Deutsche Asset Management
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Mutual Fund
Semi-Annual Report
June 30, 2000
Investment
Cash Management
NY Tax Free Money
Tax Free Money
Treasury Money
Each formerly BT Mutual Funds
A Member of the
Deutsche Bank Group
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<PAGE>
Investment Funds
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS ............................. 3
INVESTMENT FUNDS
Statements of Assets and Liabilities ............ 8
Statements of Operations ........................ 9
Statements of Changes in Net Assets ............. 10
Financial Highlights ............................ 12
Notes to Financial Statements ................... 16
PORTFOLIOS
Schedules of Portfolio Investments ............... 18
Statements of Assets and Liabilities ............. 32
Statements of Operations ......................... 33
Statements of Changes in Net Assets .............. 34
Financial Highlights ............................. 36
Notes to Financial Statements .................... 37
-------------------
The Fund is not insured by the FDIC and is not a
deposit, obligation of or guaranteed by Deutsche
Bank. The Fund is subject to investment risks,
including possible loss of principal amount
invested.
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2
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Investment Funds
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for Cash Management,
NY Tax Free Money, Tax Free Money, and Treasury Money (the "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.
With the acquisition of Bankers Trust by Deutsche Bank, the names of your Funds
have changed. However, the Funds' investment objectives, policies and
strategies, as well as their portfolio managers, remain the same.
MARKET ACTIVITY
Concerns over Y2K proved to be unfounded as the new century rolled in without a
glitch. Thus, the major factors impacting the money markets over the first half
of 2000 were the ongoing strength of the U.S. economy and the interest rate
increases by the Federal Reserve Board in response to such strength. These
factors combined to push yields on short-term money market securities
significantly higher.
THE U.S. ECONOMY CONTINUED TO EXPAND OVER THE SEMI-ANNUAL PERIOD, CAUSING ALARM
AMONG THE FINANCIAL MARKETS THAT INFLATION MAY BE IMMINENT AND THAT THE FEDERAL
RESERVE BOARD MAY CONTINUE ITS TIGHTENING CYCLE.
o Existing home sales in the U.S. soared through the first half of 2000, as did
durable goods orders and retail sales.
o At the same time, productivity improvements and competitive pressures held
prices steady. Both the Consumer Price Index and Producer Price Index
reflected these steady prices, providing a glimmer of hope to the financial
markets that perhaps the Federal Reserve Board would remain on the sidelines.
o Nominal GDP, however, continued to surge, pushing the year-over-year growth
rate to 7%. These numbers put the financial markets on notice that the
FederalReserve Board was probably not done raising interest rates.
IN FACT, THE FEDERAL RESERVE BOARD FOLLOWED UP ITS 0.75% RATE INCREASE IN 1999
WITH THREE ADDITIONAL INTEREST RATE HIKES, TOTALING ANOTHER 1.00%, IN THE FIRST
HALF OF 2000 -- ON FEBRUARY 2, MARCH 21, AND MAY 16.
o The Federal Reserve Board continued to take a hard stance against inflation
and argued that labor force growth and productivity could not indefinitely
support the pace of the economy.
o The Federal Reserve Board raised interest rates by 0.25% in February and
March, but stronger economic numbers in April led policymakers to believe that
inflation was accelerating and the economy not slowing, prompting a 0.50%
increase in May.
o Following its June meeting, the Federal Reserve Board explained that the
slowing of domestic demand was the reason for its holding the federal funds
rate steady that month, but it reiterated the point that core inflation was
rising. Thus, the FederalReserve Board warned such a neutral stance, based on
signs of the economy cooling, was "tentative and preliminary."
o On June 30, 2000, the targeted federal funds rate stood at 6.50%.
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
AND FEDERALRESERVE BOARD TIGHTENING IMPOSE PRESSURE.
o The yield on one-year municipal notes rose 0.38%, to 4.33% on June 30, 2000
from 3.95% on December 31, 1999. At the end of May, one-year municipals
reached a six-year high of 4.55%, but reflecting stronger demand and no
FederalReserve Board action in June, the one-year note index rallied in the
last month of the period.
o As the U.S. economy continued to advance at a rapid pace and tax coffers
remained healthy, credit quality was solid in the municipal market. The
sustained national expansion, now in its ninth year, has resulted in greater
economic diversity and increased financial flexibility in many locales.
ALTHOUGH MONEY MARKET YIELDS IN GENERAL ROSE SUBSTANTIALLY, A STRONG TECHNICAL
CONDITION KEPT TREASURY YIELDS FROM RISING IN TANDEM WITH THE OTHER MARKETS.
o There were three major reasons contributing to Treasuries being an expensive
market during this period. These were:
-- investors' decisions to remain on the sidelines to avoid volatile equity
and bond markets while the Federal Reserve Board continued to raise
interest rates
-- the government's cutback in overall issuance of Treasuries, and
-- the U.S. Treasury's program, to buy back its own 30-year issues with budget
surplus monies.
o The combination of these factors led to greater demand and less supply.
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Investment Funds
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LETTER TO SHAREHOLDERS
CASH MANAGEMENT
Once Y2K liquidity issues were behind us, we were able to once again focus on
the economy and normal, technical factors. Thus, our strategy in the first half
of the year was to "barbell" the Portfolio, combining floating rate notes and
short-term paper with some longer dated securities. This strategy proved to be
effective, enabling us not only to quickly capture the higher yield when the
Federal ReserveBoard increased interest rates but also to take advantage of a
steep yield curve.
PORTFOLIO DIVERSIFICATION
By Asset Type as of June 30, 2000 (percentages are based on net assets)
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Funding Agreements 3%
Other Assets 1%
Floating Rate Notes 24%
Eurodollar TimeDeposits 7%
Eurodollar Certificates of Deposit 5%
Yankee Certificates of Deposit 6%
Certificates of Deposit 2%
Commercial Paper 52%
RATINGS 4
S&P: AAA
Moody's: Aaa
STATUS AT JUNE 30, 2000
Average maturity: 46 days
Net assets: $196 million
INVESTMENT REVIEW
<TABLE>
<CAPTION>
Annualized 7 Day
Periods ended Annualized 7 Day Annualized 7 Day Effective Taxable
June 30, 2000 Current Yield Effective Yield Equivalent Yield
<S> <C> <C>
Cash Management 1 5.95% 6.13% N/A
iMoneyNet First Tier Retail Money
Funds Average 3 5.85% 6.02% N/A
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NY Tax Free Money 1,2 3.57% 3.63% 6.74%
iMoneyNet State Specific Retail Money
Funds Average 3 3.69% 3.76% N/A
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Tax Free Money 1,2 3.71% 3.77% 6.24%
iMoneyNet Tax Free National Retail
Money Funds Average 3 3.77% 3.84% N/A
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Treasury Money 1 5.73% 5.89% N/A
iMoneyNet U.S. Treasury and Repo
Retail Money Funds Average 3 5.66% 5.82% N/A
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<FN>
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1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.Yields and total return
will fluctuate. 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.
Performance figures assume the reinvestment of dividends.During the period the
Fund waived certain fees and expenses.Had these fees and expenses not been
waived, the Fund's return would have been lower. An investment in the Funds is
neither insured nor 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 For certain investors, a portion of the Funds' income may be subject to the
federal alternative minimum tax. Distribution of the Funds income and capital
gain distributions may be subject to state and local taxes. Taxable equivalent
yield reflects the 1999 maximum 39.6% regular federal tax bracket and, for
NYTax FreeMoney, a combined regular federal, state and city tax bracket of
46.05%.
3 The iMoneyNet, Inc. Money Fund Report Averages, a service of iMoneyNet, Inc.
(formerly the IBC Financial Data, Inc.) are averages for categories of similar
money market funds.
4 Ratings are subject to change and do not remove market risks.
</FN>
</TABLE>
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4
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Investment Funds
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LETTER TO SHAREHOLDERS
NY TAX FREE MONEY
We kept the Fund's weighted average maturity neutral to slightly short, usually
within the 35 to 50 day range, through most of the semi-annual period, as the
FederalReserve Board remained in 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 with-
drawals from money market funds are par for the course. Outflows were slightly
greater than in prior years and continued well into the month of May, as
significant gains in the equity market generated higher tax payments. A large
percentage of high quality municipal issues usually becomes available at the end
of June and early July. As opportunities to extend the Fund's maturity were
scarce due to low issue supply in New York, we allowed the Fund's weighted
average maturity to shorten slightly toward the end of the period. On June 30,
2000, the Fund's weighted average maturity stood at 37 days.
PORTFOLIO DIVERSIFICATION
By Asset Type as of June 30, 2000 (percentages are based on market value of
total investments in the portfolio)
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Revenue Anticipation Notes 1%
Revenue Bonds 26%
Tax Anticipation Notes 2%
Bond Anticipation Notes 2%
Commercial Paper 10%
G.O. Bonds 2%
Floating Rate Demand Notes 57%
STATUS AT JUNE 30, 2000
Average maturity: 37 days
Net assets: $88 million
TAX FREE MONEY
As with NY Tax Free Money, we maintained a neutral to slightly short weighted
average maturity in this Fund, in this case usually within the 40 to 50 day
range, through most of the semi-annual period, as the Federal Reserve Board
remained in a tightening mode. During the first quarter, the Fund maintained its
above average position in daily demand notes that we had built up in
anticipation of potential Y2K outflows. The added liquidity from the daily
demand position also helped offset expected cash outflows associated with the
April tax season. Outflows were slightly greater than in prior years and
continued well into the month of May, as significant gains in the equity market
generated higher tax payments. During June, we extended the Fund's weighted
average maturity in an effort to capture the higher yields available as a result
of tighter monetary policy and selling pressures at the end of May. Although
supply was lower than in previous years due to the robust domestic economy, we
also extended slightly in June to be able to participate in the large percentage
of high quality municipal issues that generally become available at the end of
June and early July. The Fund's weighted average maturity on June 30, 2000 stood
at 50 days.
PORTFOLIO DIVERSIFICATION
By Asset Type as of June 30, 2000 (percentages are based on market value of
total investments in the portfolio)
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Revenue Anticipation Notes 2%
Floating Rate Demand Notes 43%
Revenue Bonds 14%
Commercial Paper 19%
Put Bonds 1%
G.O. Bonds 16%
Tax Revenue Anticipation Notes 5%
STATUS AT JUNE 30, 2000
Average maturity: 50 days
Net assets: $120 million
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5
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Investment Funds
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LETTER TO SHAREHOLDERS
TREASURY MONEY
As with Cash Management, once Y2K liquidity issues were behind us, we were able
to once again focus on the economy and normal, technical factors. Thus, our
strategy during the first half of the year was to maintain a somewhat shorter
than average duration, taking advantage of the higher yields offered by
repurchase agreements and cash management bills when opportunities presented
themselves.
