o BT INVESTMENT FUNDS o
CASH MANAGEMENT FUND
NY TAX FREE MONEY FUND
TAX FREE MONEY FUND
TREASURY MONEY FUND
ANNUAL REPORT
-------------
DECEMBER o 1998
<PAGE>
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INVESTMENT FUNDS
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS ................................... 3
INVESTMENT FUNDS
Statements of Assets and Liabilities ................... 7
Statements of Operations ............................... 7
Statements of Changes in Net Assets .................... 8
Financial Highlights ................................... 9
Notes to Financial Statements .......................... 11
Report of Independent Accountants ...................... 13
Tax Information ........................................ 13
PORTFOLIOS
Statements of Net Assets ............................... 14
Statements of Operations ............................... 28
Statements of Changes in Net Assets .................... 29
Financial Highlights ................................... 30
Notes to Financial Statements .......................... 31
Report of Independent Accountants ...................... 33
-------------------
The Funds are not insured by the FDIC and are not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Funds are subject to investment risks,
including possible loss of principal amounts invested.
-------------------
2
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INVESTMENT FUNDS
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
We are pleased to present you with this annual report for the BT Investment
Funds, providing a detailed review of the markets, the Portfolios, and our
outlook. Included are a complete financial summary of the Funds' operations and
a listing of the Portfolios' holdings.
MARKET ACTIVITY
THE MONEY MARKETS WERE DOMINATED THROUGHOUT 1998 BY THE GLOBAL FINANCIAL CRISIS,
WHICH BEGAN IN SOUTHEAST ASIA AND SPREAD TO COUNTRIES AROUND THE WORLD.
o During the first half of the year, the hangover effects of the Southeast
Asian financial crisis spread to Hong Kong and Japan. This both focused the
U.S. markets on that region and also supported a flight to quality and, in
turn, a U.S. Treasury rally.
o In the second half of 1998, Russia devalued its currency and defaulted on
its domestic debt, despite an International Monetary Fund (IMF) bailout
attempt; weak commodity prices dampened the economic outlook for Latin
America in general and Brazil in particular; and economic instability in
Asia was ongoing. All of this buoyed the U.S. Treasury rally.
CONCERNS OVER THE IMPACT OF FOREIGN TURMOIL ON U.S. ECONOMIC GROWTH DID NOT
SURFACE UNTIL THE SECOND HALF OF THE YEAR.
o Interest rates in the first six months remained relatively stable. The
combination of a strong economy--especially in the service sector--and low
inflation allowed the Federal Reserve Board to keep interest rates unchanged
at 5.5%.
o During the third quarter, investors began to focus more heavily on the Asian
contagion and on the political problems in the Clinton administration. In
addition, a major leveraged hedge fund went bankrupt, requiring a bailout by
a consortium of Wall Street firms. The announcement of this Fed-orchestrated
bailout package forced corporate credit spreads to widen significantly and
liquidity to decrease. This led, in turn, to a further rally in U.S.
Treasuries plus significant buying of high quality domestic paper.
CITING BOTH GLOBAL AND U.S. DEVELOPMENTS AND THEIR PROSPECTS ON THE U.S.
ECONOMY, THE FEDERAL RESERVE BOARD EFFECTIVELY BATTLED INVESTORS' GROWING RISK
AVERSION AND ESCALATING ILLIQUIDITY WITH THREE RAPID CUTS OF INTEREST RATES IN
THE SECOND HALF OF THE YEAR. These easing moves of 0.25% each--on September 29,
October 15, and November 17--restored the financial markets to a more peaceful
state and allowed the money markets, in particular, to finish out the year on a
relatively calm note.
MONEY MARKETS ALSO BENEFITED FROM VOLATILITY IN THE EQUITY MARKETS. This
volatility buoyed a rally in the U.S. fixed income market in general and
generated strong cash flows into the money markets in particular. Investors
moved assets from equity funds, both domestic and foreign, seeking both the
greater liquidity and the perceived safety of the money markets. Also fueling
positive fixed income market sentiment toward the end of the year was a plunge
in oil prices and other commodities to their lowest level in decades.
MACROECONOMIC TRENDS IMPACTED THE MUNICIPAL MARKETS WITH MIXED EFFECT. Less
influenced by international developments than the taxable market, including the
resultant flight to quality by foreign investors, the tax-exempt money markets'
performance lagged that of U.S. Treasuries. On the other hand, municipalities'
liquidity improved as a result of strong increases in personal income and sales
tax revenues, leading, in turn, to strong, positive credit trends. These healthy
finances also meant sharp drops in supply. For example, overall note issuance
declined 25% in 1998 over 1997. State note issuance, including that from many
historically high issuance states, such as California, Texas, and Michigan,
declined 49% or more. The supply shortage coupled with record growth in
tax-exempt money market assets resulted in a sharp reduction in short-term
yields. In fact, the yield on 1-year municipal notes fell to 3.00% on December
31, 1998 from 3.60% on January 1, 1998.
<TABLE>
<CAPTION>
INVESTMENT REVIEW
Annualized 7 Day Annualized 7 Day Annualized 7 Day
Period ended December 31, 1998 Current Yield Effective Yield Effective Taxable Equivalent
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BT Investment Cash Management Fund(1) 4.50% 4.60% 4.60%
IBC First Tier Money Funds Average 4.52% 4.63% 4.63%
- ---------------------------------------------------------------------------------------------------------------------------
BT Investment NY Tax Free Money Fund(1) 2.75% 2.79% 5.27%
IBC State Specific Money Funds Average 2.91% 2.95% N/A
- ---------------------------------------------------------------------------------------------------------------------------
BT Investment Tax Free Money Fund(1) 2.95% 2.99% 4.95%
IBC Tax Free Money Funds Average 2.95% 3.00% N/A
- ---------------------------------------------------------------------------------------------------------------------------
BT Investment Treasury Money Fund(1) 4.15% 4.23% 4.23%
IBC U.S. Treasury and Repo Money Funds Average 4.20% 4.29% 4.29%
</TABLE>
3
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INVESTMENT FUNDS
LETTER TO SHAREHOLDERS (CONTINUED)
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CASH MANAGEMENT FUND
We maintained a neutral, close-to-the benchmark weighted average maturity
position through most of the first half of the year. This strategy was based on
the uncertainty surrounding the impact of the Asian financial turmoil on the
U.S. financial markets as well as on the Federal Reserve Board's decision to
keep interest rates on hold. Also, the flat yield curve gave us few
opportunities to extend maturities to increase yield. Instead, we sought to add
value by increasing the Fund's holdings in floating rate securities, which
proved to be effective in producing competitive Fund returns. In anticipation of
Federal Reserve Board interest rate cuts, we began extending the Fund's average
maturity in the third quarter. We were careful to add exposure to high quality
counterparties, while limiting exposure to those we felt might experience
difficulties in the worsening Asian crisis.
RATINGS
S&P: AAAm(2)
Moody's: AAA
STATUS AT DECEMBER 31, 1998
Seven day effective yield: 4.60%
Average maturity: 36 days
Net assets: $232.6 million
Diversification of Portfolio Investments
By Asset Type as of December 31, 1998
(percentages are based on net assets)
PIE CHART
U.S. Treasury Securities 1%
Floating Rate Notes 21%
Eurodollar Time Deposits 16%
Funding Agreement 1%
Yankee Certificates of Deposit 8%
Commercial Paper 42%
Certificates of Deposit 3%
Eurodollar Certificates of Deposit 8%
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NY TAX FREE MONEY FUND(3)
The Fund began the annual period with an average maturity of 48 days. This was
slightly longer than the benchmark, given that January is 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. As tax time approaches, April is
traditionally a month when withdrawals from money market funds are par for the
course. Usually we would shorten the Fund's average maturity reflecting an
anticipated need for liquidity. However, this year, while tax time had some
impact, it was less than in previous years due to record high assets. Thus, we
were able to stay long, capturing some higher yields. At the end of May, we
purchased part of the Long Island Power Authority (LIPA)'s record high issue of
$1.5 billion in debt, both in the variable rate mode and in commercial paper. On
June 30, 1998, the Fund's average maturity stood at 55 days. The slightly long
position was taken to benefit from the large percentage of high quality
municipal issues that usually becomes available at the end of June and early
July. This seasonal supply traditionally offers investors attractively priced
longer-term issues.
Diversification of Portfolio Investments
By Asset Type as of December 31, 1998
(percentages are based on net assets)
G.O. Bonds 5%
Revenue Bonds 23%
Floating Rate Demand Notes 43%
Commercial Paper 18%
Tax Anticipation Notes 8%
Revenue Anticipation Notes 3%
STATUS AT DECEMBER 31, 1998
Seven day effective yield: 2.79%
Average maturity: 48 days
Net assets: $77.8 million
After letting the Fund's average maturity roll down the curve to a slightly
short 42 days by the end of August, we started extending again to 52 days in
mid-September. This was to take advantage of the market rally that continued
from mid-August based on both the sell-off in equities and in anticipation of
the Federal Reserve Board's easing of monetary policy on September 29th. Given
high demand for unusually low supply--e.g. about $500 million in short-term debt
issued by NYC in 1998 as compared to over $2 billion in each of recent years--we
kept the Fund's average maturity around the 45--50 day range through the
remainder of the year. Interestingly, even this
4
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dramatically reduced supply was hard to come by, as the majority of it was taken
by one dealer and derivatized. As the Fund does not invest in any derivatives
and invests only in high quality, rated securities with the highest liquidity
available, NYC's issue was not a potential purchase for the Portfolio.
At year end, we were able to lock in a 3-month offering at attractive rates,
taking advantage of temporary market weakness due to seasonal cash outflows, as
investors make asset allocation decisions in December. On December 31, 1998, the
Fund's average maturity stood at 48 days.
TAX FREE MONEY FUND4
As with the NY Tax Free Money Fund, we started the annual period with this
Fund's average maturity slightly longer than the benchmark--in this case, at 51
days--given typical January supply/demand pressures. In April, the short end of
the municipal money market curve became very attractive based on outflows
associated with tax season. The Fund was able to take advantage of these higher
rates due to its large percentage of variable rate holdings and its shorter
average maturity at the time of 45 days.
The Long Island Power Authority (LIPA)'s issuance of $1.5 billion in debt
securities in May was attractively priced for the general markets as well as for
New York due to the record size of the issue. Thus we purchased some of these
securities for the Fund's Portfolio. On June 30, 1998, the Fund's average
maturity stood at a relatively neutral 43 days. Given the flat yield curve, we
were able to find value in the middle range of 3 to 6 month securities instead
of having to reach for the 1 year securities for higher yields.
STATUS AT DECEMBER 31, 1998
SEVEN DAY EFFECTIVE YIELD: 2.99%
Average maturity: 43 days
Net assets: $201.1 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Type as of December 31, 1998
(percentages are based on net assets)
[PIE CHART]
Commercial Paper 15%
G.O. Bonds 13%
Revenue
Anticipation
Notes 1%
Floating Rate
Demand Notes
53%
Revenue Bonds 14%
Tax Revenue Anticipation Notes 3%
Tax Anticipation Notes 1%
In July and August, the Fund maintained a relatively neutral maturity, and then
in September, the Fund extended to 55 days to take advantage of the market rally
supported by the volatile equity market and the anticipated Federal Reserve
Board interest rate cut. As the Fed made two more rate cuts and the rally
continued, with yields on 1-year notes falling 0.25% in the fourth quarter
alone, we kept the Fund's average maturity long in the 55-65 day range through
the middle of December. At year end, the Fund's average maturity was shorter
than usual for the season. While traditionally there are significant cash
outflows in December and inflows in January, our Fund experienced sizable cash
inflows beginning in mid-December. Thus, on December 31, 1998, the Fund's
average maturity stood at 43 days.
5
<PAGE>
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INVESTMENT FUNDS
LETTER TO SHAREHOLDERS (CONCLUDED)
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TREASURY MONEY FUND
The Fund followed the same general strategy as the Cash Management Fund.
