --------
Distributions to Shareholders
Net Investment Income (0.03) (0.03) (0.03) (0.02) (0.02)
Net Realized Gain from Investment Transactions -- -- -- (0.00)+ --
---------- ----------- --------- ----------- --------
Total Distributions (0.03) (0.03) (0.03) (0.02) (0.02)
---------- ----------- --------- ----------- --------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== =========== ========= =========== ========
Total Investment Return 2.94% 2.84% 3.34% 2.27% 1.97%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 150,483 $ 117,972 $119,393 $110,043 $111,285
Ratios to Average Net Assets:
Net Investment Income 2.90% 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%
</TABLE>
<TABLE>
<CAPTION>
Treasury Money
-------------------------------------------------------------
For the years ended December 31,
-------------------------------------------------------------
1997 1996 1995 1994 1993
---------- ----------- --------- ----------- --------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- --------- ----------- --------
Income from Investment Operations
Net Investment Income 0.05 0.05 0.05 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 0.05 0.05 0.05 0.03 0.02
---------- ----------- --------- ----------- --------
Distributions to Shareholders
Net Investment Income (0.05) (0.05) (0.05) (0.03) (0.02)
Net Realized Gain from Investment Transactions -- -- (0.00)+ -- (0.00)+
---------- ----------- --------- ----------- --------
Total Distributions (0.05) (0.05) (0.05) (0.03) (0.02)
---------- ----------- --------- ----------- --------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== =========== ========= =========== ========
Total Investment Return 4.86% 4.71% 5.19% 3.40% 2.43%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 268,274 $ 554,716 $615,084 $ 696,915 $ 643,145
Ratios to Average Net Assets:
Net Investment Income 4.74% 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 0.02% 0.01% 0.02% 0.02% 0.01%
</TABLE>
- ----------
+ Less than $0.01 per share.
See Notes to Financial Statements on Page 10
9
<PAGE>
BT Investment Funds
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21, 1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The Cash Management Fund, NY Tax Free Money
Fund, Tax Free Money Fund and Treasury Money Fund (each a "Fund", and
collectively, the "Funds") are offered to investors by the Trust. The following
Funds commenced operations, began offering shares of beneficial interest and
invested directly in securities on the following dates:
Commencement
of Operations & Direct Investment
Beneficial Shares in Securities
Fund Offering through
- ----------------- ----------------- -------------------
Cash Management October 5, 1988 July 22, 1990
NY Tax Free Money September 27, 1988 February 18, 1991
Tax Free Money June 10, 1987 February 18, 1991
Treasury Money November 1, 1988 July 22, 1990
Subsequent to the direct investment in securities date, the Funds began
investing substantially all of their investable assets in the following
respective Portfolios: Cash Management Fund in the Cash Management Portfolio, NY
Tax Free Money Fund in the NY Tax Free Money Portfolio, Tax Free Money Fund in
the Tax Free Money Portfolio and Treasury Money Fund in the Treasury Money
Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The
Portfolios are open-end management investment companies registered under the
Act. The Funds seek to achieve their investment objectives by investing all of
their investable assets in the respective Portfolios. The value of such
investment in the Portfolios reflects each Fund's proportionate interest in the
net assets of the respective Portfolio. At December 31, 1997, Cash Management
Fund's investment was approximately 3% of the Portfolio, Treasury Money Fund's
investment was approximately 13% of the Portfolio, and NY Tax Free Money Fund's
and Tax Free Money Fund's investments were approximately 100% of their
respective Portfolio.
The financial statements of each of the Portfolios, including the Schedules 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. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
Each Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Funds in return for a fee computed daily and
paid monthly at an annual rate of each Fund's average daily net assets. The
following provides a table of annual rates and aggregate fees for each of the
Funds for the year ended December 31,1997:
Fund Annual Rate Aggregated Fees
- ------------------- ----------- ---------------
Cash Management 0.55 of 1% $ 717,130
NY Tax Free Money 0.55 of 1% 516,579
Tax Free Money 0.55 of 1% 752,445
Treasury Money 0.55 of 1% 2,204,379
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement at an annual
rate not exceeding 0.20 of 1% of each Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of each Fund's shares. For the year ended December 31, 1997, there
were no reimbursable expenses incurred under this agreement. The Funds do not
intend to charge 12b-1 fees in the future.
Bankers Trust has voluntarily undertaken to waive its fees 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% $12,060
NY Tax Free Money 0.55 of 1% 0.75 of 1% 29,632
Tax Free Money 0.55 of 1% 0.75 of 1% 37,359
Treasury Money 0.55 of 1% 0.75 of 1% 51,565
- ----------
* Excluding Expenses of the Portfolio.
+ Including Expenses of the Portfolio.
10
<PAGE>
BT Investment Funds
Notes to Financial Statements (continued)
Certain officers of the Funds are also directors, officers and/or employees of
Edgewood. None of the officers so affiliated received compensation for services
as officers of the Funds.
Note 3--Capital Loss Carryforward
At December 31, 1997, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated as
follows:
<TABLE>
<CAPTION>
Capital Loss Carryforward
Net Realized Expiration Year
Capital Loss ------------------------------------------------------
Fund Carryforward 2000 2001 2002 2003 2004 2005
- ---------------- ------------ ---- ---- ---- ---- ---- ----
<S> <C>
Cash Management $82,185 $80,884 $1,301
NY Tax Free Money $19,390 $10,340 $739 $ 2,075 $ 1,746 $2,716 $1,774
Tax Free Money $52,147 $12,896 $25,044 $8,495 $5,712
</TABLE>
In 1994, the Cash Management Portfolio sold certain structured notes carried at
par to an unrelated third party financial institution at par plus accrued
interest to a put agreement and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Fund's Financial Highlights for the year ended
December 31, 1994 reflects its pro rata share of the Portfolio's realized loss
on the sale of these securities and a capital contribution in the amount of
$1,299,990. In 1996, Bankers Trust contributed capital in the amount of $110,287
to reimburse the Cash Management Fund for capital losses incurred in prior
years.
