December 31, 1999
(GRAPHIC APPEARS HERE)
BT Mutual Funds
Cash Management Fund
Treasury Money Fund
NY Tax Free Money Fund
Tax Free Money Fund
Annual Report
Trust: BT Investment Funds
Investment Advisor: Bankers Trust Company
<PAGE>
BT Investment Funds
Table of Contents
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
Schedules of Portfolio Investments 14
Statements of Assets and Liabilities 30
Statements of Operations 30
Statements of Changes in Net Assets 31
Financial Highlights 32
Notes to Financial Statements 33
Report of Independent Accountants 35
Proxy Results 36
---------------
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
<PAGE>
BT Investment Funds
Letter to Shareholders
We are pleased to present you with this annual report for the 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
Three major factors impacted the money markets over the annual period ended
December 31, 1999 -- the ongoing extraordinary performance of the U.S. economy,
the actions of the Federal Reserve Board, and the liquidity concerns surrounding
Y2K. These factors combined to push yields on short-term money market securities
significantly higher.
Rapid U.S. economic growth, benign inflation, the lowest unemployment rate in a
generation, and a spectacular runup in the U.S. equity market gave consumers the
confidence necessary to utilize their purchasing power.
o Housing, retail sales, and auto sales were all at historic levels.
o Subdued wage demands, competitive pressures, productivity improvements and
global overcapacity combined to keep prices in check.
o Simultaneously, foreign economies around the world showed clear signs of
recovery, with growth rates in Europe and Asia, in particular, increasing
throughout the year.
The Federal Reserve Board raised interest rates three times during 1999.
o The Federal Reserve Board argued that the pace of the economy could not be
indefinitely supported by labor force growth and productivity and thus may
rekindle inflation.
o Consequently, on June 30, August 24, and November 16, the Federal Reserve
Board raised interest rates by 0.25% each time, leaving the targeted federal
funds rate at 5.50% at the end of the year.
Money market investors and issuers alike believed liquidity would be scarce over
year-end, as anticipation of Y2K grew increasingly uncertain over the last
quarter of 1999.
o Both corporate and asset-backed issuers flooded the market with paper early in
the fourth quarter, hoping to secure their year-end financing.
o To calm the markets, the Fed announced in October that it would provide the
market with several liquidity programs, including a repurchase agreement
facility with expanded collateral guidelines and a Standby Financing Facility.
o As with most other secular Y2K fears, the money markets' liquidity concerns
also turned out to be for naught.
To a less dramatic degree, the municipal markets followed a similar trend as
their taxable counterparts, with yields rising as ongoing U.S. economic
strength, Fed tightening, and Y2K liquidity fears imposed pressure.
o The yield on one-year municipal notes rose 0.85%, to 3.95% on December 31,
1999 from 3.10% on January 1, 1999. This compares with one-year Treasury bills
rising 1.43%, to 5.96% on December 31, 1999 from 4.53% on January 1, 1999.
o Supply, down approximately 20% over the first six months of the year compared
to the same period in 1998, ended the twelve month period up approximately 6%
over 1998, although most of that figure can be attributed to just a couple of
issuers with unusually large note offerings. Overall, there remained a
compelling lack of note issuance.
o On the positive side, strong demand for municipal securities partially offset
some of the negative pressures causing the increase in yields.
o With the continued strength of the economy and tax coffers still healthy,
credit quality continued to improve in the municipal market. For 1999, the
ratio of upgrades to downgrades was 7:1, as compared to 5:1 in 1998.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
Annualized 7 Day
Annualized 7 Day Annualized 7 Day Effective Taxable
Periods ended December 31, 1999 Current Yield Effective Yield Equivalent Yield
<S><C>
Cash Management Fund(1) 5.21% 5.35% --
IBC First Tier Retail Money Funds Average 5.15% 5.29% --
- ---------------------------------------------------------------------------------------------------------------------
NY Tax Free Money Fund(1) 3.49% 3.56% 6.60%
IBC State Specific Retail Money Funds Average 3.40% 3.46% --
- ---------------------------------------------------------------------------------------------------------------------
Tax Free Money Fund(1) 3.50% 3.56% 5.89%
IBC Tax Free National Retail Money Funds Average 3.57% 3.63% --
- ---------------------------------------------------------------------------------------------------------------------
Treasury Money Fund(1) 4.12% 4.20% --
IBC U.S. Treasury and Repo Retail Money Funds Average 4.65% 4.76% --
</TABLE>
- ----------
(1) Yields will vary. Yields quoted for money market funds most closely
reflect the fund's current earnings. "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.
Taxable equivalent yield reflects the 1999 maximum 39.6% regular federal tax
bracket and, for the NY Tax Free Money Fund, a combined regular federal,
state and city tax bracket of 46.05%.
3
<PAGE>
BT Investment Funds
Letter to Shareholders
Cash Management Fund
Through most of the first half of the year, we maintained a slightly long to the
benchmark weighted average maturity position, taking advantage of the steeper
yield curve and neutral Federal Reserve Board. Since the money markets had
already priced in at least one interest rate hike by the time the Fed actually
raised rates for the first time at the end of June, we were able to take
advantage of the higher rates and extend the portfolio at that time.
During the second half of the year, money market issuers were very aggressive,
seeking to extend their maturities into the year 2000 to avoid potential Y2K
problems. This excessive issuance caused both an abnormally steep yield curve in
fixed rate securities and wide yield spreads on floating rate notes. We took
advantage of both--as well as the two Fed rate increases in the second half--by
"barbelling" the portfolio with fixed securities and floating rate instruments.
This strategy proved to be effective for the Portfolio. We also successfully
maintained the liquidity necessary for potential Y2K problems by purchasing
Treasury bills and other very liquid instruments during the last quarter of
1999.
Ratings Status at December 31, 1999
S&P: AAA(4) Seven day effective yield: 5.35%
Moody's: AAA Average maturity: 39 days
Net assets: $154.3 million
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(GRAPHIC APPEARS HERE)
Yankee Certificates Commercial
of Deposit 14% Paper 36%
Cash and Other
Assets 3%
Eurodollar
Certificates Eurodollar Time
of Deposit 15% Deposits 12%
Floating Rate
Notes 20%
NY Tax Free Money Fund(2)
We kept the Fund's weighted average maturity neutral to slightly short, usually
within the 35 to 50 day range, through most of the year, as the Fed moved from a
neutral bias to a tightening mode. However, we adjusted the Fund's relative
maturity position in anticipation of certain seasonal cash flow and
supply/demand phenomena. For example, the "January Effect" is a period when a
large amount of cash flows into the municipal money market from maturing
securities and coupon payments. April is traditionally a month when withdrawals
from money market funds are par for the course. A large percentage of high
quality municipal issues usually becomes available at the end of June and early
July. In December, investors tend to make asset allocation decisions leading to
short-term seasonal cash outflows. On December 31, 1999, the Fund's weighted
average maturity stood at a rather neutral 47 days.
Issue supply in New York continued to be lower than in other parts of the nation
throughout the year. Thus, one strategy we used in 1999 to compensate for this
lack of note selection was to buy long-term bonds in the last year or so of
their maturity as core holdings in the Portfolio. This strategy effectively
enabled us to pick up attractive yields and often with better credits than would
otherwise be available. In November, we were able to buy a particularly
attractively priced issue, Buffalo, New York Revenue Anticipation Notes, backed
by a letter of credit. As of December 31, 1999, we continued to hold this issue
in the Portfolio.
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(GRAPHIC APPEARS HERE)
Revenue Bonds 15% Commercial
Paper 11%
G.O.
Bonds 11% Tax Anticipation
Notes 1%
Revenue
Anticipation
Floating Rate Notes 3%
Demand Notes
59%
Status at December 31, 1999
Seven day effective yield: 3.56%
Average maturity: 47 days
Net assets: $73.9 million
4
<PAGE>
BT Investment Funds
Letter to Shareholders
Tax Free Money Fund(3)
As with the NY Tax Free Money Fund, we maintained a neutral to slightly short
weighted average maturity in this Fund, in this case usually within the 40 to 50
day range, throughout most of the year, as the Fed moved from a neutral bias to
a tightening mode. Each time the Fed hiked rates, we either took advantage of
the buying opportunities it created or we sought shorter-maturity paper, as the
one-year note index rose rather dramatically. We also adjusted the Fund's
relative maturity position in anticipation of seasonal cash flow and
supply/demand phenomena.
For example, going into April, the Fund increased its daily demand note position
to offset par for the course cash outflows associated with tax time. Starting in
the latter half of June, we began to extend the Portfolio's maturity position to
be able to participate in the large percentage of high quality municipal issues
that usually becomes available at the end of June and early July. In August, we
shortened the Fund's maturity position again in anticipation of the State of
Texas' $3.9 billion issuance of one-year cash flow notes, which we viewed as the
one significant note deal of the year as well as a good buying opportunity. By
shortening the Fund's maturity prior to this issuance, we were able to take
advantage of this deal's attractive yields, making a purchase on September 2nd,
without extending the Fund's maturity past a neutral position. In November, we
increased the Fund's position in 90-day commercial paper, which offered good
value with rates competitive with those of one-year paper, as issuers sought to
extend their maturities into the year 2000 to avoid potential Y2K problems. In
December, we increased the Fund's daily demand note position for extra liquidity
in anticipation of potential Y2K cash outflows. These strategies effectively
enabled us to stay within a neutral to short maturity range, while the Federal
Reserve Board was still in a tightening mode, and still lock in competitive
yields. The Fund's average maturity on December 31, 1999 stood at 45 days.
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(GRAPHIC APPEARS HERE)
Commercial Tax Revenue
Paper 19% Anticipation
Notes 7%
Revenue
Revenue Anticipation
Bonds 1% Notes 2%
G.O. Bonds
13%
Put Bonds 2%
Floating Rate
Demand Notes
56%
Status at December 31, 1999
Seven day effective yield: 3.56%
Average maturity: 45 days
Net assets: $128.5 million
We also continued to successfully implement the strategy of purchasing specialty
state paper from high tax states when attractively priced at general market
levels and then selling it when the demand increases. For example, during the
first half of the year, we took advantage of a rare opportunity to buy Los
Angeles County, California Tax & Revenue Anticipation Notes at general market
levels. We then sold this holding during the second half of the year, when
demand for California paper picked up.
Treasury Money Fund
We maintained a neutral to the benchmark weighted average maturity position for
most of the first half of the annual period, as the Federal Reserve Board
remained neutral. As the yield curve steepened, we began to implement our Y2K
strategy, i.e. a "barbell" strategy through the purchase of longer-dated
Treasury securities that not only enabled us to take advantage of the higher
yields but also to begin accumulating securities and term repurchase agreements
maturing early in the year 2000, avoiding any liquidity issues that may have
arisen.
It must also be noted that a strong technical condition existed in the
short-term Treasury market for much of the year. This condition was generally
attributed to the cutback of overall issuance by the Treasury, and at times to
investors' decisions to remain on the sidelines as they sought to avoid volatile
stock and bond markets while the Fed was in a tightening mode. Toward the end of
the year, the Treasury temporarily increased the size of weekly bill issuance
and also issued cash management bills. This action added much needed liquidity
to the market at year end.