Specifically, the Fund maintained a neutral, close-to-the benchmark weighted
average maturity position through most of the first half of the year and began
to extend in the third quarter. The uncertainty surrounding the Asian financial
crisis caused a "flight to quality" trade, whereby investors bought a large
amount of U.S. Treasury securities. This demand factor, combined with the
smaller issuance of securities by the Treasury, forced the interest rate spread
between short-term U.S. Treasury securities and repurchase agreements to become
extremely wide. Thus, we decided to extend the portfolio through term repurchase
agreements with high quality dealers in order to maintain portfolio yield while
adding very little risk. This strategy proved to be effective in producing
competitive Fund returns.
RATINGS
S&P: AAAm2
Moody's: AAA
STATUS AT DECEMBER 31, 1998
Seven day effective yield: 4.23%
Average maturity: 46 days
Net assets: $308.9 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Type as of December 31, 1998
(percentages are based on net assets)
[PIE CHART]
Repurchase
Agreements
69%
U.S. Treasury
Bills 10%
U.S. Treasury
Notes 21%
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MANAGER OUTLOOK
Economic and financial market performance have run on virtually parallel tracks
in 1998, and that pattern seems likely to persist into 1999. Looking ahead for
the near term, we believe the money markets should remain fairly positive,
though largely range-bound, without the dramatic rally of the year 1998.
o Strong momentum in the U.S. economy--in terms of consumer spending,
employment, housing, and business investment--should carry into early 1999,
before weakening later in the year.
o The global economic crisis continues to loom and we anticipate GDP growth
of around 2.5% in 1999--a positive backdrop for inflation to stay low and for
the safe haven status of U.S. Treasuries to continue.
o We believe Federal Reserve Board monetary policy is likely on hold, not
changing interest rates for the foreseeable future in the face of solid
economic growth, healthy financial markets, and the recent softening of the
dollar.
Given this scenario and the slightly positive yield curve for the taxable money
markets, we intend to stay slightly longer than our benchmark in the Cash
Management and Treasury Money Funds. Since the yield curve for the municipal
money markets was slightly inverted at year end, we intend to maintain a short
to neutral average maturity for the near term in the NY Tax-Free and Tax-Free
Money Funds, looking to extend should the yield curve steepen. In both the
taxable and municipal funds, we will look to take advantage of any spike in
yields or any issue-specific attractive value opportunities when they arise.
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, 1998
/s/ Susan Fare
Susan Fare
Portfolio Manager of the Tax Free Money Portfolio
and the NY Tax Free Money Portfolio
December 31, 1998
- -----------
1 Past performance is not indicative of future results. Yields will vary.
Yields quotes 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. "Current yield"
refers to the income generated by an investment in the Fund over a 7-day
period. This income is then "annualized." The "effective yield" is calculated
similarly but, when annualized, the income earned by an investment in the
Fund is assumed to be reinvested. The "effective yield" will be slightly
higher than the "current yield" because of the compounding effect of this
assumed reinvestment. 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.
2 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 Income may be subject to the federal alternative minimum tax.
4 Income may be subject to the federal alternative minimum tax and state and
local taxes.
6
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<TABLE>
<CAPTION>
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INVESTMENT FUNDS
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1998
- ----------------------------------------------------------------------------------------------------------------------------------
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value1 .......................... $ 233,137,653 $ 78,054,171 $ 201,601,117 $ 309,479,551
Prepaid Expenses ............................................ 12,701 3,394 15,131 25,480
------------- -------------- -------------- ---------------
Total Assets ................................................... 233,150,354 78,057,565 201,616,248 309,505,031
------------- -------------- -------------- ---------------
LIABILITIES
Due to Bankers Trust ........................................ 66,916 27,402 70,715 165,217
Dividends Payable ........................................... 446,461 165,812 412,156 387,292
Accrued Expenses ............................................ 51,149 25,121 39,154 41,592
------------- -------------- -------------- ---------------
Total Liabilities .............................................. 564,526 218,335 522,025 594,101
------------- -------------- -------------- ---------------
NET ASSETS ..................................................... $ 232,585,828 $ 77,839,230 $ 201,094,223 $ 308,910,930
============= ============== ============== ===============
SHARES OUTSTANDING ($0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest
Authorized) ................................................. 232,659,014 77,872,738 201,152,038 308,792,470
============= ============== ============== ===============
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 ............................................. $ 232,659,014 $ 77,859,092 $ 201,143,398 $ 308,792,470
Undistributed Net Investment Income ......................... 19 -- -- 81,617
Accumulated Net Realized Gain (Loss) from
Investment Transactions ................................... (73,205) (19,862) (49,175) 36,843
------------- -------------- -------------- ---------------
NET ASSETS, DECEMBER 31, 1998 .................................. $ 232,585,828 $ 77,839,230 $ 201,094,223 $ 308,910,930
============= ============== ============== ===============
</TABLE>
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1 Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
<TABLE>
<CAPTION>
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STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1998
- ----------------------------------------------------------------------------------------------------------------------------------
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income, net1 ................................. $ 8,624,381 $ 2,720,672 $ 5,433,297 $ 20,135,603
------------ ------------- ------------ ------------
EXPENSES
Administration and Services Fees ............. 884,771 470,872 915,978 2,129,609
Registration Fees ............................ 43,871 2,873 24,093 18,683
Printing and Shareholder Reports ............. 3,052 4,230 1,112 10,101
Professional ................................. 19,886 21,347 19,860 22,899
Trustees Fees ................................ 3,500 3,614 5,280 4,022
Miscellaneous ................................ 21,502 13,330 10,039 19,845
------------ ------------- ------------ ------------
Total Expenses ............................... 976,582 516,266 976,362 2,205,159
Less Expenses absorbed by Bankers Trust ...... (61,113) (45,394) (60,384) (75,550)
------------ ------------- ------------ ------------
Net Expenses .............................. 915,469 470,872 915,978 2,129,609
------------ ------------- ------------ ------------
NET INVESTMENT INCOME ........................... 7,708,912 2,249,800 4,517,319 18,005,994
REALIZED GAIN (LOSS) FROM INVESTMENT TRANSACTIONS 8,980 (472) 2,973 37,012
------------ ------------- ------------ ------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...... $ 7,717,892 $ 2,249,328 $ 4,520,292 $ 18,043,006
============ ============= ============ ============
</TABLE>
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1 Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
See Notes to Financial Statements.
7
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<TABLE>
<CAPTION>
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INVESTMENT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
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CASH MANAGEMENT NY TAX FREE MONEY
--------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DEC. 31, 1998 DEC. 31, 1997 DEC. 31, 1998 DEC. 31, 1997
-------------------- -------------- -------------- -------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................ $ 7,708,912 $ 6,360,066 $ 2,249,800 $ 2,653,696
Net Realized Gain (Loss) from Investment
Transactions ................................... 8,980 (1,301) (472) (1,774)
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from Operations .......... 7,717,892 6,358,765 2,249,328 2,651,922
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................ (7,708,912) (6,360,066) (2,249,800) (2,653,696)
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
Proceeds from Sales of Shares .................... 2,259,953,184 2,040,115,705 445,725,331 438,649,915
Dividend Reinvestments ........................... 2,767,357 2,806,055 557,583 754,129
Cost of Shares Redeemed .......................... (2,168,567,087) (2,023,465,730) (453,807,595) (429,895,656)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest .... 94,153,454 19,456,030 (7,524,681) 9,508,388
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ............. 94,162,434 19,454,729 (7,525,153) 9,506,614
NET ASSETS
Beginning of Year ................................... 138,423,394 118,968,665 85,364,383 75,857,769
--------------- --------------- --------------- ---------------
End of Year ......................................... $ 232,585,828 $ 138,423,394 $ 77,839,230 $ 85,364,383
=============== =============== =============== ===============
</TABLE>
<TABLE>
<CAPTION>
TAX FREE MONEY TREASURY MONEY
----------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DEC. 31, 1998 DEC. 31, 1997 DEC. 31, 1998 DEC. 31, 1997
---------------- -------------- ---------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................... $ 4,517,319 $ 3,970,172 $ 18,005,994 $ 18,996,773
Net Realized Gain (Loss) from Investment Transactions 2,973 (5,713) 37,012 (169)
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from Operations ............. 4,520,292 3,964,459 18,043,006 18,996,604
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................... (4,523,091) (3,970,172) (18,005,994) (18,996,773)
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold ....................... 1,182,947,705 957,584,448 8,475,674,717 7,207,567,766
Dividend Reinvestments .............................. 837,311 1,156,319 12,551,757 14,463,357
Value of Shares Redeemed ............................ (1,133,170,578) (926,224,651) (8,447,626,166) (7,508,473,235)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital
Transactions in Shares of Beneficial Interest ....... 50,614,438 32,516,116 40,600,308 (286,442,112)
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................ 50,611,639 32,510,403 40,637,320 (286,442,281)
NET ASSETS
Beginning of Year ...................................... 150,482,584 117,972,181 268,273,610 554,715,891
--------------- --------------- --------------- ---------------
End of Year ............................................ $ 201,094,223 $ 150,482,584 $ 308,910,930 $ 268,273,610
=============== =============== =============== ===============
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
<TABLE>
<CAPTION>
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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.
CASH MANAGEMENT
-------------------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------------
1998 1997 1996 1995 1994
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ----------- ------------ ------------ -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .......................... 0.05 0.05 0.05 0.05 0.04
Net Realized Gain (Loss) from Investment
Transactions ................................. 0.001 (0.00)1 0.001 0.001 (0.01)
------------ ----------- ------------ ------------ -----------
Total from Investment Operations .................. 0.05 0.05 0.05 0.05 0.03
------------ ----------- ------------ ------------ -----------
CONTRIBUTIONS OF CAPITAL .......................... -- -- 0.001 -- 0.01
------------ ----------- ------------ ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
NET INVESTMENT INCOME .......................... (0.05) (0.05) (0.05) (0.05) (0.04)
------------ ----------- ------------ ------------ -----------
NET ASSET VALUE, END OF YEAR ...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ =========== ============ ============ ===========
TOTAL INVESTMENT RETURN ........................... 4.93% 4.98% 4.82%2 5.35% 3.67%2
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ......... $ 232,586 $ 138,423 $ 118,969 $ 135,998 $ 159,172
Ratios to Average Net Assets:
Net Investment Income ....................... 4.80% 4.88% 4.72% 5.22% 3.70%
Expenses, Including Expenses
of the Cash Management Portfolio .......... 0.75% 0.75% 0.75% 0.74% 0.73%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.06% 0.03% 0.03% 0.02% 0.08%
</TABLE>
<TABLE>
<CAPTION>
NY TAX FREE MONEY
---------------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
---------------------------------------------------------------------------
1998 1997 1996 1995 1994
------------- --------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------- ------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .......................... 0.03 0.03 0.03 0.03 0.02
Net Realized Loss from Investment Transactions . (0.00)1 (0.00)1 (0.00)1 (0.00)1 (0.00)1
------------- ------------- ------------- ------------- -------------
Total from Investment Operations .................. 0.03 0.03 0.03 0.03 0.02
------------- ------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .......................... (0.03) (0.03) (0.03) (0.03) (0.02)
------------- ------------- ------------- ------------- -------------
NET ASSET VALUE, END OF YEAR ...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============= ============= ============= ============= =============
TOTAL INVESTMENT RETURN ........................... 2.66% 2.86% 2.68% 3.12% 2.11%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ........ $ 77,839 $ 85,364 $ 75,858 $ 70,765 $ 79,101
Ratios to Average Net Assets:
Net Investment Income ....................... 2.63% 2.83% 2.64% 3.07% 2.05%
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 0.10% 0.06% 0.09% 0.07% 0.08%
</TABLE>
- ----------------
1 Less than $0.01 per share.
2 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.