11
<PAGE>
BT Investment Funds
Report of Independent Accountants
To the Trustees and Shareholders of BT Investment Funds:
We have audited the accompanying statements of assets and liabilities of the
Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money Funds
(four of the Funds comprising BT Investment Funds) as of December 31, 1997, and
the related statements of operations for the year then ended the statements of
changes in net assets for each of the two years in the period then end, and the
financial highlights for each of the five years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1997, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money Funds as
of December 31, 1997, the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended and the financial highlights for each of the five years in the period then
ended, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 18, 1998
12
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
- --------- ----------- -----
CERTIFICATE OF DEPOSIT - 0.62%
$25,000,000 J.P. Morgan, 5.80%, 6/22/98
(Amortized Cost $25,000,000) $ 25,000,000
--------------
COMMERCIAL PAPER - 42.92%*
Abbey National:
25,000,000 5.495%, 3/31/98 24,660,378
9,000,000 5.55%, 4/27/98 8,839,050
25,500,000 Alcatel Alsthom,
6.10%, 1/06/98 25,478,396
Asset Securitization Cooperative Corp.:
31,000,000 5.62%, 1/15/98 30,932,246
33,000,000 5.61%, 1/29/98 32,856,010
10,000,000 5.88%, 1/29/98 9,954,267
25,000,000 5.74%, 2/13/98 24,828,597
30,000,000 5.705%, 2/25/98 29,738,521
20,000,000 5.69%, 2/26/98 19,822,978
20,000,000 Australia Wheat Board,
5.72%, 3/04/98 19,802,978
15,000,000 BBL North America,
5.75%, 3/10/98 14,837,083
BTR Dunlop:
10,000,000 5.69%, 2/17/98 9,925,714
10,000,000 5.68%, 2/26/98 9,911,644
45,000,000 Bank of Austria,
5.72%, 3/17/98 44,463,750
Bank of Nova Scotia:
10,000,000 5.667%, 2/17/98 9,926,014
25,000,000 5.727%, 3/02/98 24,761,375
30,000,000 Bayer Corp.,
5.78%, 2/18/98 29,768,800
27,000,000 Bell Network,
5.88%, 1/29/98 26,876,520
23,000,000 CAFCO,
5.75%, 2/13/98 22,842,035
14,000,000 Caterpillar Financial,
5.52%, 1/21/98 13,957,067
Principal
Amount Description Value
- --------- ----------- -----
Commonwealth Bank of Australia:
$12,000,000 5.54%, 4/30/98 $ 11,780,247
10,000,000 5.56%, 4/30/98 9,816,211
10,000,000 Credit Suisse,
5.72%, 3/12/98 9,888,778
Daimler Benz:
28,000,000 5.73%, 2/27/98 27,745,970
15,000,000 5.72%, 3/24/98 14,804,567
Delaware Funding Corp.:
15,770,000 5.52%, 1/12/98 15,743,401
12,600,000 5.95%, 1/15/98 12,570,845
25,000,000 5.95%, 1/16/98 24,938,021
10,000,000 5.72%, 1/28/98 9,957,100
16,219,000 5.85%, 1/30/98 16,142,568
22,511,000 5.85%, 2/12/98 22,357,362
60,000,000 Ford Motor Credit,
5.60%, 1/16/98 59,860,000
General Electric Capital Corp.:
25,000,000 5.57%, 1/23/98 24,914,903
5,000,000 5.54%, 1/30/98 4,977,686
25,000,000 5.61%, 2/06/98 24,859,750
20,000,000 5.70%, 2/18/98 19,848,000
10,000,000 5.73%, 2/27/98 9,909,275
25,000,000 5.71%, 4/17/98 24,579,681
10,000,000 5.57%, 5/05/98 9,808,144
Goldman Sachs:
10,000,000 5.60%, 1/20/98 9,970,444
59,500,000 5.85%, 1/30/98 59,219,606
21,000,000 5.72%, 3/16/98 20,753,087
4,000,000 Hitachi America,
5.57%, 4/10/98 3,938,730
20,000,000 Kingdom of Sweden,
5.52%, 3/16/98 19,773,067
25,000,000 Kreditbank,
5.53%, 1/22/98 24,919,354
10,000,000 MCI Communications,
5.55%, 1/15/98 9,978,417
13,000,000 Manitoba Hydro Electric,
5.68%, 4/16/98 12,784,633
See Notes to Financial Statements on Page 29
13
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
- --------- ----------- -----
Merrill Lynch & Co.:
$25,000,000 5.52%, 1/15/98 $ 24,946,333
28,000,000 5.57%, 1/16/98 27,935,017
15,000,000 5.62%, 1/21/98 14,953,167
20,000,000 5.61%, 1/30/98 19,909,617
15,000,000 5.60%, 2/11/98 14,904,333
8,000,000 5.71%, 2/25/98 7,930,211
30,000,000 5.75%, 3/13/98 29,659,792
10,000,000 5.57%, 5/05/98 9,808,144
Morgan Guaranty,
40,000,000 5.69%, 4/15/98 39,342,489
Morgan Stanley Group Inc.:
10,000,000 5.90%, 1/28/98 9,955,750
28,000,000 5.75%, 2/18/98 27,785,333
35,000,000 5.70%, 2/23/98 34,706,292
60,000,000 Motorola,
5.65%, 2/04/98 59,679,833
4,500,000 National Australia Funding,
5.55%, 1/09/98 4,494,450
National Rural Utility Cooperative
Financial Corp.:
10,000,000 5.53%, 2/06/98 9,944,700
10,000,000 5.692%, 4/21/98 9,826,078
18,000,000 Norwest,
5.72%, 2/27/98 17,836,980
15,000,000 Pacific Dunlop Holdings,
6.15%, 1/07/98 14,984,625
28,000,000 Panasonic Finance,
6.07%, 1/21/98 27,905,578
25,000,000 Province of Quebec,
5.57%, 3/05/98 24,756,312
Rabobank:
10,000,000 5.56%, 1/29/98 9,956,756
25,000,000 5.54%, 4/30/98 24,542,181
Receivables Capital Corp.:
5,000,000 5.92%, 1/05/98 4,996,711
22,000,000 5.93%, 1/30/98 21,894,907
17,000,000 5.96%, 1/30/98 16,918,381
10,000,000 5.79%, 2/10/98 9,935,667
10,000,000 5.74%, 2/18/98 9,923,467
27,401,000 5.76%, 2/20/98 27,181,792
40,000,000 5.77%, 2/20/98 39,679,444
14,000,000 5.813%, 2/25/98 13,875,666
Principal
Amount Description Value
- --------- ----------- -----
$50,000,000 SBC Communications, Inc.,
6.70%, 1/02/98 $ 49,990,694
11,500,000 Schering Plough,
5.70%, 4/21/98 11,299,708
60,000,000 Smith Barney Shearson,
5.62%, 2/17/98 59,559,767
Sony Capital Corp.:
10,000,000 5.88%, 1/30/98 9,952,633
18,000,000 5.90%, 2/12/98 17,876,100
15,000,000 5.93%, 2/23/98 14,869,046
10,000,000 Westpac Capital Corp.,
5.73%, 3/09/98 9,893,358
--------------
Total Commercial Paper
(Amortized Cost $1,733,634,584) 1,733,634,584
--------------
COMMERCIAL PAPER
(INTEREST BEARING) - 1.24%
50,000,000 General Electric Capital Corp.,
6.002%, 1/02/98
(Amortized Cost $50,000,000) 50,000,000
--------------
EURODOLLAR CERTIFICATES OF
DEPOSIT - 8.98%
Abbey National Bank:
20,000,000 5.76%, 2/17/98 19,999,671
33,000,000 5.77%, 2/27/98 32,996,828
20,000,000 Australia and New Zealand Bank,
5.75%, 2/17/98 20,000,392
Banco Bilbao Vizcaya:
20,000,000 5.80%, 1/14/98 20,000,188
4,000,000 5.65%, 1/20/98 4,000,021
15,000,000 5.81%, 3/16/98 15,000,304
23,000,000 Banco Santander,
5.79%, 1/20/98 23,000,240
21,000,000 Bank of Tokyo-Mitsubishi,
5.80%, 1/26/98 21,000,037
35,000,000 Banque National de Paris,
5.82%, 3/05/98 35,000,604
Barclays Bank:
20,000,000 5.60%, 1/07/98 19,999,848
50,000,000 5.66%, 2/12/98 50,000,000
See Notes to Financial Statements on Page 29
14
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