PORTFOLIO DIVERSIFICATION
By Asset Type as of June 30, 2000 (percentages are based on market value of
total investments in the portfolio)
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
U.S. Treasury Notes 17%
U.S. Treasury Bills 3%
Repurchase Agreements 80%
RATINGS 3
S&P: AAA
Moody's: Aaa
STATUS AT JUNE 30, 2000
Average maturity: 25 days
Net assets: $421 million
<TABLE>
<CAPTION>
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS ANNUALIZED
Periods ended Past 6 Past 1 Past 3 Past 5 Past 10 Since Past 1 Past 3 Past 5 Past 10 Since
June 30, 2000 months year years years years inception year years years years inception
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash Management 1
(Inception 10/5/88) 2.74% 5.21% 15.58% 27.31% 57.13% 81.00% 5.21% 4.94% 4.95% 4.62% 5.19%
iMoneyNet First Tier Retail
Money Funds Average4
(since 9/30/88)* 2.71% 5.17% 15.71% 27.88% 58.39% 82.89%* 5.17% 4.98% 5.03% 4.70% 5.27%*
----------------------------------------------------------------------------------------------------------------------------------
NY Tax Free Money 1,2
(Inception 9/27/88) 1.52% 2.81% 8.28% 14.44% 31.92% 44.23% 2.81% 2.69% 2.73% 2.81% 3.16%
iMoneyNet State Specific
Retail Money Funds
Average 4 (since 9/30/88)* 2.71% 5.16% 15.87% 28.24% 60.19% 46.79%* 5.16% 5.03% 5.09% 4.82% 3.32%*
----------------------------------------------------------------------------------------------------------------------------------
Tax Free Money 1,2
(Inception 6/10/87) 1.57% 2.92% 8.61% 15.13% 34.36% 55.85% 2.92% 2.79% 2.86% 3.00% 3.46%
iMoneyNet National Retail
Tax Free Money Funds
Average 4 (since 6/30/87)* 1.68% 3.14% 9.22% 16.13% 35.45% 57.66%* 3.14% 2.98% 3.03% 3.08% 3.56%*
----------------------------------------------------------------------------------------------------------------------------------
Treasury Money 1
(Inception 11/1/88) 2.59% 4.90% 14.87% 26.25% 54.36% 76.17% 4.90% 4.73% 4.77% 4.44% 4.98%
iMoneyNet U.S. Treasury
and Repo Retail Money
Funds Average4
(since 10/31/88)* 2.60% 4.93% 15.04% 26.66% 56.01% 76.92%* 4.93% 4.78% 4.83% 4.82% 5.01%*
-----------------------------------------------------------------------------------------------------------------------------------
<FN>
--------------------------------------------------------------------------------
1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Total returns will
fluctuate. Performance figures assume the reinvestment of dividends. During
the period the Fund waived certain fees and expenses.
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 For certain investors, a portion of the Funds' income may be subject to the
federal alternative minimum tax. Distribution of the Funds' income and capital
gain distributions may be subject to state and local taxes.
3 Ratings are subject to change and do not remove market risks.
4 The iMoneyNet, Inc. Money Fund Report Averages, a service of iMoneyNet,Inc.
(formerly theIBCFinancial Data,Inc.) are averages for categories of similar
money market funds.
</FN>
</TABLE>
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6
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Investment Funds
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LETTER TO SHAREHOLDERS
MANAGER OUTLOOK
Looking ahead to the second half of the year, we expect that the "soft landing"
scenario -- slower economic growth without inflation -- should play out.
Economic indicators announced late in the semi-annual period were a little
weaker than those reported in prior months, including a weaker National
Purchasing Manager's report and a cooler labor market, as reported in weekly
jobless claims. We feel that these weaker numbers will enable the Federal
Reserve Board to stay on hold for a couple of months, although we are not
convinced that the Federal Reserve Board has completed its cycle of interest
rate increases.
The larger question for the Federal Reserve Board may be whether or not this
slowdown is temporary or if it is a longer lasting downturn. One key indicator
to monitor will be oil prices, as the current higher prices are noticeably
diminishing consumer purchasing power and slowing demand in the economy. A
moderation of energy prices would reduce these pressures.
In Cash Management, we intend to maintain a significant floating rate note
position. In times of economic uncertainty, floating rate notes have
historically outperformed other money market securities, as their coupon rates
equate to market levels much quicker than fixed rate investments. In Treasury
Money, we intend to continue to concentrate on repurchase agreements, since the
yields are often substantially higher than short-term Treasury securities. We
will likely manage both Funds with a neutral position, while we continue to
assess economic data for further signs of the direction of the economy.
Similarly, in NY Tax Free and Tax Free Money, we will look to keep the Funds'
weighted average maturities in a neutral range, as we carefully watch the
Federal ReserveBoard. We will also continue to seek 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/ SIGNATURE DARLENE M. RASEL
Darlene M. Rasel
Portfolio Manager of CASH MANAGEMENT PORTFOLIO
AND TREASURY MONEY PORTFOLIO
June 30, 2000
/S/ SIGNATURE SUSAN FARE
Susan Fare
Portfolio Manager of TAX FREE MONEY PORTFOLIO
AND NY TAX FREE MONEY PORTFOLIO
June 30, 2000
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7
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Investment Funds
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STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
<TABLE>
<CAPTION>
JUNE 30, 2000
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investment in Portfolio, at Value 1 $ 198,171,249 $ 88,580,947 $ 120,333,895 $ 422,645,197
Prepaid Expenses ................. 5,951 1,040 15,166 42,270
------------- ------------- ------------- -------------
Total Assets ........................ 198,177,200 88,581,987 120,349,061 422,687,467
------------- ------------- ------------- -------------
LIABILITIES
Dividends Payable ................ 1,651,951 230,606 414,486 1,906,077
Due to Bankers Trust ............. 113,231 35,258 62,319 182,766
Accrued Expenses ................. 7,857 14,733 14,316 21,657
------------- ------------- ------------- -------------
Total Liabilities ................... 1,773,039 280,597 491,121 2,110,500
------------- ------------- ------------- -------------
NET ASSETS .......................... $ 196,404,161 $ 88,301,390 $ 119,857,940 $ 420,576,967
============= ============= ============= =============
COMPOSITION OF NET ASSETS
Paid-in Capital .................. 196,459,912 88,340,040 119,928,151 420,468,451
Accumulated Net Realized
Gain (Loss) from Investment
Transactions ................... (55,751) (38,650) (70,211) 108,516
------------- ------------- ------------- -------------
NET ASSETS .......................... $ 196,404,161 $ 88,301,390 $ 119,857,940 $ 420,576,967
============= ============= ============= =============
SHARES OUTSTANDING ($0.001 par
value per share, unlimited number
of shares of beneficial interest
authorized) ...................... 196,459,912 88,340,040 119,928,151 420,468,451
============= ============= ============= =============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE
(net assets divided by
shares outstanding) $ 1.00 $ 1.00 $ 1.00 $ 1.00
============= ============= ============= =============
<FN>
--------------------------------------------------------------------------------
1 Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
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8
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STATEMENTS OF OPERATIONS (Unaudited)
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 2000
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income, net 1 .................. $ 6,538,236 $ 1,468,430 $ 2,649,798 $ 12,000,655
------------ ------------ ------------ ------------
EXPENSES
Administration and Services Fees 597,075 226,109 398,826 1,166,029
Registration Fees .............. 11,319 1,947 6,378 12,304
Professional Fees .............. 11,772 6,918 6,880 6,918
Printing and Shareholder Reports 4,688 4,670 4,637 4,924
Trustees Fees .................. 2,162 2,162 2,139 1,452
Miscellaneous .................. 1,782 1,781 343 2,201
------------ ------------ ------------ ------------
Total Expenses .................... 628,798 243,587 419,203 1,193,828
Less: Fee Waivers and/or Expense
Reimbursements ................. (9,900) (17,478) (20,377) (27,799)
------------ ------------ ------------ ------------
Net Expenses ...................... 618,898 226,109 398,826 1,166,029
------------ ------------ ------------ ------------
NET INVESTMENT INCOME ............. 5,919,338 1,242,321 2,250,972 10,834,626
NET REALIZED GAIN (LOSS) FROM
INVESTMENT TRANSACTIONS ........ 2,419 (5,142) (6,220) (2,681)
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS ..................... $ 5,921,757 $ 1,237,179 $ 2,244,752 $ 10,831,945
============ ============ ============ ============
<FN>
--------------------------------------------------------------------------------
1 Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax
Free Money Portfolio and Treasury Money Portfolio, respectively.
</FN>
</TABLE>
See Notes to Financial Statements.
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8
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1 1999 2000 1 1999
CASH MANAGEMENT NY TAX FREE MONEY
---------------------------------- ----------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............. $ 5,919,338 $ 11,970,953 $ 1,242,321 $ 2,038,692
Net Realized Gain (Loss) from
Investment Transactions .......... 2,419 15,016 (5,142) --
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from
Operations ......................... 5,921,757 11,985,969 1,237,179 2,038,692
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .............. (5,919,338) (11,970,953) (1,242,321) (2,038,692)
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (at net asset
value of $1.00 per share)
Proceeds from Sales of Shares ...... 2,318,983,381 2,664,871,313 236,081,412 489,293,922
Dividend Reinvestments ............. 786,314 6,343,756 269,230 736,268
Cost of Shares Redeemed ............ (2,277,672,357) (2,749,511,509) (221,910,938) (494,002,592)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from
Capital Transactions in Shares
of Beneficial Interest ............. 42,097,338 (78,296,440) 14,439,704 (3,972,402)
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE) IN
NET ASSETS ......................... 42,099,757 (78,281,424) 14,434,562 (3,972,402)
NET ASSETS
Beginning of Period ................ 154,304,404 232,585,828 73,866,828 77,839,230
--------------- --------------- --------------- ---------------
End of Period ...................... $ 196,404,161 $ 154,304,404 $ 88,301,390 $ 73,866,828
=============== =============== =============== ===============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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10
<PAGE>
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STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1 1999 2000 1 1999
TAX-FREE MONEY TREASURY MONEY
---------------------------------- ----------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............. $ 2,250,972 $ 3,646,734 $ 10,834,626 $ 17,913,867
Net Realized Loss from
Investment Transactions .......... (6,220) (11,949) (2,681) (7,263)
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from
Operations ......................... 2,244,752 3,634,785 10,831,945 17,906,604
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .............. (2,250,972) (3,646,734) (10,834,626) (17,913,867)
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (at net asset
value of $1.00 per share)
Proceeds from Sales of Shares ...... 666,632,843 1,376,307,400 3,900,205,136 8,796,821,163
Dividend Reinvestments ............. 155,905 469,306 6,010,905 13,049,035
Cost of Shares Redeemed ............ (675,404,504) (1,449,379,064) (4,046,365,833) (8,558,044,425)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) from
Capital Transactions in Shares
of Beneficial Interest ............. (8,615,756) (72,602,358) (140,149,792) 251,825,773
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE) IN
NET ASSETS ......................... (8,621,976) (72,614,307) (140,152,473) 251,818,510
NET ASSETS
Beginning of Period ................ 128,479,916 201,094,223 560,729,440 308,910,930
--------------- --------------- --------------- ---------------
End of Period ...................... $ 119,857,940 $ 128,479,916 $ 420,576,967 $ 560,729,440
=============== =============== =============== ===============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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11
<PAGE>
Investment Funds
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FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods presented for Cash Management.
<TABLE>
<CAPTION>
CASH MANAGEMENT FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 3 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ..................... 0.03 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 0.00 1
------ ------ ------ ------ ------ ------
Total from Investment Operations ............. 0.03 0.04 0.05 0.05 0.05 0.05
------ ------ ------ ------ ------ ------
CONTRIBUTIONS OF CAPITAL ..................... -- -- -- -- 0.00 1 --
------ ------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ..................... (0.03) (0.04) (0.05) (0.05) (0.05) (0.05)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ...................... 2.74% 4.58% 4.93% 4.98% 4.82%2 5.35%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .. $196,404 $154,304 $232,586 $138,423 $118,969 $135,998
Ratios to Average Net Assets:
Net Investment Income ................... 6.04%4 4.42% 4.80% 4.88% 4.72% 5.22%
Expenses After Waivers, Including
Expenses of the Cash Management
Portfolio ............................ 0.75%4 0.75% 0.75% 0.75% 0.75% 0.74%
Expenses Before Waivers, Including
Expenses of the Cash Management
Portfolio ............................ 0.78%4 0.78% 0.81% 0.78% 0.78% 0.76%
<FN>
--------------------------------------------------------------------------------
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.
