<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------ --------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT - 24.88%
ABN Amro Bank:
$ 20,000,000 5.06%, 8/23/96................ $ 20,000,287
25,000,000 5.14%, 9/05/96................ 25,000,000
Bank of Montreal:
50,000,000 5.32%, 7/26/96................ 50,000,000
50,000,000 5.37%, 8/05/96................ 50,000,443
24,500,000 5.4378%, 9/03/96.............. 24,500,000
35,000,000 Banque Nationale de Paris,
5.34%, 7/17/96.............. 34,999,653
Bayerische Hypotheka:
25,000,000 5.39%, 8/05/96................ 25,000,322
25,000,000 5.36%, 8/05/96................ 25,000,000
25,000,000 5.44%, 8/12/96................ 25,000,265
Bayerische Vereinsbank:
25,000,000 5.36%, 7/03/96................ 24,999,937
30,000,000 5.33%, 7/12/96................ 30,000,062
1,000,000 5.35%, 9/03/96................ 999,784
Canadian Imperial Bank:
30,000,000 5.45%, 7/25/96................ 30,000,000
25,000,000 5.41%, 8/23/96................ 25,000,000
30,000,000 Commerzebank,
5.37%, 7/22/96.............. 30,000,174
Deutsche Bank:
18,000,000 5.37%, 7/11/96................ 18,000,101
20,000,000 5.05%, 8/27/96................ 20,000,000
24,000,000 5.52%, 10/25/96............... 24,000,747
National Westminster Bank:
13,500,000 5.36%, 7/10/96................ 13,500,067
25,000,000 5.40%, 8/21/96................ 25,000,000
12,000,000 5.39%, 9/10/96................ 11,997,860
21,500,000 NBD Bank,
5.42%, 8/19/96.............. 21,500,580
35,000,000 Rabobank,
5.37%, 8/05/96.............. 35,000,337
Sanwa Bank:
10,000,000 5.42%, 7/08/96................ 9,999,958
25,000,000 5.46%, 7/08/96................ 25,000,048
20,000,000 5.49%, 7/29/96................ 20,000,155
Societe Generale:
35,000,000 5.33%, 7/02/96................ 34,999,998
30,000,000 5.36%, 7/09/96................ 30,000,000
20,000,000 5.35%, 7/15/96................ 20,000,117
20,500,000 5.47%, 9/05/96................ 20,500,742
Sumitomo Bank:
22,000,000 5.42%, 7/02/96................ 22,000,000
9,000,000 5.44%, 7/03/96................ 8,999,979
12,000,000 5.48%, 7/24/96................ 12,000,076
25,000,000 Union Bank of Switzerland,
5.30%, 10/16/96............. 25,002,800
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------ --------------
<C> <S> <C>
$ 50,000,000 Wachovia Bank,
5.33%, 7/18/96.............. $ 49,999,239
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost - $868,003,731)........... 868,003,731
--------------
*COMMERCIAL PAPER - 48.45%
40,000,000 Abbey National Bank of North
America,
5.31%, 8/09/96.............. 39,769,900
50,000,000 Abbot Laboratories,
5.29%, 7/19/96.............. 49,867,750
25,000,000 ABN Amro Bank,
5.05%, 10/11/96............. 24,642,291
Asset Securitization
Cooperative Corp.:
20,000,000 5.28%, 7/31/96................ 19,912,000
25,000,000 5.37%, 8/09/96................ 24,854,562
18,000,000 Associates Corp.,
5.40%, 7/26/96.............. 17,932,500
25,000,000 Banco Bilbao Vizcaya,
5.30%, 8/05/96.............. 24,871,180
10,000,000 Bank of America,
5.19%, 7/08/96.............. 9,989,908
19,500,000 Barclays,
5.28%, 8/22/96.............. 19,351,280
20,000,000 B.A.T. Capital Corp.,
5.35%, 7/15/96.............. 19,958,389
25,000,000 BHF Finance Delaware Inc.,
5.32%, 7/05/96.............. 24,985,222
BTR Dunlop:
27,460,000 5.27%, 7/08/96................ 27,431,861
25,000,000 5.33%, 8/06/96................ 24,866,750
25,000,000 5.41%, 9/04/96................ 24,755,798
18,000,000 5.42%, 9/04/96................ 17,823,850
30,000,000 Corporate Asset Funding Co.,
Inc.,
5.31%, 8/09/96.............. 29,827,425
25,000,000 Caisse des Amortissement de La
Dette Sociale,
5.37%, 8/21/96.............. 24,809,812
Caisse des Depots et
Consignations:
23,000,000 5.30%, 7/08/96................ 22,976,297
20,000,000 5.35%, 7/23/96................ 19,934,611
30,000,000 5.34%, 7/26/96................ 29,888,750
25,000,000 5.30%, 8/02/96................ 24,882,222
60,000,000 Commerzbank,
5.27%, 7/01/96.............. 60,000,000
Daimler Benz North America
Corp.:
23,500,000 5.28%, 7/09/96................ 23,472,426
20,000,000 5.26%, 8/16/96................ 19,865,577
10,207,000 5.47%, 11/07/96............... 10,006,934
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27
13
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------ --------------
<C> <S> <C>
$ 10,000,000 Delaware Funding Corp.,
5.37%, 7/15/96.............. $ 9,979,116
Dupont:
38,000,000 5.32%, 7/12/96................ 37,938,229
17,115,000 5.34%, 7/24/96................ 17,056,609
12,200,000 Eksportfinans,
5.30%, 9/18/96.............. 12,058,107
20,000,000 European Investment Bank,
5.30%, 7/29/96.............. 19,917,555
11,150,000 Ford Motor Credit Co.,
5.42%, 8/22/96.............. 11,062,708
19,000,000 Gannett Inc.,
5.33%, 7/19/96.............. 18,949,365
General Electric Capital
Corporation:
20,000,000 5.27%, 7/16/96................ 19,956,083
25,000,000 5.27%, 8/26/96................ 24,795,055
2,000,000 5.39%, 8/27/96................ 1,982,931
General Electric Capital
Services:
20,000,000 5.32%, 7/09/96................ 19,976,355
25,000,000 4.92%, 7/10/96................ 24,969,250
20,000,000 General Electric Company,
5.34%, 7/16/96.............. 19,955,500
Goldman Sachs Group L.P.:
40,000,000 5.33%, 7/11/96................ 39,940,777
25,000,000 5.33%, 8/05/96................ 24,870,451
International Lease Finance:
15,000,000 5.31%, 8/05/96................ 14,922,562
30,000,000 5.31%, 8/08/96................ 29,831,850
6,600,000 KFW International Finance
Inc.,
5.27%, 7/24/96.............. 6,577,778
Kingdom of Sweden:
35,000,000 4.97%, 7/01/96................ 35,000,000
1,431,000 5.31%, 8/22/96................ 1,420,024
30,000,000 5.00%, 8/30/96................ 29,750,000
10,500,000 5.27%, 10/18/96............... 10,332,457
10,000,000 5.46%, 11/27/96............... 9,775,533
30,000,000 5.47%, 11/27/96............... 29,320,808
McKenna Triangle National
Corp.:
22,000,000 5.31%, 8/06/96................ 21,883,180
25,000,000 5.32%, 8/16/96................ 24,830,056
Merill Lynch:
20,000,000 5.30%, 7/11/96................ 19,970,555
43,500,000 5.28%, 7/26/96................ 43,340,500
Monte dei Pashi di Siena:
20,000,000 5.32%, 7/11/96................ 19,970,444
8,000,000 5.40%, 8/16/96................ 7,944,800
Morgan Stanley Group Inc.:
25,000,000 5.29%, 7/10/96................ 24,966,937
40,000,000 5.32%, 7/12/96................ 39,934,977
12,000,000 5.33%, 7/12/96................ 11,980,456