- --------- ----------- -----
$10,000,000 Bayerische Landesbank,
5.66%, 1/29/98 $ 9,998,251
11,000,000 Bayerische Vereinbank,
5.67%, 2/23/98 10,999,986
15,000,000 Credit Anstaldt,
5.66%, 1/07/98 15,000,109
International Nederlander Funding:
9,000,000 5.64%, 1/14/98 8,999,968
11,000,000 5.65%, 1/16/98 11,000,022
15,000,000 J.P. Morgan,
5.80%, 6/17/98 15,005,466
8,000,000 Rabobank,
5.675%, 2/12/98 7,999,125
Svenska Handelbanken:
10,000,000 5.62%, 1/09/98 9,999,924
13,000,000 5.82%, 3/17/98 12,999,874
--------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $363,000,858) 363,000,858
--------------
EURODOLLAR TIME DEPOSIT - 12.58%
70,000,000 Banco Santander,
5.70%, 1/29/98 70,000,000
25,000,000 Bank of America,
5.67%, 1/29/98 25,000,000
100,000,000 Bank of Nova Scotia,
7.00%, 1/02/98 100,000,000
Bank of Tokyo-Mitsubishi:
20,000,000 5.75%, 1/05/98 20,000,000
10,000,000 5.75%, 1/16/98 10,000,000
35,000,000 Canadian Imperial Bank,
6.75%, 1/02/98 35,000,000
25,000,000 Den Danske,
5.73%, 1/27/98 25,000,000
International Nederlanden:
40,000,000 5.70%, 1/02/98 40,000,000
20,000,000 5.68%, 1/14/98 20,000,000
25,000,000 5.75%, 1/26/98 25,000,000
30,000,000 National Australia,
5.84%, 3/04/98 30,000,000
Principal
Amount Description Value
- --------- ----------- -----
$25,000,000 Nordeutsche Landesbank,
5.781%, 3/27/98 $ 25,000,000
35,000,000 Royal Bank of Scotland,
5.687%, 2/12/98 35,000,000
23,031,762 Suntrust Bank,
5.00%, 1/02/98 23,031,762
25,000,000 Svenska Handelbanken,
5.687%, 1/30/98 25,000,000
--------------
Total Eurodollar Time Deposits
(Amortized Cost $508,031,762) 508,031,762
--------------
FLOATING RATE NOTES - 11.48%
American Express Centurion Bank:
Monthly Variable Rate,
20,000,000 5.97%, 3/06/98 20,000,000
20,000,000 5.928%, 9/25/98 20,000,000
25,000,000 Associates Corp.:
Quarterly Variable Rate,
5.55%, 1/04/99 24,987,796
11,000,000 Bank of America:
Quarterly Variable Rate,
6.10%, 6/30/98 10,995,420
50,000,000 Bayerische Landesbank:
Monthly Variable Rate,
5.838%, 6/26/98 49,981,243
8,000,000 Bear Stearns Co.:
Monthly Variable Rate,
6.118%, 4/28/98 8,004,019
5,000,000 Chase Manhattan Bank:
Quarterly Variable Rate,
5.877%, 11/10/98 5,007,561
35,000,000 Comerica:
Monthly Variable Rate,
5.90%, 2/05/98 34,997,730
20,000,000 Corestates Bank:
Monthly Variable Rate,
5.96%, 2/02/98 20,000,000
20,000,000 General Electric Capital Corporation:
Quarterly Variable Rate,
5.82%, 1/23/98 20,000,000
See Notes to Financial Statements on Page 29
15
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
- --------- ----------- -----
$40,000,000 Key Bank:
Monthly Variable Rate,
5.854%, 3/19/98 $ 39,993,801
Mellon Bank:
Quarterly Variable Rate,
10,000,000 5.846%, 6/16/98 10,000,000
15,000,000 5.795%, 11/17/98 15,000,000
25,000,000 Merrill Lynch & Co.:
Monthly Variable Rate,
5.98%, 2/06/98 24,999,517
Morgan Stanley:
Quarterly Variable Rate,
40,000,000 5.96%, 1/30/98 40,000,000
10,000,000 5.825%, 5/18/98 10,000,000
15,000,000 National City Cleveland:
Monthly Variable Rate,
5.85%, 2/18/98 14,998,571
PNC Bank:
Monthly Variable Rate,
40,000,000 5.878%, 1/09/98 39,999,486
20,000,000 5.868%, 5/27/98 19,995,331
10,000,000 Societe Generale:
Quarterly Variable Rate,
6.17%, 6/11/98 9,998,602
25,000,000 Student Loan Marketing Association:
Weekly Variable Rate,
5.619%, 9/28/98 24,998,152
--------------
Total Floating Rate Notes
(Amortized Cost $463,957,229) 463,957,229
--------------
REPURCHASE AGREEMENTS - 6.19%
150,000,000 Tri-Party Repurchase Agreement
with Chase Manhattan Bank
Corp., Dated 12/31/97, Daily
Variable Rate, Principal amount
of $150,000,000, Interest
amount varies dependent on
rate, Due 1/07/98,
(Collateralized by FNMA, Par
Value of $159,343,563, Coupon
rates of 6.00% to 9.50%, Due
from 1/01/98 to 9/01/27,
Value of $153,000,279) 150,000,000
Principal
Amount Description Value
- --------- ----------- -----
$100,000,000 Tri-Party Repurchase Agreement
with Goldman Sachs & Co.,
Dated 12/31/97, 6.80%,
Principal & Interest in the
amount of $100,037,778, Due
1/02/98,
(Collateralized by FGLMC,
Par Value of $159,831,991,
Coupon rates of 6.00% to
8.50%, Due from 2/01/00 to
12/01/27,
Value of $102,000,000) $ 100,000,000
--------------
Total Repurchase Agreements
(Amortized Cost $250,000,000) 250,000,000
--------------
U.S. TREASURY AGENCY NOTES - 0.25%
10,000,000 U.S. Treasury Note,
6.125%, 8/31/98
(Amortized Cost $10,030,010) 10,030,010
--------------
YANKEE CERTIFICATES OF DEPOSIT - 16.46%
35,000,000 ABN Amro Bank,
5.68%, 2/02/98 35,000,506
25,000,000 Bank of Scotland,
5.77%, 2/23/98 25,000,000
30,000,000 Bank of Tokyo-Mitsubishi,
6.23%, 4/02/98 30,000,000
25,000,000 Bayerische Hypotheka,
5.77%, 2/20/98 25,000,000
15,000,000 Canadian Imperial Bank of Commerce,
5.79%, 4/22/98 15,000,000
Commerz Bank:
43,000,000 5.59%, 1/07/98 43,000,000
6,000,000 5.63%, 1/14/98 6,000,000
Dresdner Bank:
50,000,000 6.125%, 1/06/98 50,000,000
10,000,000 5.93%, 4/09/98 10,002,739
J.P. Morgan:
2,000,000 5.92%, 3/19/98 2,000,264
11,000,000 5.94%, 3/20/98 11,001,943
See Notes to Financial Statements on Page 29
16
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
- --------- ----------- -----
National Westminster Bank:
$25,000,000 5.69%, 1/23/98 $ 25,000,000
10,000,000 5.77%, 3/03/98 9,997,661
14,000,000 Rabobank,
5.97%, 3/20/98 13,996,148
Sanwa Bank:
21,000,000 5.755%, 1/22/98 21,000,060
10,000,000 5.76%, 1/22/98 10,000,057
Societe Generale:
35,000,000 5.78%, 2/27/98 35,000,000
40,000,000 5.80%, 3/09/98 40,000,000
4,000,000 5.97%, 3/18/98 4,001,147
25,000,000 5.81%, 6/16/98 25,001,120
Principal
Amount Description Value
- --------- ----------- -----
Swiss Bank Corp.:
$49,000,000 5.64%, 1/14/98 $ 49,000,000
20,000,000 5.76%, 2/20/98 20,000,000
50,000,000 5.76%, 2/25/98 50,000,000
5,000,000 5.73%, 3/17/98 5,000,360
Westdeutsche Landesbank:
30,000,000 6.25%, 1/09/98 30,000,000
75,000,000 5.67%, 2/06/98 75,000,000
--------------
Total Yankee Certificates of Deposit
(Amortized Cost $665,002,005) 665,002,005
--------------
Total Investments
(Amortized Cost $4,068,656,448) 100.72% $4,068,656,448
Liabilities in Excess of Other Assets (0.72)% (28,931,473)
-------- --------------
Net Assets 100.00% $4,039,724,975
======== ==============
- ----------
* Interest rates for Commercial Paper represent discount rates at the time of
purchase.