Ratings Status at December 31, 1999
S&P: AAA(4) Seven day effective yield: 4.20%
Moody's: AAA Average maturity: 25 days
Net assets: $560.7 million
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(GRAPHIC APPEARS HERE)
U.S. Treasury U.S. Treasury
Notes 15% Bills 13%
Repurchase
Agreements
72%
5
<PAGE>
BT Investment Funds
Letter to Shareholders
<TABLE>
<CAPTION>
Cumulative Total Returns Average Annual Total Returns
Past 1 Past 3 Past 5 Past 10 Since Past 1 Past 3 Past 5 Past 10 Since
Periods ended December 31, 1999 year years years years inception year years years years inception
- ---------------------------------------------------------------------------------------------------------------------------------
<S><C>
Cash Management Fund(1)
(Inception 10/5/88) 4.58% 15.20% 27.21% 58.86% 76.17% 4.58% 4.83% 4.93% 4.74% 5.17%
IBC First Tier
Retail Money
Funds Average 4.58% 15.41% 27.80% 59.83% 77.64% 4.58% 4.86% 4.98% 4.83% 5.26%
- ---------------------------------------------------------------------------------------------------------------------------------
NY Tax Free Money Fund(1)
(Inception 9/27/88) 2.41% 8.13% 14.49% 33.20% 42.07% 2.41% 2.64% 2.74% 2.91% 3.17%
IBC State Specific
Retail Money
Funds Average 2.59% 8.71% 15.62% 35.27% 44.51% 2.59% 2.82% 2.94% 3.09% 3.38%
- ---------------------------------------------------------------------------------------------------------------------------------
Tax Free Money Fund(1)
(Inception 6/10/87) 2.54% 8.46% 15.26% 35.93% 53.44% 2.54% 2.74% 2.88% 3.12% 3.47%
IBC National Tax Free
Retail Money
Funds Average 2.72% 9.04% 16.14% 36.78% 55.00% 2.72% 2.92% 3.02% 3.18% 3.58%
- ---------------------------------------------------------------------------------------------------------------------------------
Treasury Money Fund(1)
(Inception 11/1/88) 4.32% 14.60% 26.22% 56.18% 71.73% 4.32% 4.65% 4.77% 4.56% 4.96%
IBC U.S. Treasury and
Repo Retail Money
Funds Average 4.38% 14.78% 26.65% 57.14% 72.34% 4.38% 4.70% 4.84% 4.69% 5.08%
</TABLE>
- ----------
(1) Past performance is not indicative of future results. Yields will vary.
Yields quoted for money market funds most closely reflect the fund's current
earnings. An investment in a money market fund is not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other government agency.
Although money market funds seek to maintain a share value of $1.00 it is
possible to lose money by investing in the Fund.
(2) Income may be subject to the federal alternative minimum tax.
(3) Income may be subject to the federal alternative minimum tax and state and
local taxes.
(4) 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.
MANAGER OUTLOOK
We now know that the concerns and fears surrounding Y2K turned out to be a
non-event. The world at large and the financial markets in particular continued
to hum along without interruption. Looking ahead for the near term, we believe
the U.S. economy still has substantial momentum, and the financial fundamentals
for both households and businesses remain strong. Thus, we also feel that it
will take somewhat higher interest rates to tone down the economy. The Federal
Reserve Board could, in our view, continue to increase rates in the first half
of the year 2000, as it seeks to slow real economic growth to a more sustainable
pace.
Clearly, then, the degree of tightening and the timing of the Federal Reserve
Board's next moves will be key to U.S. money market performance in the months
ahead. So, too, will supply and demand factors.
For example, as the need for permanent financing of government debt decreases,
the U.S. Treasury will likely continue to significantly cut back longer-term
issuance, and when temporary needs arise, issue larger cash management bills.
Consequently, the supply of both U.S. Treasuries and repurchase agreements
collateralized by Treasuries will likely decrease. In the Treasury Money Fund,
then, we intend to purchase term repurchase agreements to maintain competitive
yields for the Portfolio. We also anticipate managing the Fund with a shorter
duration than in 1999 to be well positioned for any potential Fed rate
increases.
In the Cash Management Fund, too, we will likely manage the Fund with a
shorter duration than we did in 1999. We also intend to maintain a significant
position in floating rate securities in this Fund to take advantage of any
further increases in interest rates.
Similarly, in the NY Tax Free and Tax Free Money Funds, we are keeping a
watchful eye on the Fed, and in these Funds, intend to keep short to neutral
average maturity positions. We believe that the current higher interest rate
environment may slow down the rate of credit quality upgrades within the
municipal markets during the first half of the year, and so we also intend to
continue carefully seeking high quality, attractive issue-specific buying
opportunities as 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/ Susan Fare
Susan Fare
Portfolio Manager of the Tax Free Money Portfolio
and the NY Tax Free Money Portfolio
December 31, 1999
/s/ Darlene M. Rasel
Darlene M. Rasel
Portfolio Manager of the Cash Management Portfolio
and the Treasury Money Portfolio
December 31, 1999
6
<PAGE>
BT Investment Funds
Statements of Assets and Liabilities December 31, 1999
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
------------ -------------- -------------- -------------
<S><C>
Assets
Investment in Portfolio, at Value(1) $ 154,901,076 $ 74,052,434 $ 128,836,272 $ 561,281,284
Prepaid Expenses 7,188 1,068 14,484 28,710
-------------- ------------ ------------- -------------
Total Assets 154,908,264 74,053,502 128,850,756 561,309,994
-------------- ------------ ------------- -------------
Liabilities
Dividends Payable 511,177 131,380 288,374 339,265
Due to Bankers Trust 70,658 27,626 55,318 178,221
Accrued Expenses 22,025 27,668 27,148 63,068
-------------- ------------ ------------- -------------
Total Liabilities 603,860 186,674 370,840 580,554
-------------- ------------ ------------- -------------
Net Assets $ 154,304,404 $ 73,866,828 $ 128,479,916 $ 560,729,440
============== ============ ============= =============
Composition of Net Assets
Paid-in Capital $ 154,362,555 $ 73,886,690 $ 128,541,040 $ 560,618,243
Accumulated Net Realized Gain (Loss) from
Investment Transactions (58,151) (19,862) (61,124) 111,197
-------------- ------------ ------------- -------------
Net Assets $ 154,304,404 $ 73,866,828 $ 128,479,916 $ 560,729,440
============== ============ ============= =============
Shares Outstanding ($0.001 par value per share,
unlimited number of shares of beneficial interest
authorized) 154,362,574 73,900,335 128,543,908 560,618,244
============== ============ ============= =============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) $ 1.00 $ 1.00 $ 1.00 $ 1.00
============== ============ ============= =============
</TABLE>
- ----------
(1) Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
Statements of Operations For the year ended December 31, 1999
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
------------ -------------- -------------- -------------
<S><C>
Investment Income
Income, net(1) $ 13,517,246 $ 2,511,652 $ 4,449,300 $ 20,234,598
------------ -------------- ------------- ------------
Expenses
Administration and Services Fees 1,492,037 472,960 802,566 2,320,731
Registration Fees 30,788 6,677 12,862 43,787
Printing and Shareholder Reports 12,244 9,264 9,224 14,767
Professional Fees 18,439 18,884 13,671 13,724
Trustees Fees 4,859 4,943 4,254 3,580
Miscellaneous 5,528 4,509 2,539 4,692
------------ -------------- ------------- ------------
Total Expenses 1,563,895 517,237 845,116 2,401,281
Less: Fee Waivers or Expense Reimbursements (17,602) (44,277) (42,550) (80,550)
------------ -------------- ------------- ------------
Net Expenses 1,546,293 472,960 802,566 2,320,731
------------ -------------- ------------- ------------
Net Investment Income 11,970,953 2,038,692 3,646,734 17,913,867
Net Realized Gain (Loss) from
Investment Transactions 15,016 -- (11,949) (7,263)
------------ -------------- ------------- ------------
Net Increase in Net Assets from Operations $ 11,985,969 $ 2,038,692 $ 3,634,785 $ 17,906,604
============ ============== ============= ============
</TABLE>
- ----------
(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
<PAGE>
BT Investment Funds
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Cash Management NY Tax Free Money
------------------------------------- -------------------------------
For the For the For the For the
year ended year ended year ended year ended
Dec. 31, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998
---------------- ----------------- -------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 11,970,953 $ 7,708,912 $ 2,038,692 $ 2,249,800
Net Realized Gain (Loss) from Investment
Transactions 15,016 8,980 -- (472)
--------------- --------------- ------------- -------------
Net Increase in Net Assets from Operations 11,985,969 7,717,892 2,038,692 2,249,328
--------------- --------------- ------------- -------------
Distributions to Shareholders
Net Investment Income (11,970,953) (7,708,912) (2,038,692) (2,249,800)
--------------- --------------- ------------- -------------
Capital Transactions in Shares of Beneficial Interest
(at net asset value of $1.00 per share)
Proceeds from Sales of Shares 2,664,871,313 2,259,953,184 489,293,922 445,725,331
Dividend Reinvestments 6,343,756 2,767,357 736,268 557,583
Cost of Shares Redeemed (2,749,511,509) (2,168,567,087) (494,002,592) (453,807,595)
--------------- --------------- ------------- -------------
Net Increase (Decrease) from Capital Transactions
in Shares of Beneficial Interest (78,296,440) 94,153,454 (3,972,402) (7,524,681)
--------------- --------------- ------------- -------------
Total Increase (Decrease) in Net Assets (78,281,424) 94,162,434 (3,972,402) (7,525,153)
Net Assets
Beginning of Year 232,585,828 138,423,394 77,839,230 85,364,383
--------------- --------------- ------------- -------------
End of Year $ 154,304,404 $ 232,585,828 $ 73,866,828 $ 77,839,230
=============== =============== ============= =============
</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, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998
---------------- ----------------- -------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 3,646,734 $ 4,517,319 $ 17,913,867 $ 18,005,994
Net Realized Gain (Loss) from Investment
Transactions (11,949) 2,973 (7,263) 37,012
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from Operations 3,634,785 4,520,292 17,906,604 18,043,006
--------------- --------------- --------------- ---------------
Distributions to Shareholders
Net Investment Income (3,646,734) (4,523,091) (17,913,867) (18,005,994)
--------------- --------------- --------------- ---------------
Capital Transactions in Shares of Beneficial Interest
(at net asset value of $1.00 per share)
Proceeds from Sales of Shares 1,376,307,400 1,182,947,705 8,796,821,163 8,475,674,717
Dividend Reinvestments 469,306 837,311 13,049,035 12,551,757
Cost of Shares Redeemed (1,449,379,064) (1,133,170,578) (8,558,044,425) (8,447,626,166)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from Capital Transactions
in Shares of Beneficial Interest (72,602,358) 50,614,438 251,825,773 40,600,308
--------------- --------------- --------------- ---------------
Total Increase (Decrease) in Net Assets (72,614,307) 50,611,639 251,818,510 40,637,320
Net Assets
Beginning of Year 201,094,223 150,482,584 308,910,930 268,273,610
--------------- --------------- --------------- ---------------
End of Year $ 128,479,916 $ 201,094,223 $ 560,729,440 $ 308,910,930
=============== =============== =============== ===============
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
BT Investment Funds
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for each of the Funds.
<TABLE>
<CAPTION>
Cash Management
---------------------------------------------------------------------
For the years ended December 31,
---------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ---------- ---------- ----------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
Income from Investment Operations
Net Investment Income 0.04 0.05 0.05 0.05 0.05
Net Realized Gain (Loss)
from Investment Transactions 0.00(1) 0.00(1) (0.00)(1) 0.00(1) 0.00(1)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations 0.04 0.05 0.05 0.05 0.05
---------- ---------- ---------- ---------- ----------
Contributions of Capital -- -- -- 0.00(1) --
---------- ---------- ---------- ---------- ----------
Distributions to Shareholders
Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.05)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ==========
Total Investment Return 4.58% 4.93% 4.98% 4.82%(2) 5.35%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 154,304 $ 232,586 $ 138,423 $ 118,969 $ 135,998
Ratios to Average Net Assets:
Net Investment Income 4.42% 4.80% 4.88% 4.72% 5.22%
Expenses After Waivers, Including Expenses
of the Cash Management Portfolio 0.75% 0.75% 0.75% 0.75% 0.74%
Expenses Before Waivers, Including Expenses
of the Cash Management Portfolio 0.78% 0.81% 0.78% 0.78% 0.76%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.03% 0.06% 0.03% 0.03% 0.02%
</TABLE>
<TABLE>
<CAPTION>
NY Tax Free Money
---------------------------------------------------------------------
For the years ended December 31,
---------------------------------------------------------------------
1999 1998 1997 1996 1995
---------- ----------- ---------- ---------- ----------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- ----------- ---------- --------- ---------
Income from Investment Operations
Net Investment Income 0.02 0.03 0.03 0.03 0.03
Net Realized Gain (Loss)
from Investment Transactions 0.00(1) (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1)
--------- ----------- ---------- --------- ---------
Total from Investment Operations 0.02 0.03 0.03 0.03 0.03
--------- ----------- ---------- --------- ---------
Distributions to Shareholders
Net Investment Income (0.02) (0.03) (0.03) (0.03) (0.03)
--------- ----------- ---------- --------- ---------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= =========== ========== ========= =========
Total Investment Return 2.41% 2.66% 2.86% 2.68% 3.12%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 73,867 $ 77,839 $ 85,364 $ 75,858 $ 70,765
Ratios to Average Net Assets:
Net Investment Income 2.37% 2.63% 2.83% 2.64% 3.07%
Expenses After Waivers, Including Expenses
of the NY Tax Free Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75%
Expenses Before Waivers, Including Expenses
of the NY Tax Free Money Portfolio 0.84% 0.85% 0.81% 0.84% 0.82%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.09% 0.10% 0.06% 0.09% 0.07%
</TABLE>
- ----------
(1) Less than $0.01 per share.