9
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT FUNDS
FINANCIAL HIGHLIGHTS (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
TAX FREE MONEY
-------------------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------------
1998 1997 1996 1995 1994
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF YEAR ..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ -------------- -------------- -------------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ............................... 0.03 0.03 0.03 0.03 0.02
Net Realized Gain (Loss) from Investment Transactions 0.001 (0.00)1 (0.00)1 (0.00)1 0.001
------------ -------------- -------------- -------------- ----------
Total from Investment Operations ....................... 0.03 0.03 0.03 0.03 0.02
------------ -------------- -------------- -------------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................... (0.03) (0.03) (0.03) (0.03) (0.02)
------------ -------------- -------------- -------------- ----------
NET ASSET VALUE, END OF YEAR ........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ ============== ============== ============== ==========
TOTAL INVESTMENT RETURN ................................ 2.75% 2.94% 2.84% 3.34% 2.27%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) .............. $ 201,094 $ 150,483 $ 117,972 $ 119,393 $ 110,043
Ratios to Average Net Assets:
Net Investment Income ............................ 2.71% 2.90% 2.80% 3.28% 2.21%
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 ..... 0.08% 0.05% 0.07% 0.07% 0.08%
</TABLE>
<TABLE>
<CAPTION>
TREASURY MONEY
-------------------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------------
1998 1997 1996 1995 1994
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF YEAR ..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- -------------- --------------- --------------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ............................... 0.05 0.05 0.05 0.05 0.03
Net Realized Gain (Loss) from Investment Transactions 0.001 (0.00)1 0.001 0.001 (0.00)1
--------- -------------- --------------- --------------- -----------
Total from Investment Operations ....................... 0.05 0.05 0.05 0.05 0.03
--------- -------------- --------------- --------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................... (0.05) (0.05) (0.05) (0.05) (0.03)
--------- -------------- --------------- --------------- -----------
NET ASSET VALUE, END OF YEAR ........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ============== =============== =============== ===========
TOTAL INVESTMENT RETURN ................................ 4.76% 4.86% 4.71% 5.19% 3.40%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) .............. $308,911 $ 268,274 $ 554,716 $ 615,084 $ 696,915
Ratios to Average Net Assets:
Net Investment Income ............................ 4.66% 4.74% 4.61% 5.06% 3.36%
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% 0.02% 0.01% 0.02% 0.02%
</TABLE>
- ----------
1 Less than $0.01 per share.
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
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 Funds
began operations, began offering shares of beneficial interest and invested
directly in securities on the following dates:
COMMENCEMENT
OF OPERATIONS &
BENEFICIAL SHARES
FUND OFFERING
- ----- ------------------
Cash Management October 5, 1988
NY Tax Free Money September 27, 1988
Tax Free Money June 10, 1987
Treasury Money November 1, 1988
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, 1998, Cash Management
Fund's investment was approximately 4% of the Portfolio, NY Tax Free Money
Fund's and Tax Free Money Fund's investments were approximately 100% of their
respective Portfolios, and Treasury Money Fund's investment was approximately
15% of the Portfolio.
The financial statements of each of the Portfolios, including a listing of
investments, are contained elsewhere in this report, and should be read in
conjunction with the Fund's financial statements.
B. VALUATION
Valuation of securities by the Portfolios is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in the
report.
C. 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.
D. DISTRIBUTIONS
It is each Fund's policy to declare dividends daily and pay them 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 to the extent they exceed capital loss carryforwards.
E. FEDERAL INCOME TAXES
It is each Fund's policy to continue to comply with the requirements of the
Internal Revenue Code and distribute its income to shareholders. Therefore, no
federal income tax provision is required.
F. 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 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 provide a table of annual rates for each of the Funds for the year
ended December 31, 1998.
Fund ANNUAL RATE
- ---- -----------
Cash Management .55%
NY Tax Free Money .55%
Tax Free Money .55%
Treasury Money .55%
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Funds. For the year ended December 31, 1998, there
were no reimbursable expenses incurred under this agreement.
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. At December 31, 1998, the
annual rates for the year ended for the respective Funds were as follows:
Fund ANNUAL RATE(1) ANNUAL RATE(2)
- ---- ----------- -----------
Cash Management .57% .75%
NY Tax Free Money .55% .75%
Tax Free Money .55% .75%
Treasury Money .55% .75%
- ---------------
(1) Excluding Expenses of the Portfolio.
(2) Including Expenses of the Portfolio.
The Portfolios in which the Funds invests in are a participant with other
affiliated entities in a revolving credit facility and a discretionary demand
line of credit facility (collectively the "credit facilities") in the amounts of
$50,000,000 and $100,000,000, respectively, which expire March 15, 1999. A
commitment fee of .07% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facilities will bear interest at
a rate per annum equal to the Federal Funds Rate plus .45%. No amounts were
drawn down or outstanding under the credit facilities as of and for the year
ended December 31, 1998.
11
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 pursuant 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 Cash Management 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.
NOTE 3--CAPITAL LOSS CARRYFORWARDS
At December 31, 1998, capital loss carryforwards available as a reduction
against future net realized capital gains aggregate as follows:
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD
NET REALIZED EXPIRATION YEAR
CAPITAL LOSS ----------------------------------------------------------
FUND CARRYFORWARD 2000 2001 2002 2003 2004 2005 2006
- ----- ------------- ------ ---- ---- ---- ---- ---- ----
<S> <C> <C> <C>
Cash Management $73,205 $71,904 $1,301
NY Tax Free Money $19,862 $10,340 $ 739 $ 2,075 $ 1,746 $2,716 $1,774 $472
Tax Free Money $49,175 $ 9,923 $25,044 $8,495 $5,713
</TABLE>
12
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT FUNDS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Shareholders of
BT Investment Funds:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money Funds
(four of the Funds comprising BT Investment Funds, hereafter referred to as the
"Funds") at December 31, 1998, and the results of each of their operations, the
changes in each of their net assets and each of their financial highlights for
each of the fiscal periods presented, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Fund's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1998 by correspondence with the
transfer agent, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
- --------------------------------------------------------------------------------
TAX INFORMATION (UNAUDITED) FOR THE TAX YEAR ENDED DECEMBER 31, 1998
- --------------------------------------------------------------------------------
We are providing this information as required by the Internal Revenue Code. The
amounts shown may differ from those elsewhere in this report because of
differences between tax and financial reporting requirements.
Of ordinary distributions made during the fiscal year ended December 31, 1998,
the following Fund's distributions included tax-exempt income:
NY Tax Free Money.................... $2,249,800
Tax Free Money....................... $4,523,091
Of ordinary distributions made during the fiscal year ended December 31,
1998, the following percentages have been derived from investments in U.S.
Government and Agency Obligations. All or a portion of the distributions from
this income may be exempt from taxation at the state level. Consult your tax
advisor for state specific information.
Cash Management....................... 0.59%
Treasury Money........................ 17.83%
13
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
<S> <C> <C>
EURODOLLAR CERTIFICATES
OF DEPOSIT - 8.5%
Abbey National:
$ 17,000,000 5.20%, 2/9/99 ............... $ 17,000,000
30,000,000 4.92%, 3/23/99 .............. 30,000,000
17,000,000 4.85%, 4/20/99 .............. 17,000,000
Barclays Bank:
25,000,000 5.37%, 2/24/99 .............. 25,000,704
41,000,000 4.88%, 4/27/99 .............. 40,997,421
Bayerische Hypotheka Vereinbank:
20,000,000 5.36%, 2/22/99 .............. 20,004,907
22,000,000 5.17%, 2/26/99 .............. 22,000,338
Cariplo,
30,000,0005.61%, 1/29/99 .... 30,000,232
Halifax Building Society:
15,000,000 5.16%, 2/5/99 ............... 15,000,112
25,000,000 5.60%, 2/22/99 .............. 25,000,000
25,000,000 5.27%, 2/26/99 .............. 25,004,540
50,000,000 5.12%, 3/2/99 ............... 50,001,219
International Nederlander Bank:
20,000,000 5.13%, 3/5/99 ............... 20,001,028
50,000,000 4.90%, 4/28/99 .............. 50,000,000
KBC Bank,
25,000,000 5.53%, 1/15/99 .............. 25,000,097
Rabobank,
50,000,000 5.53%, 1/4/99 ............... 50,000,000
------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost $462,010,598) 462,010,598
------------
YANKEE CERTIFICATES OF DEPOSIT - 7.9%
Bank of Montreal:
30,000,000 5.25%, 1/29/99 .............. 30,000,000
25,000,000 5.32%, 1/29/99 .............. 25,000,000
10,000,000 5.53%, 2/17/99 .............. 10,002,119
10,000,000 5.57%, 2/26/99 .............. 10,000,000
Banque Nationale de Paris,
50,000,000 5.54%, 1/4/99 ............... 50,000,000
Barclays Bank,
14,000,000 5.70%, 3/30/99 .............. 13,997,703
Bayerische Hypotheka Vereinbank,
20,000,000 5.55%, 1/4/99 ............... 20,000,017
Canadian Imperial Bank,
10,000,000 4.87%, 4/21/99 .............. 9,998,389
Principal
Amount Description Value
------ ----------- -----
Credit Agricole,
$ 2,000,000 5.70%, 1/7/99 ............... $ 1,999,980
Cregem,
12,000,000 5.51%, 1/11/99 .............. 12,000,033
Deutsche Bank,
2,000,000 5.705%, 4/16/99 ............. 1,999,461
Hessen Thuringer,
30,000,000 5.265%, 1/29/99 ............. 30,001,016
KBC Bank,
2,000,000 5.69%, 3/29/99 .............. 2,000,242
Lloyds Bank,
25,000,000 4.875%, 4/23/99 ............. 25,000,378
National Westminster Bank,
40,000,000 5.485%, 1/19/99 ............. 40,000,100
Nordeutsche Landesbank,
8,000,000 5.66%, 7/27/99 .............. 8,025,322
Rabobank:
25,000,000 5.71%, 1/6/99 ............... 25,000,668
17,000,000 5.60%, 3/17/99 .............. 16,998,967
2,000,000 5.70%, 4/20/99 .............. 2,000,602
25,000,000 5.65%, 6/16/99 .............. 25,059,022
Royal Bank of Canada,
10,000,0005.56%, 2/26/99 .... 9,999,265
Toronto Dominion Bank,
22,000,000 5.16%, 2/23/99 .............. 22,000,000
Union Bank of Switzerland,
8,000,000 5.74%, 6/11/99 .............. 8,021,281
West Deutsche Landesbank:
15,000,000 5.54%, 1/13/99 .............. 15,000,000
15,000,000 5.51%, 2/19/99 .............. 14,999,556
------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(AMORTIZED COST $429,104,121).............. 429,104,121
------------
CERTIFICATES OF DEPOSIT - 3.4%
American Express Centurion Bank,
13,000,000 5.47%, 1/14/99.............. 13,000,000
Chase Manhattan Bank,
20,000,000 4.875%, 4/21/99............. 20,000,000
First Union,
2,000,000 5.65%, 4/12/99.............. 2,000,699
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Mellon Bank:
$ 20,000,000 4.87%, 4/29/99 .............. $ 20,000,000
15,000,000 5.05%, 5/3/99 ............... 15,000,000
Morgan Guaranty:
21,000,000 5.15%, 3/15/99 .............. 21,000,000
42,000,000 4.95%, 3/16/99 .............. 42,000,000
NationsBank,