3 Unaudited.
4 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
12
<PAGE>
Investment Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods presented for NY Tax Free Money.
<TABLE>
<CAPTION>
NY TAX FREE MONEY FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 2 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ....................... 0.02 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 (0.00)1
------ ------ ------ ------ ------ ------
Total from Investment Operations ............... 0.02 0.02 0.03 0.03 0.03 0.03
------ ------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ....................... (0.02) (0.02) (0.03) (0.03) (0.03) (0.03)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ........................ 1.52% 2.41% 2.66% 2.86% 2.68% 3.12%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .... $88,301 $ 73,867 $77,839 $85,364 $75,858 $70,765
Ratios to Average Net Assets:
Net Investment Income ..................... 3.07%3 2.37% 2.63% 2.83% 2.64% 3.07%
Expenses After Waivers, Including
Expenses of the NYTax Free Money
Portfolio .............................. 0.75%3 0.75% 0.75% 0.75% 0.75% 0.75%
Expenses Before Waivers, Including
Expenses of the NYTax Free Money
Portfolio .............................. 0.83%3 0.84% 0.85% 0.81% 0.84% 0.82%
<FN>
--------------------------------------------------------------------------------
1 Less than $0.01 per share.
2 Unaudited.
3 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
13
<PAGE>
Investment Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods presented for Tax Free Money.
<TABLE>
<CAPTION>
TAX FREE MONEY FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 2 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD .......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ...................... 0.02 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 (0.00)1
------ ------ ------ ------ ------ ------
Total from Investment Operations .............. 0.02 0.02 0.03 0.03 0.03 0.03
------ ------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ...................... (0.02) (0.02) (0.03) (0.03) (0.03) (0.03)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ....................... 1.57% 2.54% 2.75% 2.94% 2.84% 3.34%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ... $119,858 $128,480 $201,094 $150,483 $117,972 $119,393
Ratios to Average Net Assets:
Net Investment Income .................... 3.14%3 2.50% 2.71% 2.90% 2.80% 3.28%
Expenses After Waivers, Including
Expenses of the Tax Free Money
Portfolio ............................. 0.75%3 0.75% 0.75% 0.75% 0.75% 0.75%
Expenses Before Waivers, Including
Expenses of the Tax Free Money
Portfolio ............................. 0.81%3 0.80% 0.83% 0.80% 0.82% 0.82%
<FN>
--------------------------------------------------------------------------------
1 Less than $0.01 per share.
2 Unaudited.
3 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
14
<PAGE>
Investment Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods presented for Treasury Money.
<TABLE>
<CAPTION>
TREASURY MONEY FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 2 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD .......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ...................... 0.03 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 0.00 1
------ ------ ------ ------ ------ ------
Total from Investment Operations .............. 0.03 0.04 0.05 0.05 0.05 0.05
------ ------ ------ ------ ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ...................... (0.03) (0.04) (0.05) (0.05) (0.05) (0.05)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ====== ======
TOTAL INVESTMENT RETURN ....................... 2.59% 4.32% 4.76% 4.86% 4.71% 5.19%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ... $420,577 $560,729 $308,911 $268,274 $554,716 $615,084
Ratios to Average Net Assets:
Net Investment Income .................... 5.18%3 4.25% 4.66% 4.74% 4.61% 5.06%
Expenses After Waivers, Including
Expenses of the Treasury Money
Portfolio ............................. 0.75%3 0.75% 0.75% 0.75% 0.75% 0.75%
Expenses Before Waivers, Including
Expenses of the Treasury Money
Portfolio ............................. 0.77%3 0.77% 0.77% 0.77% 0.76% 0.77%
<FN>
--------------------------------------------------------------------------------
1 Less than $0.01 per share.
2 Unaudited.
3 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
15
<PAGE>
Investment Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21, 1986, as a business trust under the laws of
the Commonwealth of Massachusetts. Cash Management, NY Tax Free Money, Tax Free
Money and Treasury Money (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 in the Cash
Management Portfolio, NY Tax Free Money in the NY Tax Free Money Portfolio, Tax
Free Money in the Tax Free Money Portfolio, and Treasury Money in the Treasury
Money Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The
Portfolios are open-end management investment companies registered under the
Act. The Funds seek to achieve their investment objectives by investing all of
their investable assets in the respective Portfolios. The value of such
investment in the Portfolios reflects each Fund's proportionate interest in the
net assets of the respective Portfolio. At June 30, 2000, Cash Management's
investment was approximately 3% of the Cash Management Portfolio, NY Tax Free
Money's and Tax Free Money's investments were approximately 100% of the NY Tax
Free Money Portfolio and Tax Free Money Portfolio, respectively and Treasury
Money's investment was approximately 27% 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 OF SECURITIES
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 securities 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
at least 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.
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 the Trust are allocated among the funds
in the Trust.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect reported amounts in the financial statements. Actual
results could differ from those estimates.
--------------------------------------------------------------------------------
16
<PAGE>
Investment Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 .55% of each Fund's
average daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of each Fund through April 30, 2001, to the extent necessary, to limit all
expenses as a percentage of each Fund's average daily net assets. For the period
ended June 30, 2000, 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.
ICC Distributors, Inc. provides distribution services to the Funds.
NOTE 3 -- CAPITAL LOSS CARRYFORWARDS
At June 30, 2000, 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> <C> <C> <C> <C> <C> <C> <C> <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>
NOTE 4 -- FUND NAME CHANGE
On April 30, 2000, the Funds changed their names as follows:
NEW NAME PRIOR NAME
-------------- --------------
Cash Management Investment BT Investment Cash Management Fund
NY Tax Free Money Investment BT Investment NY Tax Free Money Fund
Tax Free Money Investment BT Investment Tax Free Money Fund
Treasury Money Investment BT Investment Treasury Money Fund
--------------------------------------------------------------------------------
17
<PAGE>
Cash Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
EURODOLLAR CERTIFICATES
OF DEPOSIT -- 5.4%
Barclays Bank,
$45,000,000 6.64%, 8/9/00 .......... $ 45,000,000
Cariplo Bank,
40,000,000 6.26%, 7/19/00 ......... 40,000,175
Credit Agricole Indosuez SA,
50,000,000 6.15%, 7/21/00 ......... 50,000,121
Halifax PLC,
100,000,000 6.24%, 7/11/00 ......... 100,000,000
International Nederlander Bank:
35,000,000 6.26%, 8/3/00 .......... 35,000,000
30,000,000 6.45%, 12/7/00 ......... 30,000,000
Landesbank Baden Wurttemberg,
40,000,000 6.245%, 7/19/00 ........ 40,000,088
Norddeutsche Landesbank
Girozentrale,
60,000,000 6.74%, 8/18/00 ......... 60,000,754
Westdeutsche Landesbank
Girozentrale,
20,000,000 6.73%, 9/29/00 ......... 20,000,000
-------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost $420,001,138) ...... 420,001,138
-------------
YANKEE CERTIFICATES OF DEPOSIT -- 5.8%
Bank of Austria,
10,000,000 6.55%, 1/31/01 ......... 9,997,241
Bank of Nova Scotia,
25,000,000 6.71%, 2/22/01 ......... 24,993,917
Banque Nationale de Paris,
20,000,000 6.70%, 2/20/01 ......... 19,993,972
Canadian Imperial Bank of
Commerce:
20,000,000 6.57%, 7/10/00 ......... 20,000,000
100,000,000 6.60%, 7/19/00 ......... 100,000,000
50,000,000 6.74%, 9/19/00 ......... 50,002,130
63,000,000 6.74%, 9/19/00 ......... 63,000,000
30,000,000 6.75%, 9/19/00 ......... 30,000,000
Commerzbank AG,
20,000,000 6.70%, 2/20/01 ......... 19,993,972
Paribas SA,
40,000,000 6.22%, 7/6/00 .......... 39,999,931
PRINCIPAL
AMOUNT SECURITY VALUE
Royal Bank of Canada,
$ 5,000,000 5.70%, 7/3/00 .......... $ 5,000,000
Societe Generale,
32,000,000 6.81%, 4/17/01 ......... 32,004,483
Svenska Handelsbanken A.B.,
35,000,000 6.77%, 3/21/01 ......... 34,990,506
-------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Amortized Cost $449,976,152) ...... 449,976,152
-------------
CERTIFICATES OF DEPOSIT -- 2.0%
Bank of America:
40,000,000 6.77%, 8/22/00 ......... 40,000,000
50,000,000 6.73%, 9/13/00 ......... 50,000,000
45,000,000 7.05%, 12/1/00 ......... 45,000,000
First Union Bank,
20,000,000 6.95%, 10/23/00 ........ 20,000,000
-------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $155,000,000) ...... 155,000,000
-------------
EURODOLLAR TIME DEPOSITS -- 7.4%
Bank of Scotland:
40,000,000 6.25%, 7/12/00 ......... 40,000,000
50,000,000 6.58%, 8/7/00 .......... 50,000,000
Banque Bruxelles Lambert,
25,000,000 6.50%, 10/6/00 ......... 25,000,000
Commerzbank AG,
30,000,000 7.04%, 11/20/00 ........ 30,000,000
KBC Bank,
50,000,000 7.00%, 7/5/00 .......... 50,000,000
Landesbank Baden Wurttemberg:
50,000,000 6.25%, 7/3/00 .......... 50,000,000
25,000,000 6.17%, 7/18/00 ......... 25,000,000
40,000,000 6.38%, 9/21/00 ......... 40,000,000
25,000,000 6.97%, 11/20/00 ........ 25,000,000
35,000,000 7.03%, 11/27/00 ........ 35,000,000
Norddeutsche Landesbank
Girozentrale,
40,000,000 6.95%, 12/6/00 ......... 40,000,000
Norwest Minnesota N.A.,
50,000,000 6.906%, 7/5/00 ......... 50,000,000
Paribas SA,
40,000,000 6.50%, 10/6/00 ......... 40,000,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
18
<PAGE>
Cash Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
PNC Bank,
$ 66,257,300 7.125%, 7/3/00 ......... $ 66,257,300
Svenska Handelsbanken A.B.,
11,000,000 6.48%, 10/13/00 ........ 11,000,000
--------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $577,257,300) ...... 577,257,300
--------------
FLOATING RATE NOTES -- 23.8%
Abbey National Treasury
Services PLC,
Monthly Variable Rate,
40,000,000 6.551%, 6/15/01 ........ 39,970,377
American Express Centurion Bank,
Monthly Variable Rate,
100,000,000 6.60%, 5/9/01 .......... 100,000,000
Asset Securitization
Cooperative Corp.,
Monthly Variable Rate,
70,000,000 6.56%, 1/12/01 ......... 69,991,940
Associates Corp. of North America,
Monthly Variable Rate,
15,000,000 6.55%, 3/16/01 ......... 14,991,615
AT&T Capital Corp.,
Quarterly Variable Rate,
20,000,000 6.971%, 12/1/00 ........ 20,060,016
AT&T Corp.,
Monthly Variable Rate:
83,000,000 6.566%, 3/8/01 ......... 82,981,644
30,000,000 6.639%, 6/14/01 ........ 30,000,000
Quarterly Variable Rate,
17,000,000 6.683%, 8/7/00 ......... 17,000,318
Bank of America Corp.,
Daily Variable Rate,
20,000,000 6.90%, 1/25/01 ......... 20,000,000
Bank of Scotland,
Monthly Variable Rate,
50,000,000 6.591%, 4/25/01 ........ 49,988,079
Quarterly Variable Rate,
15,000,000 6.829%, 3/5/01 ......... 14,999,387
PRINCIPAL
AMOUNT SECURITY VALUE
Bayerische Landesbank Girozentrale,
Monthly Variable Rate:
$ 50,000,000 6.595%, 11/9/00 ........ $ 49,995,300
35,000,000 6.585%, 2/28/01 ........ 34,988,766
25,000,000 6.594%, 3/1/01 ......... 24,991,927
100,000,000 6.614%, 5/30/01 ........ 99,964,442
Bayerische Hypo-und
Vereinsbank AG,
Monthly Variable Rate,
50,000,000 6.566%, 2/26/01 ........ 49,984,044
Bear Stearns Cos., Inc.,
Monthly Variable Rate,
30,000,000 6.60%, 9/12/00 ......... 30,000,000
Chase Manhattan Bank,
Quarterly Variable Rate,
5,000,000 7.01%, 11/17/00 ........ 5,005,605
Citigroup, Inc.,
Monthly Variable Rate,
100,000,000 6.605%, 6/6/01 ......... 100,000,000
Comerica Bank,
Monthly Variable Rate,
35,000,000 6.581%, 4/20/01 ........ 34,989,042
Commerzbank AG,
Monthly Variable Rate:
75,000,000 6.591%, 4/20/01 ........ 74,982,396
25,000,000 6.601%, 4/26/01 ........ 24,994,019
Compass Securitization LLC,
Monthly Variable Rate,
25,000,000 6.783%, 10/16/00 ....... 24,998,937
Credit Suisse First Boston, Inc.,
Daily Variable Rate,
25,000,000 7.305%, 2/20/01 ........ 24,998,428
First Union Bank,
Daily Variable Rate,
35,000,000 7.475%, 10/27/00 ....... 35,000,000
Ford Motor Credit Corp.,
Quarterly Variable Rate,
10,000,000 6.898%, 11/27/00 ....... 10,002,665
Goldman Sachs & Co.,
Quarterly Variable Rate:
41,450,000 6.711%, 1/8/01 ......... 41,542,703
35,000,000 6.714%, 1/16/01 ........ 35,061,618
40,000,000 6.49%, 1/25/01 ......... 40,041,064
See Notes to Financial Statements.