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------ --------------
<C> <S> <C>
$ 10,000,000 5.29%, 7/16/96................ $ 9,977,958
35,000,000 5.06%, 8/02/96................ 34,842,577
National Rural Utility
Cooperative Financial Corp.:
20,000,000 5.29%, 7/19/96................ 19,947,100
10,000,000 5.30%, 7/26/96................ 9,963,194
25,000,000 NationsBank of North Carolina,
5.31%, 8/05/96.............. 24,870,937
17,150,000 Norfolk Southern Corp.,
5.35%, 8/20/96.............. 17,022,565
Norwest Corp.:
25,000,000 5.30%, 8/05/96................ 24,871,180
20,000,000 5.37%, 8/19/96................ 19,853,816
40,000,000 5.35%, 8/20/96................ 39,702,778
Pacific Dunlop Holdings Inc.:
13,500,000 5.35%, 7/09/96................ 13,483,950
10,000,000 5.40%, 7/30/96................ 9,956,500
5,500,000 Pitney Bowes Credit Corp.,
5.05%, 10/11/96............. 5,421,304
20,000,000 Province de Quebec,
5.18%, 7/12/96.............. 19,968,344
24,000,000 Prudential Funding Corp,
5.33%, 7/08/96.............. 23,975,127
Receivables Capital Corp.:
10,045,000 5.33%, 7/03/96................ 10,042,026
2,000,000 5.40%, 8/12/96................ 1,987,400
12,000,000 5.38%, 8/16/96................ 11,917,507
14,000,000 Riverwoods Funding Corp,
5.28%, 7/12/96.............. 13,977,413
14,000,000 TDK USA Corp.,
5.35%, 7/22/96.............. 13,956,308
30,000,000 USAA Capital Corp.,
5.30%, 8/08/96.............. 29,832,167
12,313,000 USL Captial,
5.35%, 7/16/96.............. 12,285,552
1,000,000 Weyerhauser Mortgage Co.,
5.40%, 9/06/96.............. 989,950
--------------
TOTAL COMMERCIAL PAPER
(Amortized Cost - $1,690,683,956)......... 1,690,683,956
--------------
EURODOLLAR TIME DEPOSIT - 19.94%
100,000,000 Abbey National,
5.563%, 7/01/96............. 100,000,000
ABN Amro Bank:
25,000,000 5.39%, 7/01/96................ 25,000,000
20,000,000 5.25%, 7/29/96................ 20,000,000
25,000,000 Banco Bilbao Vizcaya,
5.375%, 8/27/96............. 25,000,000
40,000,000 Bank of America Corp.,
5.40%, 9/03/96.............. 40,000,000
15,000,000 Bank of Scotland,
5.438%, 9/03/96............. 15,000,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27
14
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------ --------------
<C> <S> <C>
$ 45,000,000 Bank of Nova Scotia,
5.50%, 7/02/96.............. $ 45,000,000
Bank of Tokyo-Mitsubishi
Limited:
25,000,000 5.48%, 7/17/96................ 25,000,000
25,000,000 5.50%, 7/31/96................ 25,000,000
24,000,000 5.594%, 9/20/96............... 24,000,000
15,000,000 Banque Bruxelles Lambert,
5.1562%, 8/30/96............ 15,000,000
100,737,198 Canadian Imperial Bank,
5.375%, 7/01/96............. 100,737,198
20,000,000 Dresdner Bank,
5.50%, 9/18/96.............. 20,000,000
30,000,000 Generale Bank,
5.375%, 7/03/96............. 30,000,000
22,000,000 J. P. Morgan & Company,
5.01%, 8/19/96.............. 21,985,603
30,000,000 Rabobank,
5.375%, 7/02/96............. 30,000,000
25,000,000 Sanwa Bank,
5.48%, 7/24/96.............. 25,000,000
109,000,000 Suntrust,
5.375%, 7/01/96............. 109,000,000
--------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost - $695,722,801)........... 695,722,801
--------------
FLOATING RATE NOTES - 3.73%
American Express Centurion
Bank:
20,000,000 Variable Rate Monthly,
5.427%, 6/10/97............. 20,000,000
Bayerische Landesbank:
25,000,000 Variable Rate Monthly,
5.366%, 1/15/97............. 24,990,250
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------ --------------
<C> <S> <C>
General Electric Capital
Corporation:
$ 15,000,000 Variable Rate Quarterly,
5.50%, 12/17/96............. $ 15,000,000
Student Loan Marketing
Association,
25,000,000 Variable Rate Weekly,
5.43%, 9/28/98.............. 24,994,393
Wachovia Bank of North
Carolina:
20,000,000 Variable Rate Monthly,
5.332%, 3/03/97............. 20,000,000
25,000,000 Variable Rate Monthly,
5.355%, 4/25/97............. 24,981,091
--------------
TOTAL FLOATING RATE NOTES
(Amortized Cost - $129,965,734)........... 129,965,734
--------------
TRI-PARTY REPURCHASE
AGREEMENTS - 5.73%
200,000,000 Tri-Party Repurchase Agreement
with Chase Securities. Dated
6/28/96, 5.43%, principal
and interest in the amount
of $200,090,500 due 7/01/96
(Collateralized by Federal
National Mortgage
Association Obligations, par
value of $217,443,920,
composed of securities with
various coupons from 6.50%
to 11.00% maturing 12/01/97
to 6/1/26, value of
$204,003,818.).............. 200,000,000
--------------
TOTAL TRI-PARTY REPURCHASE AGREEMENTS
(Amortized Cost - $200,000,000)........... 200,000,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Amortized Cost -
$3,584,376,222)................ 102.73% 3,584,376,222
Liabilities in Excess of Other
Assets......................... (2.73)% (95,120,542)
-------- --------------
NET ASSETS....................... 100.00% $3,489,255,680
-------- --------------
-------- --------------
</TABLE>
- ------------------
*Interest Rate for Commercial Paper represents Discount Rate at the time of
purchase.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27
15
<PAGE>
- --------------------------------------------------------------------------------
NY TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION (B) VALUE
- ----------- --------------------------------------------------------------------------------------- ------------
<C> <S> <C>
NEW YORK: 96.67%
$ 1,300,000 Buffalo, New York, G.O., RANS, Series A, (LOC: Landesbank Hessen, New York), 4.20%,
7/16/96.............................................................................. $ 1,300,418
1,100,000 Erie County, New York, G.O., RANS, (LOC: Union Bank of Switzerland), 4.50%, 9/20/96.... 1,101,523
4,100,000 Great Neck North, New York Water Authority Water System Revenue, Series A, (FGIC
Insured), Variable Rate Weekly Demand Note, 2.85%, 1/01/20 (a)....................... 4,100,000
2,000,000 Huntington, New York, G.O., UFSD, TANS, 4.25%, 6/24/97................................. 2,008,480
2,000,000 Metropolitan Transportation Authority, New York, Series F,
8.375%, 7/01/16, Prerefunded 7/01/96 @ 102........................................... 2,040,000
500,000 Metropolitan Transportation Authority, New York, Series G,
8.00%, 7/01/12, Prerefunded 7/01/96 @ 102............................................ 510,000
690,000 Monroe County, New York, G.O., 4.50%, 6/01/97.......................................... 694,768