See Notes to Financial Statements on Page 29
17
<PAGE>
NY Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
NEW YORK - 99.74%
$ 1,000,000 Erie County, New York, G.O., RANS, Series A, (LOC: Union Bank of Switzerland)
4.50%, 10/29/98 $ 1,005,400
2,935,000 Great Neck North, New York, G. O., UFSD, TANS, 4.25%, 6/30/98 2,942,093
3,700,000 Great Neck North, New York Water Authority Water System Revenue, Series A,
(FGIC Insured), Variable Rate Weekly Demand Note, 3.70%, 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 1,000,883
2,000,000 Half Hollow Hills, CSD, New York, Huntington & Babylon, G.O., TANS, 4.25%, 6/26/98 2,004,182
1,000,000 Huntington, New York, UFSD, G.O., TANS, 4.10%, 06/29/98 1,001,415
1,000,000 Huntington, New York, UFSD, G.O., TANS, 4.25%, 06/29/98 1,001,890
1,000,000 Monroe County, New York, G.O., Tax Exempt Commercial Paper, 3.70%, 1/14/98 1,000,000
1,455,000 Monroe County, New York, G.O., Series E, 4.50%, 2/1/98 1,455,708
500,000 Monroe County, New York, G.O., (FGIC Insured), 4.20%, 6/1/98 500,812
1,600,000 Montgomery County, New York, I.D.A., Service Merchandise Co.,
(LOC: Canadian Imperial Bank), Variable Rate Monthly Demand Note, 3.80%, 12/31/24 (a) 1,600,000
3,000,000 Municipal Assistance Corp., New York City, New York, (LOC: Bayerische Landesbank),
Variable Rate Weekly Demand Note, 3.55%, 7/1/08 (a) 3,000,000
200,000 New York City, New York, G.O., Series D, (Escrowed to Maturity), 6.90%, 2/1/98 200,474
500,000 New York City, New York, G.O., (LOC: Kredietbank N.V.), Variable Rate
Daily Demand Note, 5.10%, 8/1/15 (a) 500,000
1,500,000 New York City, New York, G.O., (LOC: Kredietbank N.V.), Variable Rate
Daily Demand Note, 5.10%, 8/1/16 (a) 1,500,000
1,800,000 New York City, New York, G.O., (LOC: Chase Manhattan Bank), Variable
Rate Daily Demand Note, 4.95%, 8/1/21 (a) 1,800,000
400,000 New York City, New York, G.O., (LOC: Chase Manhattan Bank), Variable
Rate Daily Demand Note, 5.00%, 8/1/23 (a) 400,000
400,000 New York City, New York, G.O., (LOC: Morgan Guaranty Trust), Variable Rate
Daily Demand Note, 4.15%, 8/15/19 (a) 400,000
1,400,000 New York City, New York, G.O., (LOC: Union Bank of Switzerland), Variable Rate
Daily Demand Note, 4.50%, 8/15/23 (a) 1,400,000
2,000,000 New York City, New York, G.O., RANS, 4.50%, 6/30/98 2,008,240
3,500,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, (Insured by FGIC), Variable Rate Daily Demand Note, 4.15%, 6/15/25 (a) 3,500,000
1,000,000 New York City, New York, Trust for Cultural Research Revenue, Museum of Broadcasting,
(LOC: Kredietbank N.V.), Variable Rate Weekly Demand Note, 3.55%, 5/1/14 (a) 1,000,000
2,000,000 New York State, G.O., Series S, Tax Exempt Commercial Paper, 3.80%, 1/14/98 2,000,000
1,500,000 New York State, G.O., Series S, Tax Exempt Commercial Paper, 3.80%, 2/10/98 1,500,000
1,000,000 New York State Dormitory Authority Revenue, (LOC: Chase Manhattan Bank),
Tax Exempt Commercial Paper, Series B, 3.70%, 1/12/98 1,000,000
1,000,000 New York State Dormitory Authority Revenue, (LOC: Chase Manhattan Bank),
Tax Exempt Commercial Paper, Series C, 3.80% , 1/16/98 1,000,000
500,000 New York State Dormitory Authority Revenue, (LOC: Chase Manhattan Bank),
Tax Exempt Commercial Paper, Series A, 3.80%, 1/20/98 500,000
1,000,000 New York State Dormitory Authority Revenue, (LOC: Chase Manhattan Bank),
Tax Exempt Commercial Paper, Series B, 3.65%, 2/11/98 1,000,000
3,105,000 New York State Energy Research & Development Authority, P.C.R., Brooklyn Union Gas,
(MBIA Insured), Variable Rate Weekly Demand Note, 3.70%, 12/1/20 (a) 3,105,000
4,200,000 New York State Energy Research & Development Authority, P.C.R., Niagara Mohawk Power,
Series A, (LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note, 4.50%, 7/1/15 (a) 4,200,000
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 2,000,000
2,355,000 New York State Energy Research & Development Authority, P.C.R., New York Electric and Gas,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 5.00%, 6/1/29 (a) 2,355,000
4,600,000 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, 5.00%, 10/1/29 (a) 4,600,000
</TABLE>
See Notes to Financial Statements on Page 29
18
<PAGE>
NY Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
$ 3,050,000 New York State Energy Research & Development Authority, P.C.R., Orange/Rockland Utility,
(AMBAC Insured), Variable Rate Weekly Demand Note, 3.55%, 8/1/15 (a) $ 3,050,000
2,000,000 New York State Energy Research & Development Authority, P.C.R., Rochester Gas and Electric,
(MBIA Insured), Variable Rate Weekly Demand Note, 3.55%, 8/1/32 (a) 2,000,000
490,000 New York State Environmental Facilities, P.C.R., State Water Revolving Fund,
Series A, 3.85%, 2/15/98 490,000
1,045,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A,
(LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note, 4.00%, 11/1/10 (a) 1,045,000
4,000,000 New York State Housing Finance Agency, Normandie Contract I Project,
(LOC: Landesbank Hessen), Variable Rate Weekly Demand Note, 3.50%, 5/15/15 (a) 4,000,000
2,000,000 New York State Housing Finance Agency, Contract Obligation Revenue, Series A,
(LOC: Commerz Bank), Variable Rate Weekly Demand Note, 3.50%, 3/15/27 (a) 2,000,000
1,275,000 New York State Local Government Assistance, Series A, (LOC: Union Bank of Switzerland),
Variable Rate Weekly Demand Note, 3.50%, 4/1/22(a) 1,275,000
1,300,000 New York State Medical Care Facilities Finance Agency, Lenox Hill Hospital, Series A,
(LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note, 3.60%, 11/1/08 (a) 1,300,000
2,600,000 Onondaga County, New York , I.D.A., (LOC: Banque Nationale de Paris),
Variable Rate Monthly Demand Note, 3.75%, 11/13/98 (a) 2,600,000
500,000 Oyster Bay, New York, G.O., 4.00%, 2/15/98 500,160
1,000,000 Rockland County, New York, G.O., 4.25%, 8/15/98 1,003,051
1,500,000 Sachem, New York, CSD, Holbrook, TANS, 4.25%, 6/25/98 1,502,768
1,000,000 Suffolk County, New York, I.D.A., Photronics Corporate Facility, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.95%, 1/1/98 (a) 1,000,000
3,000,000 Syracuse, New York, I.D.A., Civic Facility Revenue, Multi-Modal Syracuse University Project,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.75%, 3/1/23 (a) 3,000,000
3,100,000 Triborough Bridge and Tunnel Authority, Series M, 7.375%, 1/1/08, (Escrowed to Maturity),
Prerefunded 1/1/98 @ $102 3,162,000
270,000 Triborough Bridge and Tunnel Authority, Series M, 7.50%, 1/1/15, (Escrowed to Maturity),
Prerefunded 1/1/98 @ $102 275,400
1,000,000 Westchester County, New York, G.O., 4.60%, 11/15/98 1,007,276
--------------
Total New York Obligations (Amortized Cost $85,391,752) 85,391,752
--------------
PUERTO RICO - 3.38%
2,000,000 Puerto Rico Commonwealth Government, TRANS, Series A, 4.50%, 7/30/98 2,008,452
850,000 Puerto Rico Commonwealth Highway Authority, Series P, 8.125%, 7/1/13,
(Escrowed to Maturity), Prerefunded 7/1/98 @ $102 884,318
--------------
Total Puerto Rico Obligations (Amortized Cost $2,892,770) 2,892,770
--------------
Total Investments
(Amortized Cost $88,284,522) 103.12% $ 88,284,522
Liabilities in Excess of Other Assets (3.12)% (2,673,527)
------- --------------
Net Assets 100.00% $ 85,610,995
======= =============
</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
MBIA - Municipal Bond Investors Assurance Corporation
P.C.R. - Pollution Control Revenue
RANS - Revenue Anticipation Notes
TANS - Tax Anticipation Notes
TRANS - Tax and Revenue Anticipation Notes