(2) Increased by approximately 0.08% due to Contributions of Capital for the
year ended December 31, 1996.
See Notes to Financial Statements.
9
<PAGE>
BT Investment Funds
Financial Highlights
<TABLE>
<CAPTION>
Tax Free Money
---------------------------------------------------------------------
For the years ended December 31,
---------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ---------- ---------- ----------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ----------- ---------- ----------- ----------
Income from Investment Operations
Net Investment Income 0.02 0.03 0.03 0.03 0.03
Net Realized Gain (Loss)
from Investment Transactions (0.00)(1) 0.00(1) (0.00)(1) (0.00)(1) (0.00)(1)
---------- ----------- ---------- ----------- ----------
Total from Investment Operations 0.02 0.03 0.03 0.03 0.03
---------- ----------- ---------- ----------- ----------
Distributions to Shareholders
Net Investment Income (0.02) (0.03) (0.03) (0.03) (0.03)
---------- ----------- ---------- ----------- ----------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== =========== ========== =========== ==========
Total Investment Return 2.54% 2.75% 2.94% 2.84% 3.34%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 128,480 $ 201,094 $ 150,483 $ 117,972 $ 119,393
Ratios to Average Net Assets:
Net Investment Income 2.50% 2.71% 2.90% 2.80% 3.28%
Expenses After Waivers, Including Expenses
of the Tax Free Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75%
Expenses Before Waivers, Including Expenses
of the Tax Free Money Portfolio 0.80% 0.83% 0.80% 0.82% 0.82%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.05% 0.08% 0.05% 0.07% 0.07%
</TABLE>
<TABLE>
<CAPTION>
Treasury Money
---------------------------------------------------------------------
For the years ended December 31,
---------------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ----------- ---------- ---------- ----------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ----------- ----------- ---------
Income from Investment Operations
Net Investment Income 0.04 0.05 0.05 0.05 0.05
Net Realized Gain (Loss)
from Investment Transactions (0.00)(1) 0.00(1) (0.00)(1) 0.00(1) 0.00(1)
---------- ---------- ----------- ----------- ---------
Total from Investment Operations 0.04 0.05 0.05 0.05 0.05
---------- ---------- ----------- ----------- ---------
Distributions to Shareholders
Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.05)
---------- ---------- ----------- ----------- ---------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== =========== =========== =========
Total Investment Return 4.32% 4.76% 4.86% 4.71% 5.19%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 560,729 $ 308,911 $ 268,274 $ 554,716 $ 615,084
Ratios to Average Net Assets:
Net Investment Income 4.25% 4.66% 4.74% 4.61% 5.06%
Expenses After Waivers, Including Expenses
of the Treasury Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75%
Expenses Before Waivers, Including Expenses
of the Treasury Money Portfolio 0.77% 0.77% 0.77% 0.76% 0.77%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.02% 0.02% 0.02% 0.01% 0.02%
</TABLE>
- ----------
(1) Less than $0.01 per share.
See Notes to Financial Statements.
10
<PAGE>
BT Investment Funds
Notes to Financial Statements
Note 1--Organization and Significant
Accounting Policies
A. Organization
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21, 1986, as a business trust under the laws of
the Commonwealth of Massachusetts. The Cash Management Fund, NY Tax Free Money
Fund, Tax Free Money Fund and Treasury Money Fund (each a "Fund", and
collectively, the "Funds") are offered to investors by the Trust. The Funds
began operations and offering shares of beneficial interest in securities on the
following dates:
Commencement
of Operations
and Beneficial
Fund Shares 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 above dates, the Funds began investing substantially all of
their investable assets in the following 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, 1999,
Cash Management Fund's investment was approximately 3% of the Cash Management
Portfolio, NY Tax Free Money Fund's and Tax Free Money Fund's investments were
approximately 100% of the NY Tax Free Money Portfolio and Tax Free Money
Portfolio, respectively and Treasury Money Fund's investment was approximately
22% of the Treasury Money Portfolio.
The financial statements of the Portfolio, including a list of assets held, 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 comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required. The Tax Free Money Fund and the Treasury Money Fund have deferred post
October capital losses of $6,496 and $5,963, respectively, to next year.
F. Other
The Trust accounts separately for the assets, liabilities and operations of
each of the funds. Expenses directly attributable to a 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"), an indirect wholly owned subsidiary of Deutsche
Bank AG. Under this 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 is a table of annual rates for each of the Funds
for the year ended December 31, 1999.
Fund Annual Rate
Cash Management .55%
NY Tax Free Money .55%
Tax Free Money .55%
Treasury Money .55%
11
<PAGE>
BT Investment Funds
Notes to Financial Statements
Bankers Trust has contractually agreed to waive its fees through April 30, 2000
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. For the year
ended December 31, 1999, the expenses of the respective Funds were limited 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.
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.
The 1996 Financial Highlights reflect this information.
ICC Distributors, Inc. provides distribution services to the Funds.
Note 3--Capital Loss Carryforwards
At December 31, 1999, capital loss carryforwards available as a reduction
against future net realized capital gains aggregate as follows in the chart
below:
<TABLE>
<CAPTION>
Capital Loss Carryforward
Net Expiration Year
Capital Loss --------------------------------------------------------------
Fund Carryforward 2000 2001 2002 2003 2004 2005 2006 2007
- ----- ------------- ---- ----- ---- ---- ---- ---- ---- ----
<S><C>
Cash Management $58,189 -- -- $56,888 -- -- $1,301 -- --
NY Tax Free Money 19,862 $10,340 $ 739 2,075 $ 1,746 $2,716 1,774 $472 --
Tax Free Money 54,628 -- -- 9,923 25,044 8,495 5,713 -- $5,453
Treasury Money 1,684 -- -- -- -- -- -- -- 1,684
</TABLE>
12
<PAGE>
BT Investment Funds
Report of Independent Accountants
To the Trustees and Shareholders of BT Investment Funds
In our opinion, the accompanying statements 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
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, 1999, and the results of each of their operations, the
changes in each of their net assets and the financial highlights for each of the
fiscal periods presented, in conformity with accounting principles generally
accepted in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' 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 auditing standards
generally accepted in the United States, 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, 1999 by correspondence with the transfer agent, provide a reasonable basis
for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
Tax Information (Unaudited) For the Tax Year Ended December 31, 1999
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, 1999,
the following Fund's distributions included tax-exempt income:
NY Tax Free Money............................ $2,038,692
Tax Free Money............................... $3,646,734
Of ordinary distributions made during the fiscal year ended December 31, 1999,
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.............................. 2.06%
Treasury Money............................... 21.84%
13
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
------ ----------- -----
Eurodollar Certificates of
Deposit - 15.1%
Abbey National Treasury
Services PLC:
$ 22,000,000 5.44%, 3/13/00 $ 22,000,000
50,000,000 6.14%, 3/21/00 50,026,326
Bank of Austria,
65,000,000 5.93%, 2/14/00 64,986,881
Bank of Nova Scotia,
100,000,000 6.39%, 1/06/00 100,000,138
Bank of Scotland,
35,000,000 6.025%, 4/06/00 35,000,457
Banque Bruxelles Lambert:
50,000,000 6.30%, 1/18/00 50,000,234
60,000,000 6.10%, 2/07/00 60,000,610
Bayerische Hypotheka
Vereinsbank:
30,000,000 5.57%, 1/20/00 30,000,282
10,000,000 5.58%, 1/21/00 9,997,985
Bayerische Landesbank,
30,000,000 6.02%, 6/05/00 30,001,261
Cariplo Bank,
50,000,000 6.39%, 1/06/00 50,000,069
Commerzbank:
26,000,000 6.10%, 1/18/00 25,984,503
10,000,000 5.21%, 2/18/00 9,996,816
Halifax PLC,
55,000,000 5.50%, 1/10/00 55,000,000
International Nederlander Bank:
20,000,000 5.155%, 2/22/00 19,990,139
30,000,000 5.95%, 2/23/00 29,994,986
Landesbank Baden Wurttemberg:
60,000,000 5.95%, 2/17/00 60,000,000
35,000,000 5.97%, 2/22/00 35,000,498
40,000,000 5.92%, 2/23/00 40,000,000
35,000,000 6.01%, 2/29/00 34,998,813
50,000,000 6.05%, 3/09/00 50,000,930
Landesbank Hessen Thuringen,
10,000,000 5.06%, 2/11/00 9,985,375
Principal
Amount Description Value
------ ----------- -----
Norddeutsche Landesbank,
$ 50,000,000 6.30%, 1/18/00 $ 50,000,000
--------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $922,966,303) 922,966,303
--------------
Yankee Certificates
of Deposit - 14.2%
Bayerische Hypotheka Vereinsbank:
60,000,000 5.10%, 4/12/00 59,835,823
12,000,000 5.15%, 4/20/00 11,999,743
Cariplo Bank,
30,000,000 5.96%, 2/24/00 30,001,554
Commerzbank:
5,000,000 5.01%, 1/10/00 4,999,457
20,000,000 4.99%, 2/02/00 19,998,839
20,000,000 5.16%, 2/25/00 19,996,567
25,000,000 5.20%, 3/15/00 24,999,475
20,000,000 5.185%, 3/30/00 19,997,653
Credit Suisse First Boston, Inc.:
10,000,000 5.56%, 1/18/00 9,999,756
25,000,000 5.575%, 1/19/00 25,000,061
Credit Agricole Indosuez,
20,000,000 5.285%, 3/01/00 20,002,604
Credit Communal De Belgique,
50,000,000 5.88%, 2/15/00 50,000,000
Dresdner Bank:
10,000,000 5.56%, 1/07/00 9,999,347
40,000,000 5.56%, 1/18/00 40,000,000
Landesbank Hessen Thuringer,
3,000,000 5.215%, 2/29/00 2,999,787
National Westminster Bank,
40,000,000 5.50%, 1/14/00 40,000,000
Norddeutsche Landesbank,
10,000,000 5.35%, 5/24/00 9,997,726
Paribas SA:
65,000,000 6.03%, 2/08/00 65,000,000
40,000,000 5.95%, 2/14/00 39,991,483
Rabobank Nederland NV:
20,000,000 5.02%, 1/12/00 19,997,302
14,000,000 5.14%, 3/20/00 13,992,523
See Notes to Financial Statements.