55,000,000 5.20%, 2/5/99 ............... 55,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(AMORTIZED COST $188,000,699).............. 188,000,699
------------
EURO TIME DEPOSITS - 16.0%
Abbey National,
50,000,000 5.48%, 2/10/99 .............. 50,000,000
Bank of America,
25,000,000 5.45%, 2/11/99 .............. 25,000,000
Bank of Austria,
50,000,000 5.15%, 1/20/99 .............. 50,000,000
Bank of Montreal,
115,000,000 5.35%, 2/9/99 ............... 115,000,000
Bank of Nova Scotia,
25,000,000 5.594%, 1/8/99 .............. 25,000,000
Bayerische Landesbank,
40,000,000 4.938%, 4/28/99 ............. 40,000,000
Caisse de Depots,
200,000,000 5.25%, 1/4/99 ............... 200,000,000
Canadian Imperial Bank,
50,000,000 5.25%, 1/4/99 ............... 50,000,000
International Nederlander,
40,000,000 5.60%, 2/26/99 .............. 40,000,000
KBC Bank,
29,000,000 5.16%, 1/22/99 .............. 29,000,000
Nordeutsche Landesbank:
25,000,000 5.67%, 1/19/99 .............. 25,000,000
35,000,000 5.25%, 3/29/99 .............. 35,000,000
Union Bank of Switzerland,
144,257,257 4.25%, 1/4/99 ............... 144,257,257
Principal
Amount Description Value
------ ----------- -----
West Deutsche Landesbank,
$ 50,000,000 5.25%, 1/4/99................ $ 50,000,000
----------------
TOTAL EURO TIME DEPOSITS
(AMORTIZED COST $878,257,257).............. 878,257,257
----------------
FLOATING RATE - NOTES - 20.6%
Associates Corp:
Daily Variable Rate,
25,000,000 5.65%, 1/4/99................ 24,999,901
25,000,000 5.51%, 4/23/99............... 24,992,492
20,000,000 5.52%, 6/29/99............... 19,992,341
Bank of Austria:
Quarterly Variable Rate,
25,000,000 5.548%, 7/27/99.............. 24,991,652
Bank of Nova Scotia:
Monthly Variable Rate,
35,000,000 5.512%, 6/10/99.............. 34,988,376
Banque Nationale de Paris:
Monthly Variable Rate,
40,000,000 5.525%, 6/1/99............... 39,990,071
40,000,000 5.541%, 7/29/99.............. 39,986,429
Bayerische Hypotheka Vereinbank:
Monthly Variable Rate,
40,000,000 5.505%, 5/28/99.............. 39,987,303
Bayerische Landesbank:
Daily Variable Rate,
35,000,000 5.00%, 2/12/99............... 35,000,400
Monthly Variable Rate,
20,000,000 5.495%, 2/25/99.............. 19,998,255
25,000,000 5.521%, 6/29/99.............. 24,990,962
Bear Stearns:
Monthly Variable Rate,
10,000,000 5.626%, 6/4/99............... 10,000,000
Commerz Bank:
Monthly Variable Rate,
30,000,000 5.505%, 5/28/99.............. 29,990,478
CoreStates Bank:
Monthly Variable Rate,
30,000,000 5.607%, 3/5/99............... 30,000,000
Creditanstalt Bankverein:
Monthly Variable Rate,
20,000,000 5.515%, 6/3/99............... 19,994,231
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Credit Suisse First Boston:
Daily Variable Rate,
$30,000,000 5.50%, 2/9/99..............$ 30,000,000
Deutsche Bank:
Quarterly Variable Rate,
40,000,000 5.528%, 6/1/99 ............ 39,987,010
15,000,000 5.53%, 8/16/99 ............ 14,993,593
First Union:
Quarterly Variable Rate,
10,000,000 5.208%, 10/20/99........... 10,000,000
20,000,000 5.422%, 11/16/99........... 20,000,000
General Electric Corp.:
Quarterly Variable Rate,
15,000,000 5.607%, 1/15/99............ 15,000,000
20,000,000 5.554%, 9/8/99............. 20,000,000
IBM Credit:
Quarterly Variable Rate,
13,000,000 5.22%, 11/2/99............. 12,997,828
J.P. Morgan:
Monthly Variable Rate,
55,000,000 5.50%, 2/24/99 ............ 54,994,038
Key Bank New York:
Daily Variable Rate,
10,000,000 5.54%, 1/29/99............. 9,999,592
Kreditbank:
Quarterly Variable Rate,
25,000,000 5.537%, 6/1/99............. 24,992,896
Merrill Lynch & Co.:
Daily Variable Rate,
35,000,000 5.625%, 2/17/99 ........... 34,999,331
12,000,000 5.29%, 4/7/99.............. 12,002,342
Monthly Variable Rate,
20,000,000 5.606%, 4/13/99............ 19,999,442
Morgan Guaranty:
Monthly Variable Rate,
40,000,000 5.22%, 11/29/99............ 39,982,935
National City Bank of Cleveland:
Monthly Variable Rate,
15,000,000 5.578%, 3/5/99............. 14,998,988
Principal
Amount Description Value
------ ----------- -----
National Rural Utility Cooperative:
Quarterly Variable Rate,
$20,000,000 5.219%, 11/23/99...........$ 20,000,000
National Westminster:
Quarterly Variable Rate,
25,000,000 5.538%, 8/20/99............ 24,987,580
NationsBank Corp.:
Daily Variable Rate,
25,000,000 5.70%, 3/18/99............. 25,004,536
Nordeutsche Landesbank:
Monthly Variable Rate,
17,000,000 5.525%, 2/2/99............. 16,999,281
20,000,000 5.505%, 2/25/99............ 19,998,527
Norwest Corp.:
Quarterly Variable Rate,
40,000,000 5.59%, 2/9/99.............. 39,997,693
30,000,000 5.242%, 10/28/99........... 29,997,520
Societe Generale:
Daily Variable Rate,
10,000,000 5.58%, 3/2/99.............. 9,999,198
Monthly Variable Rate,
25,000,000 5.567%, 5/7/99............. 24,994,469
10,000,000 5.555%, 6/1/99............. 9,996,788
Svenska Handelsbanken:
Monthly Variable Rate,
20,000,000 5.53%, 6/2/99.............. 19,993,807
US Bank:
Monthly Variable Rate,
15,000,000 5.567%, 8/18/99............ 14,998,242
Wachovia Bank:
Monthly Variable Rate,
28,000,000 5.505%, 2/9/99............. 27,998,450
21,000,000 5.512%, 5/12/99............ 20,994,800
Walt Disney Co.:
Quarterly Variable Rate,
20,000,000 5.455%, 2/26/99 19,997,392
Westpac Capitol Corp.:
Quarterly Variable Rate,
5,000,000 5.544%, 4/9/99............ 4,999,342
-------------
TOTAL FLOATING RATE - NOTES
(AMORTIZED COST $1,125,808,511)......... 1,125,808,511
-------------
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 0.5%
U.S.Treasury Note
$ 25,000,000 5.87%, 8/31/99.................. $ 25,181,973
----------------
TOTAL U.S. TREASURY SECURITIES
(AMORTIZED COST $25,181,973).................. 25,181,973
----------------
FUNDING AGREEMENT - 0.5%
First Allmerica Financial,
30,000,000 4.75%, 12/23/99................. 30,000,000
----------------
TOTAL FUNDING AGREEMENT
(AMORTIZED COST $30,000,000).................. 30,000,000
----------------
COMMERCIAL PAPER - 42.6%*
ABB Treasury Center,
35,000,000 5.20%, 2/18/99.................. 34,757,333
Alcatel Alsthom,
22,000,000 5.08%, 2/22/99.................. 21,838,569
Asset Securitization:
25,000,000 5.40%, 1/22/99.................. 24,921,250
35,000,000 5.45%, 1/27/99.................. 34,862,236
35,000,000 5.40%, 1/29/99.................. 34,853,000
30,000,000 5.18%, 2/18/99.................. 29,792,800
45,000,000 5.27%, 2/19/99.................. 44,677,213
Associates Corp.:
37,000,000 5.04%, 2/3/99.................. 36,829,060
25,000,000 5.25%, 2/5/99.................. 24,872,396
12,000,000 5.25%, 2/26/99................. 11,902,000
Bank of Scotland,
25,000,000 4.89%, 6/4/99 ................. 24,477,041
Barclays Bank,
40,000,000 5.90%, 1/4/99.................. 39,980,333
BBL North America:
23,000,000 5.52%, 1/12/99................. 22,960,095
30,000,000 5.50%, 1/15/99................. 29,935,833
35,000,000 5.14%, 1/25/99................. 34,880,066
13,000,000 5.50%, 1/26/99................. 12,950,348
British Columbia Province,
5,370,000 4.805%, 3/8/99................. 5,322,695
CAFCO:
1,000,000 5.55%, 1/19/99................. 997,226
16,000,000 5.40%, 1/20/99................. 15,954,400
24,000,000 5.33%, 1/29/99................. 23,900,507
40,000,000 5.30%, 2/3/99.................. 39,805,666
30,000,000 5.29%, 2/9/99.................. 29,828,075
15,000,000 5.20%, 2/18/99................. 14,896,000
Principal
Amount Description Value
------ ----------- -----
Carnival PLC UK,
$17,000,000 5.25%, 2/5/99.................. $ 16,913,230
Chase Manhattan Bank,
25,000,000 4.80%, 3/23/99................. 24,730,000
Ciesco,
5,000,000 5.35%, 1/22/99................. 4,984,396
Commonwealth Bank of Australia,
40,000,000 5.75%, 1/11/99................. 39,936,111
Corporate Receivables:
20,000,000 5.40%, 1/15/99................. 19,958,000
14,000,000 5.55%, 1/15/99................. 13,969,783
30,000,000 5.40%, 1/19/99................. 29,919,000
50,000,000 5.43%, 1/25/99................. 49,819,000
25,000,000 5.42%, 1/27/99................. 24,902,139
20,000,000 5.18%, 2/11/99................. 19,882,011
30,000,000 5.25%, 2/16/99................. 29,798,750
15,000,000 5.375%, 2/18/99................ 14,892,500
8,000,000 5.375%, 2/19/99................ 7,941,473
Credit Suisse First Boston:
15,000,000 5.29%, 1/7/99.................. 14,986,776
10,000,000 5.15%, 1/22/99................. 9,969,958
10,000,000 5.18%, 1/25/99................. 9,965,466
30,000,000 5.18%, 1/26/99................. 29,892,083
Cregem,
30,000,000 4.99%, 4/1/99.................. 29,625,750
Daimler Benz North American:
12,000,000 5.03%, 1/29/99................. 11,953,053
25,000,000 5.22%, 2/23/99................. 24,807,875
18,000,000 5.03%, 4/15/99................. 17,738,440
Delaware Funding Corp.:
50,000,000 5.35%, 1/22/99................. 49,843,958
13,432,000 5.42%, 1/26/99................. 13,381,443
20,000,000 5.19%, 2/18/99................. 19,861,600
Diageo Capital:
45,000,000 5.35%, 1/4/99.................. 44,979,938
25,000,000 5.23%, 2/12/99................. 24,847,458
22,000,000 5.26%, 2/17/99................. 21,848,921
13,000,000 5.10%, 3/5/99 ................. 12,883,975
Ford Motor Credit,
35,000,000 5.10%, 1/28/99................. 34,866,125
Gannett,
25,000,000 5.20%, 1/14/99 ................ 24,953,056
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
General Electric Capital:
$20,000,000 5.04%, 2/8/99 ............$ 19,893,600
10,000,000 5.24%, 2/9/99............. 9,943,233
20,000,000 5.33%, 2/17/99............ 19,860,828
45,000,000 4.95%, 2/19/99............ 44,696,813
40,000,000 5.37%, 2/26/99............ 39,672,867
25,000,000 4.93%, 3/15/99............ 24,750,076
13,000,000 4.98%, 3/24/99............ 12,852,537
General Electric Corp.,
30,000,000 5.05%, 1/15/99............ 29,941,083
General Motors Accept Corp.:
30,000,000 5.10%, 1/22/99............ 29,910,750
52,000,000 5.06%, 1/29/99............ 51,795,351
30,000,000 5.24%, 2/5/99............. 29,847,167
38,000,000 5.08%, 2/10/99............ 37,785,511
Glaxo Wellcome:
10,000,000 5.17%, 2/8/99............. 9,945,428
15,300,000 5.17%, 2/9/99............. 15,214,307
Goldman Sachs,
10,000,000 5.55%, 1/19/99............ 9,972,250
KFW International Finance:
30,000,000 5.00%, 1/14/99............ 29,945,833
15,000,000 4.87%, 2/19/99............ 14,900,571
Metropolitan Life,
20,000,000 5.22%, 1/28/99............ 19,921,700
National Rural Utility Financial
Cooperative:
7,000,000 4.90%, 2/22/99............ 6,950,456
10,000,000 5.08%, 3/5/99............. 9,911,100
20,000,000 4.97%, 4/26/99............ 19,682,473
Norwest Corp.:
15,000,000 5.14%, 1/22/99............ 14,955,025
25,000,000 5.10%, 2/5/99............. 24,876,042
Oesterreichische,
21,000,000 5.16%, 1/25/99 ........... 20,927,760
Panasonic Finance,
17,000,000 5.35%, 1/4/99............. 16,992,421
Principal
Amount Description Value
------ ----------- -----
Pitney Bowes Credit,
$50,000,000 5.15%, 1/4/99.............$ 49,978,542
Province of Quebec:
40,000,000 5.14%, 2/8/99............. 39,782,978
16,400,000 4.95%, 2/16/99............ 16,296,270
Quincy Capital Corp.:
18,136,000 5.50%, 1/15/99............ 18,097,209
28,492,000 5.48%, 1/27/99............ 28,379,235
15,000,000 5.41%, 1/28/99............ 14,939,138
Receivables Capital Corp.:
9,246,000 5.27%, 1/25/99............ 9,213,515
8,940,000 5.35%, 1/26/99............ 8,906,785
21,398,000 5.29%, 1/28/99............ 21,313,103
54,575,000 5.42%, 2/5/99............. 54,287,420
Repsol International Finance:
28,000,000 5.16%, 2/11/99............ 27,835,453
2,000,000 5.00%, 2/16/99............ 1,987,222
20,000,000 4.92%, 3/15/99............ 19,800,467
8,000,000 4.85%, 6/28/99............ 7,808,156
Swedish Export Credit,
25,000,000 5.02%, 2/24/99 24,811,750
Union Bank of Switzerland:
40,000,000 5.26%, 1/5/99............. 39,976,622
40,000,000 5.219%, 1/15/99........... 39,918,814
Walt Disney Co.,
2,600,000 5.05%, 2/5/99............. 2,587,234
Wells Fargo Bank,
20,000,000 5.25%, 1/29/99............ 19,918,332
----------------
TOTAL COMMERCIAL PAPER
(AMORTIZED COST $2,300,229,837)......... 2,300,229,837
----------------
TOTAL INVESTMENTS
(AMORTIZED COST $5,438,592,996).99.5% $5,438,592,996
OTHER ASSETS IN EXCESS OF
LIABILITIES ................... 0.5% 25,659,993
-------- ----------------
NET ASSETS 100.0% $5,464,252,989
======== ================
</TABLE>
- --------------
* Interest rates for commercial paper represent discount rates at the time of
purchase.