--------------------------------------------------------------------------------
19
<PAGE>
Cash Management Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
Household Finance Corp.,
Daily Variable Rate,
$20,000,000 7.10%, 9/14/00 ......... $ 20,006,172
J.P. Morgan & Co., Inc.,
Monthly Variable Rate:
30,000,000 6.64%, 3/16/01 ......... 30,000,000
35,000,000 6.633%, 6/6/01 ......... 35,000,000
Merrill Lynch & Co., Inc.,
Monthly Variable Rate:
55,000,000 6.629%, 4/17/01 ........ 54,995,385
50,000,000 6.629%, 4/18/01 ........ 49,996,119
Quarterly Variable Rate:
15,000,000 6.58%, 1/12/01 ......... 15,027,226
25,000,000 6.959%, 3/5/01 ......... 25,022,508
Morgan Stanley Dean Witter, Inc.,
Monthly Variable Rate:
75,000,000 6.65%, 1/29/01 ......... 75,000,000
45,000,000 6.63%, 3/16/01 ......... 45,000,000
Quarterly Variable Rate:
20,000,000 6.854%, 2/16/01 ........ 20,017,114
16,500,000 6.92%, 2/23/01 ......... 16,512,195
National Rural Utilities CFC,
Quarterly Variable Rate,
15,000,000 6.77%, 6/15/01 ......... 15,000,000
Norwest Bank of Minnesota, N.A.,
Monthly Variable Rate,
25,000,000 6.643%, 9/7/00 ......... 24,997,339
PNC Bank,
Monthly Variable Rate,
25,000,000 6.585%, 7/12/00 ........ 24,999,757
SBC Communications, Inc.,
Quarterly Variable Rate:
50,000,000 6.325%, 5/1/01 ......... 50,000,000
30,000,000 6.684%, 5/15/01 ........ 29,997,469
Societe Generale,
Monthly Variable Rate,
50,000,000 6.594%, 1/19/01 ........ 49,983,751
Toyota Motor Credit Corp.,
Quarterly Variable Rate,
17,000,000 6.46%, 10/25/00 ........ 17,007,426
PRINCIPAL
AMOUNT SECURITY VALUE
Westdeutsche Landesbank
Girozentrale,
Monthly Variable Rate,
$ 45,000,000 6.571%, 2/26/01 ........ $ 44,985,639
--------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $1,845,072,432) .... 1,845,072,432
--------------
COMMERCIAL PAPER -- 52.2%
Aegon Funding Corporation:
33,000,000 6.60%, 9/5/00 .......... 32,612,800
50,000,000 6.17%, 9/6/00 .......... 49,442,986
30,000,000 6.18%, 9/18/00 ......... 29,603,450
33,000,000 6.20%, 12/1/00 ......... 32,141,817
Alcoa, Inc.,
40,000,000 6.62%, 8/2/00 .......... 39,779,333
Asset Portfolio Funding Corp.,
32,166,000 6.70%, 12/6/00 ......... 31,232,114
Associates First Capital Corp.,
30,000,000 6.60%, 9/14/00 ......... 29,598,500
AT&T Corp.,
50,000,000 6.69%, 9/5/00 .......... 49,405,333
BAE Systems Holdings, Inc.:
45,000,000 6.60%, 8/10/00 ......... 44,686,500
40,000,000 6.66%, 8/21/00 ......... 39,637,400
Bank of America Corp.:
40,000,000 6.06%, 8/9/00 .......... 39,750,867
22,000,000 6.10%, 9/8/00 .......... 21,750,239
20,000,000 6.26%, 10/3/00 ......... 19,680,044
35,000,000 6.68%, 12/4/00 ......... 33,999,856
Bavaria Trust Corp.:
100,000,000 6.55%, 7/11/00 ......... 99,854,444
24,275,000 6.605%, 7/26/00 ........ 24,172,563
Bell Atlantic Network Funding,
39,000,000 6.53%, 7/21/00 ......... 38,872,665
British Telecommunications PLC:
40,000,000 6.17%, 7/17/00 ......... 39,904,022
25,000,000 6.08%, 9/1/00 .......... 24,746,667
20,000,000 6.27%, 10/11/00 ........ 19,651,667
25,000,000 6.25%, 10/12/00 ........ 24,561,632
68,000,000 6.69%, 11/8/00 ......... 66,381,227
15,000,000 6.69%, 11/13/00 ........ 14,629,262
45,000,000 6.22%, 12/4/00 ......... 43,802,650
See Notes to Financial Statements.
--------------------------------------------------------------------------------
20
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SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
Compass Sercuritization LLC:
$ 15,135,000 6.61%, 7/3/00 .......... $ 15,135,000
100,000,000 6.60%, 7/5/00 .......... 99,963,333
70,000,000 6.57%, 7/10/00 ......... 69,910,575
41,490,000 6.55%, 7/11/00 ......... 41,429,609
15,000,000 6.62%, 7/25/00 ......... 14,939,317
Corporate Asset Funding Co., Inc.:
45,000,000 6.61%, 8/21/00 ......... 44,595,137
10,000,000 6.64%, 8/22/00 ......... 9,907,778
Corporate Receivables Corp.:
35,000,000 6.53%, 7/17/00 ......... 34,911,119
65,000,000 6.60%, 8/1/00 .......... 64,654,417
30,000,000 6.60%, 8/2/00 .......... 29,835,000
30,000,000 6.65%, 8/21/00 ......... 29,728,458
Credit Suisse First Boston, Inc.:
50,000,000 6.63%, 8/7/00 .......... 49,677,708
32,000,000 6.60%, 8/10/00 ......... 31,777,050
40,000,000 6.65%, 8/23/00 ......... 39,623,167
34,500,000 6.60%, 9/5/00 .......... 34,095,200
Delaware Funding Corp.,
50,000,000 6.59%, 7/20/00 ......... 49,844,403
Den Danske Corp.:
33,000,000 6.68%, 11/13/00 ........ 32,185,597
20,000,000 6.71%, 12/6/00 ......... 19,418,467
Diageo Capital PLC,
30,000,000 6.90%, 7/5/00 .......... 29,988,500
Edison Asset Security LLC,
40,000,000 6.60%, 8/4/00 .......... 39,765,333
Fortis Bank:
25,000,000 6.64%, 8/10/00 ......... 24,824,778
40,000,000 6.08%, 9/1/00 .......... 39,594,667
23,600,000 6.69%, 12/12/00 ........ 22,889,522
France Telecom SA:
30,000,000 6.54%, 7/17/00 ......... 29,923,700
60,000,000 6.64%, 8/1/00 .......... 59,678,865
17,300,000 6.57%, 8/7/00 .......... 17,189,496
35,000,000 6.58%, 8/11/00 ......... 34,750,508
40,000,000 6.60%, 9/12/00 ......... 39,479,333
37,383,000 6.62%, 9/15/00 ......... 36,874,300
25,000,000 6.62%, 9/18/00 ......... 24,646,014
General Electric Financial
Assurance Holdings, Inc.,
55,000,000 6.84%, 7/6/00 .......... 54,968,650
PRINCIPAL
AMOUNT SECURITY VALUE
General Electric Capital Corp.
International Funding, Inc.:
$37,633,000 6.90%, 7/5/00 .......... $ 37,618,574
18,000,000 6.54%, 7/12/00 ......... 17,970,570
20,000,000 6.63%, 8/3/00 .......... 19,885,817
45,000,000 6.59%, 8/15/00 ......... 44,645,787
50,000,000 6.58%, 8/16/00 ......... 49,597,889
40,000,000 6.65%, 8/24/00 ......... 39,615,778
25,000,000 6.61%, 9/11/00 ......... 24,678,681
Glaxo Wellcome PLC,
16,900,000 6.60%, 9/29/00 ......... 16,627,347
Goldman Sachs & Co.:
29,000,000 6.65%, 8/7/00 .......... 28,812,507
75,000,000 6.09%, 8/22/00 ......... 74,365,625
85,000,000 6.68%, 9/18/00 ......... 83,785,539
Greyhawk Funding LLC:
10,000,000 6.13%, 7/5/00 .......... 9,996,594
72,000,000 6.55%, 7/24/00 ......... 71,724,900
50,000,000 6.58%, 8/8/00 .......... 49,671,000
45,000,000 6.59%, 8/15/00 ......... 44,645,787
20,000,000 6.61%, 9/15/00 ......... 19,728,256
Invensys PLC,
20,000,000 6.62%, 8/11/00 ......... 19,856,567
Mellon Financial Corp.,
25,000,000 6.62%, 7/24/00 ......... 24,903,458
Merck & Co.,
75,000,000 6.80%, 7/7/00 .......... 74,943,333
Merrill Lynch & Co., Inc.:
53,000,000 6.15%, 7/10/00 ......... 52,936,621
53,000,000 6.13%, 7/17/00 ......... 52,873,654
Moriarty Ltd.,
30,000,000 6.20%, 9/25/00 ......... 29,566,000
National Rural Utilities CFC:
20,000,000 6.13%, 7/17/00 ......... 19,952,322
15,000,000 6.62%, 8/15/00 ......... 14,881,392
25,000,000 6.08%, 9/6/00 .......... 24,725,556
30,000,000 6.15%, 9/19/00 ......... 29,600,250
15,000,000 6.09%, 9/22/00 ......... 14,794,462
Province of Quebec:
30,000,000 6.09%, 8/10/00 ......... 29,807,150
15,000,000 6.09%, 8/17/00 ......... 14,885,812
See Notes to Financial Statements.