UFSD - United Free School District
See Notes to Financial Statements on Page 29
19
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
ARIZONA - 3.79%
$ 2,700,000 Pinal County, Arizona, I.D.A., P.C.R., (LOC: National Westminster),
Variable Rate Daily Demand Note, 4.95%, 12/1/09 (a) $ 2,700,000
2,000,000 Salt River Project, Arizona, Agriculture Improvement & Power District Electric System
Revenue, Series E, (Escrowed to Maturity), 7.25%, 1/1/17, Prerefunded 1/1/98 @ $100 2,000,000
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 1,020,000
--------------
5,720,000
--------------
CALIFORNIA - 3.63%
5,455,000 California State, RANS, Series A, 4.50%, 6/30/98 5,473,222
--------------
COLORADO - 2.00%
3,000,000 Colorado State, TRANS, Series A, 4.50%, 6/26/98 3,009,354
--------------
DELAWARE - 1.66%
2,500,000 Delaware State, G.O., Series B, 5.00%, 5/1/98 2,508,756
--------------
FLORIDA - 10.23%
1,130,000 Dade County, Florida, Housing Finance Authority, Bermuda Villas, Series K,
(LOC: John Hancock Insurance), Variable Rate Weekly Demand Note, 3.85%, 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, 3.85%, 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, 3.85%, 8/1/05 (a) 3,000,000
4,700,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank),
Variable Rate Weekly Demand Note, 3.70%, 12/1/07 (a) 4,700,000
5,400,000 Pinellas County, Florida, Health Facility Authority Revenue, Pooled Hospital Loan
Program, (LOC: Chase Manhattan), Variable Rate Daily Demand Note, 3.90%, 12/1/15 (a) 5,400,000
--------------
15,430,000
--------------
GEORGIA - 2.68%
1,500,000 Georgia State, G.O., Series A, 7.70%, 2/1/98 1,504,783
1,000,000 Georgia State, G.O., Series C, 6.50%, 7/1/98 1,012,750
1,500,000 Georgia State, G.O., Series C, 7.25%, 7/1/98 1,524,988
--------------
4,042,521
--------------
IDAHO - 2.79%
4,200,000 Idaho State, TANS, 4.625%, 6/30/98 4,216,020
--------------
ILLINOIS - 0.86%
1,300,000 Burbank, Illinois, I.D.R., Service Merchandise Inc., (LOC: Canadian Imperial Bank),
Variable Rate Monthly Demand Note, 3.80%, 9/15/24 (a) 1,300,000
--------------
IOWA - 1.92%
2,895,000 Urbandale, Iowa, I.D.R., Meredith Drive Associates, (Guaranteed by Principal Financial Group),
Variable Rate Monthly Demand Note, 4.15%, 11/1/15 (a) 2,895,000
--------------
KANSAS - 0.93%
1,400,000 Fairway, Kansas, I.D.R., J.C. Nichols Project, (Guaranteed by Principal Mutual Insurance),
Variable Rate Monthly Demand Note, 4.15%, 11/1/14 (a) 1,400,000
--------------
LOUISIANA - 0.66%
1,000,000 Jefferson Parish, Louisiana Hospital Revenue, West Jefferson Medical Center,
(LOC: Rabobank Nederland), Variable Rate Weekly Demand Note, 3.80%, 1/1/26 (a) 1,000,000
--------------
</TABLE>
See Notes to Financial Statements on Page 29
20
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
MICHIGAN - 2.67%
$ 4,000,000 Michigan State, G.O., 4.50%, 9/30/98 $ 4,022,434
--------------
MINNESOTA - 3.12%
500,000 Minnesota State, G.O., 4.70%, 8/1/98 502,650
4,200,000 Minnesota State, G.O., 4.50%, 5/1/98 4,210,030
--------------
4,712,680
--------------
MONTANA - 3.65%
5,500,000 Forsyth, Montana, P.C.R., Pacificorp Project, (LOC: Rabobank Nederland),
Variable Rate Daily Demand Note, 4.50%, 1/1/18 (a) 5,500,000
--------------
NEW HAMPSHIRE - 1.39%
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 JERSEY - 2.65%
2,000,000 New Jersey State, Tax-Exempt Commercial Paper, 3.70%, 1/9/98 2,000,000
2,000,000 New Jersey State, Tax-Exempt Commercial Paper, 3.70%, 1/20/98 2,000,000
--------------
4,000,000
--------------
NEW YORK - 22.82%
4,000,000 Municipal Assistance Corp. for City New York, New York, (LOC: Bayerische Landesbank),
Variable Rate Weekly Demand Note, 3.55%, 7/1/08 (a) 4,000,000
1,975,000 New York City, New York, G.O., Sub Series A-5, (LOC: Kredietbank N.V.),
Variable Rate Daily Demand Note, 5.10%, 8/1/16 (a) 1,975,000
3,500,000 New York City, New York, G.O., Series B, (Insured FGIC), Variable
Rate Daily Demand Note, 4.15%, 10/1/22 (a) 3,500,000
1,900,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan),
Variable Rate Daily Demand Note, 4.95%, 8/1/21 (a) 1,900,000
1,800,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan),
Variable Rate Daily Demand Note, 5.00%, 8/1/23 (a) 1,800,000
400,000 New York City, New York, G.O., Sub Series A-2, (LOC: Morgan Guaranty),
Variable Rate Daily Demand Note, 4.15%, 8/15/19 (a) 400,000
300,000 New York City, New York, G.O., Sub Series B-4, (LOC: Union Bank of
Switzerland),Variable Rate Daily Demand Note, 4.50%, 8/15/22 (a) 300,000
3,000,000 New York City, New York, RANS, Series A (LOC: Morgan Guaranty, Westdeutsche
Landesbank, Societe Generale, Landesbank Hessen, National Westminster),
4.50%, 6/30/98 (a) 3,012,360
2,700,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, Series A, (Insured FGIC), Variable Rate Daily Demand Note, 4.15%, 6/15/25 (a) 2,700,000
4,350,000 New York State Energy Research and Development Authority, P.C.R., Niagara Mohawk Power,
Series A, (LOC: Toronto Dominion), Variable Rate Daily Demand Note, 4.50%, 7/1/15 (a) 4,350,000
2,900,000 New York State Energy Research and Development Authority, P.C.R.,
New York Electric and Gas, Series D, (LOC: Union Bank of Switzerland),
Variable Rate Daily Demand Note, 5.00%, 10/1/29 (a) 2,900,000
1,000,000 New York State Local Assistance, Series A, (LOC: Credit Suisse, Union Bank of Switzerland),
Variable Rate Weekly Demand Note, 3.50%, 4/1/22 (a) 1,000,000
3,000,000 New York State Local Government Assistance Corp., Series G, (LOC: National Westminster),
Variable Rate Weekly Demand Note, 3.55%, 4/1/25 (a) 3,000,000
1,500,000 New York State, Series S, Tax-Exempt Commercial Paper, 3.80%, 1/14/98 1,500,000
500,000 New York State, Series S, Tax-Exempt Commercial Paper, 3.80%, 2/10/98 500,000
1,600,000 Syracuse, New York, I.D.A., Civic Facility Project, (LOC: Morgan Guaranty), Variable
Rate Daily Demand Note, 4.75%, 3/1/23 (a) 1,600,000
--------------
34,437,360
--------------
</TABLE>
See Notes to Financial Statements on Page 29
21
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
PENNSYLVANIA - 0.46%
$ 700,000 Lehigh County, Pennsylvania, I.D.A., Allegheny Electric, (LOC: Rabobank Nederland),
Variable Rate Monthly Demand Note, 3.80%, 6/1/14 (a) $ 700,000
--------------
PUERTO RICO - 1.99%
3,000,000 Puerto Rico, Commonwealth Government Development Bank, (LOC: Credit Suisse First Boston),
Variable Rate Weekly Demand Note, 3.35%, 12/1/15 (a) 3,000,000
--------------
SOUTH CAROLINA - 1.45%
500,000 South Carolina State, G.O., Series B, 5.30%, 3/1/98 501,058
1,680,000 South Carolina State, G.O., Series A, 5.00%, 7/1/98 1,690,651
--------------
2,191,709
--------------
TENNESSEE - 3.61%
3,650,000 Metropolitan Nashville Airport Authority, Special Facilities Revenue, American Airlines Project,
Series A, (LOC: Credit Suisse First Boston), Variable Rate Daily Demand Note, 5.00%, 10/1/12 (a) 3,650,000
1,800,000 Metropolitan Nashville Airport Authority, Special Facilities Revenue, American Airlines Project,
Series B, (LOC: Bayerische Landesbank), Variable Rate Daily Demand Note, 5.00%, 10/1/12 (a) 1,800,000
--------------
5,450,000
--------------
TEXAS - 9.19%
1,400,000 Sabine River Authority, Texas, P.C.R., Utilities Electric Company, (LOC: Union Bank of
Switzerland), Variable Rate Daily Demand Note, 4.15%, 6/1/30 (a) 1,400,000
1,255,000 San Antonio, Texas, Electric and Gas Revenue, (Escrowed to Maturity), 8.00%,
2/1/16, Prerefunded 2/1/98 @ $102 1,284,288
