<PAGE> 1
CASH MANAGEMENT PORTFOLIO 9
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value $2,430,964,069
- ---------------------------------------------------------------------------------------------------------------
Cash 4
- ---------------------------------------------------------------------------------------------------------------
Interest Receivable 5,989,132
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 2,048
- ---------------------------------------------------------------------------------------------------------------
Total Assets 2,436,955,253
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 312,045
- ---------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 12,000,000
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 34,161
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 12,346,206
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $2,424,609,047
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $2,424,609,047
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $2,424,609,047
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 2
CASH MANAGEMENT PORTFOLIO 10
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Interest $75,434,159
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory Fee $1,870,985
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee 623,662
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 20,022
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 732
- ---------------------------------------------------------------------------------------------------------------
Insurance 1,319
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 24,328
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 2,541,048
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (295,866) 2,245,182
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 73,188,977
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 41,908
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $73,230,885
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 3
CASH MANAGEMENT PORTFOLIO 11
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================
For the six For the
months ended year ended
June 30, 1995 December
(unaudited) 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 73,188,977 $ 107,531,263
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 41,908 (21,679,797)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 73,230,885 85,851,466
- ---------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 16,449,298,574 29,684,647,236
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (16,832,945,756) (28,984,267,374)
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (383,647,182) 700,379,862
- ---------------------------------------------------------------------------------------------------------------
FROM CONTRIBUTION OF CAPITAL
- ---------------------------------------------------------------------------------------------------------------
Proceeds Contributed -- 18,718,663
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Contribution of Capital -- 18,718,663
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (310,416,297) 804,949,991
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 2,735,025,344 1,930,075,353
- ---------------------------------------------------------------------------------------------------------------
End of Period $ 2,424,609,047 $ 2,735,025,344
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 4
CASH MANAGEMENT PORTFOLIO 12
------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Cash Management Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the period
July 23, 1990
For the six (Commencement
months ended For the year ended December 31, of Operations)
June 30, 1995 ------------------------------------------------- to December
(unaudited) 1994 1993 1992 1991 31, 1990
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment
Income to Average Net Assets 5.87%* 4.24% 3.06% 3.52% 5.85% 7.90%*
Ratio of Expenses to
Average Net Assets 0.18%* 0.18% 0.20% 0.22% 0.25% 0.25%*
Decrease Reflected in Above
Ratio of Expenses to Average
Net Assets Due to Absorption
of Expenses by Bankers Trust 0.02%* 0.02% 0.00%+ 0.00%+ 0.01% 0.01%*
Net Assets, End of Period
(000's omitted) $2,424,609 $2,735,025 $1,930,075 $1,438,688 $934,402 $403,932
</TABLE>
* Annualized
+ Less than 0.01%
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 5
CASH MANAGEMENT PORTFOLIO 13
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C>
CERTIFICATES OF DEPOSIT - 24.07%
- -----------------------------------------------------------------------------------------------------------------------------------
Abbey National Bank:
$ 21,000,000 6.15%, 7/18/95 $ 21,000,407
19,000,000 6.04%, 8/22/95 18,999,945
4,000,000 5.95%, 9/12/95 4,000,369
- -----------------------------------------------------------------------------------------------------------------------------------
7,000,000 ABN Amro Bank, 6.31%, 10/10/95 7,002,787
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Bank of America, 6.19%, 10/13/95 25,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Bank of Nova Scotia, 6.00%, 11/14/95 25,009,446
- -----------------------------------------------------------------------------------------------------------------------------------
5,000,000 Bank of Scotland, 6.01%, 10/12/95 5,001,114
- -----------------------------------------------------------------------------------------------------------------------------------
Banque Nationale de Paris:
40,000,000 5.86%, 8/1/95 39,998,596
37,000,000 5.90%, 8/7/95 36,997,183
- -----------------------------------------------------------------------------------------------------------------------------------
24,500,000 Canadian Imperial Bank of Commerce, 5.9375%, 9/7/95 24,500,000
- -----------------------------------------------------------------------------------------------------------------------------------
Fuji Bank:
25,000,000 6.07%, 7/24/95 25,001,869
15,000,000 6.08%, 7/24/95 14,999,724
- -----------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Bank:
30,000,000 5.83%, 9/6/95 29,992,689
46,000,000 5.90%, 9/8/95 45,994,789
- -----------------------------------------------------------------------------------------------------------------------------------
National Westminster Bank:
14,000,000 6.09%, 7/28/95 14,000,403
35,000,000 5.96%, 8/29/95 35,000,568
- -----------------------------------------------------------------------------------------------------------------------------------
Sanwa Bank:
3,000,000 6.06%, 7/18/95 2,999,991
20,000,000 6.04%, 7/27/95 20,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
Societe Generale:
