<PAGE> 1
CASH MANAGEMENT PORTFOLIO 7
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investments, at Value $2,636,244,326
- -----------------------------------------------------------------------------------------------------------------------------------
Cash 234,792
- -----------------------------------------------------------------------------------------------------------------------------------
Interest Receivable 9,803,616
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 19,395
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 2,646,302,129
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 336,262
- -----------------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 30,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 33,650
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 30,369,912
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,615,932,217
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $2,615,932,217
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $2,615,932,217
===================================================================================================================================
STATEMENT OF OPERATIONS
===================================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Interest $ 152,708,666
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Advisory $3,847,729
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services 1,282,576
- -----------------------------------------------------------------------------------------------------------------------------------
Professional 34,574
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees 1,868
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 28,778
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,195,525
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (578,251) 4,617,274
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 148,091,392
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 268,537
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 148,359,929
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 2
CASH MANAGEMENT PORTFOLIO 8
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 148,091,392 $ 107,531,263
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 268,537 (21,679,797)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 148,359,929 85,851,466
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 35,062,532,338 29,684,647,236
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (35,329,985,394) (28,984,267,374)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (267,453,056) 700,379,862
- -----------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed - 18,718,663
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (119,093,127) 804,949,991
===================================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 2,735,025,344 1,930,075,353
- -----------------------------------------------------------------------------------------------------------------------------------
End of Year $ 2,615,932,217 $ 2,735,025,344
===================================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the years
presented for the Cash Management Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
--------------------------------------------------------------------------------
1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment
Income to Average Net Assets 5.77% 4.24% 3.06% 3.52% 5.85%
Ratio of Expenses to
Average Net Assets 0.18% 0.18% 0.20% 0.22% 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%
Net Assets, End of Year
(000's omitted) $2,615,932 $2,735,025 $1,930,075 $1,438,688 $934,402
</TABLE>
+ Less than 0.01%
See Notes to Financial Statements on Page 15
<PAGE> 3
CASH MANAGEMENT PORTFOLIO 9
------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C>
CERTIFICATES OF DEPOSIT - 31.07%
- ------------------------------------------------------------------------------------------------------------------------------
$ 5,000,000 Abbey National Bank, 5.76%, 2/1/96 $ 4,999,857
- ------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of America, 5.78%, 1/31/96 35,000,000
- ------------------------------------------------------------------------------------------------------------------------------
13,000,000 Bank of Nova Scotia, 5.77%, 2/1/96 13,000,554
- ------------------------------------------------------------------------------------------------------------------------------
Bank of Tokyo:
30,000,000 5.90%, 1/16/96 30,000,122
29,000,000 5.90%, 1/22/96 29,000,166
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Bayerische Hypotheka, 5.83%, 1/16/96 25,000,205
- ------------------------------------------------------------------------------------------------------------------------------
21,000,000 Bayerische Landesbank, 5.80%, 1/24/96 21,000,021
- ------------------------------------------------------------------------------------------------------------------------------
46,000,000 Bayerische Vereinsbank, 5.80%, 1/31/96 46,000,380
- ------------------------------------------------------------------------------------------------------------------------------
9,000,000 Credit Suisse, 5.73%, 1/9/96 8,999,612
- ------------------------------------------------------------------------------------------------------------------------------
50,000,000 Deutsche, 5.79%, 1/25/96 50,000,000
- ------------------------------------------------------------------------------------------------------------------------------
28,000,000 Hessen Thuringer, 5.795%, 1/31/96 27,999,505
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Industrial Bank of Japan, 5.89%, 1/22/96 25,000,143
- ------------------------------------------------------------------------------------------------------------------------------
Kreditbank:
40,000,000 5.80%, 1/24/96 40,000,253
30,000,000 5.75%, 2/21/96 30,000,420
- ------------------------------------------------------------------------------------------------------------------------------
26,000,000 Mellon Bank, 5.78%, 2/5/96 26,000,000
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Mitsubishi Bank, 6.15%, 1/2/96 25,000,012
- ------------------------------------------------------------------------------------------------------------------------------
28,000,000 Morgan Guaranty, 5.51%, 6/11/96 28,001,226