1,600,000 Montgomery County, New York, I.D.A., Service Merchandise Co., (LOC: Canadian Imperial
Bank ), Variable Rate Monthly Demand Note, 3.60%, 12/31/24 (a)....................... 1,600,000
1,000,000 New York City, New York, G.O., Series B, (Escrowed to Maturity), 4.15%, 8/15/96........ 1,000,648
510,000 New York City, New York, G.O., Series D, 8.50%, 8/01/02, Prerefunded 8/01/96 @ 102..... 522,313
100,000 New York City, New York, G.O., (LOC: Dai-Ichi Kangyo), Variable Rate Daily Demand Note,
3.80%, 8/15/18 (a)................................................................... 100,000
700,000 New York City, New York, G.O., (LOC: Sanwa Bank), Variable Rate Daily Demand Note,
3.80%, 8/15/17 (a)................................................................... 700,000
100,000 New York City, New York, G.O., (LOC: Sumitomo Bank), Variable Rate Daily Demand Note,
4.00%, 8/01/17 (a)................................................................... 100,000
2,500,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, (Insured FGIC), Variable Rate Daily Demand Note, 3.75%, 6/15/25 (a)......... 2,500,000
1,225,000 New York State Dormitory Authority Revenue, State University Dormitory Facility,
(Escrowed to Maturity), 3.70%, 7/01/96............................................... 1,225,000
3,100,000 New York State Energy Research & Development Authority, P.C.R., Lilco Project, (LOC:
Deutsche Bank), 3.25%, 3/01/16, Mandatory Put 3/01/97................................ 3,100,000
2,500,000 New York State Energy Research & Development Authority, P.C.R., New York Electric and
Gas, (LOC: Union Bank of Switzerland), Variable Rate Daily Demand Note, 3.50%,
10/01/29 (a)......................................................................... 2,500,000
3,100,000 New York State Energy Research & Development Authority, P.C.R., Niagra Mohawk Power,
Series A, (LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note, 3.70%,
7/01/15 (a).......................................................................... 3,100,000
7,650,000 New York State Energy Research & Development Autority, P.C.R., Orange/Rockland Utility,
(AMBAC Insured), Variable Rate Weekly Demand Note, 3.10%, 8/01/15 (a)................ 7,650,000
3,000,000 New York State Energy Research & Development Authority, P.C.R., Rochester Gas and
Electric, (LOC: Bank of New York), Variable Rate Monthly Demand Note, 3.45%, 10/01/14
(a).................................................................................. 3,000,000
2,500,000 New York State, G.O., Series Q, Tax-Exempt Commercial Paper, 3.50%, 7/17/96............ 2,500,000
1,500,000 New York State, G.O., Series R, Tax-Exempt Commercial Paper, 3.65%, 8/06/96............ 1,500,000
1,500,000 New York State, G.O., Series S, Tax-Exempt Commercial Paper, 3.60%, 7/09/96............ 1,500,000
2,080,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, (LOC: Chemical
Bank), Variable Rate Weekly Demand Note, 3.00%, 11/01/10 (a)......................... 2,080,000
675,000 New York State Job Development Authority, (LOC: Sumitomo Bank), Variable Rate Monthly
Demand Note, 3.67%, 3/01/99 (a)...................................................... 675,000
1,555,000 New York State Job Development Authority, (LOC: Sumitomo Bank), Variable Rate Monthly
Demand Note, 4.00%, 3/01/00 (a)...................................................... 1,555,000
5,600,000 New York State Local Government Assistance, Series A, (LOC: Credit Suisse, Union Bank
of Switzerland), Variable Rate Weekly Demand Note, 3.10%, 4/01/22 (a)................ 5,600,000
5,300,000 New York State Local Government Assistance, Series G, (LOC: National Westminster),
Variable Weekly Demand Note, 3.10%, 4/01/25 (a)...................................... 5,300,000
1,800,000 Onondaga County, New York, I.D.A., (LOC: Banque Nationale De Paris), Variable Rate
Monthly Demand Note, 3.40%, 11/13/98 (a)............................................. 1,800,000
700,000 Oyster Bay, New York, G.O., 3.75%, 2/15/97............................................. 701,058
</TABLE>
See Notes to Financial Statements on page 27
16
<PAGE>
- --------------------------------------------------------------------------------
NY TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION (B) VALUE
- ----------- --------------------------------------------------------------------------------------- ------------
<C> <S> <C>
$ 2,800,000 Seneca County, New York, I.D.A., New York Chiropractic College, (LOC: Barclays Bank),
Variable Rate Weekly Demand Note, 3.15%, 10/01/21 (a)................................ $ 2,800,000
500,000 Suffolk County, New York, I.D.A., Photronics Corporate Facility, (LOC: Morgan Guaranty
Trust), Variable Rate Daily Demand Note, 3.55%, 1/01/98 (a).......................... 500,000
2,500,000 Triborough Bridge and Tunnel Authority, Series K, 8.25%, 1/01/17, Prefunded 1/01/97 @
102.................................................................................. 2,605,773
1,000,000 Westchester County, New York, G.O., TANS, 3.75%, 12/11/96.............................. 1,002,833
------------
TOTAL NEW YORK OBLIGATIONS (Amortized Cost $68,972,814)............................................. 68,972,814
------------
PUERTO RICO: 6.08%
3,000,000 Puerto Rico Commonwealth Government Development Bank, (LOC: Credit Suisse), Variable
Rate Weekly Demand Note, 3.00%, 12/01/15 (a)......................................... 3,000,000
1,335,000 Puerto Rico Industrial Medical and Environmental Pollution Control Facilities Financing
Authority Revenue, (LOC: Bank of Tokyo), Variable Rate Weekly Demand Note, 3.15%,
12/01/15 (a)......................................................................... 1,335,000
------------
TOTAL PUERTO RICO OBLIGATIONS (Amortized Cost $4,335,000)........................................... 4,335,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS - (Amortized Cost $73,307,814).......................................... 102.75% 73,307,814
Liabilities in Excess of Other Assets..................................................... (2.75)% (1,963,496)
-------- -----------
NET ASSETS................................................................................ 100.00% $71,344,318
-------- -----------
-------- -----------
</TABLE>
- ----------------
(a) Securities payable on demand, secured by bank Letters of
Credit or other bank credit agreements. This interest rate, which will
change periodically, is based on bank prime rates or an index of market
interest rates.