29,000,000 5.97%, 8/15/95 29,000,329
40,000,000 5.95%, 8/15/95 39,997,924
30,000,000 5.95%, 10/2/95 30,003,358
- -----------------------------------------------------------------------------------------------------------------------------------
Sumitomo Bank:
17,000,000 6.07%, 7/3/95 17,000,027
23,000,000 6.075%, 7/3/95 23,000,019
20,000,000 6.07%, 7/3/95 20,000,025
29,000,000 6.03%, 8/2/95 29,002,807
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $583,504,369) $ 583,504,369
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 6
CASH MANAGEMENT PORTFOLIO 14
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C> <C>
COMMERCIAL PAPER - 43.98%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 76,000,000 Abbey National Bank, 6.00%, 7/31/95 $ 75,620,000
- -----------------------------------------------------------------------------------------------------------------------------------
ABN Amro Bank:
45,000,000 6.00%, 7/11/95 44,925,000
24,250,000 6.18%, 8/21/95 24,037,691
- -----------------------------------------------------------------------------------------------------------------------------------
Asset Securitization:
25,000,000 6.00%, 8/1/95 24,870,833
23,500,000 5.97%, 8/8/95 23,351,911
25,000,000 5.88%, 9/18/95 24,677,417
- -----------------------------------------------------------------------------------------------------------------------------------
1,000,000 AT&T Capital, 5.96%, 7/26/95 995,861
- -----------------------------------------------------------------------------------------------------------------------------------
Banco Hispano Americano:
25,000,000 6.11%, 7/6/95 24,978,785
25,000,000 6.03%, 7/18/95 24,928,812
- -----------------------------------------------------------------------------------------------------------------------------------
23,000,000 Bayerische Vereinsbank, 5.92%, 8/7/95 22,860,058
- -----------------------------------------------------------------------------------------------------------------------------------
BTR Dunlop Finance:
50,000,000 6.22%, 8/15/95 49,611,250
25,456,000 5.85%, 9/19/95 25,125,072
- -----------------------------------------------------------------------------------------------------------------------------------
37,300,000 Ciesco, 5.95%, 8/10/95 37,053,406
- -----------------------------------------------------------------------------------------------------------------------------------
27,500,000 CS First Boston, 5.89%, 10/13/95 27,032,072
- -----------------------------------------------------------------------------------------------------------------------------------
3,000,000 Daimler Benz North American, 5.73%, 12/14/95 2,920,735
- -----------------------------------------------------------------------------------------------------------------------------------
29,200,000 Den Danske Bank, 6.01%, 7/31/95 29,053,757
- -----------------------------------------------------------------------------------------------------------------------------------
General Electric Capital:
14,000,000 5.90%, 7/5/95 13,990,822
40,000,000 5.95%, 7/17/95 39,894,222
- -----------------------------------------------------------------------------------------------------------------------------------
17,631,000 ITT Hartford Group, 5.97%, 8/3/95 17,534,514
- -----------------------------------------------------------------------------------------------------------------------------------
Kingdom of Sweden:
37,450,000 5.94%, 7/28/95 37,283,160
25,000,000 5.75%, 10/2/95 24,628,646
- -----------------------------------------------------------------------------------------------------------------------------------
14,750,000 Monte dei Paschi di Siena, 6.00%, 7/24/95 14,693,458
- -----------------------------------------------------------------------------------------------------------------------------------
27,000,000 Morgan Stanley, 5.97%, 7/10/95 26,959,703
- -----------------------------------------------------------------------------------------------------------------------------------
25,500,000 National Australia Funding, 5.60%, 11/27/95 24,908,967
- -----------------------------------------------------------------------------------------------------------------------------------
National Rural Utility:
4,535,000 5.91%, 9/7/95 4,484,374
30,410,000 5.86%, 9/25/95 29,984,294
10,000,000 5.72%, 11/2/95 9,802,978
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 7
CASH MANAGEMENT PORTFOLIO 15
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C>
New South Wales Treasury:
$ 9,000,000 6.03%, 10/2/95 $ 8,859,803
44,000,000 5.98%, 10/3/95 43,312,964
1,000,000 6.01%, 10/3/95 984,307
20,000,000 6.02%, 10/3/95 19,685,622
9,000,000 5.92%, 10/4/95 8,859,400
- -----------------------------------------------------------------------------------------------------------------------------------
Norwest:
8,500,000 6.00%, 8/7/95 8,447,583
15,000,000 6.00%, 8/8/95 14,905,000
- -----------------------------------------------------------------------------------------------------------------------------------
10,000,000 Ontario Hydro, 5.72%, 8/21/95 9,918,967
- -----------------------------------------------------------------------------------------------------------------------------------
Philip Morris:
2,265,000 5.91%, 9/5/95 2,240,459
10,000,000 5.91%, 9/19/95 9,868,667
8,350,000 5.91%, 9/20/95 8,238,966
- -----------------------------------------------------------------------------------------------------------------------------------
10,000,000 Prudential Funding, 6.30%, 7/3/95 9,996,500
- -----------------------------------------------------------------------------------------------------------------------------------
Receivables Capital:
18,088,000 5.98%, 7/13/95 18,051,945
8,500,000 6.00%, 7/18/95 8,475,917
- -----------------------------------------------------------------------------------------------------------------------------------
10,500,000 Riverwoods Funding, 5.95%, 7/27/95 10,454,879
- -----------------------------------------------------------------------------------------------------------------------------------
Sheffield Receivables:
29,000,000 5.97%, 7/17/95 28,923,053
16,000,000 5.97%, 7/20/95 15,949,587
- -----------------------------------------------------------------------------------------------------------------------------------
29,000,000 Siemens, 6.20%, 7/3/95 28,990,011
- -----------------------------------------------------------------------------------------------------------------------------------
Swedish Export Credit:
17,500,000 6.05%, 7/6/95 17,485,295
27,000,000 6.01%, 7/24/95 26,896,328
- -----------------------------------------------------------------------------------------------------------------------------------