- ------------------------------------------------------------------------------------------------------------------------------
National Westminster Bank:
2,000,000 5.81%, 2/1/96 2,000,111
40,000,000 5.72%, 2/16/96 39,999,770
29,300,000 5.70%, 2/16/96 29,302,639
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Rabobank, 5.76%, 1/31/96 25,000,206
- ------------------------------------------------------------------------------------------------------------------------------
Sanwa Bank:
38,000,000 5.91%, 1/31/96 38,000,309
24,000,000 5.86%, 2/9/96 23,997,792
- ------------------------------------------------------------------------------------------------------------------------------
Societe Generale:
25,000,000 5.82%, 1/5/96 25,000,000
39,400,000 5.66%, 3/4/96 39,400,559
30,000,000 5.71%, 3/4/96 30,000,988
- ------------------------------------------------------------------------------------------------------------------------------
Sumitomo Bank:
35,000,000 5.98%, 1/16/96 35,000,143
20,000,000 5.89%, 1/22/96 20,000,114
10,000,000 5.91%, 1/22/96 10,000,057
- ------------------------------------------------------------------------------------------------------------------------------
30,000,000 Toronto Dominion, 5.64%, 4/2/96 30,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $812,705,164) $812,705,164
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 4
CASH MANAGEMENT PORTFOLIO 10
--------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C>
COMMERCIAL PAPER - 39.14%
- ------------------------------------------------------------------------------------------------------------------------------
$ 36,500,000 Abbey National Bank of North America, 5.58%, 3/14/96 $36,087,003
- ------------------------------------------------------------------------------------------------------------------------------
21,000,000 Asset Securitization, 5.66%, 2/15/96 20,851,425
- ------------------------------------------------------------------------------------------------------------------------------
11,500,000 Banco Bilbao Vizcaya, 5.71%, 2/5/96 11,436,159
- ------------------------------------------------------------------------------------------------------------------------------
20,000,000 Bank of America, 5.28%, 6/5/96 19,542,400
- ------------------------------------------------------------------------------------------------------------------------------
29,000,000 Bank Brussels Lambert of North America, 5.58%, 4/18/96 28,514,540
- ------------------------------------------------------------------------------------------------------------------------------
30,500,000 BTR Dunlop, 5.65%, 2/16/96 30,279,807
- ------------------------------------------------------------------------------------------------------------------------------
23,000,000 Caisse des Depots et Consignations, 5.80%, 1/11/96 22,962,944
- ------------------------------------------------------------------------------------------------------------------------------
15,000,000 Central Hispana, 5.75%, 1/25/96 14,942,500
- ------------------------------------------------------------------------------------------------------------------------------
50,000,000 Commonwealth Bank Australia, 5.41%, 4/2/96 49,308,722
- ------------------------------------------------------------------------------------------------------------------------------
7,000,000 Dun & Bradstreet, 5.59%, 3/19/96 6,915,218
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Finnish Export Credit, 5.71%, 1/23/96 24,912,764
- ------------------------------------------------------------------------------------------------------------------------------
General Electric Capital:
20,000,000 5.81%, 1/18/96 19,945,128
25,000,000 5.53%, 4/3/96 24,642,854
- ------------------------------------------------------------------------------------------------------------------------------
25,700,000 General Electric Capital Services, 5.68%, 2/5/96 25,558,079
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Goldman Sachs, 5.53%, 3/18/96 24,704,299
- ------------------------------------------------------------------------------------------------------------------------------
14,000,000 Hanson Finance, 5.65%, 3/7/96 13,854,983
- ------------------------------------------------------------------------------------------------------------------------------
21,000,000 Hewlett-Packard, 5.63%, 2/15/96 20,852,213
- ------------------------------------------------------------------------------------------------------------------------------
KFW International Finance:
35,000,000 5.715%, 1/30/96 34,838,869
30,000,000 5.65%, 3/6/96 29,693,958
- ------------------------------------------------------------------------------------------------------------------------------
Kingdom of Sweden:
20,000,000 5.00%, 1/31/96 19,905,000
6,000,000 5.65%, 2/15/96 5,957,625
25,000,000 5.66%, 2/21/96 24,799,542
1,815,000 5.68%, 2/27/96 1,798,677
25,000,000 5.66%, 2/28/96 24,772,028
25,000,000 5.62%, 3/11/96 24,726,806
- ------------------------------------------------------------------------------------------------------------------------------
20,300,000 Manitoba Hydro Electric, 5.65%, 2/15/96 20,156,631
- ------------------------------------------------------------------------------------------------------------------------------
McKenna Triangle:
25,000,000 5.75%, 1/25/96 24,904,167
20,000,000 5.72%, 1/26/96 19,920,556
30,000,000 5.68%, 2/6/96 29,829,600
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Merrill Lynch, 5.72%, 1/31/96 24,880,833
- ------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
23,500,000 6.00%, 1/5/96 23,484,333
25,000,000 5.77%, 1/25/96 24,903,833
40,000,000 5.70%, 2/9/96 39,753,000
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 5
CASH MANAGEMENT PORTFOLIO 11
--------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C>
$ 30,805,000 National Australia Funding, 5.30%, 6/14/96 $ 30,056,695
- ------------------------------------------------------------------------------------------------------------------------------
National Rural Utility:
15,000,000 5.65%, 2/16/96 14,891,708
35,000,000 5.50%, 3/5/96 34,657,778
- ------------------------------------------------------------------------------------------------------------------------------
New South Wales Treasury:
25,000,000 5.70%, 1/24/96 24,908,958
12,000,000 5.56%, 2/9/96 11,927,720
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Philip Morris, 6.20%, 1/2/96 24,995,694