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21
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SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
Receivables Capital Corp.:
$30,000,000 6.59%, 8/9/00 .......... $ 29,796,808
70,000,000 6.61%, 9/5/00 .......... 69,177,422
Salomon Smith Barney Holdings, Inc.:
60,000,000 6.54%, 7/14/00 ......... 59,880,100
50,000,000 6.52%, 8/1/00 .......... 49,737,389
SBC Communications, Inc.,
70,000,000 6.75%, 7/10/00 ......... 69,908,125
Sheffield Receivables Corp.:
20,000,000 6.60%, 7/14/00 ......... 19,959,667
50,900,000 6.61%, 7/17/00 ......... 50,769,353
74,000,000 6.67%, 7/26/00 ......... 73,684,657
37,900,000 6.59%, 8/4/00 .......... 37,677,990
40,000,000 6.60%, 8/7/00 .......... 39,743,333
33,000,000 6.65%, 9/5/00 .......... 32,609,867
Toyota Motor Credit Corp.,
15,000,000 6.05%, 8/28/00 ......... 14,858,833
Tulip Funding Corp.:
40,000,000 6.55%, 7/10/00 ......... 39,949,056
11,724,000 6.61%, 7/17/00 ......... 11,693,863
36,044,000 6.61%, 7/19/00 ......... 35,938,111
20,000,000 6.66%, 7/28/00 ......... 19,907,500
90,000,000 6.65%, 9/26/00 ......... 88,586,875
35,000,000 6.65%, 9/27/00 ......... 34,443,986
Volkswagen of America, Inc.,
25,000,000 6.56%, 8/15/00 ......... 24,804,111
Wells Fargo Bank,
50,000,000 6.58%, 8/23/00 ......... 49,533,917
Windmill Funding Corp.:
25,000,000 6.53%, 7/14/00 ......... 24,950,118
40,000,000 6.65%, 7/20/00 ......... 39,874,389
15,000,000 6.58%, 7/24/00 ......... 14,942,425
25,000,000 6.60%, 8/7/00 .......... 24,839,583
--------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $4,050,467,745) .... 4,050,467,745
--------------
PRINCIPAL
AMOUNT SECURITY VALUE
FUNDING AGREEMENTS -- 2.8%
Allstate Life Insurance,
Quarterly Variable Rate,1,2
$45,000,000 6.868%, 7/2/01 ......... $ 45,000,000
First Allmerica Financial Life
Insurance,
Quarterly Variable Rate,1,2
45,000,000 6.97%, 1/29/01 ......... 45,000,000
GE Life and Annuity
Assurance Co.,
Quarterly Variable Rate:1,2
40,000,000 6.721%, 9/1/00 ......... 40,000,000
20,000,000 6.91%, 3/1/01 .......... 20,000,000
Travelers Insurance Co,
Quarterly Variable Rate:1,2
40,000,000 6.35%, 2/23/01 ......... 40,000,000
30,000,000 6.36%, 4/2/01 .......... 30,000,000
--------------
TOTAL FUNDING AGREEMENTS
(Amortized Cost $220,000,000) ...... 220,000,000
--------------
GOVERNMENT AGENCY -- 0.2%
Federal National Mortgage
Association,
15,000,000 6.35%, 2/2/01 .......... 14,990,703
--------------
TOTAL GOVERNMENT AGENCY
(Amortized Cost $14,990,703) ....... 14,990,703
--------------
TOTAL INVESTMENTS
(Amortized Cost
$7,732,765,470) ......... 99.6% $7,732,765,470
OTHER ASSETS IN EXCESS
OF LIABILITIES ............. 0.4 30,004,558
----- --------------
NET ASSETS ................... 100.0% $7,762,770,028
===== ==============
--------------------------------------------------------------------------------
1 Illiquid security.
2 Funding agreement subject to a thirty or ninety day demand feature.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
22
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SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
NEW YORK -- 103.8%
$ 1,000,000 Buffalo, New York, RAN, Series A,
(LOC: Landesbank-Hessen-Thuringen), 4.65%,
7/25/00 .......................................... $ 1,000,396
2,445,000 Great Neck North, New York Water Authority,
Water System Revenue, Series A, (FGIC
Insured), Variable Rate Weekly Demand Note 1,
4.65%, 1/1/20 .................................... 2,445,000
2,000,000 Half Hollow Hills Central School District,
New York, TAN, 4.80%, 6/29/01 .................... 2,009,380
1,000,000 Long Island Power Authority, New York,
Electric System Revenue, (LOC: Westdeutsche
Landesbank 50%, Bayerische Landesbank 50%),
Variable Rate Demand Bonds, (Tax Exempt
Commercial Paper Mode), 4.60%, 7/24/00 ........... 1,000,000
1,000,000 Long Island Power Authority, New York,
Electric System Revenue, (LOC: Westdeutsche
Landesbank 50%, Bayerische Landesbank 50%),
Variable Rate Demand Bonds, (Tax Exempt
Commercial Paper Mode), 4.05%, 8/16/00 ........... 1,000,000
2,350,000 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 1, 4.40%, 5/1/33 ..................... 2,350,000
4,600,000 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 1, 4.45%, 5/1/33 ..................... 4,600,000
2,000,000 Metropolitan Transportation Authority, New York,
Series B, Tax Exempt Commercial Paper,
4.50%, 8/10/00 ................................... 2,000,000
700,000 Metropolitan Transportation Authority, New York,
Series B, Tax Exempt Commercial Paper,
4.15%, 9/8/00 .................................... 700,000
2,200,000 Municipal Assistance Corp., New York City,
New York, Series G, Revenue Bond, 5.50%,
7/1/00 ........................................... 2,200,000
1,000,000 Municipal Assistance Corp., New York City,
New York, Series M, Revenue Bond, 4.00%,
7/1/00 ........................................... 1,000,000
1,700,000 Nassau County, New York, Industrial
Development Agency, (Cold Spring Harbor),
(LOC: Morgan Guaranty Trust), Variable Rate
Daily Demand Note 1, 4.45%, 1/1/34 ............... 1,700,000
800,000 Nassau County, New York, Industrial
Development Agency, (Winthrop Hospital),
Variable Rate Daily Demand Note 1, 4.45%,
3/1/28 ........................................... 800,000
2,000,000 New York City, New York, BAN, Transitional
Finance Authority Revenue, Series 3, 4.75%,
11/1/00 .......................................... 2,004,179
345,000 New York City, New York, G.O., Escrowed to
Maturity in U.S. Government Securities,
Series D, 5.125%, 2/15/01 ........................ 347,127
2,600,000 New York City, New York, Health & Hospital
Corp., Series D, (LOC: Bank of Nova Scotia),
Variable Rate Weekly Demand Note 1, 4.40%,
2/15/26 .......................................... 2,600,000
2,500,000 New York City, New York, Housing Development
Corporation, (Carnegie Park), (Guaranteed by
FNMA), Variable Rate Weekly Demand Note 1,
4.40%, 11/15/19 .................................. 2,500,000
1,300,000 New York City, New York, Housing Development
Corporation, (Columbus Apartments Project),
(Guaranteed by FNMA), Variable Rate Weekly
Demand Note 1, 4.40%, 3/15/25 .................... 1,300,000
2,000,000 New York City, New York, Housing Development
Corporation, (Guaranteed by FNMA), Revenue
Bond, 4.40%, 11/15/19 ............................ 2,000,000
2,000,000 New York City, New York, Housing Development
Corporation, (Guaranteed by FNMA), Revenue
Bond, 4.40%, 10/15/28 ............................ 2,000,000
200,000 New York City, New York, Municipal Water
Finance Authority, Water and Sewer System
Revenue, Series A, (FGIC Insured), Variable
Rate Daily Demand Note 1, 4.75%, 6/15/25 ......... 200,000
4,200,000 New York City, New York, Municipal Water
Finance Authority, Water and Sewer System
Revenue, Series G, (FGIC Insured), Variable
Rate Daily Demand Note 1, 4.75%, 6/15/24 ......... 4,200,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
23
<PAGE>
NY Tax Free Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
$ 300,000 New York City, New York, Series B,
(FGIC Insured), Variable Rate Daily Demand
Note 1, 4.75%, 10/1/22 ........................... $ 300,000
3,550,000 New York City, New York, Sub Series A-4,
(LOC: Chase Manhattan Bank), Variable Rate
Daily Demand Note 1, 4.50%, 8/1/21 ............... 3,550,000
600,000 New York City, New York, Sub Series A-5,
(LOC: KBC Bank N.V.), Variable Rate Daily
Demand Note 1, 4.45%, 8/1/15 ..................... 600,000
700,000 New York City, New York, Sub Series A-10,
(LOC: Morgan Guaranty Trust), Variable Rate
Daily Demand Note 1, 4.75%, 8/1/17 ............... 700,000
400,000 New York City, New York, Transitional Finance
Authority Revenue, Series A-2, Variable Rate
Weekly Demand Note 1, 4.40%, 11/15/27 ............ 400,000
1,000,000 New York City, New York, Transitional Finance
Authority Revenue, Series C, Variable Rate
Daily Demand Note 1, 4.50%, 5/1/28 ............... 1,000,000
3,000,000 New York City, New York, Trust for Cultural
Research, Museum of Broadcasting, (LOC: KBC
Bank N.V.), Variable Rate Weekly Demand
Note 1, 4.40%, 5/1/14 ............................ 3,000,000
1,000,000 New York, New York, G.O., Series B,
(FGIC Insured), Variable Rate Daily Demand
Note 1, 4.75%, 10/1/20 ........................... 1,000,000