14
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
------ ----------- -----
Royal Bank of Canada:
$ 13,000,000 5.035%, 2/08/00 $ 12,993,679
15,000,000 5.235%, 3/09/00 14,999,821
5,000,000 5.70%, 7/03/00 4,998,793
Svenska Handelsbanken,
60,000,000 6.30%, 1/10/00 60,000,000
Toronto Dominion Bank:
20,000,000 5.10%, 2/22/00 19,998,764
25,000,000 5.14%, 4/26/00 24,995,410
Union Bank of Switzerland,
15,000,000 5.155%, 2/25/00 14,999,130
Westdeutsche Landesbank
Girozentrale:
50,000,000 6.04%, 1/24/00 50,000,000
60,000,000 6.08%, 2/07/00 60,000,000
35,000,000 6.04%, 3/10/00 35,000,000
30,000,000 6.04%, 6/02/00 30,000,000
--------------
Total Yankee Certificates of Deposit
(Amortized Cost $866,795,297) 866,795,297
--------------
Certificates of Deposit - 1.7%
American Express Centurion
Bank,
35,000,000 6.00%, 3/07/00 35,000,000
Bank One,
50,000,000 5.91%, 3/15/00 50,000,000
NationsBank,
7,000,000 4.99%, 1/11/00 6,999,114
Wachovia Corp.,
10,000,000 4.90%, 1/10/00 9,999,676
--------------
Total Certificates of Deposit
(Amortized Cost $101,998,790) 101,998,790
--------------
Eurodollar Time
Deposits - 11.8%
ABN Amro,
30,000,000 5.969%, 3/24/00 30,000,000
Bank of Austria,
60,000,000 6.188%, 1/19/00 60,000,000
Caisse Nationale de
Credit Agricole,
30,000,000 6.188%, 1/18/00 30,000,000
Chase Manhattan Bank,
200,000,000 5.50%, 1/03/00 200,000,000
Den Danske Bank,
30,000,000 6.125%, 2/25/00 30,000,000
International Nederlander Bank,
30,000,000 5.59%, 1/12/00 30,000,000
Principal
Amount Description Value
------ ----------- -----
KBC Bank:
$ 31,000,000 6.135%, 1/10/00 $ 31,000,000
10,000,000 5.969%, 5/22/00 10,000,000
Landesbank Baden Wurttemberg,
25,000,000 6.08%, 6/05/00 25,000,000
National Australia Bank,
50,000,000 5.00%, 1/03/00 50,000,000
Norddeutsche Landesbank:
40,000,000 5.95%, 3/23/00 40,000,000
50,000,000 6.00%, 4/10/00 50,000,000
Union Bank of Switzerland,
137,372,154 5.00%, 1/03/00 137,372,154
--------------
Total Eurodollar Time Deposits
(Amortized Cost $723,372,154) 723,372,154
--------------
Floating Rate Notes - 19.9%
American Express Centurion
Bank,
Monthly Variable Rate:
20,000,000 6.423%, 3/15/00 20,000,000
25,000,000 6.439%, 4/03/00 25,000,090
Asset Securitization
Cooperative Corp.,
Quarterly Variable Rate:
40,000,000 6.163%, 3/06/00 40,000,000
30,000,000 6.121%, 3/10/00 29,999,440
AT & T Corp.,
Quarterly Variable Rate,
17,000,000 6.163%, 8/07/00 17,001,993
Bank of Austria,
Monthly Variable Rate,
50,000,000 6.363%, 3/15/00 49,992,999
Bank of Scotland,
Monthly Variable Rate:
25,000,000 6.373%, 3/15/00 24,997,005
25,000,000 6.379%, 5/10/00 24,993,868
Bayerische Hypotheka
Vereinsbank,
Monthly Variable Rate:
100,000,000 6.383%, 4/13/00 99,980,301
25,000,000 6.401%, 4/25/00 24,996,125
35,000,000 6.383%, 5/15/00 34,991,207
Bayerische Landesbank,
Monthly Variable Rate,
100,000,000 6.359%, 4/10/00 99,980,926
See Notes to Financial Statements.
15
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
------ ----------- -----
Chase Manhattan Bank,
Quarterly Variable Rate:
$ 10,000,000 6.176%, 1/12/00 $ 10,000,163
6,000,000 6.306%, 2/28/00 6,002,149
15,000,000 6.398%, 4/20/00 15,010,800
Citigroup, Inc.,
Quarterly Variable Rate,
10,000,000 6.261%, 2/03/00 10,000,879
Corporate Receivable Corp.,
Quarterly Variable Rate,
30,000,000 6.031%, 2/16/00 30,000,000
Credit Agricole Indosuez,
Monthly Variable Rate:
30,000,000 6.361%, 3/16/00 29,995,743
45,000,000 6.459%, 11/08/00 44,976,984
First Union Bank,
Daily Variable Rate,
35,000,000 4.85%, 10/27/00 35,000,000
Ford Motor Credit Corp.,
Quarterly Variable Rate:
15,000,000 6.174%, 10/02/00 14,993,017
10,000,000 5.566%, 11/27/00 10,006,001
General Electric Capital Corp.,
Quarterly Variable Rate:
50,000,000 6.126%, 4/12/00 50,000,000
25,000,000 6.014%, 5/12/00 25,000,000
General Motors Acceptance Corp.,
Quarterly Variable Rate:
7,500,000 6.072%, 2/24/00 7,499,998
20,000,000 6.061%, 2/25/00 20,000,301
J.P. Morgan, Inc.,
Quarterly Variable Rate:
14,000,000 6.051%, 2/23/00 13,999,887
20,000,000 6.065%, 3/02/00 20,000,191
7,820,000 6.074%, 4/06/00 7,819,998
35,000,000 5.10%, 6/23/00 35,000,000
Key Bank NA,
Monthly Variable Rate:
40,000,000 6.49%, 4/18/00 40,000,000
25,000,000 6.421%, 6/26/00 24,992,851
Quarterly Variable Rate,
30,000,000 6.166%, 4/17/00 30,000,000
Principal
Amount Description Value
------ ----------- -----
National Rural Utility Corp.,
Quarterly Variable Rate,
$ 12,000,000 6.141%, 6/26/00 $ 11,999,421
NationsBank,
Daily Variable Rate,
25,000,000 5.02%, 2/04/00 24,998,998
Norwest Corp.,
Monthly Variable Rate,
25,000,000 6.499%, 9/07/00 24,989,921
PNC Bank,
Monthly Variable Rate:
25,000,000 6.411%, 1/31/00 24,994,791
25,000,000 6.411%, 7/12/00 24,999,189
Societe Generale,
Monthly Variable Rate,
60,000,000 6.393%, 5/15/00 59,988,224
Toyota Motor Credit Corp.,
Quarterly Variable Rate,
17,000,000 6.373%, 10/25/00 17,019,412
US Bank NA,
Monthly Variable Rate:
10,000,000 6.513%, 4/18/00 10,002,337
8,000,000 6.531%, 4/26/00 8,000,457
Wells Fargo Bank,
Quarterly Variable Rate,
23,000,000 6.064%, 4/26/00 22,994,375
Westpac Capital Corp.,
Quarterly Variable Rate,
10,000,000 6.076%, 4/17/00 9,998,251
--------------
Total Floating Rate Notes
(Amortized Cost $1,212,218,292) 1,212,218,292
--------------
Commercial Paper - 35.6%
Aegon Funding Corp.:
60,000,000 5.39%, 2/15/00 59,585,250
10,500,000 5.92%, 3/06/00 10,387,767
28,000,000 5.81%, 3/17/00 27,656,564
35,000,000 5.75%, 3/22/00 34,547,188
Albertson's, Inc.,
50,000,000 5.85%, 1/24/00 49,813,125
See Notes to Financial Statements.
16
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
------ ----------- -----
Alcatel Alsthom, Inc.:
$ 15,000,000 5.84%, 3/06/00 $ 14,841,833
11,000,000 5.82%, 3/15/00 10,868,403
Allied Signal, Inc.:
15,000,000 5.30%, 2/01/00 14,931,542
22,000,000 5.90%, 2/15/00 21,837,750
Asset Securitization
Cooperative Corp.,
30,000,000 6.00%, 1/18/00 29,915,000
BankAmerica Corp.,
28,000,000 5.85%, 2/18/00 27,781,600
Barclays Bank PLC,
100,000,000 5.75%, 1/10/00 99,888,194
BBL North America, Inc.:
15,000,000 5.932%, 1/21/00 14,950,571
40,000,000 5.765%, 1/31/00 39,807,833
BellSouth Corp.,
12,000,000 5.62%, 2/07/00 11,930,687
British Gas Capital Corp.,
20,000,000 5.67%, 2/25/00 19,826,750
British Telecommunications
PLC:
55,000,000 5.92%, 3/02/00 54,448,289
50,000,000 5.87%, 3/13/00 49,413,000
Corporate Asset Funding Co.,
Inc.:
50,000,000 5.93%, 1/18/00 49,859,986
65,000,000 5.95%, 2/18/00 64,484,333
Coca Cola Co.,
15,000,000 5.27%, 1/20/00 14,958,279
Corporate Receivables Corp.:
15,000,000 5.89%, 1/27/00 14,936,192
25,000,000 6.07%, 2/08/00 24,839,819
20,000,000 5.87%, 2/10/00 19,869,556
50,000,000 5.945%, 3/15/00 49,388,986
Credit Suisse First Boston, Inc.:
35,000,000 5.79%, 2/07/00 34,791,721
25,000,000 5.79%, 2/14/00 24,823,083
Principal
Amount Description Value
------ ----------- -----
Cregem NorthAmerican,
$ 65,000,000 5.92%, 2/02/00 $ 64,657,956
Delaware Funding Corp.,
30,000,000 5.83%, 2/22/00 29,747,367
Diageo Capital PLC,
40,000,000 5.39%, 1/28/00 39,838,300
Elf Aquitaine Finance,
45,000,000 5.95%, 3/02/00 44,546,313
Emerson Electric Co.,
25,000,000 5.27%, 1/31/00 24,890,208
Fortis Bank:
50,000,000 5.893%, 3/14/00 49,402,561
25,000,000 5.91%, 3/15/00 24,696,292
25,000,000 5.89%, 4/03/00 24,619,604
30,000,000 5.735%, 5/09/00 29,383,488
Gannett Co., Inc.,
30,000,000 5.97%, 1/28/00 29,865,675
General Electric Capital Corp.:
23,000,000 5.20%, 2/02/00 22,893,689
22,000,000 4.95%, 2/07/00 21,888,075
30,000,000 5.36%, 2/11/00 29,816,867
18,000,000 5.78%, 2/18/00 17,861,280
General Electric Capital Corp.
International Funding:
40,000,000 5.31%, 2/15/00 39,734,500
25,000,000 5.77%, 2/22/00 24,791,639
20,000,000 5.77%, 3/08/00 19,785,228
General Motors Acceptance
Corp.,
15,000,000 5.22%, 1/31/00 14,934,750
Glaxo Wellcome PLC,
46,000,000 5.90%, 2/25/00 45,585,361
Invensys PLC:
25,000,000 5.92%, 1/14/00 24,946,556
13,000,000 5.60%, 2/07/00 12,929,222
J. P. Morgan, Inc.:
10,000,000 6.60%, 1/18/00 9,968,833
20,000,000 5.78%, 3/14/00 19,765,589
See Notes to Financial Statements.
17
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
------ ----------- -----
National Rural Utility Corp.,
$ 32,000,000 5.88%, 3/13/00 $31,623,680
Quincy Capital Corp.:
49,867,000 6.04%, 1/21/00 49,699,669
40,000,000 6.10%, 1/27/00 39,823,778
35,470,000 6.09%, 1/31/00 35,289,990
Receivables Capital Corp.:
11,480,000 5.85%, 1/14/00 11,455,749
30,000,000 5.88%, 2/15/00 29,779,500
40,000,000 5.88%, 2/25/00 39,640,667
Rio Tinto America, Inc.,
20,678,000 5.91%, 3/03/00 20,467,532
Riverwoods Funding Corp.,
15,000,000 6.03%, 1/26/00 14,937,188
Salomon Smith Barney, Inc.:
6,000,000 5.43%, 1/28/00 5,975,565
50,000,000 5.76%, 2/09/00 49,688,000
Santander Finance BV,
30,000,000 5.97%, 2/15/00 29,776,125
SBC Communications, Inc.:
12,500,000 5.84%, 2/10/00 12,418,889
10,000,000 5.70%, 2/22/00 9,917,667
Unifunding, Inc.,
50,000,000 5.98%, 2/17/00 49,609,639
Wachovia Corp.:
8,000,000 4.93%, 2/07/00 7,959,464
25,000,000 5.18%, 2/15/00 24,838,125
Windmill Funding Corp.:
25,000,000 5.98%, 1/13/00 24,950,167
20,000,000 5.44%, 1/18/00 19,948,622
57,000,000 5.44%, 1/21/00 56,818,133
25,000,000 5.87%, 1/25/00 24,902,166
25,000,000 5.88%, 2/15/00 24,816,250
--------------
Total Commercial Paper
(Amortized Cost $2,171,269,219) 2,171,269,219
--------------
Principal
Amount Description Value
------ ----------- -----
Funding Agreements - 3.3%
First Allmerica Financial
Life Insurance Co.,
Monthly Variable Rate,
$ 55,000,000 4.956%, 4/17/00(1) $55,000,000
GE Life and Annuity Assurance Co.,
Monthly Variable Rate,
40,000,000 5.289%, 9/01/00(1) 40,000,000
Transamerica Life,
Monthly Variable Rate,
35,000,000 4.951%, 6/13/00(2) 35,000,000
Travelers Insurance Co,
Monthly Variable Rate:
40,000,000 4.978%, 2/23/00(1) 40,000,000
30,000,000 4.967%, 4/03/00(1) 30,000,000
--------------
Total Funding Agreements
(Amortized Cost $200,000,000) 200,000,000
--------------
Deposit Note - 0.3%
Bayerische Landesbank,
20,000,000 5.80%, 5/22/00 19,974,166
--------------
Total Deposit Note
(Amortized Cost $19,974,166) 19,974,166
--------------
Total Investments
(Amortized Cost
$6,218,594,221) 101.9% $6,218,594,221
Liabilities in Excess of
Other Assets (1.9) (117,876,855)
----- --------------
Net Assets 100.0% $6,100,717,366
===== ==============
- ----------
(1) Illiquid Security.