(b) The following abbreviations are used in portfolio
descriptions:
<TABLE>
<S> <C> <C>
AMBAC - American Municipal Bond Assurance
Corporation
FGIC - Financial Guaranty Insurance
Corporation
G.O. - General Obligation
I.D.A. - Industrial Development Authority
LOC - Letter of Credit
P.C.R. - Pollution Control Revenue
RANS - Revenue Anticipation Notes
TANS - Tax Anticipation Notes
UFSD - Union Free School District
</TABLE>
See Notes to Financial Statements on page 27
17
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION (B) VALUE
- ----------- -------------------------------------------------------------------------------------- -------------
<C> <S> <C>
ARIZONA: 5.20%
$ 2,000,000 Chandler, Arizona, I.D.A., (LOC: National Westminster), Variable Rate Monthly Demand
Note, 3.70%, 12/15/09 (a)........................................................... $ 2,000,000
3,100,000 Pinal County, Arizona, I.D.A., P.C.R., Newmont, (LOC: National Westminster), Variable
Rate Daily Demand Note, 3.60%, 12/01/09 (a)......................................... 3,100,000
1,200,000 Pinal County, Arizona, I.D.A., P.C.R., Newmont Series A, (LOC: National Westminster),
Variable Rate Daily Demand Note, 3.60%, 12/01/09 (a)................................ 1,200,000
-------------
6,300,000
-------------
CALIFORNIA: 2.02%
2,450,000 Los Angeles County TRANS, (LOC: Bank of America, Credit Suisse, Morgan Guaranty, Swiss
Bank, Union Bank of Switzerland, West Deutsche Bank), 4.50%, 7/01/96................ 2,450,000
-------------
CONNECTICUT: 2.47%
3,000,000 Connecticut Unemployment Compensation Revenue Bonds, (FGIC Insured) 3.90%, 11/15/01,
Mandatory Put 7/01/96............................................................... 3,000,000
-------------
FLORIDA: 15.68%
200,000 Dade County, Florida, Housing Finance Authority, Bermuda Villas, Series K, (LOC: John
Hancock Insurance), Variable Rate Weekly Demand Note, 3.35%, 2/01/05 (a)............ 200,000
1,200,000 Dade County, Florida, Housing Finance Authority, Cutler Club Apartments, Series J,
(LOC: John Hancock Insurance), Variable Rate Weekly Demand Note, 3.35%, 2/01/05
(a)................................................................................. 1,200,000
3,000,000 Dade County, Florida, Housing Finance Authority, Nob Hill Project, Series 1, (LOC:
John Hancock Insurance), Variable Rate Weekly Demand Note, 3.35%, 8/01/05 (a)....... 3,000,000
3,000,000 Florida Housing Finance Agency, River Oaks, (LOC: Citibank), Variable Rate Weekly
Demand Note, 3.40%, 12/01/07 (a).................................................... 3,000,000
3,400,000 Palm Beach County, Florida, Water and Sewer Revenue, (LOC: Sanwa Bank), Variable Rate
Daily Demand Note, 3.75%, 10/01/11 (a).............................................. 3,400,000
3,700,000 Pinellas County, Florida, Health Facility Authority Revenue, Pooled Hospital Loan
Program, (LOC: Chemical Bank), Variable Rate Daily Demand Note, 3.60%, 12/01/15
(a)................................................................................. 3,700,000
1,500,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial
Paper, (LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland)
3.55%, 7/10/96...................................................................... 1,500,000
2,000,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial
Paper, (LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland)
3.65%, 7/12/96...................................................................... 2,000,000
1,000,000 Sunshine State, Florida, Governmental Financing Commission, Tax-Exempt Commercial
Paper, (LOC: Morgan Guaranty, National Westminster, Union Bank of Switzerland)
3.50%, 8/12/96...................................................................... 1,000,000
-------------
19,000,000
-------------
HAWAII: 3.76%
1,500,000 Hawaii State, G.O., Series BJ,
6.75%, 12/01/97, Prerefunded 12/01/96 @ 101.50...................................... 1,540,423
2,000,000 Honolulu Hawaii City and County, G.O., Series A,
(Escrowed to Maturity), 5.80%, 8/01/96.............................................. 2,003,415
1,000,000 Honolulu Hawaii City and County, G.O., Series B,
(Escrowed to Maturity), 6.90%, 10/01/96............................................. 1,008,452
-------------
4,552,290
-------------
</TABLE>
See Notes to Financial Statements on page 27
18
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION (B) VALUE
- ----------- -------------------------------------------------------------------------------------- -------------
<C> <S> <C>
ILLINOIS: 2.06%
$ 1,300,000 Burbank, Illinois, I.D.R., (LOC: Canadian Imperial Bank), Variable Rate Monthly Demand
Note, 3.60%, 9/15/24 (a)............................................................ $ 1,300,000
1,200,000 Chicago, Illinois, G.O., Tender Notes, Series B, (LOC: Morgan Guaranty), 3.65%,
10/31/96............................................................................ 1,200,000
-------------
2,500,000
-------------
IOWA: 5.85%
2,700,000 Des Moines, Iowa, C.D.A., East Grand Office Park Project, (Guaranteed by Principal
Financial Group), Variable Rate Monthly Demand Note, 3.90%, 4/01/15 (a)............. 2,700,000
1,500,000 Osceola, Iowa, I.D.R., Babson Brother Company Project, (LOC: Bank of New York),
Variable Rate Weekly Demand Note, 3.30%, 12/01/96 (a)............................... 1,500,000
2,895,000 Urbandale, Iowa, I.D.R., Meredith Drive Associates, (Guaranteed by Principal Financial
Group), Variable Rate Monthly Demand Note, 3.90%, 11/01/15 (a)...................... 2,895,000
-------------
7,095,000
-------------
KANSAS: 2.23%
1,400,000 Fairway, Kansas, I.D.R., J.C. Nichols Project, (Guaranteed by Principal Mutual
Insurance), Variable Rate Monthly Demand Note, 3.90%, 11/01/14 (a).................. 1,400,000
1,300,000 Prairie Village, Kansas Multi-Family Revenue, J.C. Nichols Project, (Guaranteed by
Principal Financial Group), Variable Rate Monthly Demand Note, 3.90%, 12/01/15
(a)................................................................................. 1,300,000
-------------
2,700,000
-------------
LOUISIANA: 0.83%