See Notes to Financial Statements.
18
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
NEW YORK TAX FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
<S> <C>
NEW YORK - 100.5%
$2,300,000 Buffalo, New York, RAN, Series A, 3.75%, 07/27/99 .................................................. $2,309,643
600,000 Great Neck, New York, Union Free School District, TAN, 3.75%, 06/30/99 ............................. 600,981
2,500,000 Great Neck North, New York Water Authority Water System Revenue, Series A, (FGIC Insured), Variable
Rate Weekly Demand Note, 4.00%, 01/01/20 (a) ....................................................... 2,500,000
1,500,000 Half Hollows Hills, CSD, New York, Huntington & Babylon, G.O., TAN, 3.90%, 6/25/99 ................. 1,502,313
1,000,000 Half Hollows Hills, CSD, New York, Huntington & Babylon, G.O., TAN, 4.00%, 6/25/99 ................. 1,002,084
1,500,000 Hempstead Town, New York, G.O. Series A, (MBIA Insured), 5.25%, 03/01/99 ........................... 1,505,394
1,000,000 Long Island Power Authority, New York, Tax Exempt Commercial Paper, (LOC: Westdeutsche Landesbank
50%, Bayerische Landesbank 50%), 3.15%, 01/20/99 ................................................... 1,000,000
1,500,000 Long Island Power Authority, New York, Tax Exempt Commercial Paper, (LOC: Westdeutsche Landesbank
50%, Bayerische Landesbank 50%), 3.00%, 02/11/99 ................................................... 1,500,000
1,000,000 Long Island Power Authority, New York, Tax Exempt Commercial Paper, (LOC: Westdeutsche Landesbank
50%, Bayerische Landesbank 50%), 3.05%, 03/11/99 ................................................... 1,000,000
500,000 Metropolitan Transportation Authority, New York, Dedicated Tax Fund Bonds, Series 96A,
(MBIA Insured), 4.20%, 04/01/99 .................................................................... 500,474
2,000,000 Metropolitan Transportation Authority, New York, Series B, Tax Exempt Commercial Paper, 2.95%,
01/20/99 ........................................................................................... 2,000,000
2,500,000 Monroe County, New York, G.O., Tax Exempt Commercial Paper, 3.40%, 01/14/99 ........................ 2,500,000
800,000 Monroe County, New York, G.O., Public Improvement Bonds, Series A, 4.50%, 06/01/99 ................. 804,832
1,600,000 Montgomery County, New York, I.D.A., Service Merchandise Co., (LOC: Canadian Imperial Bank),
Variable Rate Monthly Demand Note, 3.50%, 12/31/24 (a) ............................................. 1,600,000
800,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds, Series E, 4.30%, 07/01/99 ...... 804,067
1,000,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds, Series G, 5.00%, 07/01/99....... 1,006,699
1,950,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds, Series J, 5.50%, 07/01/99....... 1,972,077
2,000,000 Nassau County, New York, Industrial Development Agency, Civic Facility Revenue, Winthrop University,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 5.00%, 03/01/28 (a) ................. 2,000,000
1,700,000 New York, New York, Sub Series A-5, (LOC: KBC Bank N.V.), Variable Rate Daily Demand Note,
5.10%, 08/01/15 (a) ................................................................................ 1,700,000
200,000 New York, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note,
3.85%, 10/01/20 (a) ................................................................................ 200,000
3,000,000 New York City, New York, Trust for Cultural Research Revenue Bonds, Museum of Broadcasting,
(LOC: KBC Bank N.V.), Variable Rate Weekly Demand Note, 4.00%, 05/01/14 (a)......................... 3,000,000
1,500,000 New York City, New York, Health & Hospital Corp., Series A, (LOC: Morgan Guaranty Trust), Variable
Rate Weekly Demand Note, 3.90%, 02/15/26 (a) ....................................................... 1,500,000
3,000,000 New York City, New York, Transitional Finance Authority, Variable Rate Daily Demand Note, 5.10%,
05/01/28 (a) ....................................................................................... 3,000,000
400,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue,
Series A, (FGIC Insured), Variable Rate Daily Demand Note, 5.20%, 06/15/25 (a) ..................... 400,000
1,000,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue,
Series G, (FGIC Insured), Variable Rate Daily Demand Note, 5.10%, 06/15/24 (a) ..................... 1,000,000
1,935,000 New York State Dormitory Authority Revenue (Sloan Kettering), Tax Exempt Commercial Paper,
(LOC: Chase Manhattan Bank), 3.05%, 01/15/99 ....................................................... 1,935,000
1,250,000 New York State Dormitory Authority Revenue (Sloan Kettering), Tax Exempt Commercial Paper,
(LOC: Chase Manhattan Bank), 3.00%, 02/11/99 ....................................................... 1,250,000
2,725,000 New York State Energy Research & Development Authority, Brooklyn Union Gas, (MBIA Insured),
Variable Rate Weekly Demand Note, 4.00%, 12/01/20 (a) .............................................. 2,725,000
1,050,000 New York State Energy Research & Development Authority, P.C.R., Orange/Rockland Utility,
(AMBAC Insured), Variable Rate Weekly Demand Note, 3.80%, 08/01/15 (a) ............................. 1,050,000
See Notes to Financial Statements.
19
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
NEW YORKTAX FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
$1,500,000 New York State, Energy Research and Development Authority, P.C.R., (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.80%, 06/01/29 (a) ............................................ $ 1,500,000
2,500,000 New York State Energy Research & Development Authority, P.C.R., Niagara Mohawk Power, Series A,
(LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note, 5.20%, 07/01/15 (a) .............. 2,500,000
1,460,000 New York State, Environmental Facility Corporation, Revolving Fund Revenue Bonds, Series G,
2.95%, 02/15/99 ................................................................................. 1,460,000
1,430,000 New York State, Environmental Facility Corporation, P.C.R., Series A, 3.75%, 06/15/99 ........... 1,434,978
500,000 New York State, Environmental Facility Corporation, P.C.R., Series D, 5.65%, 03/15/99 ........... 501,969
300,000 New York State, Environmental Facility Corporation, P.C.R., Series E, 6.00%, 06/15/99 ........... 304,016
3,000,000 New York State Housing Finance Agency, Contract Obligation Revenue, Series A, (LOC: Commerzbank),
Variable Rate Weekly Demand Note, 3.90%, 03/15/27 (a) ........................................... 3,000,000
3,500,000 New York State Housing Finance Agency, Normandie Court I Project, (LOC: Landesbank Hessen),
Variable Rate Weekly Demand Note, 4.10%, 05/15/15 (a) ........................................... 3,500,000
2,900,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A, (LOC: Chase
Manhattan Bank), Variable Rate Weekly Demand Note, 3.70%, 11/01/10 (a) .......................... 2,900,000
2,300,000 New York State Local Government Assistance, Series G, (LOC: Bank of Nova Scotia), Variable Rate
Weekly Demand Note, 3.85%, 04/01/25 (a) ......................................................... 2,300,000
1,200,000 New York State Medical Care Facilities Finance Agency, Lenox Hill Hospital, Series A, (LOC: Chase
Manhattan Bank), Variable Rate Weekly Demand Note, 3.80%, 11/01/08 (a) .......................... 1,200,000
300,000 New York State, Twy Authority, Highway and Bridge Trust Fund Bonds, Series A, 4.10%, 04/01/99 ... 300,689
500,000 New York State, Twy Authority, Highway and Bridge Trust Fund Bonds, Series B, 5.00%, 04/01/99 ... 502,398
1,000,000 New York State, BANS, Tax Exempt Commercial Paper, 2.95%, 01/12/99 .............................. 1,000,000
1,000,000 New York State, G.O., Series V, Tax Exempt Commercial Paper, 2.85%, 02/09/99 .................... 1,000,000
1,000,000 New York State, G.O., Series V, Tax Exempt Commercial Paper, 3.00%, 02/09/99 .................... 1,000,000
1,395,000 Rensselaer County, New York, Series A, (AMBAC Insured), 4.00%, 06/01/99 ......................... 1,397,119
3,000,000 Sachem Central School District, New York, TAN, 4.00%, 06/25/99 .................................. 3,006,300
1,000,000 Syracuse, New York, I.D.A., Civic Facility Revenue, Multi-Modal Syracuse University Project,
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 5.00%, 03/01/23 (a) .............. 1,000,000
150,000 Triborough Bridge & Tunnel Authority, Series P, 7.00%, 01/01/11, (Escrowed in U.S. Government),
Prerefunded 01/01/99 @ $101.50 .................................................................. 152,260
200,000 Triborough Bridge & Tunnel Authority, Series O, 7.40%, 01/01/03, (Escrowed in U.S. Government),
Prerefunded 01/01/99 @ $101.50 .................................................................. 203,014
2,390,000 Triborough Bridge & Tunnel Authority, Series O, 7.70%, 01/01/19, (Escrowed in U.S. Government),
Prerefunded 01/01/99 @ $101.50 .................................................................. 2,426,043
2,000,000 Triborough Bridge & Tunnel Authority, Series A, (MBIA Insured), 4.00%, 01/01/99 ................. 2,000,027
-------------
TOTAL NEW YORK (Cost $78,457,377) ............................................................................ $ 78,457,377
-------------
TOTAL INVESTMENTS (Cost $78,457,377).................................................................... 100.5% $ 78,457,377
LIABILITIES IN EXCESS OF OTHER ASSETS................................................................... (0.5)% (403,079)
------ -------------
TOTAL NET ASSETS........................................................................................ 100.0% $ 78,054,298
====== =============
- -----------------
(a) Securities payable on demand, secured by bank Letters of Credit or other
bank credit agreements. This interest rate, which will change periodically,
is based on bank prime rates or an index of market interest rates.
The following abbreviations are used in portfolio descriptions:
AMBAC - American Municipal Bond Assurance Corporation
FGIC - Financial Guaranty Insurance Corporation
G.O. - General Obligation
I.D.A. - Industrial Development Authority
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
P.C.R.- Pollution Control Revenue
RAN - Revenue Anticipation Notes
TAN - Tax Anticipation Notes
TRAN - Tax Revenue Anticipation Notes
See Notes to Financial Statements.