(2) Funding agreement subject to a seven day demand feature.
See Notes to Financial Statements.
18
<PAGE>
New YorkTax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
New York - 99.2%
$ 2,000,000 Buffalo, New York, RAN, Series A, (LOC: Landesbank-Hessen-Thuringen),
4.65%, 7/25/00 $ 2,009,367
2,525,000 Great Neck North, New York Water Authority Water System Revenue, Series A,
(FGIC Insured), Variable Rate Weekly Demand Note, 5.45%, 1/1/20 (a) 2,525,000
1,400,000 Long Island Power Authority, New York, Electrical System Revenue, Series 5,
(LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%),
Variable Rate Daily Demand Note, 4.70%, 5/1/33 (a) 1,400,000
200,000 Long Island Power Authority, New York, Electrical System Revenue, Sub Series 6,
(LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%),
Variable Rate Daily Demand Note, 4.75%, 5/1/33 (a) 200,000
1,000,000 Long Island Power Authority, New York, Electrical System Revenue,
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%),
Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode), 3.75%, 1/18/00 1,000,000
1,000,000 Long Island Power Authority, New York, Electrical System Revenue,
(LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%),
Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode), 3.80%, 1/24/00 1,000,000
1,500,000 Metropolitan Transportation Authority, New York, Series B, (LOC: ABN Amro Bank, N.V.),
Tax Exempt Commercial Paper, 3.80%, 1/27/00 1,500,000
1,000,000 Monroe County, New York, G.O., Series B, 3.30%, 3/1/00 1,000,039
1,025,000 Monroe County, New York, G.O., Series B, 5.00%, 3/1/00 1,028,452
1,000,000 Monroe County, New York, G.O., Series A, 4.60%, 6/1/00 1,005,675
1,000,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds,
Series E, 4.00%, 7/1/00 1,003,626
2,200,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds,
Series G, 5.50%, 7/1/00 2,219,896
200,000 Nassau County, New York, Industrial Development Agency, (Winthrop Hospital),
(LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.75%, 3/1/28 (a) 200,000
2,500,000 New York City, New York, Housing Development Corporation, (Columbus Apartments Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 03/15/25 (a) 2,500,000
1,055,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities,
Series D, 5.00%, 2/15/00 1,057,018
1,000,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities,
Series E, 5.00%, 2/15/00 1,002,043
1,070,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities,
Series J, 4.85%, 2/15/00 1,072,294
1,500,000 New York City, New York, G.O., Series 1996A, 7.25%, 3/15/20, (Escrowed in U.S.
Government), Prerefunded 3/15/00 @ $101.50 1,534,478
2,000,000 New York City, New York, Health & Hospital Corp., Series A, (LOC: Bank of Nova Scotia),
Variable Rate, Weekly Demand Note 5.50%, 2/15/26 (a) 2,000,000
1,900,000 New York City, New York, Sub Series A-10, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 4.50%, 8/1/16 (a) 1,900,000
400,000 New York City, New York, Transitional Finance Authority Revenue, Series A-2,
Variable Rate Weekly Demand Note, 5.45%, 11/15/27 (a) 400,000
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
New York Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
$ 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, 5.20%, 5/1/14 (a) $ 3,000,000
250,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note,
4.50%, 10/1/21 (a) 250,000
1,105,000 New York State Dormitory Authority, Cornell University, Revenue Bond, 4.60%, 7/1/00 1,109,554
1,000,000 New York State Dormitory Authority (Sloan Kettering), Series B,
(LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note, 5.50%, 7/1/19 (a) 1,000,000
2,300,000 New York State Dormitory Authority (Sloan Kettering), Series B,
(LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note, 4.95%, 7/1/19 (a) 2,300,000
3,400,000 New York State Dormitory Authority, City University System, Revenue Bond, 7.625%, 7/1/20
(Escrowed in U.S. Government), Prerefunded, 7/1/00 @ $102 3,534,176
1,000,000 New York State Dormitory Authority, New York Public Library, Series B, (MBIA Insured)
Variable Rate Weekly Demand Note, 5.55%, 7/1/28 (a) 1,000,000
2,000,000 New York State Dormitory Authority, New York Public Library, Series A, (MBIA Insured)
Variable Rate Weekly Demand Note, 5.55%, 7/1/28 (a) 2,000,000
3,360,000 New York State Energy Research and Development Authority, Brooklyn Union Gas,
(MBIA Insured), Variable Rate Weekly Demand Note, 5.45%, 12/1/20 (a) 3,360,000
3,300,000 New York State Energy Research and Development Authority, P.C.R., New York State Electric
and Gas, (LOC: Bank One), Variable Rate Daily Demand Note, 4.70%, 10/1/29 (a) 3,300,000
100,000 New York State Environmental Facilities Corporation, State Clean Water and Drinking,
Pooled Loan, Revenue Bond, 3.90%, 1/15/00 100,027
3,000,000 New York State Housing Finance Agency, Contract Obligation Revenue, Series A,
(LOC: Commerzbank), Variable Rate Weekly Demand Note, 5.40%, 3/15/27 (a) 3,000,000
1,000,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A,
(LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note, 4.30%, 11/1/10 (a) 1,000,000
1,500,000 New York State Housing Finance Agency, Normandie Court I Project, (LOC: Landesbank-
Hessen-Thuringen), Variable Rate Weekly Demand Note, 5.20%, 5/15/15 (a) 1,500,000
2,000,000 New York State Local Government Assistance Corp., Series A, (LOC: Bayerische
Landesbank 50%, Westdeutsche Landesbank 50%), Variable Rate Weekly Demand Note,
5.45%, 4/1/22 (a) 2,000,000
1,000,000 New York State Thruway Authority Highway and Bridge, Revenue Bond, Series A,
4.75%, 4/1/00 1,004,094
1,000,000 New York State Thruway Authority Highway and Bridge, Revenue Bond, Series A,
6.00%, 4/1/00 1,007,090
1,000,000 New York State Thruway Authority, General Revenue, (FGIC Insured),
Variable Rate Daily Demand Note, 4.90%, 1/1/24 (a) 1,000,000
730,000 New York State Energy Research and Development Authority, P.C.R., (LOC: Morgan
Guaranty Trust), Variable Rate Daily Demand Note, 4.65%, 6/1/29 (a) 730,000
1,000,000 New York State, (LOC: Bayerische Landesbank 50%, Landesbank-Hessen-Thuringen 50%),
Tax Exempt Commercial Paper, 3.70%, 3/8/00 1,000,000
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
New York Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
$ 400,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note,
4.50%, 10/1/20 (a) 400,000
2,000,000 New YorkCity, New York, Housing Development Corporation, (Park Gate Apartments), Variable
Rate Weekly Demand Note, 5.20%, 10/15/28 (a) 2,000,000
250,000 New York State Environmental Facilities Corporation, State Revolving Fund, (New York City
Water Finance), Revenue Bond, 6.70%, 6/15/00 253,261
650,000 New York State Environmental Facilities Corporation, State Revolving Fund, (New York City
Water Finance), Revenue Bond, 5.10%, 06/15/00 653,428
2,500,000 New York City, New York, Housing Development Corporation, (Carnegie Park),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 11/15/19 (a) 2,500,000
1,500,000 New York City, New York, Water Finance Authority Revenue, Series 5,
(LOC: Landesbank-Hessen-Thuringen 33.4%, Westdeutsche Landesbank 33.3%,
Bayerische Landesbank 33.3%), Tax Exempt Commercial Paper, 3.80%, 1/21/00 1,500,000
395,000 New York State Environmental Facilities Corporation, State Revolving Fund,
Series E, Revenue Bond, 6.10%, 6/15/00 399,032
1,000,000 New York State, Series V, Tax Exempt Commercial Paper, 3.85%, 1/19/00 1,000,000
1,000,000 New York State, Series V, Tax Exempt Commercial Paper, 3.75%, 3/9/00 1,000,000
1,000,000 Sachem Central School District, New York, G.O., 4.00%, 6/29/00 1,002,617
2,000,000 Triborough Bridge and Tunnel Authority, Series C, (AMBAC Insured),
Variable Rate Weekly Demand Note, 5.40%, 1/1/13 (a) 2,000,000
------------
Total Investments (Amortized Cost $73,461,167) 99.2% $ 73,461,167
Other Assets in Excess of Liabilities 0.8 590,530
----- ------------
Net Assets 100.0% $ 74,051,697
===== ============
</TABLE>
(a) Securities payable on demand, secured by Bank Letter of Credit on other bank
credit agreements. This interest rate, which will change periodically, is
based on bank prime rates or an index of money interest rates.
The following abbreviations are used in portfolio descriptions:
AMBAC - American Municipal Bond Assurance Corporation
FGIC - Financial Guaranty Insurance Corporation
FNMA - Federal National Mortgage Association
G.O. - General Obligation
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
P.C.R. - Pollution Control Revenue
See Notes to Financial Statements.