1,000,000 Jefferson Parish, Louisiana Hospital Revenue, West Jefferson Medical Center, (LOC:
Rabobank Nederland), Variable Rate Weekly Demand Note, 3.50%, 1/01/26 (a)........... 1,000,000
-------------
MASSACHUSETTS: 4.64%
5,600,000 Massachusetts State, Series A, 4.25%, 6/10/97......................................... 5,620,014
-------------
MICHIGAN: 3.31%
4,000,000 Michigan State, G.O., 4.00%, 9/30/96.................................................. 4,006,075
-------------
MISSOURI: 2.89%
2,200,000 Kansas City, Missouri, I.D.A., Coach House Project, (Guaranteed by Principal
Financial), Variable Rate Monthly Demand Note, 3.90%, 12/01/15 (a).................. 2,200,000
1,300,000 St. Louis, Missouri, I.D.A., Cedar Run Apartments Project, (LOC: John Hancock
Insurance), Variable Rate Weekly Demand Note, 3.35%, 2/01/07 (a).................... 1,300,000
-------------
3,500,000
-------------
NEW HAMPSHIRE: 0.25%
300,000 New Hampshire State, I.D.A., (LOC: Union Bank of Switzerland), Variable Rate Monthly
Demand Note, 3.65%, 7/01/13 (a)..................................................... 300,000
-------------
</TABLE>
See Notes to Financial Statements on page 27
19
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION (B) VALUE
- ----------- -------------------------------------------------------------------------------------- -------------
<C> <S> <C>
NEW YORK: 21.52%
$ 2,900,000 New York City, New York, G.O., (LOC: Dai-Ichi Kangyo), Variable Rate Daily Demand
Note, 3.80%, 8/15/19 (a)............................................................ $ 2,900,000
500,000 New York City, New York, G.O., (LOC: Sanwa Bank ), Variable Rate Daily Demand Note,
3.65%, 8/01/17 (a).................................................................. 500,000
100,000 New York City, New York, G.O., (LOC: Sanwa Bank ), Variable Rate Daily Demand Note,
3.80%, 8/15/17 (a).................................................................. 100,000
500,000 New York City, New York, G.O., (LOC: Sumitomo Bank), Variable Rate Daily Demand Note,
4.00%, 8/01/16 (a).................................................................. 500,000
4,700,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue, Series A, (Insured FGIC), Variable Rate Daily Demand, 3.75%, 6/15/25 (a)... 4,700,000
2,500,000 New York State Energy Research and Development Authority, P.C.R., New York Electric
and Gas, (LOC: Union Bank of Switzerland), Variable Rate Daily Demand Note, 3.50%,
10/01/29 (a)........................................................................ 2,500,000
3,100,000 New York State Energy Research and Development Authority, P.C.R., Niagara Mohawk
Power, Series A, (LOC: Toronto Dominion), Variable Rate Daily Demand Note, 3.70%,
7/01/15 (a)......................................................................... 3,100,000
2,000,000 New York State, G.O., Series R, Tax-Exempt Commercial Paper, 3.65%, 7/22/96........... 2,000,000
2,000,000 New York State, G.O., Series R, Tax-Exempt Commercial Paper, 3.55%, 7/25/96........... 2,000,000
4,500,000 New York State Local Assistance, Series A, (LOC: Credit Suisse, Union Bank of
Switzerland), Variable Rate Weekly Demand Note, 3.10%, 4/01/22 (a).................. 4,500,000
2,185,000 Triborough Bridge and Tunnel Authority, Series K,
8.25%, 1/01/17, Prerefunded 1/01/97 @ 102........................................... 2,277,699
1,000,000 Westchester County, New York, TANS, 3.75%, 12/11/96................................... 1,002,832
-------------
26,080,531
-------------
OHIO: 4.62%
5,600,000 Cuyahoga County, Ohio, Hospital Revenue, University Hospital Cleveland, (LOC: Dai-Ichi
Kangyo), Variable Daily Demand Note, 3.75%, 1/01/16 (a)............................. 5,600,000
-------------
PENNSYLVANIA: 0.58%
700,000 Lehigh County, Pennsylvania, I.D.R., Allegheny Electric, (LOC:Rabobank Nederland),
Variable Rate Monthly Demand Note, 3.65%, 6/01/14 (a)............................... 700,000
-------------
PUERTO RICO: 0.82%
1,000,000 Puerto Rico Commonwealth Government Development Bank, (LOC: Credit Suisse), Variable
Rate Weekly Demand Note, 3.05%, 12/01/15 (a)........................................ 1,000,000
-------------
RHODE ISLAND: 3.71%
4,400,000 Rhode Island Depositors Economic Protection, Series A,
7.25%, 8/01/21, Prefunded 8/01/96 @ 102............................................. 4,500,925
-------------
TEXAS: 9.01%
1,600,000 Texas Small Business, I.D.R., Texas Public Facilities, (LOC: Credit Suisse, National
Westminster), Variable Rate Weekly Demand Note, 3.15%, 7/01/26 (a).................. 1,600,000
9,300,000 Texas State, TRANS, Series A, 4.75%, 8/30/96.......................................... 9,313,243
-------------
10,913,243
-------------
VERMONT: 3.91%
4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion), Variable Rate
Monthly Demand Note, 3.70%, 12/01/13 (a)............................................ 4,735,000
-------------
</TABLE>
See Notes to Financial Statements on page 27
20
<PAGE>
- --------------------------------------------------------------------------------
TAX FREE MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION (B) VALUE
- ----------- -------------------------------------------------------------------------------------- -------------
<C> <S> <C>
WASHINGTON: 3.63%
$ 4,400,000 Chelan County, Washington, Public Utility District 1, (Insured by MBIA), Variable Rate
Weekly Demand Note, 3.00%, 6/01/15 (a).............................................. $ 4,400,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS - (Amortized Cost $119,953,078)......................................... 98.99% 119,953,078
Other Assets less Liabilities............................................................. 1.01% 1,218,822
------- ------------
NET ASSETS................................................................................ 100.00% $121,171,900
------- ------------
------- ------------
</TABLE>
- ----------------
(a) Securities payable on demand, secured by bank Letters of
Credit or other bank credit agreements. This interest rate, which will
change periodically, is based on bank prime rates or an index of market
interest rates.