20
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
TAX-FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
ARIZONA - 2.7%
$ 2,600,000 Pinal County, Arizona, I.D.A., P.C.R., (LOC: National Westminster),
Variable Rate Daily Demand Note, 5.00%, 12/1/09 (a) ........................................ $2,600,000
2,750,000 Pinal County, Arizona, I.D.A., P.C.R., (LOC: National Westminster),
Variable Rate Daily Demand Note, 5.00%, 12/1/09 (a) ........................................ 2,750,000
------------
5,350,000
------------
COLORADO - 0.9%
805,000 Colorado Housing Finance Authority, Multifamily Housing, (Silver Reef Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 4.15%, 10/15/16 (a) ................ 805,000
1,000,000 Colorado State, TRANS, Series A 4.25%, 6/25/99 ............................................. 1,003,143
------------
1,808,143
------------
FLORIDA - 2.3%
2,285,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank),
Variable Rate Weekly Demand Note, 3.45%, 12/1/07 (a) ....................................... 2,285,000
2,000,000 Florida State, Department of Environmental Protection, Environmental Preservation 2000-B,
(FSA Insured) 4.50%, 7/1/99 ................................................................ 2,009,645
400,000 Pinellas County, Florida, Health Facility Authority Revenue, Pooled Hospital Loan Program,
(LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note, 4.70%, 12/1/15 (a) ........... 400,000
------------
4,694,645
------------
GEORGIA - 4.0%
1,000,000 Cobb County, Georgia, Housing Authority, (Post Mill Project), (Guaranteed by FNMA),
Variable Rate Weekly Demand Note, 4.00%, 6/1/25 (a) ........................................ 1,000,000
1,000,000 Georgia State, G.O. 7.25%, 9/1/99 .......................................................... 1,023,562
1,000,000 Macon-Bibb County, Georgia, Hospital Authority Revenue, (Medical Center of Central Georgia),
(LOC: SunTrust Bank), Variable Rate Weekly Demand Note, 4.00%, 12/1/18 (a) ................. 1,000,000
1,000,000 Municipal Electric Authority, Georgia, (LOC: Landesbank-Hessen-Thuringen),
Variable Rate Weekly Demand Notes, 3.95%, 6/1/20 (a) ....................................... 1,000,000
4,000,000 Smyrna Housing Authority, Multifamily Housing, (F&M Villages Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 4.00%, 6/1/25 (a) .................. 4,000,000
------------
8,023,562
------------
IDAHO - 1.5%
3,000,000 Idaho State, TANS, 4.50%, 6/30/99 .......................................................... 3,020,581
------------
ILLINOIS - 9.3%
2,000,000 Bi-State Development Agency, Mo.-Ill., St. Clair County, (MBIA Insured),
Variable Rate Weekly Demand Note, 3.90%, 7/1/28 (a) ........................................ 2,000,000
800,000 Burbank, Illinois, I.D.R., Service Merchandise Inc., (LOC: Canadian Imperial Bank),
Variable Rate Monthly Demand Note, 3.50%, 9/15/24 (a) ...................................... 800,000
1,000,000 Chicago, Illinois, Met Water Reclamation District - Greater Chicago (Escrowed in U.S. ......
Government), Prerefunded 01/01/99 @ 100, 7.25%, 1/1/02 ..................................... 1,000,074
2,000,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.),
Variable Rate Weekly Demand Note, 4.10%, 11/15/24 (a) ...................................... 2,000,000
7,000,000 Illinois Health Facilities Authority, (Northwestern Memorial Hospital),
Variable Rate Weekly Demand Note, 5.15%, 8/15/25 (a) ....................................... 7,000,000
2,000,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.),
Variable Rate Weekly Demand Note, 4.10%, 11/15/25 (a) ...................................... 2,000,000
1,000,000 Illinois Health Facilities Authority, Series A, (Evanston Hospital Corp. Project)
3.15%, 3/15/25, Mandatory Put - 08/02/99 @ $100, ........................................... 1,000,000
2,000,000 Illinois State, G.O., (MBIA Insured), 5.375%, 5/1/99 ....................................... 2,011,948
1,000,000 Schaumburg, Illinois, Series A, Variable Rate Weekly Demand Note, 4.15%, 12/1/13 (a) ....... 1,000,000
------------
18,812,022
------------
See Notes to Financial Statements.
21
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
TAX-FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
INDIANA - 1.0%
$ 2,000,000 Purdue University, Student Fee Bonds, Series L, Variable Rate Weekly Demand Note,
3.95%, 7/1/20 (a) ..................................................................... $2,000,000
------------
KENTUCKY - 0.5%
1,000,000 Kentucky Asset/Liability Commission, General Fund, TRANS, Series B, 4.00%, 6/25/99 .... 1,003,139
------------
LOUISIANA - 1.9%
1,000,000 Jefferson Parish, Louisiana Hospital Revenue, West Jefferson Medical Center,
(LOC: Rabobank Nederland), Variable Rate Weekly Demand Note, 4.00%, 1/1/26 (a) ........ 1,000,000
2,800,000 Louisiana Offshore Terminal Authority, Deepwater Port Revenue, First Stage 1991A
(Loop Inc.), (LOC: Morgan Guaranty Trust), Variable Rate Weekly Demand Note,
3.90%, 9/1/17 (a) ..................................................................... 2,800,000
------------
3,800,000
------------
MARYLAND - 3.5%
2,000,000 Community Development Administration Multifamily Development, (Avalon Lea Apartments
Project), (Guaranteed by FNMA), Variable Rate Weekly Demand Note, 3.85%, 6/15/26 (a) .. 2,000,000
1,000,000 Maryland State, G.O., 6.70%, 7/15/99 .................................................. 1,016,101
1,200,000 Washington Suburban Sanitary District, Maryland, Water Supply, 4.00%, 6/1/99 .......... 1,201,434
1,875,000 Washington Suburban Sanitary District, Maryland, Water Supply, 6.00%, 6/1/99 .......... 1,893,073
1,000,000 Washington Suburban Sanitary District, Maryland, General Construction, 7.00%, 6/1/99 .. 1,013,232
------------
7,123,840
------------
MICHIGAN - 4.3%
2,050,000 Michigan State Hospital Finance Authority, (Charity Obligated Group),
Variable Rate Weekly Demand Note, 3.90%, 11/1/18 (a), ................................. 2,050,000
1,000,000 Michigan State University, General Revenue, Series A-2,
Variable Rate Weekly Demand Note, 3.95%, 8/15/22 (a) .................................. 1,000,000
1,600,000 Michigan Strategic Fund, (Consumer Power Project), P.C.R., (LOC: Canadian Imperial
Bank), Variable Rate Daily Demand Note, 5.15%, 6/15/10 (a) ............................ 1,600,000
1,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.25%, 1/12/99 ......... 1,000,000
1,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.20%, 1/14/99 ......... 1,000,000
1,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.05%, 1/19/99 ......... 1,000,000
1,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.00%, 3/11/99 ......... 1,000,000
------------
8,650,000
------------
MISSISSIPPI - 7.5%
2,500,000 Jackson County, Mississippi, P.C.R., Chevron USA Inc. Project, (Guaranteed by Chevron),
Variable Rate Daily Demand Note, 5.10%, 6/1/23 (a) .................................... 2,500,000
4,800,000 Jackson County, Mississippi, P.C.R., Chevron USA Inc. Project, (Guaranteed by Chevron),
Variable Rate Daily Demand Note, 5.10%, 6/1/23 (a) .................................... 4,800,000
7,850,000 Perry County, Mississippi, Leaf River Forest Project, (LOC: Wachovia),
Variable Rate Daily Demand Note, 5.10%, 3/1/02 (a) .................................... 7,850,000
------------
15,150,000
------------
MISSOURI - 0.7%
1,500,000 Missouri State, Health & Educational Facilities Authority, (Washington University
Project), Series D, Variable Rate Daily Demand Note, 5.00%, 9/1/30 (a) ................ 1,500,000
------------
MONTANA - 1.2%
2,500,000 Forsyth, Montana, P.C.R., (Pacificorp Project), (LOC: Rabobank Nederland),
Variable Rate Daily Demand Note, 5.25%, 1/1/18 (a) .................................... 2,500,000
------------
NEVADA - 0.5%
1,000,000 Clark County, Nevada, Series A, 5.60%, 6/1/99 ......................................... 1,010,550
------------
NEW HAMPSHIRE - 1.0%
2,100,000 New Hampshire State, I.D.A., (LOC: UBS AG), Variable Rate Monthly
Demand Note, 3.40%, 7/1/13 (a) ........................................................ 2,100,000
------------
See Notes to Financial Statements.
22
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
TAX-FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
--------- ----------- -----
NEW JERSEY - 1.5%
$ 1,000,000 New Jersey State, Series A, Tax Exempt Commercial Paper, 3.00%, 1/14/99 ............... $1,000,000
2,000,000 New Jersey State, Series A, Tax Exempt Commercial Paper, 3.15%, 1/20/99 ............... 2,000,000
------------
3,000,000
------------
NEW MEXICO - 0.5%
1,000,000 New Mexico State, Trans, 4.25%, 6/30/99 ............................................... 1,003,094
------------
NEW YORK - 18.3%
2,000,000 Long Island Power Authority, New York, Tax Exempt Commercial Paper,
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), 3.20%, 1/12/99 ......... 2,000,000
2,000,000 Long Island Power Authority, New York, Tax Exempt Commercial Paper,
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), 3.10%, 1/19/99 ......... 2,000,000
2,000,000 Long Island Power Authority, New York, Tax Exempt Commercial Paper,
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), 3.05%, 3/11/99 ......... 2,000,000
3,220,000 Municipal Assistance Corp. for New York City, New York, Series L, Revenue Bond,
5.00%, 7/1/99 ......................................................................... 3,241,877
1,000,000 Nassau County, New York, Industrial Development Agency, Civic Facility Revenue,
Winthrop University, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note,
5.00%, 3/1/28 (a) ..................................................................... 1,000,000
400,000 New York City, New York, G.O., (LOC: UBS AG), Variable Rate Daily Demand Note, 4.40%,
8/15/23 (a) ........................................................................... 400,000
200,000 New York City, New York, G.O., Sub Series A-2, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 5.00%, 8/15/19 (a) ................................... 200,000
700,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan Bank),
Variable Rate Daily Demand Note, 5.00%, 8/1/21 (a) .................................... 700,000
1,000,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan Bank),
Variable Rate Daily Demand Note, 5.00%, 8/1/22 (a) .................................... 1,000,000
2,500,000 New York City, New York, Health & Hospital Corporation, Series A, (LOC: Morgan Guaranty
Trust), Variable Rate Weekly Demand Note, 3.70%, 2/15/26 (a) .......................... 2,500,000
6,900,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, Series A, (FGIC Insured), Variable Rate Daily Demand Note, 5.20%, 6/15/25 (a) 6,900,000
1,200,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, Series G, (FGIC Insured), Variable Rate Daily Demand Note, 3.05%, 6/15/24 (a) 1,200,000
1,960,000 New York State, Energy Research and Development Authority, P.C.R., (LOC: Morgan
Guaranty Trust), Variable Rate Daily Demand Note, 4.80%, 6/1/29 (a) ................... 1,960,000
5,550,000 New York State, Energy Research and Development Authority, P.C.R., (LOC: Toronto
Dominion Bank), Variable Rate Daily Demand Note, 5.20%, 7/1/15 (a) .................... 5,550,000
2,000,000 New York State, G.O., Series V, Tax Exempt Commercial Paper, 3.00%, 2/9/99 ............ 2,000,000
300,000 New York, New York, G.O., Series B, (FGIC Insured),
Variable Rate Daily Demand Note, 5.00%, 10/1/20 (a) ................................... 300,000
300,000 New York, New York, Sub Series B-2, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 5.00%, 8/15/20 (a) ................................... 300,000
3,600,000 New York, New York, Sub Series B-4, (LOC: UBS AG),
Variable Rate Daily Demand Note, 4.40%, 8/15/21 (a) ................................... 3,600,000
------------
36,851,877
------------
NORTH CAROLINA - 1.2%
2,500,000 Charlotte-Mecklenberg Hospital Authority, North Carolina, Health Care System Revenue,
Series D, Variable Rate Weekly Demand Note, 3.90%, 1/15/26 (a) ........................ 2,500,000
------------
OHIO - 1.0%
1,000,000 Ohio State, G.O., Highway Capital Improvements, Series B, 4.25%, 5/1/99 ............... 1,001,593
1,000,000 Ohio State, G.O., Highway Capital Improvements, Series V, 4.70%, 5/15/99 .............. 1,003,849
------------
2,005,442
------------
See Notes to Financial Statements.
