(bullet) BT INSTITUTIONAL FUNDS (bullet)
----------------------
INSTITUTIONAL
CASH MANAGEMENT FUND
----------------------
ANNUAL REPORT
----------------------
DECEMBER (bullet) 1997
<PAGE>
Institutional Cash Management Fund
Table of Contents
Letter to Shareholders 3
Institutional Cash Management Fund
Statement of Assets and Liabilities 4
Statement of Operations 4
Statement of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
Report of Independent Accountants 8
Cash Management Portfolio
Schedule of Portfolio Investments 9
Statement of Assets and Liabilities 14
Statement of Operations 14
Statement of Changes in Net Assets 15
Financial Highlights 15
Notes to Financial Statements 16
Report of Independent Accountants 17
2
<PAGE>
Institutional Cash Management Fund
Letter to Shareholders
By staying disciplined to the purchase of high quality instruments and actively
adjusting duration and sector allocation as market conditions changed, the
manager of the Institutional Cash Management Fund (the "Fund") was able to
produce competitive yields. In fact, the Fund's annualized 7-day effective yield
of 5.74% as of December 31, 1997 was higher than the 5.56% yield of the IBC
First Tier-Institutional Only Money Funds average.* The 7-day current net yield
was 5.58% for the Fund as of December 31, 1997.
MARKET ACTIVITY
For virtually the entire year, the pace of economic growth remained above-trend
and inflation was low. Unemployment continued to fall, putting pressure on labor
costs, but productivity improvement was strong enough to more than offset the
rising costs. Against this exceptional backdrop, the money markets were rather
quiet, with yields remaining relatively stable and the money market yield curve
reasonably flat.
- --------------------------------------------------------------------------------
Investment Instruments
Bank obligations, commercial paper, U.S. Treasury obligations and repurchase
agreements collateralized by U.S. Treasury obligations.
- --------------------------------------------------------------------------------
The only real interruption to this stability was early in the year. A rapidly
growing economy in the first quarter, supported by strong consumer spending and
home building, prompted the Federal Reserve Board to increase the Fed Funds rate
from 5.25% to 5.50% on March 25, 1997--the first increase in over two years.
Following this, inflationary pressures did not increase, signs pointed to a
slowing economy, and the Federal Reserve Board remained on hold throughout the
rest of the year. A high level of consumer confidence, strong employment gains
and rising incomes further helped support the low price volatility within the
money markets. Developments in the Far East overshadowed the ongoing favorable
performance of the U.S. economy during the fourth quarter. However, to date,
there has been little evidence of any meaningful impact of the turmoil abroad on
domestic activity.
- --------------------------------------------------------------------------------
Objective
Seeks high current income consistent with liquidity in preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT REVIEW
We held a somewhat defensive, shorter-than-benchmark average maturity position
for the Fund throughout the first quarter of 1997, in anticipation of the late
March rate hike. Once the Federal Reserve Board raised rates and economic growth
waned, we moved to a more neutral stance in the portfolio. We then maintained a
neutral to shorter-than-benchmark maturity throughout most of the rest of the
year, as the Federal Reserve Board was seemingly on hold, and we saw no benefit
in extending maturity along a flat yield curve. We did extend slightly at the
end of the year to take advantage of the higher year-end rates generated by the
financial turmoil in Asia. This duration strategy, along with a focus on adding
value through what we call "spread product," e.g. floating rate notes, proved to
be effective in producing highly competitive Fund returns.
- --------------------------------------------------------------------------------
Ratings
S&P: AAAm
Moody's: AAA
- --------------------------------------------------------------------------------
MANAGER OUTLOOK
As we enter 1998, the underlying fundamentals impacting the consumer--a tight
labor market, low inflation, low interest rates and strong economic growth--are
similar to those of most of 1997. Current data also supports the notion that the
Federal Reserve Board is on hold. However, the Asian crisis still looms, as the
delayed effect of the retrenchment in the region may still filter into the U.S.
Given this scenario, we expect the money market yield curve to remain flat.
Seeing no reason to extend at this time, we intend to maintain a
short-to-neutral average maturity for the near term.
- --------------------------------------------------------------------------------
Status at December 31, 1997
Seven day effective yield : 5.74%
Average maturity: 39 days
Net assets: $1,921.9 million
- --------------------------------------------------------------------------------
[PIE CHART APPEARS BELOW]
By Asset Type as of December 31, 1997
(percentages are based on market value)
Certificates of Deposit 1%
Eurodollar Certificates of Deposit 9%
Yankee Certificates of Deposit 16%
Commercial Paper 43%
Interest Bearing Commercial Paper & U.S. Treasuries 1%
Floating Rate Notes 12%
Eurodollar Time Deposits 12%
Repurchase Agreements 6%
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
As always, we appreciate your ongoing support of the BT Institutional Cash
Management Fund, and we look forward to continuing to serve your investment
needs for many years ahead.