(b) The following abbreviations are used in portfolio
descriptions:
<TABLE>
<S> <C> <C>
C.D.A. - Community Development Authority
FGIC - Financial Guaranty Insurance
Corporation
G.O. - General Obligation
I.D.A. - Industrial Development Authority
I.D.R. - Industrial Development Revenue
LOC - Letter of Credit
MBIA - Municipal Bond Investors Assurance
Corporation
P.C.R. - Pollution Control Revenue
TRANS - Tax Revenue Anticipation Notes
</TABLE>
See Notes to Financial Statements on page 27
21
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- --------------------------- -------------
<C> <S> <C>
U.S. TREASURY SECURITIES - 38.45%
*U.S. TREASURY BILLS - 17.65%
$125,000,000 5.976%, 9/05/96 (a)........ $ 123,859,667
50,000,000 5.00%, 9/12/96............. 49,481,396
117,000,000 5.097%, 9/19/96 (a)........ 115,671,233
-------------
289,012,296
-------------
U.S. TREASURY NOTES - 20.80%
125,000,000 6.125%, 7/31/96............ 125,085,449
65,000,000 6.50%, 9/30/96............. 65,226,854
150,000,000 6.812%, 11/15/96........... 150,150,103
-------------
340,462,406
-------------
TOTAL U.S. TREASURY
SECURITIES
(Amortized Cost
$629,474,702)............ 629,474,702
-------------
REPURCHASE AGREEMENTS - 61.20%
50,000,000 Repurchase Agreement with
Bear
Stearns, dated 6/28/96,
5.35%,
principal & interest in
the amount of
$50,022,292, Due 7/01/96
(Collateralized by U.S.
Treasury Bills, par value
of $50,000,000, due
12/05/96, value of
$48,885,000; par value of
$2,285,000, due 6/26/97,
value of $2,162,296)..... 50,000,000
52,000,000 Tri-Party Repurchase
Agreement with Chase
Manhattan Bank Corp.,
dated 6/28/96, 5.10%,
principal and interest in
the amount of
$52,022,100, due 7/01/96,
(Collateralized by U.S.
Treasury Note, par value
of $12,335,000, 6.00%,
due 8/31/97, value of
$12,584,042; U.S.
Treasury Note, par value
of $39,465,000, 7.375%,
due 11/15/97, value of
$40,527,301)............. 52,000,000
175,000,000 Open Tri-Party Repurchase
Agreement with Chase
Manhattan Bank Corp.,
dated 6/28/96, Coupon
Rate from 5.38% to 5.51%,
due, 7/04/96, value of
$175,185,452,
(Collateralized by U.S.
Treasury Note, par value
of $81,485,000, 7.375%,
due 11/15/97, value of
$82,961,916; U.S.
Treasury Note, par value
of $93,685,000, 5.875%,
due 8/15/98, value of
$95,178,320)............. 175,000,000
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- --------------------------- -------------
<C> <S> <C>
$70,000,000 Tri-Party Repurchase
Agreement with Goldman
Sachs & Co., dated
6/28/96, 5.70%, principal
& interest in the amount
of $70,033,250, due
7/01/96, (Collateralized
by U.S. Treasury Note,
par value of $71,720,000,
5.375%, due 11/30/97,
value of $71,441,057).... $ 70,000,000
200,000,000 Open Tri-Party Repurchase
Agreement with HSBC,
dated 6/27/96, 5.15% to
5.50%, due 7/04/96, value
of $200,240,833,
(Collateralized by U.S.
Treasury Bonds, par value
$120,153,000, 6.00% to
9.125%, due from 8/15/17
to 2/15/26, value of
$138,931,732, U.S.
Treasury Notes, par value
of $41,129,000, 6.25% to
8.00%, due from 5/15/01
to 2/15/03, value of
$43,483,014; U.S.
Treasury Strips, par
value of $107,037,000,
due from 8/15/11 to
8/15/25, value of
$21,585,588)............. 200,000,000
70,000,000 Repurchase Agreement with
J.P. Morgan, dated
6/28/96, 5.42%, principal
and interest in the
amount of $70,031,617,
Due 7/01/96
(Collateralized by U.S.
Treasury Notes, par value
of $66,342,000, 7.875%,
due 11/15/04 value of
$71,921,579)............. 70,000,000
70,000,000 Repurchase Agreement with
Sanwa Bank, Ltd., dated
6/28/96, 5.35%, principal
and interest in the
amount $70,031,208, due
7/01/96 (Collateralized
by U.S. Treasury Notes,
par value of $66,090,000
7.75%, due 12/31/99,
value of $71,410,988).... 70,000,000
</TABLE>
See Notes to Financial Statements on page 27
22
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- --------------------------- -------------
<C> <S> <C>
$225,000,000 Repurchase Agreement with
Swiss Bank Corp., dated
6/28/96, 5.50%, principal
& interest in the amount
of $225,103,125 Due
7/01/96 (Collateralized
by U.S. Treasury Strips
with total par values
$349,951,000, due from
2/15/02 to 2/15/03 with
an aggregate value of
$230,164,557............. $ 225,000,000
19,890,346 Repurchase Agreement with
Swiss Bank Corp., dated
6/28/96, 5.30%, principal
& interest in the amount
of $19,899,131, due
7/01/96 (Collateralized
by U.S. Treasury Notes,
par value of $20,163,000,
6.125%, due 5/31/97,
value of $20,320,487).... 19,890,346
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- --------------------------- -------------
<C> <S> <C>
$70,000,000 Repurchase Agreement with
Union Bank of
Switzerland, dated
6/28/96, 5.45%, principal
& interest in the amount
$70,031,792, due 7/01/96
(Collateralized by U.S.
Treasury Notes, par value
of $40,000,000, 5.125%,
due 3/31/98, value of
$39,885,989, par value of
$29,977,000, due 2/15/98,
Value of $31,308,710).... $ 70,000,000
-------------
TOTAL REPURCHASE AGREEMENTS
(Amortized Cost
$1,001,890,346).......... 1,001,890,346
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Amortized Cost
$1,631,365,048)............ 99.65% 1,631,365,048
Other Assets less
Liabilities................ 0.35% 5,641,967
------- --------------
NET ASSETS................... 100.00% $1,637,007,015
------- --------------
------- --------------
</TABLE>
- ----------------
(a) Weighted Average Coupon
* Interest Rate for U.S. Treasury Bills represents Discount Rate at the time of
purchase.