5,645,000 Texas Small Business, I.D.R., Texas Public Facilities, (LOC: Credit Suisse, National
Westminster), Variable Rate Weekly Demand Note, 3.85%, 7/1/26 (a) 5,645,000
5,500,000 Texas State, TRANS, Series A, 4.75%, 8/31/98 5,532,531
--------------
13,861,819
--------------
UTAH - 3.31%
2,000,000 Utah State, G.O., 3.60%, 1/8/98 2,000,000
1,500,000 Utah State, G.O., 3.70%, 1/12/98 1,500,000
1,500,000 Utah State, G.O., 3.65%, 2/12/98 1,500,000
--------------
5,000,000
--------------
VERMONT - 3.14%
4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion),
Variable Rate Monthly Demand Note, 4.05%, 12/1/13 (a) 4,735,000
--------------
VIRGINIA - 2.70%
4,080,000 Peninsula Port Authority, Virginia, Coal Term Revenue, Dominion Term Project,
(LOC: National Westminster), Variable Rate Daily Demand Note, 5.00%, 7/1/16 (a) 4,080,000
--------------
WASHINGTON - 2.84%
3,265,000 Chelan County, Washington, Public Utility District 1, (Insured by MBIA), Variable
Rate Weekly Demand Note, 3.70%, 6/1/15 (a) 3,265,000
1,000,000 Washington State G.O., Series B, 6.45% 8/1/98 1,015,308
--------------
4,280,308
--------------
WISCONSIN - 2.65%
3,000,000 State of Wisconsin, Tax-Exempt Commercial Paper, 3.75%, 2/2/98 3,000,000
1,000,000 State of Wisconsin, Tax-Exempt Commercial Paper, 3.75%, 3/6/98 1,000,000
--------------
4,000,000
--------------
</TABLE>
See Notes to Financial Statements on Page 29
22
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
WYOMING - 5.24%
$ 3,800,000 Platte County, Wyoming, P.C.R., Tri State, (LOC: Societe Generale), Variable Rate
Daily Demand Note, 4.50%, 7/1/14 (a) $ 3,800,000
1,500,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper,
(LOC: Union Bank of Switzerland), 3.80%, 1/14/98 (a) 1,500,000
1,100,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper,
(LOC: Union Bank of Switzerland), 3.80%, 2/9/98 (a) 1,100,000
1,100,000 Sweetwater County, Wyoming, Tax-Exempt Commercial Paper,
(LOC: Union Bank of Switzerland), 3.75%, 2/13/98 (a) 1,100,000
400,000 Sweetwater County, Wyoming, P.C.R., Pacificorp Project, (LOC: Canadian
Imperial Bank), Variable Rate Daily Demand Note, 4.50%, 1/1/14 (a) 400,000
--------------
7,900,000
--------------
Total Investments
(Amortized Cost $156,966,183) 104.03% $ 156,966,183
Liabilities in Excess of Other Assets (4.03)% (6,087,421)
------- --------------
Net Assets 100.00% $ 150,878,762
======= ==============
</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:
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
P.C.R. - Pollution Control Revenue
RANS - Revenue Anticipation Notes
TANS - Tax Anticipation Notes
TRANS - Tax Revenue Anticipation Notes
See Notes to Financial Statements on Page 29
23
<PAGE>
Treasury Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
UNITED STATES TREASURY BILL - 2.09%
$45,000,000 5.37%, 4/30/98
(Amortized Cost $44,201,212) $ 44,201,212
--------------
UNITED STATES TREASURY NOTES - 18.10%
102,000,000 5.875%, 4/30/98 102,118,251
39,000,000 6.125%, 5/15/98 39,088,605
72,000,000 8.25%, 7/15/98 72,992,609
125,000,000 4.75%, 8/31/98 124,286,639
45,000,000 6.125%, 8/31/98 45,132,856
--------------
Total U.S. Treasury Notes (Amortized Cost $383,618,960) 383,618,960
--------------
REPURCHASE AGREEMENTS - 79.42%
200,000,000 Open Tri-party Repurchase Agreement with Canadian Imperial
Bank, Dated 12/31/97, Daily Variable Rate, Principal amount
of $200,000,000, Interest amount varies dependent on rate,
Due 1/02/98, (Collateralized by U.S. Treasury Notes, Par
Value of $175,715,000, Coupon rates of 5.87% to 7.50%, Due
5/31/99 to 5/15/07, Value of $189,646,535; U.S. Treasury
Bonds, Par Value of $8,955,000, Coupon rate 11.25%, Due
2/15/15, Value of $14,356,007) 200,000,000
90,000,000 Tri-party Repurchase Agreement with Chase Manhattan Bank,
Dated 12/31/97, Daily Variable Rate, Principal amount of
$90,000,000, Interest amount varies dependent on rate, Due
1/02/98, (Collateralized by U.S. Treasury Bonds, Par Value
of $62,891,000, Coupon rates of 9.25% to 13.375%, Due from
8/15/01 to 2/15/16, Value of $91,803,492) 90,000,000
50,000,000 Tri-party Repurchase Agreement with Citibank, Dated
12/31/97, 6.35%, Principal & Interest in the amount of
$50,017,639, Due 1/02/98, (Collateralized by U.S. Treasury
Notes, Par Value of $47,495,000, Coupon rates of 8.00% to
9.25%, Due 8/15/98 to 5/15/01, Value of $51,007,225) 50,000,000
90,000,000 Open Tri-party Repurchase Agreement with Deutsche Bank, Dated 12/30/97,
Daily Variable Rate, Principal amount of $90,000,000, Interest amount varies
dependent on rate, Due 12/31/99, (Collateralized by U.S. Treasury Bonds,
Par Value of $2,616,000, Coupon rates of 8.125% to 13.25%, Due from 5/15/14
to 8/15/19, Value of $3,795,588; U.S. Treasury Notes, Par Value of $83,036,000,
Coupon rates of 4.75% to 8.875%, Due from 10/31/98 to 2/15/05,
Value of $87,582,676; U.S. Treasury Strips, Par Value of $1,747,000,
Due 5/15/17 to 2/15/25, Value of $422,218) 90,000,000
10,000,000 Tri-party Repurchase Agreement with First Boston, Dated
12/31/97, 5.90%, Principal & Interest in the amount of
$10,003,278, Due 1/02/98 (Collateralized by U.S. Treasury
Strips, Par Value $21,749,100, Due 5/15/10 to 5/15/16, Value
of $10,348,495) 10,000,000
90,000,000 Tri-party Repurchase Agreement with First Boston, Dated
12/04/97, 5.68%, Principal & Interest in the amount of
$90,028,400, Due 1/02/98 (Collateralized by U.S. Treasury
Bonds, Par Value of $86,052,000, Due 11/15/26, Value of
$92,026,724) 90,000,000
60,982,167 Tri-party Repurchase Agreement with Goldman Sachs, Dated
12/31/97, 5.20%, Principal & Interest in the amount of
$60,999,784, Due 1/02/98 (Collateralized by U.S. Treasury
Note, Par Value of $62,300,620, Coupon rates of 5.625% to
6.125%, Due from 12/31/02 to 11/15/27, Value of $62,201,864) 60,982,167
132,282,394 Tri-party Repurchase Agreement with Goldman Sachs, Dated
12/31/97, 5.00%, Principal & Interest in the amount of
$132,319,139, Due 1/02/98 (Collateralized by U.S. Treasury
Note, Par Value of $135,142,380, Coupon rates of 5.625% to
6.125%, Due from 12/31/02 to 11/15/27, Value of
$134,928,160) 132,282,394
</TABLE>
See Notes to Financial Statements on Page 29
24
<PAGE>
Treasury Money Portfolio
Schedule of Portfolio Investments December 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S> <C>
$ 10,000,000 Tri-party Repurchase Agreement with J.P. Morgan, Dated 12/31/97,
5.00%, Principal & Interest in the amount of $10,002,778, Due 1/02/98,
(Collateralized by U.S. Treasury Bills, Par Value of $10,025,000,
Coupon rate of 6.00%, Due 9/30/98, Value of $10,353,305) $ 10,000,000
90,000,000 Tri-party Repurchase Agreement with J.P. Morgan, Dated
12/31/97, 6.25%, Principal & Interest in the amount of
$90,031,250, Due 1/02/98, (Collateralized by U.S. Treasury
Bills, Par Value of $60,645,000, Coupon rate of 12.00%, Due
8/15/13, Value of $94,875,627) 90,000,000
90,000,000 Tri-party Repurchase Agreement with Merrill Lynch, Dated
12/31/97, 6.50%, Principal & Interest in the amount of
$90,032,500, Due 1/02/98, (Collateralized by U.S. Treasury
Bonds, Par Value of $62,691,000, Coupon rates of 9.75% to
13.375%, Due from 8/15/01 to 11/15/17, Value of $91,803,492) 90,000,000
100,000,000 Tri-party Repurchase Agreement with Morgan Stanley, Dated
11/10/97, 5.58%, Principal & Interest in the amount of
$100,031,000, Due 1/09/98, (Collateralized by U.S. Treasury
Notes, Par Value of $100,145,000, Coupon rate of 8.125%, Due
8/31/98, Value of $102,511,653) 100,000,000