- ------------------------------------------------------------------------------------------------------------------------------
20,000,000 Province of Alberta, 5.75%, 1/26/96 19,920,139
- ------------------------------------------------------------------------------------------------------------------------------
70,000,000 Prudential Funding, 6.054%, 1/2/96 70,000,000
- ------------------------------------------------------------------------------------------------------------------------------
10,000,000 Receivables Capital, 5.80%, 1/31/96 9,951,667
- ------------------------------------------------------------------------------------------------------------------------------
13,000,000 Sheffield, 5.80%, 1/22/96 12,956,017
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $1,023,902,872) $1,023,902,872
==============================================================================================================================
EURODOLLAR TIME DEPOSITS - 23.08%
- ------------------------------------------------------------------------------------------------------------------------------
Bank of America:
$ 17,000,000 5.76%, 3/27/96 $ 17,000,000
30,000,000 5.50%, 4/5/96 30,000,000
- ------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of Scotland, 5.813%, 2/13/96 35,000,000
- ------------------------------------------------------------------------------------------------------------------------------
50,000,000 Canadian Imperial Bank of Commerce, 6.00%, 1/2/96 50,000,000
- ------------------------------------------------------------------------------------------------------------------------------
72,791,998 Commerz Bank, 3.50%, 1/2/96 72,791,998
- ------------------------------------------------------------------------------------------------------------------------------
Dresdner Bank:
100,000,000 5.938%, 1/2/96 100,000,000
10,000,000 5.75%, 3/4/96 10,000,000
- ------------------------------------------------------------------------------------------------------------------------------
100,000,000 International Nederlander, 6.00%, 1/2/96 100,000,000
- ------------------------------------------------------------------------------------------------------------------------------
14,000,000 Kreditbank, 5.75%, 3/15/96 14,000,000
- ------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Bank:
25,000,000 6.25%, 1/19/96 25,000,000
25,000,000 5.906%, 3/5/96 25,000,000
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 National Westminster, 5.813%, 1/29/96 25,000,000
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Nordeutsche Landesbank, 5.75%, 2/29/96 25,000,000
- ------------------------------------------------------------------------------------------------------------------------------
75,000,000 Toronto Dominion, 6.00%, 1/2/96 75,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $603,791,998) $ 603,791,998
==============================================================================================================================
FLOATING RATE NOTES - 2.86%
- ------------------------------------------------------------------------------------------------------------------------------
Student Loan Marketing Association:
$ 50,000,000 Variable Rate Weekly, 5.22%, 11/24/97 $ 49,885,005
25,000,000 Variable Rate Weekly, 5.24%, 9/28/98 24,993,148
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $74,878,153) $ 74,878,153
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 6
CASH MANAGEMENT PORTFOLIO 12
--------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C> <C>
U.S. GOVERNMENT AGENCY NOTES - 0.80%
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association:
$ 9,820,000 5.14%, 6/25/96 $ 9,573,234
11,690,000 5.14%, 6/27/96 11,392,905
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY NOTES
(Amortized Cost $20,966,139) $ 20,966,139
==============================================================================================================================
REPURCHASE AGREEMENT - 3.82%
- ------------------------------------------------------------------------------------------------------------------------------
$100,000,000 Repurchase Agreement with Swiss Bank, dated 12/29/1995, 5.90%,
Principal and Interest in the Amount of $100,049,167, due 1/2/96,
(Collateralized by Federal Home Loan Mortgage, par value of
$25,000,000, 7.61%,
due 9/1/04, value of $26,386,331, $25,000,000, 7.88%,
due 8/5/04, value of $26,659,471, Federal National Mortgage
Association, par value of $970,000, 7.50%
due 2/11/02, value of
$1,087,494 Federal Home Loan Banks Medium Term Construction
Bonds, par value of $15,000,000, 6.05%, due 3/10/99, value of $15,281,575,
Federal Farm Credit Banks Construction System-wide Medium-Term
Notes, par value of $6,000,000, 5.41%, due 12/7/98, value of $5,974,410,
Federal Home Loan Bank Construction Discount Notes, par value of
$25,000,000, due 2/22/96, value of $24,828,473 and Federal Home Loan
Bank, par value of $4,000,000, 8.00%, due 7/25/96, value of $4,195,761) $ 100,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Amortized Cost $2,636,244,326) 100.77% $2,636,244,326
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (0.77) (20,312,109)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $2,615,932,217
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 7
CASH MANAGEMENT PORTFOLIO 15
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
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.
D. Investment Income
The Portfolio determines its net investment income 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. 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.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
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 year ended December 31, 1995, this fee aggregated
$1,282,576.
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 year ended December 31, 1995,
this fee aggregated $3,847,729.
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 year ended December 31,
1995, expenses of the Portfolio have been reduced by $578,251.
In 1994, 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.
<PAGE> 8
CASH MANAGEMENT PORTFOLIO 16
------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the Cash Management Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Cash Management Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