23
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
TAX-FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
PENNSYLVANIA - 4.3%
$ 3,200,000 Delaware Valley, Pennsylvania, Regional Finance Authority, Series A, (LOC: Credit
Suisse First Boston), Variable Rate Weekly Demand Note, 3.90%, 8/1/16 (a) .............. $3,200,000
1,900,000 Delaware Valley, Pennsylvania, Regional Finance Authority, Series B, (LOC: Credit
Suisse First Boston), Variable Rate Weekly Demand Note, 3.90%, 12/1/20 (a) ............. 1,900,000
600,000 Lehigh County, Pennsylvania, I.D.A., Allegheny Electric, (LOC: Rabobank Nederland),
Variable Rate Monthly Demand Note, 3.40%, 6/1/14 (a) ................................... 600,000
2,900,000 Pottsville, Pennsylvania, Hospital Authority, Series F, (Charity Obligated Group),
Variable Rate Weekly Demand Note, 3.90%, 11/1/19 (a) ................................... 2,900,000
------------
8,600,000
------------
SOUTH CAROLINA - 2.5%
3,000,000 Rock Hill, South Carolina, Combined Utility System Revenue, Series B,
(AMBAC Insured),Variable Rate Weekly Demand Note, 3.85%, 1/1/23 (a) .................... 3,000,000
1,000,000 South Carolina State, G.O., Capital Improvement, Series A, 6.50%, 2/1/99 ............... 1,002,403
1,000,000 South Carolina State, G.O., Capital Improvement, Series A, 4.50%, 8/1/99 ............... 1,005,542
------------
5,007,945
------------
TENNESSEE - 3.0%
4,180,000 Knox County, Tennessee, Health Educational & Housing Facility, Catholic Health Partners,
Series A, Variable Rate Weekly Demand Note, 3.95%, 12/1/15 (a) ......................... 4,180,000
600,000 Metropolitan Nashville Airport Authority, Special Facilities Revenue, American Airlines
Project, Series B, (LOC: Bayerische Landesbank), Variable Rate Daily Demand Note,
4.85%, 10/1/12 (a) ..................................................................... 600,000
300,000 Metropolitan Nashville Airport Authority, Special Facilities Revenue, American Airlines
Project, Series A, (LOC: Credit Suisse First Boston), Variable Rate Daily Demand Note,
4.85%, 10/1/12 (a) ..................................................................... 300,000
1,000,000 Tennessee State, BANS, Variable Rate Weekly Demand Note, 3.85%, 7/2/01 (a) ............. 1,000,000
------------
6,080,000
------------
TEXAS - 13.1%
1,700,000 Angelina & Neches River Authority, Texas, Industrial Development Corporation, Solid
Waste Revenue, (LOC: Credit Suisse First Boston), Variable Rate Daily Demand Note,
5.15%, 5/1/14 (a) ...................................................................... 1,700,000
600,000 Angelina & Neches River Authority, Texas, Industrial Development Corporation, Solid
Waste Revenue, (LOC: Credit Suisse First Boston), Variable Rate Daily Demand Note,
5.15%, 5/1/14 (a) ...................................................................... 600,000
2,000,000 Angelina & Neches River Authority, Texas, Industrial Development Corporation, Solid
Waste Revenue, (LOC: Credit Suisse First Boston), Variable Rate Daily Demand
Note, 5.15%, 5/1/14 (A) ................................................................ 2,000,000
1,000,000 Austin, Texas, Combined Utility Systems, Tax Exempt Commercial Paper,
(LOC: Morgan Guaranty), 3.00%, 1/27/99 ................................................. 1,000,000
1,000,000 Austin, Texas, Combined Utility Systems, Tax Exempt Commercial Paper,
(LOC: Morgan Guaranty), 3.10%, 2/4/99 .................................................. 1,000,000
2,000,000 Austin, Texas, Combined Utility Systems, Tax Exempt Commercial Paper,
(LOC: Morgan Guaranty), 3.20%, 2/4/99 .................................................. 2,000,000
1,000,000 City of Houston, Texas, G.O., Series B, Tax Exempt Commercial Paper, 3.05%, 1/27/99 .... 1,000,000
3,000,000 City of Houston, Texas, G.O., Series C, Tax Exempt Commercial Paper, 3.10%, 1/25/99 .... 3,000,000
3,000,000 Harris County, Texas, Tax Exempt Commercial Paper, 3.00%, 2/25/99 ...................... 3,000,000
6,300,000 Lower Colorado River Authority, Texas, (MBIA Insured),
Variable Rate Weekly Demand Note, 3.85%, 1/1/13 (a) .................................... 6,300,000
1,755,000 San Antonio, Texas, Electric & Gas, 5.00%, 2/1/99 ...................................... 1,756,847
3,000,000 Texas State, TRAN, 4.50%, 8/31/99 ...................................................... 3,031,881
------------
26,388,728
------------
UTAH - 1.7%
1,500,000 Salt Lake City, Utah, (Pooled Hospital Financing Program),
Variable Rate Weekly Demand Note, 3.95%, 1/1/20 (a) .................................... 1,500,000
2,000,000 Utah State, Series A, Tax Exempt Commercial Paper, 3.00%, 2/10/99 ...................... 2,000,000
------------
3,500,000
------------
See Notes to Financial Statements.
24
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
TAX-FREE MONEY PORTFOLIO
STATEMENT OF NET ASSETS December 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
VERMONT - 2.4%
$4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion),
Variable Rate Monthly Demand Note, 3.50%, 12/1/13 (a) ........................... $ 4,735,000
--------------
VIRGINIA - 3.5%
1,000,000 Fairfax County, Virginia, G.O. Public Improvements, Series A, 5.50%, 6/1/99 ..... 1,009,944
2,000,000 Hampton Roads, Virginia, Regional Jail Authority, Series B, (LOC: Wachovia Bank),
Variable Rate Weekly Demand Note, 4.00%, 7/1/16 (a) ............................. 2,000,000
1,000,000 Virginia State, G.O., 4.50%, 6/1/99 ............................................. 1,004,149
2,000,000 Virginia State, G.O., 5.00%, 6/1/99 ............................................. 2,017,383
1,000,000 Virginia State, Public School Authority, 5.75%, 1/1/00 .......................... 1,026,280
--------------
7,057,756
--------------
WASHINGTON - 1.0%
1,000,000 Washington State, G.O., Motor Vehicle Fuel Tax, Series B, 5.00%, 7/1/99 ......... 1,009,231
1,000,000 Washington State, G.O., Series 1995C, 5.50%, 7/1/99 ............................. 1,009,169
--------------
2,018,400
--------------
WISCONSIN - 3.4%
655,000 MILWAUKEE, WISCONSIN, G.O. NOTES, SERIES B, 4.50%, 6/15/99 ...................... 657,158
1,000,000 Milwaukee, Wisconsin, RAN, Series A, 5.00%, 2/25/99 ............................. 1,002,673
1,200,000 Wisconsin State, G.O., Series A, 5.75%, 5/1/99 .................................. 1,207,548
1,000,000 Wisconsin State, G.O. Series C, 5.00%, 5/1/99 ................................... 1,004,746
1,000,000 Wisconsin State, G.O., Series 1, 4.80%, 11/1/99 ................................. 1,013,704
2,000,000 Wisconsin State, Operating Notes, 4.50%, 6/15/99 ................................ 2,010,056
--------------
6,895,885
--------------
WYOMING - 2.4%
400,000 Platte County, Wyoming, P.C.R., Tri State, (LOC: Societe Generale),
Variable Rate Daily Demand Note, 5.25%, 7/1/14 (a) .............................. 400,000
4,300,000 Sweetwater County, Wyoming, P.C.R., PacificCorp. Project, Series B,
(LOC: Canadian Imperial Bank), Variable Rate Daily Demand Note, 5.25%, 1/1/14 (a) 4,300,000
--------------
4,700,000
--------------
TOTAL INVESTMENTS (Cost $206,890,609................................................... 102.6% $ 206,890,609
OTHER LIABILIBILITIES IN EXCESS OF ASSETS.............................................. (2.6)% (5,289,365)
----- --------------
NET ASSETS............................................................................. 100.0% $ 201,601,244
===== ==============
- ----------------
(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
RAN - Revenue Anticipation Notes
TAN - Tax Anticipation Notes
TRAN - Tax and Revenue Anticipation Notes
UFSD - United Free School District
See Notes to Financial Statements.
25
<PAGE>
- -----------------------------------------------------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
--------- ----------- -----
U.S. TREASURY BILLS - 9.6%
$25,000,000 4.00%, 1/21/99................................................................. $ 24,940,417
50,000,000 4.34%, 2/18/99................................................................. 49,710,333
75,000,000 4.79%, 3/11/99................................................................. 74,374,688
47,000,000 4.39%, 7/1/99.................................................................. 45,962,619
------------------
TOTAL U.S. TREASURY BILLS (Amortized Cost $194,988,057).......................................... 194,988,057
------------------
U.S. TREASURY NOTES - 20.9%
122,000,000 6.37%, 4/30/99 ................................................................ 122,658,417
72,000,000 6.50%, 4/30/99 ................................................................ 72,412,630
139,000,000 6.00%, 6/30/99 ................................................................ 139,614,386
15,000,000 6.37%, 7/15/99 ................................................................ 15,124,897
77,000,000 5.87%, 8/31/99 ................................................................ 77,535,045
------------------
TOTAL U.S. TREASURY NOTES (Amortized Cost $427,345,375).......................................... 427,345,375
------------------
REPURCHASE AGREEMENTS - 69.4%
90,000,000 Tri-Party Repurchase Agreement with Canadian Imperial Bank, Dated 12/31/98, 4.70%,
principal and interest in the amount of $90,011,750 due 01/04/99 (Collateralized by
U.S. Treasury Bond, par value of $225,000 coupon rate of 10.375%, due 11/15/12,
value of $356,139; U.S. Treasury Note, par value of $77,975,000, coupon rate of 7.5%,
due 02/15/05, value of $91,450,246) ............................................ 90,000,000
90,000,000 Tri-Party Repurchase Agreement with Chase Manhattan Bank , Dated 12/31/98, 4.25%,
principal and interest in the amount of $90,010,625, due 01/04/99, (Collateralized by
U.S. Treasury Notes, par value $86,456,000, coupon rate of 6.12% to 6 62%,
due from 05/15/99 to 08/15/07, value of $91,803,780 ............................ 90,000,000
90,000,000 Tri-Party Repurchase Agreement with Deutsche Bank, Dated 12/31/98, 4.9%,
principal and interest in the amount of $90,012,250, due 01/04/99 (Collateralized by
U.S. Treasury Notes, par value of $87,466,000, coupon rate of 6.625% to 6.375%,
due from 05/15/99 to 7/31/01, value of $91,800,519) ............................ 90,000,000
90,000,000 Open Tri-Party Repurchase Agreement with Credit Suisse First
Boston, Dated 12/31/98, 4.8%, daily variable rate, principal
amount of $90,000,000, interest amount varies dependent on
rate, due 12/31/99 (Collateralized by U.S. Treasury Note, par
value of $82,245,000, coupon rate of 7.25%, due 05/15/04, value
of $92,923,917) ................................................................ 90,000,000
122,164,602 Tri-Party Repurchase Agreement with Goldman Sachs, Dated
12/31/98, 4.5%, principal and interest in the amount of
$122,179,873, due 01/04/99 (Collateralized by U.S. Treasury
Notes, par value of $39,316,978, coupon rate of 5.25% to 6.5%,
due 08/15/03 to 10/15/06, value of $39,904,649; U.S. Treasury
Bond, par value of $83,838,361, coupon rate of 10.375%, due
11/15/09, value of $84,703,739) ............................................... 122,164,602
200,000,000 Tri-Party Repurchase Agreement with Greenwich Capital, Dated
11/25/98, 4.90% principal and interest in the amount of
$200,027,222, due 1/19/99, (Collateralized by U.S. Treasury
Strips, par value of $386,757,000, rate of 10%, due from
05/15/10 to 05/15/12, value of $204,001,049) .................................. 200,000,000
90,000,000 Tri-Party Repurchase Agreement with JP Morgan, Dated 12/31/98,
4.85%, principal and interest in the amount $90,012,125, due
01/04/99, (Collateralized by U.S. Treasury Notes $80,561,000,
coupon rate of 6.875%, due 05/15/06, value of $91,800,644) 90,000,000
90,000,000 Tri-Party Repurchase Agreement with Merrill Lynch, Dated 12/31/98, 4.75%,
principal and interest in the amount of $90,011,875, due 01/04/99 (Collateralized by
U.S. Treasury Strips, par value of $256,051,000, coupon rates of 8.75% to 8.87%,
due from 05/15/17 to 08/15/17, value of $91,801,576) .......................... 90,000,000
See Notes to Financial Statements.