1,000,000 New York State, (LOC: Bayerische Landesbank 50%,
Landesbank-Hessen-Thuringen 50%), Tax Exempt
Commercial Paper, 3.95%, 7/10/00 ................. 1,000,000
3,500,000 New York State Dormitory Authority, (New York
Public Library), Series A, Variable Rate
Weekly Demand Note 1, 4.40%, 7/1/28 .............. 3,500,000
3,400,000 New York State Dormitory Authority Revenue,
(City University System), Series A,
(Escrowed in U.S. Government), Prerefunded
07/01/00 @ $102, Revenue Bond, 7.625%,
7/1/20 ........................................... 3,468,000
1,105,000 New York State Dormitory Authority Revenue,
(Cornell University), Revenue Bond, 4.60%,
7/1/00 ........................................... 1,105,000
1,000,000 New York State Dormitory Authority Revenue,
(Cornell University), Series B, (LOC: Chase
Manhattan Bank), Variable Rate Weekly Demand
Note 1, 4.35%, 7/1/30 ............................ 1,000,000
1,800,000 New York State Dormitory Authority Revenue,
(Memorial Sloan-Kettering), Series B, (LOC:
Chase Manhattan Bank), Variable Rate Daily
Demand Note 1, 4.55%, 7/1/19 ..................... 1,800,000
1,000,000 New York State Dormitory Authority Revenue
(Memorial Sloan-Kettering), Series C, (LOC:
Chase Manhattan Bank), Variable Rate Weekly
Demand Note 1, 4.50%, 7/1/19 ..................... 1,000,000
2,700,000 New York State Energy Research and Development
Authority, P.C.R., New York State Electric
and Gas, (LOC: Bank One Illinois N.A.),
Revenue Bond, 4.55%, 10/1/29 ..................... 2,700,000
1,170,000 New York State Energy Research and Development
Authority, P.C.R., New York State Electric
and Gas, (LOC: Morgan Guaranty Trust),
Variable Rate Daily Demand Note 1, 4.50%,
6/1/29 ........................................... 1,170,000
2,055,000 New York State Environmental Facilities Corporation,
State Clean Water and Drinking, Pooled Loan,
Revenue Bond, 5.00%, 1/15/01 ..................... 2,061,967
200,000 New York State Environmental Facilities Corporation,
State Water Revolving Fund, Series B,
Revenue Bond, 6.30%, 9/15/00 ..................... 200,844
3,000,000 New York State Housing Finance Agency, Contract
Obligation Revenue, Series A, (LOC:
Commerzbank A.G.), Revenue Bond, 4.35%,
3/15/27 .......................................... 3,000,000
1,294,000 New York State Housing Finance Agency, Hospital
Special Surgery Staff, Series A, (LOC: Chase
Manhattan Bank), Variable Rate Weekly Demand
Note 1, 4.50%, 11/1/10 ........................... 1,294,000
2,690,000 New York State Housing Finance Agency,
(Normandie Court I Project), (LOC:
Landesbank-Hessen-Thuringen), Variable Rate
Weekly Demand Note 1, 4.45%, 5/15/15 ............. 2,690,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
24
<PAGE>
NY Tax Free Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
$ 900,000 New York State Local Government Assistance
Corp., Series A, (LOC: Bayerische Landesbank
50%, Westdeutsche Landesbank 50%), Variable
Rate Weekly Demand Note 1, 4.35%, 4/1/22 ......... $ 900,000
2,000,000 New York State Local Government Assistance
Corp., Series A, Revenue Bond, 7.25%, 4/1/18 ..... 2,082,736
1,000,000 New York State Local Government Assistance
Corp., Series B, (LOC: Bayerische Landesbank
50%, Westdeutsche Landesbank 50%), Variable
Rate Weekly Demand Note 1, 4.35%, 4/1/23 ......... 1,000,000
400,000 New York State Medical Care Facility,
(Lenox Hill Hospital), Series A, (LOC: Chase
Manhattan Bank), Revenue Bond, 4.80%,
11/1/08 .......................................... 400,000
2,000,000 New York State Thruway Authority, Highway
and Bridge Trust Fund, Tax Exempt Commercial
Paper, 4.15%, 8/9/00 ............................. 2,000,000
1,500,000 New York State Thruway Authority, Highway &
Bridge Trust Fund, Tax Exempt Commercial
Paper, 4.20%, 10/5/00 ............................ 1,500,000
1,500,000 New York State Thruway Authority, Highway and
Bridge Trust Fund, Series G, (Ambac Insured)
Revenue Bond, 6.00%, 4/1/01 ...................... 1,519,619
600,000 New York State, Energy, Variable Rate Weekly
Demand Note 1, 4.40%, 10/1/29 .................... 600,000
4,200,000 Triborough Bridge & Tunnel Authority,
New York, Series C, (AMBAC Insured),
Variable Rate Weekly Demand Note 1, 4.25%,
1/1/13 ........................................... 4,200,000
1,225,000 Westchester County, New York, G.O.,
Series B, 4.60%, 11/15/00 ........................ 1,227,066
-----------
TOTAL NEW YORK (Amortized Cost $91,925,314) ...................... 91,925,314
-----------
TOTAL INVESTMENTS (Amortized Cost $91,925,314) ......... 103.8% $91,925,314
LIABILITIES IN EXCESS OF OTHER ASSETS .................. (3.8) (3,344,234)
----- -----------
NET ASSETS ............................................. 100.0% $88,581,080
===== ===========
--------------------------------------------------------------------------------
1 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
BAN -- Bond Anticipation Note
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
RAN -- RevenueAnticipation Notes
TRAN -- Tax Revenue Anticipation Notes
See Notes to Financial Statements.
--------------------------------------------------------------------------------
25
<PAGE>
Tax Free Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
ARIZONA -- 0.4%
$ 500,000 Scottsdale, Arizona, G.O.,
Series A, 6.50%, 7/1/00 ......................... $ 500,000
-----------
COLORADO -- 0.7%
805,000 Colorado Housing Finance Authority, Multifamily
Housing, (Hunters Project), (Guaranteed by
FNMA), Revenue Bond, 4.75%, 10/15/16 ............ 805,000
-----------
FLORIDA -- 0.4%
500,000 Pinellas County, Florida, Health Facility
Authority Revenue, (Pooled Hospital Loan
Program), (AMBAC Insured), Variable Rate
Daily Demand Note 1, 4.60%, 12/1/15 ............. 500,000
-----------
GEORGIA -- 11.6%
2,000,000 Burke County, Georgia, Tax Exempt Commercial
Paper, 4.10%, 8/10/00 (Ambac Insured) ........... 2,000,000
2,000,000 Burke County, Georgia, Tax Exempt Commercial
Paper, 4.15%, 9/6/00 (Ambac Insured) ............ 2,000,000
1,000,000 Cobb County, Georgia, Housing Authority,
(Post Mill Project), (Guaranteed by FNMA),
Revenue Bond, 4.75%, 6/1/25 ..................... 1,000,000
1,000,000 Georgia State, G.O., Series D, 6.50%, 8/1/00 ..... 1,001,981
2,000,000 Georgia State, G.O., Series D, 6.80%, 8/1/00 ..... 2,004,126
1,000,000 Georgia State, G.O., Series D, 7.70%, 11/1/00 .... 1,011,596
1,000,000 Macon-Bibb County, Georgia, Hospital Authority
Revenue, (Medical Center of Central
Georgia), (LOC: SunTrust Bank), Variable
Rate Weekly Demand Note 1, 4.80%, 12/1/18 ....... 1,000,000
4,000,000 Smyrna Georgia Housing Authority, Multifamily
Housing, (F&M Villages Project), (Guaranteed
by FNMA), Revenue Bond, 4.75%, 6/1/25 ........... 4,000,000
-----------
14,017,703
-----------
ILLINOIS -- 13.4%
1,000,000 Chicago, Illinois, G.O., Adjustable Tender Notes,
(LOC: Westdeutsche Landesbank), 4.00%,
10/26/00 ........................................ 1,000,000
1,000,000 Chicago, Illinois, G.O., Series A-2,
(AMBAC Insured), 5.25%, 1/1/01 .................. 1,005,098
3,000,000 Illinois Development Finance Authority,
(Jewish Federation Project), (AMBAC
Insured), Variable Rate Weekly Demand Note 1,
4.80%, 9/1/23 ................................... 3,000,000
2,000,000 Illinois Health Facilities Authority,
(Gottlieb Health Resources, Inc.), (LOC:
Harris Trust and Savings Bank), Revenue
Bond, 4.70%, 11/15/25 ........................... 2,000,000
1,700,000 Illinois Health Facilities Authority,
(Gottlieb Health Resources, Inc.), (LOC:
Harris Trust and Savings Bank), Variable
Rate Weekly Demand Note 1, 4.70%, 11/15/24 ...... 1,700,000
2,400,000 Illinois Health Facilities Authority,
(Northwestern Memorial Hospital), Variable
Rate Daily Demand Note 1, 4.60%, 8/15/2 ......... 2,400,000
2,000,000 Illinois Housing Development Authority,
Multifamily Housing, (Lakeshore Plaza),
Series A, (Guaranteed by MBIA), Variable
Rate Weekly Demand Note 1, 4.80%, 7/1/27 ........ 2,000,000
3,000,000 Schaumburg, Illinois, G.O., Series A,
4.75%, 12/1/13 .................................. 3,000,000
-----------
16,105,098
-----------
KENTUCKY -- 1.7%
2,000,000 Kentucky Asset/Liability Commission, TRAN,
General Fund, Series A, 5.25%, 6/27/01 .......... 2,013,360
-----------
See Notes to Financial Statements.