90,000,000 Open Tri-party Repurchase Agreement with Nesbitt Burns,
Dated 12/31/97, Daily Variable Rate, Principal amount of
$90,000,000, Interest amount varies dependent on rate, Due
1/02/98, (Collateralized by U.S. Treasury Strips, Par Value
of $4,346,000, Due 5/15/05, Value of $2,832,445; U.S.
Treasury Principal Strip, Par Value of $115,536,000, Due
from 11/15/01 to 5/15/05, Value of $88,967,860) 90,000,000
150,000,000 Tri-party Repurchase Agreement with Swiss Bank, Dated
12/31/97, 6.50%, Principal & Interest in the amount of
$150,054,167, Due 1/02/98, (Collateralized by U.S. Treasury
Notes, Par Value of $1,100,000, Coupon rate of 6.75%, Due
4/30/00, Value of $1,136,216; U.S. Treasury Bonds, Par Value
of $80,022,000, Coupon rates of 6.25% to 12.50%, Due from
11/15/09 to 11/15/26, Value of $101,238,567; U.S. Treasury
Bills, Par Value of $5,289,000, Due from 2/05/98 to
11/12/98, Value of $5,078,358; U.S. Treasury Strips, Par
Value of $69,393,000, Due from 5/15/01 to 2/15/08, Value of
$46,578,621) 150,000,000
90,000,000 Tri-party Repurchase Agreement with Swiss Bank, Dated
12/31/97, 6.55%, Principal & Interest in the amount of
$90,032,750, Due 1/02/98, (Collateralized by U.S. Treasury
Strips, Par Value of $59,203,000, Due from 8/15/01 to
2/15/05, Value of $42,091,702; U.S. Treasury Principal
Strip, Par Value of $50,000,000, Due 2/15/98, Value of
$49,644,150) 90,000,000
250,000,000 Tri-party Repurchase Agreement with UBS, Dated 12/31/97,
6.50%, Principal & Interest in the amount of $250,090,278,
Due 1/02/98, (Collateralized by U.S. Treasury Notes, Par
Value of $252,113,000, Coupon rates of 5.625% to 7.875%, Due
from 10/15/99 to 12/31/99, Value of $255,000,007) 250,000,000
90,000,000 Tri-party Repurchase Agreement with Westdeutsche, Dated
12/31/97, 6.65%, Principal & Interest in the amount of
$90,033,250, Due 1/02/98, (Collateralized by U.S. Treasury
Notes, Par Value of $91,500,000, Coupon rate of 6.25%, Due
6/30/98, Value of $91,830,315) 90,000,000
--------------
Total Repurchase Agreements (Amortized Cost $1,683,264,561) 1,683,264,561
--------------
Total Investments
(Amortized Cost $2,111,084,733) 99.61% $2,111,084,733
Other Assets Less Liabilities 0.39% 8,215,204
------- --------------
Net Assets 100.00% $2,119,299,937
======= ==============
</TABLE>
See Notes to Financial Statements on Page 29
25
<PAGE>
BT Portfolios
Statements of Assets and Liabilities December 31, 1997
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
-------------- ------------- ------------ --------------
<S> <C>
Assets
Investments, at Value* $4,068,656,448 $ 88,284,522 $156,966,183 $2,111,084,733
Cash -- 9,630 94,798 80,704
Interest Receivable 16,411,303 648,632 1,124,899 8,513,056
Prepaid Expenses and Other 461,532 230 -- 17,528
-------------- ------------- ------------ --------------
Total Assets 4,085,529,283 88,943,014 158,185,880 2,119,696,021
-------------- ------------- ------------ --------------
Liabilities
Due to Bankers Trust 708,486 13,698 25,423 381,261
Payable for Securities Purchased 45,051,382 3,303,326 7,264,505 --
Accrued Expenses and Other 44,440 14,995 17,190 14,823
-------------- ------------- ------------ --------------
Total Liabilities 45,804,308 3,332,019 7,307,118 396,084
-------------- ------------- ------------ --------------
Net Assets $4,039,724,975 $ 85,610,995 $150,878,762 $2,119,299,937
============== ============= ============ ==============
Composition of Net Assets
Paid-in Capital $4,039,724,975 $ 85,610,995 $150,878,762 $2,119,299,937
-------------- ------------- ------------ --------------
Net Assets, December 31, 1997 $4,039,724,975 $ 85,610,995 $150,878,762 $2,119,299,937
============== ============= ============ ==============
- ----------
* The Treasury Money Portfolio includes repurchase agreements amounting to
$1,683,264,561
Statements of Operations For the year ended December 31, 1997
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
Investment Income -------------- ------------- ------------ --------------
Interest $ 244,875,536 $ 3,358,488 $ 4,996,774 $ 112,303,220
-------------- ------------- ------------ --------------
Expenses
Advisory Fees 6,544,181 141,157 205,614 3,067,422
Administration and Services Fees 2,181,394 47,052 68,538 1,022,474
Professional Fees 31,250 24,800 26,100 28,450
Trustees Fees 2,100 2,075 2,100 2,075
Miscellaneous 34,622 2,430 2,623 30,088
-------------- ------------- ------------ --------------
Total Expenses 8,793,547 217,514 304,975 4,150,509
Less: Expenses Absorbed by Bankers Trust (940,530) (29,305) (30,823) (60,612)
-------------- ------------- ------------ --------------
Net Expenses 7,853,017 188,209 274,152 4,089,897
-------------- ------------- ------------ --------------
Net Investment Income 237,022,519 3,170,279 4,722,622 108,213,323
Realized Gain (Loss) from Investment Transactions (41,207) (1,774) (5,713) 7,627
-------------- ------------- ------------ --------------
Net Increase in Net Assets from Operations $ 236,981,312 $ 3,168,505 $ 4,716,909 $ 108,220,950
============== ============= ============ ==============
</TABLE>
See Notes to Financial Statements on Page 29
26
<PAGE>
BT Portfolios
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Cash Management NY Tax Free Money
------------------------------------ ------------------------------------
For the For the For the For the
year ended year ended year ended year ended
December 31, 1997 December 31, 1996 December 31, 1997 December 31, 1996
----------------- ----------------- ----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 237,022,519 $ 173,497,388 $ 3,170,279 $ 2,748,049
Net Realized Gain (Loss) from Investment
Transactions (41,207) 102,443 (1,774) (2,716)
-------------- -------------- -------------- --------------
Net Increase in Net Assets from Operations 236,981,312 173,599,831 3,168,505 2,745,333
-------------- -------------- -------------- --------------
Capital Transactions
Proceeds from Capital Invested 25,687,643,529 20,303,004,962 228,224,582 248,919,074
Value of Capital Withdrawn (25,146,809,558) (19,831,740,806) (221,814,747) (246,564,588)
-------------- -------------- -------------- --------------
Net Increase in Net Assets from
Capital Transactions 540,833,971 471,264,156 6,409,835 2,354,486
-------------- -------------- -------------- --------------
Contributions of Capital
Proceeds Contributed -- 1,113,488 -- --
-------------- -------------- -------------- --------------
Total Increase in Net Assets 777,815,283 645,977,475 9,578,340 5,099,819
Net Assets
Beginning of Year 3,261,909,692 2,615,932,217 76,032,655 70,932,836
-------------- -------------- -------------- --------------
End of Year $4,039,724,975 $3,261,909,692 $ 85,810,995 $ 76,032,655
============== ============== ============== ==============
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money Treasury Money
------------------------------------ ------------------------------------
For the For the For the For the
year ended year ended year ended year ended
December 31, 1997 December 31, 1996 December 31, 1997 December 31, 1996
----------------- ----------------- ----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 4,722,622 $ 4,174,096 $ 108,213,323 $ 95,531,341
Net Realized Gain (Loss) from Investment
Transactions (5,713) (8,495) 7,627 217,057
-------------- -------------- -------------- --------------
Net Increase in Net Assets from Operations 4,716,909 4,165,601 108,220,950 95,748,398