21
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
Arizona - 0.4%
$ 500,000 Scottsdale, Arizona, G.O., Series A, 6.50%, 7/1/00 $ 506,524
--------------
Colorado - 0.6%
805,000 Colorado Housing Finance Authority, Multifamily Housing, (Hunters Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.40%, 10/15/16 (a) 805,000
--------------
Connecticut - 0.4%
500,000 Connecticut State, Unemployment Compensation, Series A, (AMBAC Insured),
Revenue Bond, 5.50%, 5/15/00 502,550
--------------
Delaware - 0.8%
1,000,000 Delaware State, G.O., Series B, 5.00%, 5/1/00 1,005,749
--------------
Georgia - 5.0%
1,000,000 Cobb County, Georgia, Housing Authority, (Post Mill Project), (Guaranteed by FNMA),
Variable Rate Weekly Demand Note, 5.50%, 6/1/25 (a) 1,000,000
1,000,000 Macon-Bibb County, Georgia, Hospital Authority Revenue, (Medical Center of
Central Georgia), (LOC: SunTrust Bank), Variable Rate Weekly Demand Note,
5.55%, 12/1/18 (a) 1,000,000
500,000 Municipal Electric Authority of Georgia, (LOC: Landesbank-Hessen-Thuringen),
Variable Rate Weekly Demand Notes, 5.50%, 1/1/16 (a) 500,000
4,000,000 Smyrna Housing Authority, Multifamily Housing, (F&M Villages Project),
(Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 6/1/25 (a) 4,000,000
--------------
6,500,000
--------------
Illinois - 8.6%
3,000,000 Illinois Development Finance Authority, (Jewish Federation), Series B, (AMBAC Insured),
Variable Rate Weekly Demand Note, 5.65%, 9/1/23 (a) 3,000,000
1,700,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.),
(LOC: Harris Trust and Savings Bank), Variable Rate Weekly Demand Note,
5.35%, 11/15/24 (a) 1,700,000
2,400,000 Illinois Health Facilities Authority, (Northwestern Memorial Hospital),
Variable Rate Daily Demand Note, 4.75%, 8/15/25 (a) 2,400,000
2,000,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.),
(LOC: Harris Trust and Savings Bank), Variable Rate Weekly Demand Note,
5.35%, 11/15/25 (a) 2,000,000
1,000,000 Illinois State, G.O., (MBIA Insured), 5.375%, 5/1/00 1,006,930
1,000,000 Schaumburg, Illinois, Series A, Variable Rate Weekly Demand Note,
5.40%, 12/1/13 (a) 1,000,000
--------------
11,106,930
--------------
Indiana - 2.7%
1,000,000 Indiana Health Facilities Authority Revenue, (Ascension Health), Series B, 3.80%,
11/1/19, Mandatory Put - 2/9/00 @ $100 1,000,000
1,000,000 Purdue University, Student Fee Bonds, Series K, Variable Rate Weekly Demand Note,
5.40%, 7/1/20 (a) 1,000,000
1,500,000 Purdue University, Student Fee Bonds, Series L, Variable Rate Weekly Demand Note,
5.40%, 7/1/20 (a) 1,500,000
--------------
3,500,000
--------------
Kansas - 0.8%
1,000,000 Kansas State, Department of Transportation Highway Revenue, Revenue Bond,
4.60%, 3/1/00 1,002,255
--------------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
Louisiana - 0.7%
$ 900,000 East Baton Rouge Parish, Louisiana, P.C.R., (Exxon Project), Variable Rate Daily
Demand Note, 4.95%, 11/1/19 (a) $ 900,000
--------------
Maine - 0.8%
1,000,000 Maine State Highway, G.O., 4.50%, 6/15/00 1,002,552
--------------
Maryland - 4.0%
2,000,000 Maryland State Health and Higher Educational Facilities Authority, University of
Maryland Medical System, (LOC: Bank One), Series F,
Variable Rate Weekly Demand Note, 5.35%, 7/1/24 (a) 2,000,000
3,100,000 Montgomery County, Maryland, Tax Exempt Commercial Paper, 3.80%, 1/14/00 3,100,000
--------------
5,100,000
--------------
Massachusetts - 3.9%
1,000,000 Commonwealth of Massachusetts, Tax Exempt Commercial Paper, 4.40%, 1/20/00 1,000,000
4,000,000 Massachusetts Bay Transportation Authority, RAN, Series A, 3.50%, 2/25/00 4,001,901
--------------
5,001,901
--------------
Michigan - 5.5%
2,100,000 Michigan State Strategic Fund, Detroit Edison Company, (LOC: Barclays Bank),
Variable Rate Daily Demand Note, 4.75%, 9/1/30 (a) 2,100,000
3,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.80%, 1/25/00 3,000,000
2,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.75%, 1/26/00 2,000,000
--------------
7,100,000
--------------
Minnesota - 2.3%
1,000,000 Minnesota State, G.O., 4.50%, 6/1/00 1,004,928
2,000,000 University of Minnesota, Series A, Variable Rate Weekly Demand Note, 5.50%, 1/1/34 (a) 2,000,000
--------------
3,004,928
--------------
Mississippi - 1.2%
1,000,000 Jackson County, Mississippi, Chevron USA Inc. Project, (Guaranteed by Chevron),
3.85%, 6/1/23 mandatory put 5/1/00 @ $100 (a) 1,000,000
500,000 Perry County, Mississippi, Leaf Forest Project, (LOC: Wachovia Bank),
Variable Rate Daily Demand Note, 4.70%, 3/1/02 (a) 500,000
--------------
1,500,000
--------------
Montana - 0.5%
600,000 Forsyth, Montana, P.C.R., (Pacificorp Project), (LOC: Rabobank Nederland),
Variable Rate Daily Demand Note, 4.50%, 1/1/18 (a) 600,000
--------------
Nevada - 2.3%
3,000,000 Las Vegas Valley Water District, Nevada, (LOC: Westdeutsche Landesbank),
Tax Exempt Commercial Paper, 3.80%, 1/21/00 3,000,000
--------------
New Jersey - 1.6%
2,000,000 New Jersey State, G.O., TRAN, Series D, 3.85%, 1/12/00 2,000,000
--------------
New York - 11.3%
2,000,000 Buffalo, New York, G.O., RAN, Series A, (LOC: Landesbank-Hessen-Thuringen),
4.65%, 7/25/00 2,009,367
1,500,000 Long Island Power Authority, New York, Electrical System Revenue, Series 5,
(LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%),
Variable Rate Daily Demand Note, 4.70%, 5/1/33 (a) 1,500,000
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
$ 3,000,000 Long Island Power Authority, New York, Electrical System Revenue, Sub Series 6,
(LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%),
Variable Rate Daily Demand Note, 4.75%, 5/1/33 (a) $ 3,000,000
1,000,000 Long Island Power Authority, New York, Electrical System Revenue, Sub Series 1,
(LOC: Westduetsche Landesbank 50%, Bayerische Landesbank 50%),
Variable Rate Daily Demand Note, 5.75%, 5/1/33 (a) 1,000,000
1,500,000 Metropolitan Transportation Authority, New York, (LOC: ABN Amro Bank N.V.),
Tax Exempt Commercial Paper, 3.80%, 1/27/00 1,500,000
285,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan Bank),
Variable Rate Daily Demand Note, 4.75%, 8/1/21 (a) 285,000
2,000,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer
System Revenue, Series A, (FGIC Insured), Variable Rate Daily Demand Note,
4.50%, 6/15/25 (a) 2,000,000
1,900,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer
System Revenue, Series G, (FGIC Insured), Variable Rate Daily Demand Note,
4.70%, 6/15/24 (a) 1,900,000
300,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily
Demand Note, 4.50%, 10/1/21 (a) 300,000
1,115,000 New York City, New York, G.O., Sub Series B-2, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note, 5.00%, 8/1/18 (a) 1,115,000
--------------
14,609,367
--------------
North Carolina - 1.4%
1,000,000 Charlotte-Mecklenberg Hospital Authority, North Carolina, Health Care System
Revenue, Series D, Variable Rate Weekly Demand Note, 5.15%, 1/15/26 (a) 1,000,000
800,000 North Carolina Medical Care Commission, Moses H. Cone Memorial Hospital Project,
Variable Rate Weekly Demand Note, 5.45%, 10/1/23 (a) 800,000
--------------
1,800,000
--------------
Ohio - 4.7%
500,000 Ohio State, Air Quality Development Authority, Series A, (LOC: UBS AG),
Variable Rate Daily Demand Note, 4.50%, 12/1/15 (a) 500,000
1,000,000 Ohio State, Air Quality Development Authority, Series A, (LOC: Morgan Guaranty
Trust), Variable Rate Daily Demand Note, 4.50%, 12/1/15 (a) 1,000,000
1,300,000 Ohio State, G.O., Natural Resource Capital Facilities, Series D, 4.00%, 4/1/00 1,302,194
3,200,000 Ohio State University General Receipts, Variable Rate Weekly Demand Note,
4.90%, 12/1/07 (a) 3,200,000
--------------
6,002,194
--------------
Pennsylvania - 3.6%
300,000 Delaware County, Pennsylvania, Industrial Development Authority, P.C.R., Philadelphia
Electric Company, (LOC: Toronto Dominion Bank), Variable Rate Weekly Demand
Note, 4.70%, 8/1/16 (a) 300,000
500,000 Lehigh County, Pennsylvania, I.D.A., Allegheny Electric, (LOC: Rabobank Nederland),
Variable Rate Monthly Demand Note, 3.85%, 6/1/14 (a) 500,000
1,700,000 Pennsylvania State, Higher Educational Facilities Authority, (Carnegie Mellon
University), Series C, Variable Rate Daily Demand Note, 4.80%, 11/1/29 (a) 1,700,000
2,200,000 York County, Pennsylvania, Industrial Development Authority, P.C.R., Philadelphia
Electric Company, (LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note,
4.70%, 8/1/16 (a) 2,200,000
--------------
4,700,000
--------------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
South Carolina - 3.0%
$ 2,900,000 Rock Hill, South Carolina, Combined Utility System Revenue, Series B,
(AMBAC Insured),Variable Rate Weekly Demand Note, 5.15%, 1/1/23 (a) $ 2,900,000
1,000,000 South Carolina State, G.O., Capital Improvement, Series A, 5.50%, 4/1/00 1,004,515
--------------
3,904,515
--------------
Tennessee - 2.3%
3,000,000 Metropolitan Nashville Airport Authority, Tennessee, Series B, (LOC: Bayerische
Landesbank), Variable Rate Daily Demand Note, 4.80%, 10/1/12 (a) 3,000,000
--------------
Texas - 12.7%
2,000,000 City of Houston, Texas, G.O., Series B, Tax Exempt Commercial Paper, 3.80%, 1/21/00 2,000,000
1,000,000 City of Houston, Texas, G.O., Series C, Tax Exempt Commercial Paper, 3.90%, 1/20/00 1,000,000
3,000,000 Harris County, Texas, Series A, Tax Exempt Commercial Paper, 3.80%, 1/21/00 3,000,000
1,100,000 Harris County, Texas, Series C, Tax Exempt Commercial Paper, 4.10%, 1/11/00 1,100,000
2,000,000 Southwest Higher Education Authority Inc., Southern Methodist University, Project B,
(LOC: Landesbank-Hessen -Thuringen), Variable Rate Weekly Demand Note,
5.65%, 10/1/29 (a) 2,000,000
565,000 Texas Small Business Industrial Development Corporation, Texas Public Facilities
Capital Access, (LOC: KBC Bank N.V.), Variable Rate Weekly Demand Note,
5.55%, 7/1/26 (a) 565,000
5,000,000 Texas State, TRAN, 4.50%, 8/31/00 5,023,739
1,500,000 University of Texas, Texas, Tax Exempt Commercial Paper, 3.30%, 2/7/00 1,500,000
218,000 University of Texas, Texas, Tax Exempt Commercial Paper, 4.00%, 2/7/00 218,000
--------------
16,406,739
--------------
Utah - 3.8%
3,360,000 Salt Lake City, Utah, G.O., 5.00%, 6/15/00 3,378,757
1,500,000 Utah State, G.O., 4.70%, 7/1/00 1,506,880
--------------
4,885,637
--------------
Vermont - 3.7%
4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion Bank),
Variable Rate Monthly Demand Note, 3.90%, 12/1/13 (a) 4,735,000
--------------
Virginia - 0.8%
1,020,000 Virginia State, Public School Authority, G.O., Series C, 5.00%, 8/1/00 1,026,857
--------------
Wisconsin - 1.3%
1,150,000 La Crosse, Wisconsin, P.C.R., (Dairyland Power Coop), Series B, (AMBAC Insured),
Variable Rate Daily Demand Note, 5.00%, 2/1/15 (a) 1,150,000
500,000 Milwaukee, Wisconsin, G.O., 5.00%, 2/1/00 500,766
--------------
1,650,766
--------------
Wyoming - 8.6%
2,300,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily
Demand Note, 4.70%, 11/1/14 (a) 2,300,000
500,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily
Demand Note, 4.70%, 11/1/14 500,000
300,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily
Demand Note, 4.70%, 11/1/14 300,000
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Tax Free Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
$ 200,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily
Demand Note, 4.70%, 11/1/14 $ 200,000
3,300,000 Platte County, Wyoming, P.C.R., Tri-State G&T, (LOC: National Rural Utilities
Corporation), Variable Rate Daily Demand Note, 4.50%, 7/1/14 (a) 3,300,000
4,500,000 Wyoming State, TRAN, 4.00%, 6/27/00 4,510,326
--------------
11,110,326
--------------
Total Investments (Amortized Cost $127,969,790) 99.3% $ 127,969,790
Other Assets in Excess of Liabilities 0.7% 866,613
----- --------------
Net Assets 100.0% $ 128,836,403
===== ==============
</TABLE>
(a) Securities payable on demand, secured by bank Letters of Credit or other
bank credit agreements. This interest rate, which will change periodically,
is based on bank prime rates or an index of market interest rates.
The following abbreviations are used in portfolio descriptions:
AMBAC - American Municipal Bond Assurance Corporation
FGIC - Financial Guaranty Insurance Corporation
FNMA - Federal National Mortgage Association
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 Note
TRAN - Tax and Revenue Anticipation Note
See Notes to Financial Statements.