--------------------------------------------------------------------------------
26
<PAGE>
Tax Free Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
LOUISIANA -- 0.8%
$ 900,000 East Baton Rouge Parish, Louisiana,
Revenue Bond, 4.45%, 11/1/19 .................... $ 900,000
------------
MARYLAND -- 5.5%
2,000,000 Maryland State Health and Higher Educational
Facility Authority, (University of
Maryland), (LOC:First Union) Variable Rate
Weekly Demand Note 1, 4.75%, 7/1/24 ............. 2,000,000
2,000,000 Montgomery County, Maryland, Tax Exempt
Commercial Paper, 4.15%, 9/5/00 ................. 2,000,000
2,600,000 Montgomery County, Maryland, Tax Exempt
Commercial Paper, 4.20%, 9/8/00 ................. 2,600,000
------------
6,600,000
------------
MASSACHUSETTS -- 0.8%
1,000,000 Massachusetts State, G.O., Series B,
(AMBAC Insured), 6.20%, 8/1/00 .................. 1,001,645
------------
MINNESOTA -- 5.7%
2,000,000 Minneapolis, Minnesota, G.O., 4.50%, 12/1/00 ..... 2,002,830
1,075,000 Minnesota Public Facility Authority, P.C.R.,
Series A, Revenue Bond, 5.00%, 3/1/01 ........... 1,080,779
1,705,000 Minnesota State, G.O., 5.50%, 6/1/01 ............. 1,721,862
2,000,000 University of Minnesota, Series A, Variable
Rate Weekly Demand Note 1, 4.80%, 1/1/3 ......... 2,000,000
------------
6,805,471
------------
MISSISSIPPI -- 2.5%
3,000,000 Perry County, Mississippi, P.C.R.,
(Leaf Forest Project), (LOC: Wachovia),
Variable Rate Daily Demand Note 1, 4.45%,
3/1/02 .......................................... 3,000,000
------------
NEVADA -- 1.7%
2,000,000 Las Vegas, Nevada, Valley Water District,
Tax Exempt Commercial Paper, 4.20%, 9/11/00 ..... 2,000,000
------------
NEW YORK -- 18.3%
2,000,000 Buffalo, New York, RAN, Series A, (LOC:
Landesbank-Hessen-Thuringen), 4.65%, 7/25/00 .... 2,001,000
1,900,000 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 1, 4.45%, 5/1/33 .................... 1,900,000
3,000,000 New York City, New York, G.O., Sub Series
A-4, (LOC: Chase Manhattan Bank), Variable
Rate Daily Demand Note 1, 4.50%, 8/1/21 ......... 3,000,000
1,000,000 New York City, New York, G.O., Sub Series B-2,
(LOC: Morgan Guaranty Trust), Variable Rate
Daily Demand Note 1, 4.75%, 8/15/18 ............. 1,000,000
550,000 New York City, New York, G.O., Sub Series B-2,
(LOC: Morgan Guaranty Trust), Variable Rate
Daily Demand Note 1, 4.75%, 8/15/19 ............. 550,000
150,000 New York City, New York, G.O., Sub Series B-3,
(LOC: Morgan Guaranty Trust), Variable Rate
Daily Demand Note 1, 4.75%, 8/15/18 ............. 150,000
1,000,000 New York City, New York, Municipal Water Finance
Authority, Water and Sewer System Revenue,
(LOC: Westdeutsche Landesbank), Tax Exempt
Commercial Paper, 4.45%, 7/26/00 ................ 1,000,000
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 1, 4.75%, 6/15/25 ............. 2,000,000
1,000,000 New York City, New York, Municipal Water Finance
Authority, Water and Sewer System Revenue,
Series G, (FGIC Insured), Variable Rate
Daily Demand Note 1, 4.75%, 6/15/24 ............. 1,000,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
27
<PAGE>
Tax Free Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
$ 1,600,000 New York, New York, G.O., Series B,
(FGIC Insured), Variable Rate Daily Demand
Note 1, 4.75%, 10/1/21 .......................... $ 1,600,000
4,000,000 New York State Local Assistance Corp.,
Series B, (LOC: Westdeutsche Landesbank 50%,
Bayerische Landesbank 50%), Variable Rate
Weekly Demand Note 1, 4.35%, 4/1/23 ............. 4,000,000
1,700,000 New York State Local Assistance Corp., Series A,
Revenue Bond, Prerefunded 4/1/02 @ $102,
7.25%, 4/1/18 ................................... 1,770,268
2,000,000 New York State Thruway, Tax Exempt Commercial
Paper, 4.20%, 10/5/00 ........................... 2,000,000
------------
21,971,268
------------
NORTH CAROLINA -- 4.9%
1,000,000 Charlotte-Mecklenberg Hospital Authority,
North Carolina, Health Care System Revenue,
Series D, Variable Rate Weekly Demand Note 1,
4.70%, 1/15/26 .................................. 1,000,000
800,000 North Carolina Medical Care Commission,
(Moses H. Cone Memorial Hospital Project),
Variable Rate Weekly Demand Note 1, 4.65%,
10/1/23 ......................................... 800,000
4,100,000 Wake County, North Carolina, P.C.R., Series B,
(LOC: Bank of New York), Variable Rate Daily
Demand Note 1, 4.75%, 6/15/14 ................... 4,100,000
------------
5,900,000
------------
OHIO -- 4.4%
1,115,000 Ohio State Building Authority, (State Correction
Facility), Revenue Bond, 4.20%, 10/1/00 ......... 1,115,000
3,200,000 Ohio State University General Receipts,
Revenue Bond, 4.75%, 12/1/07 .................... 3,200,000
1,000,000 Ohio State University General Receipts,
Revenue Bond, 4.90%, 12/1/19 .................... 1,000,000
------------
5,315,000
------------
PENNSYLVANIA -- 0.4%
500,000 Lehigh County, Pennsylvania, I.D.A., Allegheny
Electric, (LOC: Rabobank Nederland),
Variable Rate Monthly Demand Note 1, 4.40%,
6/1/14 .......................................... 500,000
------------
TENNESSEE -- 4.2%
1,000,000 Metropolitan Government of Nashville &
Davidson County, Tennessee, G.O., Series A,
5.125%, 11/15/00 ................................ 1,001,503
3,000,000 Tennessee State, Tax Exempt Commercial
Paper, 4.15%, 8/3/00 ............................ 3,000,000
1,000,000 Tennessee State, Tax Exempt Commercial
Paper, 4.20%, 8/22/00 ........................... 1,000,000
------------
5,001,503
------------
TEXAS -- 13.1%
965,000 Austin, Texas, G.O. Series A, 8.875%, 9/1/00 ..... 972,115
1,000,000 City of Houston, Texas, G.O., Series B,
Tax Exempt Commercial Paper, 4.55%, 7/19/00 ..... 1,000,000
1,000,000 Dallas, Texas, G.O., 5.00%, 2/15/01 .............. 1,002,395
2,874,000 Harris County, Texas, Tax Exempt
Commercial Paper, 4.75%, 8/3/00 ................. 2,874,000
345,000 Harris County, Texas, Tax Exempt
Commercial Paper, 4.90%, 8/3/00 ................. 345,000
350,000 Harris County, Texas, Tax Exempt
Commercial Paper, 5.00%, 8/3/00 ................. 350,000
1,900,000 Southwest Higher Education Authority Inc.,
Southern Methodist University, Project B,
(LOC: Landesbank-Hessen-Thuringen), Variable
Rate Weekly Demand Note 1, 4.75%, 10/1/29 ....... 1,900,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
28
<PAGE>
Tax Free Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
$ 565,000 Texas Small Business Industrial Development
Corporation, Texas Public Facilities Capital
Access, (LOC: KBC Bank N.V.), Variable Rate
Weekly Demand Note 1, 4.85%, 7/1/26 ............. $ 565,000
4,000,000 Texas State, TRAN, Series A, 4.50%, 8/31/00 ...... 4,004,378
2,718,000 University of Texas, Tax Exempt Commercial
Paper, 4.15%, 10/5/00 ........................... 2,718,000
------------
15,730,888
------------
UTAH -- 2.6%
1,630,000 Salt Lake City, Utah, G.O., 5.00%, 6/15/01 ....... 1,639,422
1,500,000 Utah State, G.O., Series A-F, 4.70%, 7/1/00 ...... 1,500,000
------------
3,139,422
------------
VERMONT -- 3.9%
4,735,000 Vermont State, I.D.A., Central Vermont
Public Service, (LOC: Toronto Dominion
Bank), Variable Rate Monthly Demand Note 1,
4.50%, 12/1/13 .................................. 4,735,000
------------
VIRGINIA -- 0.8%
1,020,000 Virginia State, Public School Authority,
Series C, Revenue Bond, 5.00%, 8/1/00 ........... 1,020,933
------------
WASHINGTON -- 0.8%
1,000,000 Washington Suburban Sanitation District,
G.O., 6.00%, 11/1/00 ............................ 1,005,944
------------
WYOMING -- 7.1%
800,000 Lincoln County, Wyoming, P.C.R., (Exxon
Project-C), Variable Rate Daily Demand
Note 1, 4.45%, 11/1/14 .......................... 800,000
4,300,000 Platte County, Wyoming, P.C.R., Tri State,
(LOC: National Rural Utility), Variable Rate
Daily Demand Note 1, 4.75%, 7/1/14 .............. 4,300,000
3,500,000 Unita County, Wyoming, P.C.R., (Chevron U.S.A.
Income Project), Variable Rate Daily Demand
Note 1, 4.40%, 8/15/20 .......................... 3,500,000
------------
8,600,000
------------
TOTAL INVESTMENTS (Amortized Cost $127,168,235) ......... 105.7% $127,168,235
LIABILITIES IN EXCESS OF OTHER ASSETS ................... (5.7) (6,834,206)
----- ------------
NET ASSETS .............................................. 100.0% $120,334,029
===== ============
--------------------------------------------------------------------------------
1 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 Revenue Anticipation Note
See Notes to Financial Statements.
--------------------------------------------------------------------------------
29
<PAGE>
Treasury Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
U.S. TREASURY BILL -- 2.5%
$ 40,000,000 5.65%, 9/28/00 .................................. $ 39,453,833
------------
TOTAL U.S. TREASURY BILL
(Amortized Cost $39,453,833) ................................. 39,453,833
------------
U.S. TREASURY NOTES -- 17.0%
19,925,000 6.125%, 7/31/00 ................................. 19,927,642
62,000,000 4.00%, 10/31/00 ................................. 61,559,249
20,000,000 5.75%, 10/31/00 ................................. 19,965,774
115,000,000 4.625%, 11/30/00 ................................ 114,265,801
50,000,000 5.25%, 1/31/01 .................................. 49,646,881
------------
TOTAL U.S. TREASURY NOTE/BOND
(Amortized Cost $265,365,347) ................................ 265,365,347
------------
REPURCHASE AGREEMENTS 2 -- 80.2%
70,000,000 Banque Paribas, 6.32%, 7/5/00 (dated 6/20/00,
collateralized by $479,647 U.S. Treasury
Note, 6.25% due 8/31/02, market value
$479,273 and $70,207,716 U.S. Treasury
Bonds, 7.50% to 7.625% due from 11/15/18 to
11/15/22, market value $71,030,142 and
$61,644 Federal Mortgage Acceptance Corp.,
6.791% due 1/1/28, market value $62,536) ........ 70,000,000
65,000,000 Canadian Imperial Bank of Commerce World Markets
Corp., 6.55%, 7/3/20 (dated 6/30/00,
collateralized by $1,575,031 U.S. Treasury
Bill, 6.10% due 11/9/00, market value
$1,575,031 and $21,444,120 U.S. Treasury
Bonds, 6.125% to 10.75% due from 5/15/03 to
11/15/27, market value $21,102,105 and
$43,282,841 U.S. Treasury Notes, 4.25% to
7.875% due from 2/15/01 to 8/15/05, market
value $42,983,250) .............................. 65,000,000
65,000,000 Chase Manhattan Bank, 6.50%, 7/5/00 (dated 6/30/00,
collateralized by $66,300,229 U.S. Treasury
Bonds, 5.50% to 8.125% due from 8/15/21 to
8/15/28, market value $65,202,888) .............. 65,000,000
200,000,000 Credit Suisse First Boston Corp., 6.39%, 8/7/00
(dated 6/7/00, collateralized by
$206,123,889 U.S. Treasury Strips 1, 6.25% to
8.75% due from 8/15/00 to 8/15/26, market
value $206,123,889) ............................. 200,000,000
147,347,857 Goldman Sachs and Co., Inc., 6.50%, 7/3/00
(dated 6/30/00, collateralized by
$147,348,235 U.S. Treasury Notes, 6.125% to
6.625% due from 6/30/01 to 8/15/07, market
value $148,389,847) ............................. 147,347,857
65,000,000 Greenwich Capital, Inc., 6.60%, 7/3/00
(dated 6/30/00, collateralized by $2,484,516
Resolution Funding Bond, 8.125% to 8.875%
due from 10/15/19 to 4/15/30, market value
$2,440,444 and $55,968,288 Resolution
Funding Strips, 6.561% to 6.75% due from
7/15/03 to 1/15/21, market value $55,968,288
and $957,202 Resolution Funding Principle,
8.625% to 8.875% due from 1/15/21 to
4/15/30, market value $957,202 and
$6,891,559 U.S. Strip, 3.625% due 7/15/02,
market value $6,778,166) ........................ 65,000,000
65,000,000 J.P. Morgan, Inc., 6.40%, 7/3/00 (dated 6/29/00,
collateralized by $65,000,534 U.S. Treasury
Bond, 10.75% due 5/15/03, market value
$65,508,458) .................................... 65,000,000
50,000,000 Merrill Lynch & Co., 6.45%, 7/3/00 (dated 6/30/00,
collateralized by $51,000,905 U.S. Treasury
Strips1, 5.25% to 9.87% due from 11/15/05 to
2/15/29, market value $51,000,905) .............. 50,000,000
70,000,000 Merrill Lynch & Co., 6.45%, 7/5/00 (dated 6/26/00,
collateralized by $71,401,740 U.S. Treasury
Strips 1, 5.25% to 10.625% due from 2/15/08
to 2/15/29, market value $71,401,740) ........... 70,000,000
67,000,000 Morgan Stanley Dean Witter &Co., 6.30%, 8/7/00
(dated 6/30/00, collateralized by
$67,327,399 U.S. Treasury Note, 7.875% due
8/15/01, market value $66,738,792) .............. 67,000,000
See Notes to Financial Statements.