15,000,000 Toyota Motor Credit, 5.92%, 8/4/95 14,916,133
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Wool International, 6.18%, 8/16/95 24,802,583
- -----------------------------------------------------------------------------------------------------------------------------------
Xerox:
10,000,000 5.99%, 8/3/95 9,945,092
7,000,000 5.95%, 8/9/95 6,954,879
3,000,000 5.93%, 8/11/95 2,979,739
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $1,066,351,477) $1,066,351,477
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 8
CASH MANAGEMENT PORTFOLIO 16
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===================================================================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===================================================================================================================================
<S> <C>
DEPOSIT NOTE - 1.44%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 35,000,000 Wachovia Bank, 5.95%, 7/28/95 (Amortized Cost $34,998,618) $ 34,998,618
===================================================================================================================================
EURODOLLAR TIME DEPOSITS - 23.17%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 25,000,000 Bank of America, 6.07%, 7/5/95 $ 25,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
80,000,000 Bank of Montreal, 6.125%, 8/2/95 80,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
18,000,000 Bank of Nova Scotia, 6.1875%, 7/10/95 18,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
100,000,000 Canadian Imperial Bank of Commerce, 6.125%, 7/6/95 100,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
Commerz Bank:
61,767,458 5.875%, 7/3/95 61,767,458
40,000,000 6.09375%, 7/14/95 40,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Fuji Bank, 6.00%, 7/10/95 25,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
12,000,000 Mitsubishi Bank, 6.0625%, 9/5/95 12,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
100,000,000 National Australia Bank, 6.125%, 7/6/95 100,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
100,000,000 Royal Bank of Canada, 6.25%, 7/5/95 100,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $561,767,458) $ 561,767,458
===================================================================================================================================
FLOATING RATE NOTES - 7.00%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 50,000,000 J P Morgan, Variable Rate Weekly, 5.55%, 7/18/95 $ 49,998,603
- -----------------------------------------------------------------------------------------------------------------------------------
Student Loan Marketing Association, Variable Rate Weekly:
15,930,000 5.68%, 10/14/97 15,885,060
29,000,000 5.72%, 10/17/97 28,942,874
50,000,000 5.68%, 11/24/97 49,854,472
25,000,000 5.70%, 9/28/98 24,991,888
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $169,672,897) $ 169,672,897
===================================================================================================================================
U.S. GOVERNMENT AGENCY NOTE - 0.60%
- -----------------------------------------------------------------------------------------------------------------------------------
$ 15,000,000 Federal National Mortgage Association, 5.88%, 11/13/95 (Amortized Cost $14,669,250) $ 14,669,250
===================================================================================================================================
TOTAL INVESTMENTS
(Amortized Cost $2,430,964,069) 100.26% $2,430,964,069
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (0.26%) (6,355,022)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $2,424,609,047
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 9
CASH MANAGEMENT PORTFOLIO 19
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990 as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are stated at value, as that term is defined in the Act and the
published rules and regulations thereunder. Pursuant to Rule 2a-7 of the Act,
the Portfolio utilizes the amortized cost method to determine value. The
amortized cost method involves valuing a security at its cost on the date of
purchase, and thereafter assuming a constant amortization to maturity of the
difference between the principal amount due at maturity and cost. In the event
that a deviation of 1/2 of 1% or more exists between the Portfolio's net asset
value on the basis of amortized cost and the net asset value calculated by
using available market quotations or an appropriate substitute, the Trustees
will promptly consider what action, if any, should be initiated, and where the
Trustees believe the extent of deviation may result in material dilution or
other unfair results to investors or shareholders, the Trustees shall take such
action to eliminate or reduce, to the extent reasonably practicable, such
dilution or unfair results.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). 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.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's 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 Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
<PAGE> 10
CASH MANAGEMENT PORTFOLIO 20
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
D. Investment Income
The Portfolio determines its net investment income (i.e., income other than net
realized long-term and short-term capital gains) on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions pro rata among the investors in the Portfolio at the time
of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required. The cost of securities in the Portfolio for federal income tax
purposes is the same as for financial reporting purposes.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The 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 the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the six months ended June 30, 1995, this fee aggregated
$623,662.
The 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 the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1995,
this fee aggregated $1,870,985.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.18 of 1% of the
average daily net assets of the Portfolio. For the six months ended June 30,
1995, expenses of the Portfolio have been reduced $295,866.
The 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 Portfolio's Statement of Changes in Net Assets for the
year ended December 31, 1994 reflects a realized loss on the sale of these
securities and a capital contribution in the amount of $18,718,663.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