26
<PAGE>
- ------------------------------------------------------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
$163,200,000 Tri-Party Repurchase Agreement with Swiss Bank Corp., Dated 12/31/98, 3.75%, principal
and interest in the amount of $163,217,000, due 01/04/99
(Collateralized by U.S. Treasury Notes, par value of
$71,505,000, coupon rates of 5.75% to 7.00%, due from 10/31/00
to 07/15/06, value of $79,421,437; U.S. Treasury Bond, par
value of $74,012,000, coupon rate of 8.75%, due 11/15/08, value
of $87,090,275)............................................................................. $ 163,200,000
90,000,000 Tri-Party Repurchase Agreement with Swiss Bank Corp., Dated 12/04/98, 4.95%,
principal and interest in the amount of $90,012,375, due
01/04/99 (Collateralized by U.S. Treasury Bond, par value of
$1,356,000, coupon rate of 8.125%, due 05/15/21, value of
$1,843,541; U.S. Treasury Strips, par value of $273,470,000,
coupon rates of 7.04% to 12.0%, due from 11/15/00 to 11/15/24,
value of $91,138,338)....................................................................... 90,000,000
300,000,000 Open Tri-Party Repurchase Agreement with West Duetsche Landesbank, Dated 12/31/98, 4.89%,
daily variable rate, principal amount of $300,000,000, interest amount varies dependent
on rate, due 12/31/99 (Collateralized by U.S. Treasury Notes, par value of $290,931,000,
coupon rates of 5.50% to 8.875%, due from 02/28/99 to 08/15/25, value of $306,018,620)...... 300,000,000
--------------
TOTAL REPURCHASE AGREEMENTS (Amortized Cost $1,415,364,602).................................................. 1,415,364,602
--------------
TOTAL INVESTMENTS (Amortized Cost $2,037,698,034)................................................ 99.9% $2,037,698,034
OTHER ASSETS IN EXCESS OF LIABILITIES............................................................ 0.1% 948,395
----- --------------
TOTAL NET ASSETS ................................................................................100.0% $2,038,646,429
===== ==============
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
PORTFOLIOS
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1998
- ------------------------------------------------------------------------------------------------------------------------------
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
---------- ---------- ----- -----
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest ..................................... $ 296,596,871 $ 2,892,242 $ 5,767,351 $ 131,987,681
-------------- ------------- ------------- --------------
EXPENSES
Advisory Fees ................................ 8,019,093 128,675 250,537 3,666,082
Administration and Services Fees ............. 2,673,031 42,892 83,512 1,222,027
Professional Fees ............................ 53,971 34,570 56,822 47,911
Trustees Fees ................................ 3,285 3,473 3,007 1,738
Miscellaneous ................................ 11,980 791 717 3,364
-------------- ------------- ------------- --------------
Total Expenses ............................... 10,761,360 210,401 394,595 4,941,122
Less: Expenses absorbed by Bankers Trust ..... (1,151,727) (38,835) (60,545) (52,678)
-------------- ------------- ------------- --------------
Net Expenses .............................. 9,609,633 171,566 334,050 4,888,444
-------------- ------------- ------------- --------------
NET INVESTMENT INCOME ........................... 286,987,238 2,720,676 5,433,301 127,099,237
REALIZED GAIN (LOSS) FROM INVESTMENT TRANSACTIONS 320,470 (472) 2,973 236,294
-------------- ------------- ------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...... $ 287,307,708 $ 2,720,204 $ 5,436,274 $ 127,335,531
============== ============= ============= ==============
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
CASH MANAGEMENT NY TAX FREE MONEY
------------------------------- ----------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DEC. 31, 1998 DEC. 31, 1997 DEC. 31, 1998 DEC. 31, 1997
------------- -------------- ------------- -------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................... $ 286,987,238 $ 237,022,519 $ 2,720,676 $ 3,170,279
Net Realized Gain (Loss) from Investment Transactions 320,470 (41,207) (472) (1,774)
---------------- ---------------- ------------- -------------
Net Increase in Net Assets from Operations ............. 287,307,708 236,981,312 2,720,204 3,168,505
---------------- ---------------- ------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ...................... 85,829,057,272 25,687,643,529 445,882,258 228,224,582
Value of Capital Withdrawn .......................... (84,691,836,966) (25,146,809,558) (456,159,159) (221,814,747)
---------------- ---------------- ------------- -------------
Net Increase (Decrease) in Net Assets from
Capital Transactions ................................ 1,137,220,306 540,833,971 (10,276,901) 6,409,835
---------------- ---------------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................ 1,424,528,013 777,815,283 (7,556,697) 9,578,340
NET ASSETS
Beginning of Year ...................................... 4,039,724,975 3,261,909,692 85,610,995 76,032,655
---------------- ---------------- ------------- -------------
End of Year ............................................ $ 5,464,252,989 $ 4,039,724,975 $ 78,054,298 $ 85,610,995
================ ================ ============= =============
TAX FREE MONEY TREASURY MONEY
------------------------------------ -------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DEC. 31, 1998 DEC. 31, 1997 DEC. 31, 1998 DEC. 31, 1997
-------------------- -------------- --------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................... $ 5,433,301 $ 4,722,622 $ 127,099,237 $ 108,213,323
Net Realized Gain (Loss) from Investment Transactions 2,973 (5,713) 236,294 7,627
--------------- ------------- --------------- --------------
Net Increase in Net Assets from Operations ............. 5,436,274 4,716,909 127,335,531 108,220,950
--------------- ------------- --------------- --------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ...................... 1,183,260,739 355,608,821 23,769,168,473 12,977,569,030
Value of Capital Withdrawn .......................... (1,137,974,531) (327,160,734) (23,977,157,512) (12,946,202,889)
--------------- ------------- --------------- --------------
Net Increase (Decrease) in Net Assets from
Capital Transactions ................................ 45,286,208 28,448,087 (207,989,039) 31,366,141
--------------- ------------- --------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................ 50,722,482 33,164,996 (80,653,508) 139,587,091
NET ASSETS
Beginning of Year ...................................... 150,878,762 117,713,766 2,119,299,937 1,979,712,846
--------------- ------------- --------------- --------------
End of Year ............................................ $ 201,601,244 $ 150,878,762 $ 2,038,646,429 $2,119,299,937
=============== ============= =============== ==============
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
PORTFOLIOS
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the years
indicated for each of the Portfolios.
CASH MANAGEMENT
----------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------------ ---------- ---------- -------- -----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) .............. $5,464,2530 $4,039,725 $ 3,261,910 $ 2,615,932 $2,735,025
Ratios to Average Net Assets:
Net Investment Income ............................ 5.37% 5.43% 5.27% 5.77% 4.24%
Expenses ......................................... 0.18% 0.18% 0.18% 0.18% 0.18%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust ....... 0.02% 0.02% 0.02% 0.02% 0.02%
NY TAX FREE MONEY
----------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------------ ---------- ---------- -------- -----------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) .............. $ 78,054 $ 85,611 $76,033 $ 70,933 $ 79,334
Ratios to Average Net Assets:
Net Investment Income ............................ 3.17% 3.37% 3.18% 3.62% 2.60%
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 ....... 0.05% 0.03% 0.05% 0.04% 0.03%
TAX FREE MONEY
----------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------------ ---------- ---------- -------- -----------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ............. $ 201,601 $ 150,879 $ 117,714 $ 119,703 $110,408
Ratios to Average Net Assets:
Net Investment Income ........................... 3.26% 3.45% 3.34% 3.82% 2.76%
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 ...... 0.04% 0.02% 0.04% 0.03% 0.03%
TREASURY MONEY
----------------------------------------------------------------------
FOR THE YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
------------ ---------- ---------- -------- -----------
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ............. $ 2,038,646 $ 2,119,300 $1,979,713 $ 1,941,082 $ 882,775
Ratios to Average Net Assets:
Net Investment Income ........................... 5.23% 5.29% 5.14% 5.58% 3.93%
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%1 0.00%1 0.00%1 0.01% 0.01%
</TABLE>
- -------------
1 Less than 0.01%.
See Notes to Financial Statements.
30
<PAGE>
- --------------------------------------------------------------------------------
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 portfolios
were organized as an unincorporated trust under the laws of New York and began
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
shares of beneficial interest in the Portfolios.
B. SECURITY VALUATION
Investments are valued at amortized cost, which is in accordance with 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
accretion of 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 Portfolio will require the seller to deposit additional collateral
by the next business day. If the request for additional collateral is not met,
or the seller defaults on its repurchase obligation, the 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.
The Fund may enter into tri-party repurchase agreements with broker-dealers, and
domestic banks. A repurchase agreement is a short-term investment in which the
Fund buys a debt security that the broker agrees to purchase at a set time and
price. The third party, which is the brokers custodial bank, holds the
collateral in a separate account until the repurchase agreement matures. The
agreement ensures that the collateral's market value, including any accrued
interest, is sufficient if the broker defaults.
E. FEDERAL INCOME TAXES
Each Portfolio is considered to be a partnership under the Internal Revenue
Code. Therefore, no federal income tax provision is required on the Portfolios.
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 in 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 the aggregate fees
and the amounts payable for each of the respective Portfolios at December 31,
1998:
ANNUAL AMOUNT
PORTFOLIO RATE FEES PAYABLE
- -------- -------- ----- ----------
Cash Management .05% $2,673,031 $249,048
NY Tax Free Money .05% 42,892 3,491
Tax Free Money .05% 83,512 7,948
Treasury Money .05% 1,222,027 89,172
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 and the amounts payable for each of the respective Portfolios at December
31, 1998:
ANNUAL AMOUNT
PORTFOLIO RATE FEES PAYABLE
- -------- -------- ----- ----------
Cash Management .15% $8,019,093 $747,145
NY Tax Free Money .15% 128,675 10,473
Tax Free Money .15% 250,537 47,001
Treasury Money .15% 3,666,082 249,048
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. At
December 31, 1998, the annual rates for the period ended for the respective
Portfolios were as follows:
FUND ANNUAL RATE
- ---- -----------
Cash Management .18%
NY Tax Free Money .20%
Tax Free Money .20%
Treasury Money .20%
31
<PAGE>
- --------------------------------------------------------------------------------
Portfolios
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The BT Investment Portfolios are participants with other affiliated entities in
a revolving credit facility and a discretionary demand line of credit facility
(collectively the "credit facilities") in the amounts of $50,000,000 and
$100,000,000, respectively, which expire March 15, 1999. A commitment fee of
.07% per annum on the average daily amount of the available commitment is
payable on a quarterly basis and apportioned equally among all participants.
Amounts borrowed under the credit facilities will bear interest at a rate per
annum equal to the Federal Funds Rate plus .45%. No amounts were drawn down or
outstanding under the credit facilities as of and for the year ended December
31, 1998.
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 pursuant 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 reflect 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.
NOTE 3--PURCHASES OF INVESTMENT SECURITIES
At December 31, 1998, amounts payable for securities purchased in were as
follows:
PORTFOLIO AMOUNT PAYABLE
-------- ---------------
NY Tax Free Money $1,000,000
Tax Free Money 6,599,401
NOTE 4--NET ASSETS
At December 31, 1998, net assets consisted of:
<TABLE>
<CAPTION>
Cash Management Portfolio New York Tax Free Money Portfolio Tax Free Money Portfolio Treasury Money Portfolio
------------------------- --------------------------------- ------------------------ ------------------------
<S> <C> <C> <C> <C>
Paid in Capital $5,464,252,989 $78,054,298 $201,601,244 $2,038,646,429
</TABLE>
32
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIOS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of BT Portfolios:
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money
Portfolios (the "Portfolios") at December 31, 1998, and the results of each of
their operations, the changes in each of their net assets and each of their
financial highlights for each of the fiscal periods presented, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
33
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<PAGE>
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<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
ICC DISTRIBUTORS, INC.
P.O. Box 7558
Portland, ME 04112-9892
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
COUNSEL
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
-----------------------
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 Fund Cusip #055922405
COMBMON200 (12/98)