See Notes to Financial Statements on page 27
23
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
--------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at Value................... $ 3,584,376,222 $ 73,307,814 $ 119,953,078 $ 1,631,365,048
Cash.................................... -- 220,782 89,190 --
Interest Receivable..................... 8,397,876 533,354 1,152,129 6,032,661
Prepaid Expenses and Other.............. 12,238 341 1,639 6,335
--------------- ------------ ------------- ---------------
Total Assets................................ 3,592,786,336 74,062,291 121,196,036 1,637,404,044
--------------- ------------ ------------- ---------------
LIABILITIES
Due to Bankers Trust.................... 398,314 439 8,611 368,524
Payable for Securities Purchased........ 103,101,008 2,703,248 -- --
Accrued Expenses and Other.............. 31,334 14,286 15,525 28,505
--------------- ------------ ------------- ---------------
Total Liabilities........................... 103,530,656 2,717,973 24,136 397,029
--------------- ------------ ------------- ---------------
NET ASSETS.................................. $ 3,489,255,680 $ 71,344,318 $ 121,171,900 $ 1,637,007,015
--------------- ------------ ------------- ---------------
--------------- ------------ ------------- ---------------
COMPOSITION OF NET ASSETS
Paid-in Capital......................... $ 3,489,255,680 $ 71,344,318 $ 121,171,900 $ 1,637,007,015
--------------- ------------ ------------- ---------------
NET ASSETS, JUNE 30, 1996................... $ 3,489,255,680 $ 71,344,318 $ 121,171,900 $ 1,637,007,015
--------------- ------------ ------------- ---------------
--------------- ------------ ------------- ---------------
</TABLE>
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH NY TAX TAX FREE TREASURY
MANAGEMENT FREE MONEY MONEY MONEY
--------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest................................ $ 85,822,636 $ 1,440,959 $ 2,196,981 $ 50,461,513
--------------- ------------ ------------- ---------------
EXPENSES
Advisory................................ 2,364,512 63,533 93,168 1,419,119
Administration and Services............. 788,171 21,178 31,056 473,040
Professional............................ 14,958 10,213 12,878 10,852
Trustees................................ 1,405 1,483 1,458 1,246
Miscellaneous........................... 30,201 1,016 773 14,384
--------------- ------------ ------------- ---------------
Total Expenses.......................... 3,199,247 97,423 139,333 1,918,641
Less: Expenses Absorbed by Bankers
Trust................................. (361,832) (12,712) (15,109) (26,482)
--------------- ------------ ------------- ---------------
Net Expenses.......................... 2,837,415 84,711 124,224 1,892,159
--------------- ------------ ------------- ---------------
NET INVESTMENT INCOME....................... 82,985,221 1,356,248 2,072,757 48,569,354
--------------- ------------ ------------- ---------------
REALIZED GAIN (LOSS) ON INVESTMENTS......... 49,300 (691) (3,336) 148,185
--------------- ------------ ------------- ---------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS................................ $ 83,034,521 $ 1,355,557 $ 2,069,421 $ 48,717,539
--------------- ------------ ------------- ---------------
--------------- ------------ ------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27
24
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
CASH MANAGEMENT NY TAX FREE MONEY
--------------------------------- ---------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
JUNE 30, 1996 ENDED DECEMBER JUNE 30, 1996 ENDED DECEMBER
(UNAUDITED) 31, 1995 (UNAUDITED) 31, 1995
--------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income............ $ 82,985,221 $ 148,091,392 $ 1,356,248 $ 3,021,622
Net Realized Gain (Loss) from
Investments.................... 49,300 268,537 (691) (1,746)
--------------- ---------------- --------------- ----------------
Net Increase in Net Assets from
Operations......................... 83,034,521 148,359,929 1,355,557 3,019,876
--------------- ---------------- --------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested... 9,736,277,619 35,062,532,338 253,401,901 474,692,146
Value of Capital Withdrawn....... (8,947,102,165) (35,329,985,394) (254,345,976) (486,113,554)
--------------- ---------------- --------------- ----------------
Net Increase (Decrease) in Net Assets
from Capital Transactions.......... 789,175,454 (267,453,056) (944,075) (11,421,408)
--------------- ---------------- --------------- ----------------
CONTRIBUTION OF CAPITAL
Proceeds Contributed............. 1,113,488 -- -- --
--------------- ---------------- --------------- ----------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS............................. 873,323,463 (119,093,127) 411,482 (8,401,532)
NET ASSETS
Beginning of Period.................. 2,615,932,217 2,735,025,344 70,932,836 79,334,368
--------------- ---------------- --------------- ----------------
End of Period........................ $ 3,489,255,680 $2,615,932,217 $ 71,344,318 $ 70,932,836
--------------- ---------------- --------------- ----------------
--------------- ---------------- --------------- ----------------
<CAPTION>
TAX FREE MONEY TREASURY MONEY
--------------------------------- ---------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
JUNE 30, 1996 ENDED DECEMBER JUNE 30, 1996 ENDED DECEMBER
(UNAUDITED) 31, 1995 (UNAUDITED) 31, 1995
--------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income............ $ 2,072,757 $ 4,602,523 $ 48,569,354 $ 65,712,157
Net Realized Gain (Loss) from
Investments.................... (3,336) (25,049) 148,185 244,290
--------------- ---------------- --------------- ----------------
Net Increase in Net Assets from
Operations......................... 2,069,421 4,577,474 48,717,539 65,956,447
--------------- ---------------- --------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested... 512,286,185 802,388,131 6,837,775,030 12,489,163,533
Value of Capital Withdrawn....... (512,886,505) (797,670,460) (7,190,567,150) (11,496,812,976)
--------------- ---------------- --------------- ----------------
Net Increase (Decrease) in Net Assets
from Capital Transactions.......... (600,320) 4,717,671 (352,792,120) 992,350,557
--------------- ---------------- --------------- ----------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS............................. 1,469,101 9,295,145 (304,074,581) 1,058,307,004
NET ASSETS
Beginning of Period.................. 119,702,799 110,407,654 1,941,081,596 882,774,592
--------------- ---------------- --------------- ----------------
End of Period........................ $ 121,171,900 $ 119,702,799 $ 1,637,007,015 $1,941,081,596
--------------- ---------------- --------------- ----------------
--------------- ---------------- --------------- ----------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27
25
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CASH MANAGEMENT
--------------------------------------------------------
FOR THE SIX
MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1996 ------------------------------------------
(UNAUDITED) 1995 1994 1993 1992
------------ --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA & RATIOS:
Net Assets, End of Period (000's omitted)......... $3,489,256 $2,615,932 $2,735,025 $1,930,075 $1,438,688
Ratios to Average Net Assets
Net Investment Income........................... 5.26%* 5.77% 4.24% 3.06% 3.52%