-------------- -------------- -------------- --------------
Capital Transactions
Proceeds from Capital Invested 355,608,821 336,717,831 12,977,569,030 13,280,023,129
Value of Capital Withdrawn (327,160,734) (342,872,465) (12,946,202,889) (13,337,140,277)
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net Assets from
Capital Transactions 28,448,087 (6,154,634) 31,366,141 (57,117,148)
-------------- -------------- -------------- --------------
Total Increase (Decrease) in Net Assets 33,164,996 (1,989,033) 139,587,091 38,631,250
Net Assets
Beginning of Year 117,713,766 119,702,799 1,979,712,846 1,941,081,596
-------------- -------------- -------------- --------------
End of Year $ 150,878,762 $ 117,713,766 $2,119,299,937 $1,979,712,846
============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements on Page 29
27
<PAGE>
BT Portfolios
Financial Highlights
Contained below are selected ratios and supplemental data for each of the years
indicated for each of the Portfolios.
<TABLE>
<CAPTION>
Cash Management
------------------------------------------------------------
For the years ended December 31,
------------------------------------------------------------
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $4,039,725 $3,261,910 $2,615,932 $2,735,025 $1,930,075
Ratios to Average Net Assets:
Net Investment Income 5.43% 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%+
</TABLE>
<TABLE>
<CAPTION>
NY Tax Free Money
------------------------------------------------------------
For the years ended December 31,
------------------------------------------------------------
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 85,611 $ 76,033 $ 70,933 $ 79,334 $ 104,188
Ratios to Average Net Assets:
Net Investment Income 3.37% 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%
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money
------------------------------------------------------------
For the years ended December 31,
------------------------------------------------------------
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 150,879 $ 117,714 $ 119,703 $ 110,408 $ 111,604
Ratios to Average Net Assets:
Net Investment Income 3.45% 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%
</TABLE>
<TABLE>
<CAPTION>
Treasury Money
------------------------------------------------------------
For the years ended December 31,
------------------------------------------------------------
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $2,119,300 $1,979,713 $1,941,082 $ 882,775 $ 789,479
Ratios to Average Net Assets:
Net Investment Income 5.29% 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>
- ----------
+ Less than 0.01%.
See Notes to Financial Statements on Page 29
28
<PAGE>
BT Portfolios
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio
and Treasury Money Portfolio (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 (the
"Act"), as amended, as open-end management investment companies. The following
portfolios were organized as an unincorporated trust under the laws of New York
and commenced operations as follows:
Organization Commencement
Portfolio Date of Operations
- -------------- -------------- -----------------
Cash Management March 26, 1990 July 23, 1990
NY Tax Free Money March 26, 1990 February 19, 1991
Tax Free Money March 26, 1990 February 19, 1991
Treasury Money March 26, 1990 July 23, 1990
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
B. Security Valuation
Investments are valued at amortized cost, which is in accordance to Rule 2a-7 of
the Investment Company Act of 1940 and represents the 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.
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.
D. Repurchase Agreements
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Advisor,
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.
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. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
Each Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregate fees for
each of the respective Portfolios for the year ended December 31, 1997:
Portfolio Annual Rate Aggregated Fees
- ---------- ----------- ---------------
Cash Management 0.05 of 1% $2,181,394
NY Tax Free Money 0.05 of 1% 47,052
Tax Free Money 0.05 of 1% 68,538
Treasury Money 0.05 of 1% 1,022,474
Each Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolio's average
daily net assets. The following provides a table of annual rates and aggregate
fees for each of the respective Portfolios for the year ended December 31, 1997:
Portfolio Annual Rate Aggregated Fees
- ---------- ----------- ---------------
Cash Management 0.15 of 1% $6,544,181
NY Tax Free Money 0.15 of 1% 141,157
Tax Free Money 0.15 of 1% 205,614
Treasury Money 0.15 of 1% 3,067,422
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of each Portfolio, to the extent necessary, to limit all expenses based
upon an annual rate of the average daily net assets of the Portfolio. For the
year ended December 31, 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% $ 940,530
NY Tax Free Money 0.20 of 1% 29,305
Tax Free Money 0.20 of 1% 30,823
Treasury Money 0.20 of 1% 60,612
29
<PAGE>
BT Portfolios
Notes to Financial Statements (continued)
Certain officers of the Portfolios are also directors, officers and/or employees
of Edgewood Services, Inc., distributor of the BT Investment Funds. None of the
officers so affiliated received compensation for services as officers of the
Portfolios.
In 1994, the Cash Management Portfolio sold certain structured notes carried at
par to an unrelated third party financial institution at par plus accrued
interest to a put agreement and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Portfolio's Financial Highlights for the year
ended December 31, 1994 reflects the Portfolio's realized loss on the sale of
these securities and a capital contribution in the amount of $18,718,663. In
1996, Bankers Trust contributed capital in the amount of $1,113,488 to reimburse
the Cash Management Portfolio for capital losses in prior years.
30
<PAGE>
BT Portfolios
Report of Independent Accountants
To Trustees and Holders of Beneficial Interest of BT Portfolios:
We have audited the accompanying statements of assets and liabilities, including
the schedule of portfolio investments, of the Cash Management, NY Tax Free
Money, Tax Free Money and Treasury Money Portfolios (the "Portfolios") as of
December 31, 1997, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended and the financial highlights for each of the five years in the
period then ended. These financial statements and financial highlights are the
responsibility of the Portfolios' management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1997, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money
Portfolios, as of December 31, 1997, the results of their operations for the
year then ended, the changes in their net assets for each of the two years in
the period then ended and the financial highlights for each of the five years in
the period then ended, in conformity with generally accepted accounting
principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 18, 1998
31
<PAGE>
BT INVESTMENT FUNDS
CASH MANAGEMENT FUND
NY TAX FREE MONEY FUND
TAX FREE MONEY FUND
TREASURY MONEY FUND
Investment Advisor and Administrator of the Portfolio
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
COMBMON200 (2/98)