26
<PAGE>
Treasury Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
U.S. Treasury Bills - 12.4%
$ 125,000,000 4.76%, 1/13/00 $ 124,796,673
50,000,000 5.135%, 1/13/00 49,890,869
50,000,000 5.375%, 3/23/00 49,387,847
90,000,000 5.28%, 3/30/00 88,825,200
--------------
Total U.S. Treasury Bills (Amortized Cost $312,900,589) 312,900,589
--------------
U.S. Treasury Notes - 15.2%
24,000,000 7.75%, 1/31/00 24,055,779
93,000,000 5.875%, 2/15/00 93,100,854
147,000,000 7.125%, 2/29/00 147,458,484
30,000,000 6.875%, 3/31/00 30,111,754
35,000,000 5.50%, 5/31/00 35,008,891
56,000,000 6.25%, 5/31/00 56,147,684
--------------
Total U.S. Treasury Notes (Amortized Cost $385,883,446) 385,883,446
--------------
Repurchase Agreements(2) - 71.9%
250,000,000 Tri-Party Repurchase Agreement with Banque Paribas,
Dated 12/31/99, 3.20%, principal and interest in the amount of
$250,066,667 due 1/3/2000 (Collateralized by U.S. Treasury Strips(1),
par value of $1,299,000, coupon rates 6.454% to 6.848%, due from
11/15/00 to 8/15/10,value of $753,495; U.S. Treasury Notes, par
value of $179,551,000, coupon rates of 5.375% to 7.00%, due from
2/29/00 to 8/15/09, value of $182,016,009; U.S.Treasury Bond, par
value $15,300,000, coupon rate of 6.125%, due 11/15/27, value of
$14,436,612; U.S. Treasury Bill, par value $61,800,000, coupon rate of
5.63%, due 11/9/00, value of $58,784,160) 250,000,000
70,000,000 Tri-Party Repurchase Agreement with Banque Paribas,
Dated 11/8/99, 5.31%, principal and interest in the amount of
$70,949,900 due 2/8/00 (Collateralized by U.S. Treasury Strips(1),
par value of $65,000, coupon rate of 7.067%, due 2/15/10, value
of $33,102; U.S.Treasury Strips(1), par value of $35,000, coupon
rate 6.347%, due 10/31/02 value of $29,167; U.S. Treasury Notes,
par value $63,092,000, coupon rates 4.00% to 6.625%, due
8/15/00 to 8/15/07, value of $64,471,579; U.S. Treasury Bonds,
par value $6,484,000, coupon rates 7.50% to 11.75%, due from
2/15/01 to 11/15/16,
value of $7,030,826) 70,000,000
25,000,000 Tri-Party Repurchase Agreement with Credit Suisse First Boston,
Dated 12/31/99, 3.00% principal and interest in the amount of
$25,006,250 due 1/3/00 (Collateralized by U.S. Treasury Note, par
value of $26,025,000, coupon rate of 5.75% due
6/30/01, value of $25,878,741) 25,000,000
70,000,000 Tri-Party Repurchase Agreement with Credit Suisse First Boston,
Dated 10/8/99, 5.35%, principal and interest in the amount of
$71,196,319 due 1/31/00 (Collateralized by U.S. Treasury Bill,
par value of $150,000, coupon rate of 5.091%, due 2/3/00,
value of $149,314; U.S. Treasury Strips(1), par value
$50,071,854, coupon rates from 5.402% to 6.935%, due from
2/15/00 to 8/15/20, value of $40,472,577; U.S. Treasury
Strips(1) principal, par value $109,600,311, coupon rates
from 8.750% to 11.625%, due from 11/15/04
to 5/15/20 value of $31,825,214) 70,000,000
90,000,000 Tri-Party Repurchase Agreement with Goldman Sachs and Company,
Dated 9/21/1999, 5.37% principal and interest in the amount of
$91,892,925 due 2/9/00 (Collateralized by U.S. Treasury Notes,
par value $73,377,000, coupon rates of 5.50% to 8.50%, due
from 1/31/00 to 5/31/03, value of $74,538,780; U.S. Treasury
Bond, par value $4,586,000, coupon rate of 7.875%, due 11/15/07,
value of $4,787,151; U.S. Treasury Bills, par value $12,654,000,
coupon rates of 5.16 to 5.52%, due from 1/20/00 to 7/20/00,
value of $12,474,752) 90,000,000
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Treasury Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
$ 100,000,000 Tri-Party Repurchase Agreement with Greenwich Capital, Inc.,
Dated 12/31/99, 3.00% principal and interest in the amount of
$100,025,000 due 1/3/00 (Collateralized by Federal National
Mortgage Association Discount Notes, par value of $104,822,000,
coupon rates from 5.125% to 6.625%, due from 3/15/01 to 9/15/09,
value of $102,004,550) $ 100,000,000
25,000,000 Tri-Party Repurchase Agreement with J.P. Morgan, Inc.,
Dated 12/31/99, 3.00% principal and interest in the amount of
$25,006,250 due 1/3/00 (Collateralized by U.S. Treasury Note, par
value of $24,578,000, coupon rate of 7.5%, due 5/15/02, value of
$25,500,290) 25,000,000
70,000,000 Tri-Party Repurchase Agreement with J.P. Morgan, Inc.,
Dated 12/31/99, 5.15% principal and interest in the amount of
$70,030,042, due 1/3/00 (Collateralized by U.S. Treasury Notes,
par value $ 71,212,000, coupon rates from 4.50% to
6.25%, due from 9/30/00 to 4/30/01, value of $71,400,427) 70,000,000
102,759,572 Tri-Party Repurchase Agreement with Merrill Lynch & Co.,
Dated 12/31/99, 3.30% principal and interest in the amount of
$102,787,831, due 1/3/00 (Collateralized by U.S. Treasury
Strips(1) principal, par value of $237,430,000, coupon rates
from 5.402% to 6.95%, due from 2/15/00 to 2/15/29, value of
$104,795,291; U.S. Treasury Strips(1), par value $43,000,
coupon rate of 11.75%, due 11/15/14, value of $22,029) 102,759,572
25,000,000 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter,
Dated 12/31/99, 3.00% principal and interest in
the amount of $25,006,250, due on 1/3/00
(Collateralized by U.S. Treasury Bond, par value
of $23,730,000, coupon rate of 7.50%, due
11/15/16, value of $25,725,171) 25,000,000
120,000,000 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter,
Dated 12/31/99, 3.25%, principal and interest in
the amount of $120,032,500, due 1/3/00 (Collateralized by U.S.
Treasury Note, par value of $120,220,000 coupon rate of
6.00%, due 8/15/00, value of $123,004,776) 120,000,000
70,000,000 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter,
Dated 11/5/99, 5.35%, principal and interest in
the amount of $70,582,556 due 2/3/00(Collateralized by U.S.
Treasury Note, par value of $ 70,075,000, coupon rate of
6.625%, due 4/30/02, value of $71,485,203) 70,000,000
300,000,000 Tri-Party Repurchase Agreement with Salomon Smith Barney,
Dated 12/31/99, 3.00%, principal and interest in
the amount of $300,075,000 due 1/3/00
(Collateralized by U.S. Treasury Note, par value
of $1,125,000, coupon rate of 4.75%, due
11/15/08,value of $1,003,301; U.S. Treasury
Bonds, par value $259,855,000, coupon rates
of 5.25% to 14.25%, due from 5/15/01 to 2/15/29, value
of $305,965,161) 300,000,000
75,000,000 Tri-Party Repurchase Agreement with Salomon Smith Barney,
Dated 12/31/99, 3.25%, principal and interest in
the amount of $75,020,313 due 1/3/00 (Collateralized by U.S.
Treasury Note, par value of $76,605,000, coupon rate of
6.125%, due 12/31/01 value of $76,521,194) 75,000,000
30,000,000 Tri-Party Repurchase Agreement with Swiss Bank,
Dated 12/31/99, 3.00%, principal and interest in the
amount of $30,007,500, due 1/3/00 (Collateralized by U.S.
Treasury Strips(1), par value of $90,606,000, coupon rates
of 6.91% to 6.918%, due from 5/15/13 to 2/15/17, value of $30,600,732) 30,000,000
25,000,000 Tri-Party Repurchase Agreement with Swiss Bank,
Dated 12/31/99, 3.25%, principal and interest in
the amount of $25,006,771 due 1/3/00 (Collateralized by U.S.
Treasury Strips(1), par value of $62,395,000, coupon rate of
6.91%, due 5/15/13, value of $25,501,891) 25,000,000
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Treasury Money Portfolio
Schedule of Portfolio Investments December 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Description Value
------ ----------- -----
<S><C>
$ 70,000,000 Tri-Party Repurchase Agreement with Swiss Bank,
Dated 10/28/99, 5.39%, principal and interest
in the amount of $71,152,861 due 2/15/00
(Collateralized by U.S. Treasury Strips(1),
par value of $192,203,000, coupon rates
of 6.848%
to 6.935%, due from 8/15/10 to 5/15/19, value of $71,401,489) $ 70,000,000
300,000,000 Open Tri-Party Repurchase Agreement with Westdeutsche Landesbank,
Dated 7/22/99, 4.94%, Daily Variable Rate, principal amount of
$300,000,000, interest amount varies dependent on rate, due 1/3/00
(Collateralized by U.S. Treasury Notes, par value of $153,600,000,
coupon rates of 4.75% to 5.125%, due from 8/31/00 to 11/15/08, value
of $149,011,419; U.S.Treasury Bonds, par value $132,422,000, coupon rates
of 7.25% to 8.875%,
due from 11/15/08 to 08/15/22, value of $156,988,694) 300,000,000
--------------
Total Repurchase Agreements (Amortized Cost $1,817,759,572) 1,817,759,572
--------------
Total Investments (Amortized Cost $2,516,543,607) 99.5% $2,516,543,607
Other Assets in Excess of Liabilities 0.5 12,760,808
----- --------------
Net Assets 100.0% $2,529,304,415
===== ==============
</TABLE>
- ----------
(1) Reflects rate as of December 31, 1999.
(2) Market value disclosed for collateral on repurchase agreements is as of
December 31, 1999. The term repurchase agreements are subject to a seven day
demand feature.
See Notes to Financial Statements.