Expenses........................................ 0.18%* 0.18% 0.18% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust....................................... 0.02%* 0.02% 0.02% 0.00%+ 0.00%+
</TABLE>
<TABLE>
<CAPTION>
NY TAX FREE MONEY
--------------------------------------------------------
FOR THE SIX
MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1996 ------------------------------------------
(UNAUDITED) 1995 1994 1993 1992
------------ --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA & RATIOS:
Net Assets, End of Period (000's omitted)......... $ 71,344 $ 70,933 $ 79,334 $ 104,188 $ 101,419
Ratios to Average Net Assets
Net Investment Income........................... 3.20%* 3.62% 2.60% 2.21% 2.90%
Expenses........................................ 0.20%* 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust....................................... 0.03%* 0.04% 0.03% 0.03% 0.03%
</TABLE>
<TABLE>
<CAPTION>
TAX FREE MONEY
--------------------------------------------------------
FOR THE SIX
MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1996 ------------------------------------------
(UNAUDITED) 1995 1994 1993 1992
------------ --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA & RATIOS:
Net Assets, End of Period (000's omitted)......... $ 121,172 $ 119,703 $ 110,408 $ 111,604 $ 157,634
Ratios to Average Net Assets
Net Investment Income........................... 3.34%* 3.82% 2.76% 2.50% 3.18%
Expenses........................................ 0.20%* 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust....................................... 0.02%* 0.03% 0.03% 0.02% 0.02%
</TABLE>
<TABLE>
<CAPTION>
TREASURY MONEY
--------------------------------------------------------
FOR THE SIX
MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1996 ------------------------------------------
(UNAUDITED) 1995 1994 1993 1992
------------ --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA & RATIOS:
Net Assets, End of Period (000's omitted)......... $1,637,007 $1,941,082 $ 882,775 $ 789,479 $1,408,114
Ratios to Average Net Assets
Net Investment Income........................... 5.13%* 5.58% 3.93% 2.93% 3.44%
Expenses........................................ 0.20%* 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust....................................... 0.00%* 0.01% 0.01% 0.01% 0.01%
</TABLE>
- ------------------
* Annualized
+ Less than 0.01% per share
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 27
26
<PAGE>
- --------------------------------------------------------------------------------
BT PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio
and Treasury Money Portfolio (each a "Portfolio", and collectively, the
"Portfolios") are registered under the Investment Company Act of 1940 ("the
Act"), as amended, as an open-end management investment company. The following
portfolios were organized as an unincorporated trust under the laws of New York
and commenced operations as follows:
<TABLE>
<CAPTION>
ORGANIZATION COMMENCEMENT OF
PORTFOLIO DATE OPERATION
- ----------------------------------- -------------- -----------------
<S> <C> <C>
Cash Management Portfolio.......... March 26, 1990 July 23, 1990
NY Tax Free Money Portfolio........ March 26, 1990 February 19, 1991
Tax Free Money Portfolio........... March 26, 1990 February 19, 1991
Treasury Money Portfolio........... March 26, 1990 July 23, 1990
</TABLE>
The Declaration of Trust permits the Board of Trustees (the "Trustees") to
issue beneficial interests in the Portfolios.
B. SECURITY VALUATION
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of each Portfolio's investments.
C. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
discount on investments. Realized gains and losses from securities transactions
are recorded on the identified cost basis.
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolios' Investment Advisers,
subject to the seller's agreement to repurchase such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
deposited with the Portfolios' custodian, and pursuant to the terms of the
repurchase agreement must have an aggregate market value greater than or equal
to the repurchase price plus accrued interest at all times. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the Portfolios will require the seller to deposit additional
collateral by the next business day. If the request for additional collateral is
not met, or the seller defaults on its repurchase obligation, the Portfolios
maintain the right to sell the underlying securities at market value and may
claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and
losses from the security transactions of the Portfolios are allocated pro rata
among the investors in the respective Portfolios at the time of such
determination.
D. FEDERAL INCOME TAXES
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
I. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
Each Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregated fees for
each of the respective Portfolios for the six months ended June 30, 1996:
<TABLE>
<CAPTION>
ADMIN. & ADMIN. &
SERVICES SERVICES
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ------------------------------- ----------- ---------------
<S> <C> <C>
Cash Management Portfolio...... 0.05 of 1% $ 788,171
NY Tax Free Money Portfolio.... 0.05 of 1% 21,178
Tax Free Money Portfolio....... 0.05 of 1% 31,056
Treasury Money Portfolio....... 0.05 of 1% 473,040
</TABLE>
Each Portfolio has entered into an Advisory Agreement with Bankers Trust.
Under this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolio's average
daily net assets. The following provides a table of annual rates and aggregated
fees for each of the respective Portfolios for the period ended June 30, 1996:
<TABLE>
<CAPTION>
ADVISORY
ADVISORY AGGREGATED
PORTFOLIO ANNUAL RATE FEES
- ------------------------------- ----------- --------------
<S> <C> <C>
Cash Management Portfolio...... 0.15 of 1% $2,364,512
NY Tax Free Money Portfolio.... 0.15 of 1% 63,533
Tax Free Money Portfolio....... 0.15 of 1% 93,168
Treasury Money Portfolio....... 0.15 of 1% 1,419,119
</TABLE>
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Portfolio, to the extent necessary, to limit all expenses based upon an
annual rate of the average daily net assets of the Portfolio. For the six months
ended June 30, 1996, the annual rates and the expense reductions for the
respective Portfolio is as follows:
<TABLE>
<CAPTION>
WAIVER AND
REIMBURSEMENT
PORTFOLIO ANNUAL RATE AMOUNT
- -------------------------------- ----------- -------------
<S> <C> <C>
Cash Management Portfolio....... 0.18 of 1% $ 361,832
NY Tax Free Money Portfolio..... 0.20 of 1% 12,712
Tax Free Money Portfolio........ 0.20 of 1% 15,109
Treasury Money Portfolio........ 0.20 of 1% 26,482
</TABLE>
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Investment Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.
In 1994, the Cash Management Portfolio sold certain structured notes carried
at par to an unrelated third party financial institution at par plus accrued
interest pursuant to a put agreement and that third party financial institution
immediately resold such securities to Bankers Trust New York Corporation, the
parent of the Adviser, at the same price, also, pursuant to a put agreement. As
a result of these transactions the Cash Management Portfolio's Statements of
Changes in Net Assets for the year ended December 31, 1994 reflects a realized
loss on the sale of these securities. For the year ended December 31, 1994 and
the six months ended June 30, 1996, Bankers Trust made capital contributions in
the amounts of $18,718,663 and $1,113,488, respectively.
27