--------------------------------------------------------------------------------
30
<PAGE>
Treasury Money Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
$70,000,000 Salomon Smith Barney, 6.32%, 7/5/00
(dated 6/20/00, collateralized by
$70,014,618 U.S. Treasury Note, 5.875% due
11/15/04, market value $70,000,160) ............. $ 70,000,000
70,000,000 UBS Warburg Llc, 6.45%, 9/12/00 (dated 6/29/00,
collateralized by $71,401,862 U.S. Treasury
Strip 1, 6.283% due 2/15/12, market value
$71,401,862) .................................... 70,000,000
250,000,000 Westdeutsche Landesbank, 6.55%, 7/03/00 (dated 6/30/00,
collateralized by $143,682 U.S. Treasury
Note, 6.375% due 1/31/02, market value
$142,774 and $249,856,842 U.S. Treasury
Bonds, 7.50% to 14.25% due from 2/15/02 to
11/15/18, market value $248,751,174) ............ 250,000,000
-------------
TOTAL REPURCHASE AGREEMENTS
(Amortized Cost $1,254,347,857) ............................. 1,254,347,857
--------------
TOTAL INVESTMENTS
(Amortized Cost $1,559,167,037) ..................... 99.7% 1,559,167,037
OTHER ASSETS IN EXCESS OF LIABILITIES .................. 0.3 5,153,358
----- --------------
NET ASSETS ............................................. 100.0% $1,564,320,395
===== ==============
--------------------------------------------------------------------------------
1 Reflects rate as of June 30, 2000 .
2 Market value disclosed for collateral on repurchase agreements is as of June
30, 2000. The term repurchase agreements are subject to a seven day demand
feature.
See Notes to Financial Statements.
--------------------------------------------------------------------------------
31
<PAGE>
Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
<TABLE>
<CAPTION>
JUNE 30, 2000
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments at Amortized Cost .. $7,732,765,470 $ 91,925,314 $ 127,168,235 $1,559,167,037
Cash ........................... 1,328,675 66,484 54,708 938,818
Interest Receivable ............ 30,035,483 684,494 903,235 4,501,045
-------------- -------------- -------------- --------------
Total Assets ...................... 7,764,129,628 92,676,292 128,126,178 1,564,606,900
-------------- -------------- -------------- --------------
LIABILITIES
Payable for Securities Purchased -- 4,071,346 7,744,509 --
Due to Bankers Trust ........... 1,352,578 11,396 20,190 279,631
Accrued Expenses and Other ..... 7,022 12,470 27,450 6,874
-------------- -------------- -------------- --------------
Total Liabilities ................. 1,359,600 4,095,212 7,792,149 286,505
-------------- -------------- -------------- --------------
NET ASSETS ........................ $7,762,770,028 $ 88,581,080 $ 120,334,029 $1,564,320,395
============== ============== ============== ==============
COMPOSITION OF NET ASSETS
Paid-in Capital ................ $7,762,770,028 $ 88,581,080 $ 120,334,029 $1,564,320,395
-------------- -------------- -------------- --------------
NET ASSETS ..................... $7,762,770,028 $ 88,581,080 $ 120,334,029 $1,564,320,395
============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
32
<PAGE>
Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (Unaudited)
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 2000
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest ....................... $ 256,211,908 $ 1,550,081 $ 2,795,132 $ 51,261,007
------------- ------------- ------------- -------------
EXPENSES
Advisory Fees .................. 6,212,853 61,804 108,999 1,314,807
Administration and Services Fees 2,070,951 20,601 36,333 438,269
Professional Fees .............. 24,256 12,070 18,733 27,670
Trustees Fees .................. 2,011 1,862 2,225 1,581
Miscellaneous .................. 22,830 634 828 1,571
------------- ------------- ------------- -------------
Total Expenses .................... 8,332,901 96,971 167,118 1,783,898
Less: Fee Waivers and/or Expense
Reimbursements ................. (877,477) (15,433) (21,786) (29,482)
------------- ------------- ------------- -------------
Net Expenses ...................... 7,455,424 81,538 145,332 1,754,416
------------- ------------- ------------- -------------
NET INVESTMENT INCOME ............. 248,756,484 1,468,543 2,649,800 49,506,591
NET REALIZED GAIN (LOSS) FROM
INVESTMENT TRANSACTIONS ........ 103,564 (5,142) (6,220) (11,610)
------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS ..................... $ 248,860,048 $ 1,463,401 $ 2,643,580 $ 49,494,981
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
33
<PAGE>
Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1 1999 2000 1 1999
CASH MANAGEMENT NY TAX FREE MONEY
---------------------------------- ------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............. $ 248,756,484 $ 356,274,468 $ 1,468,543 $ 2,511,544
Net Realized Gain (Loss) from
Investment Transactions .......... 103,564 441,562 (5,142) --
---------------- ---------------- ---------------- ----------------
Net Increase in Net Assets from
Operations ......................... 248,860,048 356,716,030 1,463,401 2,511,544
---------------- ---------------- ---------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ..... 25,538,301,927 39,802,568,271 117,640,092 242,825,826
Value of Capital Withdrawn ......... (24,125,109,313) (39,522,819,924) (104,574,110) (249,339,971)
---------------- ---------------- ---------------- ----------------
Net Increase (Decrease) in Net
Assets from Capital
Transactions ..................... 1,413,192,614 279,748,347 13,065,982 (6,514,145)
---------------- ---------------- ---------------- ----------------
TOTAL INCREASE (DECREASE) IN
NET ASSETS ......................... 1,662,052,662 636,464,377 14,529,383 (4,002,601)
NET ASSETS
Beginning of Period ................ 6,100,717,366 5,464,252,989 74,051,697 78,054,298
---------------- ---------------- ---------------- ----------------
End of Period ...................... $ 7,762,770,028 $ 6,100,717,366 $ 88,581,080 $ 74,051,697
================ ================ ================ ================
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
34
<PAGE>
Portfolios
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1 1999 2000 1 1999
TAX FREE MONEY TREASURY MONEY
---------------------------------- ----------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income .............. $ 2,649,800 $ 4,449,304 $ 49,506,591 $ 102,397,213
Net Realized Loss from
Investment Transactions .......... (6,220) (11,949) (11,610) (23,699)
--------------- --------------- --------------- ---------------
Net Increase in Net Assets from
Operations ......................... 2,643,580 4,437,355 49,494,981 102,373,514
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ..... 339,102,381 631,527,088 3,317,173,282 9,551,486,107
Value of Capital Withdrawn ......... (350,248,335) (708,729,284) (4,331,652,283) (9,163,201,635)
--------------- --------------- --------------- ---------------
Net Increase (Decrease) in Net
Assets from Capital
Transactions ..................... (11,145,954) (77,202,196) (1,014,479,001) 388,284,472
--------------- --------------- --------------- ---------------
TOTAL INCREASE (DECREASE) IN
NET ASSETS ......................... (8,502,374) (72,764,841) (964,984,020) 490,657,986
NET ASSETS
Beginning of Period ................ 128,836,403 201,601,244 2,529,304,415 2,038,646,429
--------------- --------------- --------------- ---------------
End of Period ...................... $ 120,334,029 $ 128,836,403 $ 1,564,320,395 $ 2,529,304,415
=============== =============== =============== ===============
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
--------------------------------------------------------------------------------
35
<PAGE>
Portfolios
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for each of the periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CASH MANAGEMENT FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 1 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ...................... $7,762,770 $6,100,717 $5,464,253 $4,039,725 $3,261,910 $2,615,932
Ratios to Average Net Assets:
Net Investment Income ............... 6.08%2 5.04% 5.37% 5.43% 5.27% 5.77%
Expenses After Waivers .............. 0.18%2 0.18% 0.18% 0.18% 0.18% 0.18%
Expenses Before Waivers ............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20%
</TABLE>
<TABLE>
<CAPTION>
NY TAX FREE MONEY FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 1 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ...................... $88,581 $74,052 $ 78,054 $85,611 $76,033 $70,933
Ratios to Average Net Assets:
Net Investment Income ............... 3.65%2 2.92% 3.17% 3.37% 3.18% 3.62%
Expenses After Waivers .............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20%
Expenses Before Waivers ............. 0.24%2 0.24% 0.25% 0.23% 0.25% 0.24%
</TABLE>
<TABLE>
<CAPTION>
TAX FREE MONEY FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 1 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ...................... $120,334 $128,836 $201,601 $150,879 $117,714 $119,703
Ratios to Average Net Assets:
Net Investment Income ............... 3.69%2 3.04% 3.26% 3.45% 3.34% 3.82%
Expenses After Waivers .............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20%
Expenses Before Waivers ............. 0.23%2 0.22% 0.24% 0.22% 0.24% 0.23%
</TABLE>
<TABLE>
<CAPTION>
TREASURY MONEY FOR THE SIX
MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31,
JUNE 30, 2000 1 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ...................... $1,564,320 $2,529,304 $2,038,646 $2,119,300 $1,979,713 $1,941,082
Ratios to Average Net Assets:
Net Investment Income ............... 5.72%2 4.76% 5.23% 5.29% 5.14% 5.58%
Expenses After Waivers .............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20%
Expenses Before Waivers ............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.21%
<FN>
--------------------------------------------------------------------------------
1 Unaudited.
2 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
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36
<PAGE>
Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio
and Treasury Money Portfolio (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 (the
"Act"), as amended, as open-end management investment companies. Each portfolio
was 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. VALUATION OF SECURITIES
Investments are valued at amortized cost, which is in accordance with Rule 2a-7
of the Investment Company Act of 1940.
C. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities 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. Expenses are recorded as incurred.
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 securities 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.
Each Portfolio may enter into tri-party repurchase agreements with
broker-dealers, and domestic banks. 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 accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
Actual results could differ from those estimates.
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37
<PAGE>
Portfolios
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 Portfolio in return
for a fee computed daily and paid monthly at an annual rate of .05% of each of
the Portfolios' average daily net assets.
Each Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolios pay Bankers Trust a fee computed daily and paid
monthly at an annual rate of .15% of each of the Portfolios' average daily net
assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of each Portfolio through April 30, 2001, to the extent necessary, to limit all
expenses based upon an annual rate of the average daily net assets of the
Portfolios. For the period ended June 30, 2000, the expenses of the respective
Portfolios were limited as follows:
ANNUAL
PORTFOLIO RATE
---------- ----------
Cash Management .18%
NY Tax Free Money .20%
Tax Free Money .20%
Treasury Money .20%
At June 30, 2000, the Portfolios were participants with other affiliated
entities in a revolving credit facility in the amount of $200,000,000, which
expires April 27, 2001. A commitment fee on the average daily amount of the
available commitment is payable on a quarterly basis and apportioned among all
participants based on net assets. No amounts were drawn down or outstanding for
these funds under the credit facility for the six months ended June 30, 2000.
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.
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38
<PAGE>
<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:
DEUTSCHE ASSET MANAGEMENT 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.
Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management, Inc. and Deutsche Asset
Management Investment Services Limited.
Cash Management CUSIP#s: 055922108
NY Tax Free Money 055922207
Tax Free Money 055922306
Treasury Money 055922405
COMBMONSA (06/00)
Distributed by:
ICC Distributors, Inc.