29
<PAGE>
Portfolios
Statements of Assets and Liabilities December 31, 1999
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
-------------- ------------ ------------- --------------
<S><C>
Assets
Investments at Amortized Cost $6,218,594,221 $73,461,167 $127,969,790 $2,516,543,607
Cash 2,473,605 35,286 66,173 1,460,308
Interest Receivable 43,756,797 584,535 840,720 11,633,953
-------------- ----------- ------------ --------------
Total Assets 6,264,824,623 74,080,988 128,876,683 2,529,637,868
-------------- ----------- ------------ --------------
Liabilities
Due to Bankers Trust 1,062,715 6,956 9,228 320,743
Payable for Securities Purchased 163,014,298 -- -- --
Accrued Expenses and Other 30,244 22,335 31,052 12,710
-------------- ----------- ------------ --------------
Total Liabilities 164,107,257 29,291 40,280 333,453
-------------- ----------- ------------ --------------
Net Assets $6,100,717,366 $74,051,697 $128,836,403 $2,529,304,415
============== =========== ============ ==============
Composition of Net Assets
Paid-in Capital 6,100,717,366 74,051,697 128,836,403 2,529,304,415
-------------- ----------- ------------ --------------
Net Assets $6,100,717,366 $74,051,697 $128,836,403 $2,529,304,415
============== =========== ============ ==============
</TABLE>
Statements of Operations For the year ended December 31, 1999
<TABLE>
<CAPTION>
Cash NY Tax Tax Free Treasury
Management Free Money Money Money
-------------- ------------ ------------- --------------
<S><C>
Investment Income
Interest $ 369,010,216 $ 2,685,740 $ 4,741,744 $ 106,697,436
------------- ------------ ------------ ---------------
Expenses
Advisory Fees 10,613,250 127,794 219,330 3,225,042
Administration and Services Fees 3,539,131 47,758 78,598 1,075,014
Professional Fees 22,160 23,944 15,816 25,585
Trustees Fees 5,190 7,899 5,364 5,186
Miscellaneous 1,625 1,256 1,630 59,636
------------- ------------ ------------ ---------------
Total Expenses 14,181,356 208,651 320,738 4,390,463
Less: Fee Waivers or Expense Reimbursements (1,445,608) (34,455) (28,298) (90,240)
------------- ------------ ------------ ---------------
Net Expenses 12,735,748 174,196 292,440 4,300,223
------------- ------------ ------------ ---------------
Net Investment Income 356,274,468 2,511,544 4,449,304 102,397,213
Net Realized Gain (Loss) from
Investment Transactions 441,562 -- (11,949) (23,699)
------------- ------------ ------------ ---------------
Net Increase in Net Assets from Operations $ 356,716,030 $ 2,511,544 $ 4,437,355 $ 102,373,514
============= ============ ============ ===============
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
Portfolios
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Cash Management NY Tax Free Money
----------------------------------------- -------------------------------
For the For the For the For the
year ended year ended year ended year ended
Dec. 31, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998
------------------ ----------------- ------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 356,274,468 $ 286,987,238 $ 2,511,544 $ 2,720,676
Net Realized Gain (Loss)
from Investment Transactions 441,562 320,470 -- (472)
---------------- ----------------- ------------- ------------
Net Increase in Net Assets from Operations 356,716,030 287,307,708 2,511,544 2,720,204
---------------- ----------------- ------------- ------------
Capital Transactions
Proceeds from Capital Invested 39,802,568,271 85,829,057,272 242,825,826 445,882,258
Value of Capital Withdrawn (39,522,819,924) (84,691,836,966) (249,339,971) (456,159,159)
---------------- ----------------- ------------- ------------
Net Increase (Decrease) in Net Assets from
Capital Transactions 279,748,347 1,137,220,306 (6,514,145) (10,276,901)
---------------- ----------------- ------------- ------------
Total Increase (Decrease) in Net Assets 636,464,377 1,424,528,013 (4,002,601) (7,556,697)
Net Assets
Beginning of Year 5,464,252,989 4,039,724,975 78,054,298 85,610,995
---------------- ----------------- ------------- ------------
End of Year $ 6,100,717,366 $ 5,464,252,989 $ 74,051,697 $ 78,054,298
================ ================= ============= =============
</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, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998
----------------- ----------------- ------------- --------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 4,449,304 $ 5,433,301 $ 102,397,213 $ 127,099,237
Net Realized Gain (Loss)
from Investment Transactions (11,949) 2,973 (23,699) 236,294
------------- ----------------- ---------------- -----------------
Net Increase in Net Assets from Operations 4,437,355 5,436,274 102,373,514 127,335,531
------------- ----------------- ---------------- -----------------
Capital Transactions
Proceeds from Capital Invested 631,527,088 1,183,260,739 9,551,486,107 23,769,168,473
Value of Capital Withdrawn (708,729,284) (1,137,974,531) (9,163,201,635) (23,977,157,512)
------------- ----------------- ---------------- -----------------
Net Increase (Decrease) in Net Assets from
Capital Transactions (77,202,196) 45,286,208 388,284,472 (207,989,039)
------------- ----------------- ---------------- -----------------
Total Increase (Decrease) in Net Assets (72,764,841) 50,722,482 490,657,986 (80,653,508)
Net Assets
Beginning of Year 201,601,244 150,878,762 2,038,646,429 2,119,299,937
------------- ----------------- ---------------- -----------------
End of Year $ 128,836,403 $ 201,601,244 $ 2,529,304,415 $ 2,038,646,429
============= ================= ================ =================
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Portfolios
Financial Highlights
Contained below are selected ratios and supplemental data for each of the years
indicated for each of the Portfolios.
<TABLE>
<CAPTION>
Cash Management
-----------------------------------------------------------------------------------
For the years ended December 31,
-----------------------------------------------------------------------------------
1999 1998 1997 1996 1995
------------- ------------- ------------- ------------- -------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $6,100,717 $5,464,253 $4,039,725 $3,261,910 $2,615,932
Ratios to Average Net Assets:
Net Investment Income 5.04% 5.37% 5.43% 5.27% 5.77%
Expenses After Waivers 0.18% 0.18% 0.18% 0.18% 0.18%
Expenses Before Waivers 0.20% 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.02% 0.02% 0.02% 0.02% 0.02%
</TABLE>
<TABLE>
<CAPTION>
NY Tax Free Money
-----------------------------------------------------------------------------------
For the years ended December 31,
-----------------------------------------------------------------------------------
1999 1998 1997 1996 1995
------------- ------------- ------------- ------------- -------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 74,052 $ 78,054 $ 85,611 $ 76,033 $ 70,933
Ratios to Average Net Assets:
Net Investment Income 2.92% 3.17% 3.37% 3.18% 3.62%
Expenses After Waivers 0.20% 0.20% 0.20% 0.20% 0.20%
Expenses Before Waivers 0.24% 0.25% 0.23% 0.25% 0.24%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.04% 0.05% 0.03% 0.05% 0.04%
</TABLE>
<TABLE>
<CAPTION>
Tax Free Money
-----------------------------------------------------------------------------------
For the years ended December 31,
-----------------------------------------------------------------------------------
1999 1998 1997 1996 1995
------------- ------------ ------------- ------------- -------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $ 128,836 $ 201,601 $ 150,879 $ 117,714 $ 119,703
Ratios to Average Net Assets:
Net Investment Income 3.04% 3.26% 3.45% 3.34% 3.82%
Expenses After Waivers 0.20% 0.20% 0.20% 0.20% 0.20%
Expenses Before Waivers 0.22% 0.24% 0.22% 0.24% 0.23%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.02% 0.04% 0.02% 0.04% 0.03%
</TABLE>
<TABLE>
<CAPTION>
Treasury Money
-----------------------------------------------------------------------------------
For the years ended December 31,
-----------------------------------------------------------------------------------
1999 1998 1997 1996 1995
------------- ------------- ------------- ------------- -------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $2,529,304 $2,038,646 $2,119,300 $1,979,713 $1,941,082
Ratios to Average Net Assets:
Net Investment Income 4.76% 5.23% 5.29% 5.14% 5.58%
Expenses After Waivers 0.20% 0.20% 0.20% 0.20% 0.20%
Expenses Before Waivers 0.20% 0.20% 0.20% 0.20% 0.21%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.00%(1) 0.00%(1) 0.00%(1) 0.00%(1) 0.01%
</TABLE>
- ----------
(1) Less than 0.01%.
See Notes to Financial Statements.
32
<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 broker's 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 adequate to cover the agreement 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"), an indirect wholly owned subsidiary of
Deutsche Bank AG. Under this 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 for each of the respective Portfolios at December 31, 1999:
Annual
Portfolio Rate
- -------- --------
Cash Management .05%
NY Tax Free Money .05%
Tax Free Money .05%
Treasury Money .05%
Each Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust 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 for each of the respective Portfolios
at December 31, 1999:
Annual
Portfolio Rate
- -------- --------
Cash Management .15%
NY Tax Free Money .15%
Tax Free Money .15%
Treasury Money .15%
Bankers Trust has contractually agreed through April 30, 2000 to waive its fees
and reimburse expenses of each
33
<PAGE>
Portfolios
Notes to Financial Statements
Portfolio, to the extent necessary, to limit all expenses based upon an annual
rate of the average daily net assets of the Portfolio. For the year ended
December 31, 1999, the expenses of the respective Portfolios were limited as
follows:
Fund Annual Rate
- -------- --------
Cash Management .18%
NY Tax Free Money .20%
Tax Free Money .20%
Treasury Money .20%
At December 31, 1999, the Portfolios were participants with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee of .10% per annum on the average daily
amount of the available commitment is payable on a quarterly basis and
apportioned equally among all participants. No amounts were drawn down or
outstanding for these funds under the credit facility for the year ended
December 31, 1999.
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.
34
<PAGE>
Portfolios
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest of BT
Portfolios
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, 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 Cash Management, NY Tax Free Money,
Tax Free Money, and Treasury Money Portfolios (four of the Portfolios comprising
BT Portfolios, hereafter referred to as the "Portfolios") at December 31, 1999,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the fiscal periods presented, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Portfolios' 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 auditing standards generally accepted in the United States,
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, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
35
<PAGE>
Cash Management Fund
Proxy Results (unaudited)
For the year ended December 31, 1999, the Bankers Trust Investment Funds
shareholders voted on the following proposals at the annual meeting of
shareholders on October 8, 1999, or as adjourned. The description of each
proposal and number of shares voted are as follows:
1. To elect the Bankers Trust Investment Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- ------------
Mr. Charles P. Biggar 326,000,196 670,551
Mr. S. Leland Dill 326,000,196 670,551
Mr. Richard T. Hale 326,000,196 670,551
Mr. Bruce E. Langton 326,000,196 670,551
Mr. Philip Saunders, Jr. 326,000,196 670,551
Mr. Harry Van Benschoten 326,000,196 670,551
Dr. Martin J. Gruber 326,000,196 670,551
Dr. Richard J. Herring 326,000,196 670,551
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
326,661,693 9,054 --
3. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
326,003,303 667,444 --
36
<PAGE>
Treasury Money Fund
Proxy Results (unaudited)
For the year ended December 31, 1999, the Bankers Trust Investment Funds
shareholders voted on the following proposals at the annual meeting of
shareholders on October 8, 1999, or as adjourned. The description of each
proposal and number of shares voted are as follows:
1. To elect the Bankers Trust Investment Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- ------------
Mr. Charles P. Biggar 316,471,331 56,391
Mr. S. Leland Dill 316,471,331 56,391
Mr. Richard T. Hale 316,506,410 21,312
Mr. Bruce E. Langton 316,471,331 56,391
Mr. Philip Saunders, Jr. 316,506,410 21,312
Mr. Harry Van Benschoten 316,471,331 56,391
Dr. Martin J. Gruber 316,506,410 21,312
Dr. Richard J. Herring 316,506,410 21,312
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
316,274,053 134,291 119,378
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
315,970,455 289,299 267,968
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
316,119,955 134,291 273,476
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
269,577,002 46,831,342 119,378
37
<PAGE>
New York Tax Free Money Fund
Proxy Results (unaudited)
For the year ended December 31, 1999, the Bankers Trust Investment Funds
shareholders voted on the following proposals at the annual meeting of
shareholders on October 8, 1999, or as adjourned. The description of each
proposal and number of shares voted are as follows:
1. To elect the Bankers Trust Investment Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- -----------
Mr. Charles P. Biggar 52,180,747 1,150,013
Mr. S. Leland Dill 52,180,747 1,150,013
Mr. Richard T. Hale 52,180,747 1,150,013
Mr. Bruce E. Langton 52,180,747 1,150,013
Mr. Philip Saunders, Jr. 52,180,747 1,150,013
Mr. Harry Van Benschoten 52,180,747 1,150,013
Dr. Martin J. Gruber 52,180,747 1,150,013
Dr. Richard J. Herring 52,180,747 1,150,013
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
52,037,443 4,053 1,289,264
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
52,037,443 1,120,665 172,652
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
52,037,443 4,053 1,289,264
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
53,322,869 7,891 --
38
<PAGE>
Tax Free Money Fund
Proxy Results (unaudited)
For the year ended December 31, 1999, the Bankers Trust Investment Funds
shareholders voted on the following proposals at the annual meeting of
shareholders on October 8, 1999, or as adjourned. The description of each
proposal and number of shares voted are as follows:
1. To elect the Bankers Trust Investment Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- ------------
Mr. Charles P. Biggar 95,813,601 308,348
Mr. S. Leland Dill 95,813,601 308,348
Mr. Richard T. Hale 95,813,601 308,348
Mr. Bruce E. Langton 95,813,601 308,348
Mr. Philip Saunders, Jr. 95,813,601 308,348
Mr. Harry Van Benschoten 95,813,601 308,348
Dr. Martin J. Gruber 95,813,601 308,348
Dr. Richard J. Herring 95,813,601 308,348
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
95,263,984 857,965 --
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
95,172,143 949,806 --
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
95,263,984 857,965 --
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
95,029,151 92,798 --
39
<PAGE>
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at: BT Service Center
P.O. Box 219210
Kansas City, MO 64121-9210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
Cash Management Fund CUSIP#s: 055922108
Treasury Money Fund 055922405
NY Tax Free Money Fund 055922207
Tax Free Money Fund 055922306
BT Investment Funds COMBMONANN (12/99)
Distributed by:
ICC Distributors, Inc.