/s/ Darlene M. Rasel
Darlene M. Rasel
Portfolio Manager of the
Cash Management Portfolio
December 31, 1997
- ----------
* Past performance is not indicative of future results. Yields will vary.
Yields quoted for money market funds most closely reflect the fund's current
earnings. Although money market funds seek to maintain a share value of
$1.00, there is no guarantee that they will be able to do so. Mutual funds
are not bank deposits or obligations of any bank, are not guaranteed by any
bank, and are not insured or guaranteed by the U.S. government, the Federal
Deposit Insurance Corporation, the Federal Reserve Board, or any other
government agency. Investment in mutual funds involves investment risk,
including possible loss of principal.
3
<PAGE>
Institutional Cash Management Fund
Statement of Assets and Liabilities December 31, 1997
<TABLE>
<S> <C>
Assets
Investment in Cash Management Portfolio, at Value $ 1,922,757,118
Prepaid Expenses 1,430
---------------
Total Assets 1,922,758,548
---------------
Liabilities
Due to Bankers Trust 86,459
Dividends Payable 668,397
Accrued Expenses 78,305
---------------
Total Liabilities 833,161
---------------
Net Assets $ 1,921,925,387
===============
Shares Outstanding ($0.001 par value per share, unlimited number of shares of beneficial
interest authorized) 1,922,505,130
===============
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares
outstanding) $ 1.00
===============
Composition of Net Assets
Paid-in Capital $ 1,922,505,130
Accumulated Net Realized Loss from Investment Transactions (579,743)
---------------
Net Assets, December 31, 1997 $ 1,921,925,387
===============
</TABLE>
Statement of Operations For the year ended December 31, 1997
<TABLE>
<S> <C>
Investment Income
Income Allocated from Cash Management Portfolio, net $ 101,466,989
---------------
Expenses
Administration and Services Fees 931,345
Printing and Shareholder Reports 21,000
Registration Fees 49,967
Professional Fees 9,610
Trustees Fees 8,140
Miscellaneous 19,376
---------------
Total Expenses 1,039,438
Less: Expenses Absorbed by Bankers Trust (108,093)
---------------
Net Expenses 931,345
---------------
Net Investment Income 100,535,644
Net Realized Loss from Investment Transactions (17,916)
---------------
Net Increase in Net Assets from Operations $ 100,517,728
===============
</TABLE>
See Notes to Financial Statements on Page 7
4
<PAGE>
Institutional Cash Management Fund
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
year ended year ended
December 31, 1997 December 31, 1996
----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 100,535,644 $ 65,172,498
Net Realized Gail (Loss) from Investment Transactions (17,916) 39,523
----------------- -----------------
Net Increase in Net Assets from Operations 100,517,728 65,212,021
----------------- -----------------
Distributions to Shareholders
Net Investment Income (100,535,644) (65,172,498)
----------------- -----------------
Capital Transactions in Shares of Beneficial Interest (at New Asset Value of
$1.00 per share)
Proceeds from Sales of Shares 30,846,603,472 21,940,719,239
Dividend Reinvestments 89,676,335 57,995,451
Cost of Shares Redeemed (30,452,882,187) (21,571,176,052)
----------------- -----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest 483,397,620 427,538,638
----------------- -----------------
Contribution of Capital
Proceeds Contributed -- 93,110
----------------- -----------------
Total Increase in Net Assets 483,379,704 427,671,271
Net Assets
Beginning of Year 1,438,545,883 1,010,874,412
----------------- -----------------
End of Year $ 1,921,925,387 $ 1,438,545,683
================= =================
</TABLE>
See Notes to Financial Statements on Page 7
5
<PAGE>
Institutional Cash Management Fund
Financial Highlights
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
years indicated for the Institutional Cash Management Fund.
<TABLE>
<CAPTION>
For the years ended December 31,
-------------------------------------------------------------
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
<S> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ---------
Income from Investment Operations
Net Investment Income 0.05 0.05 0.06 0.04 0.03
Net Realized Gain (Loss) from Investment Transactions (0.00)+ 0.00+ 0.00+ (0.01) 0.00+
--------- --------- --------- --------- ---------
Total from Investment Operations 0.05 0.05 0.06 0.03 0.03
--------- --------- --------- --------- ---------
Contributions of Capital -- 0.00+ -- 0.01 --
--------- --------- --------- --------- ---------
Distributions to Shareholders
Net Investment Income (0.05) (0.05) (0.06) (0.04) (0.03)
Net Realized Gain from Investment Transactions -- -- -- -- (0.00)+
--------- --------- --------- --------- ---------
Total Distributions (0.05) (0.05) (0.06) (0.04) (0.03)
--------- --------- --------- --------- ---------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= =========
Total Investment Return 5.52% 5.36%++ 5.89% 4.18%++ 3.05%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $1,921,925 $1,438,546 $1,010,874 $ 664,149 $1,850,222
Ratios to Average Net Assets:
Net Investment Income 5.40% 5.24% 5.72% 3.98% 3.01%
Expenses, Including Expenses of the
Cash Management Portfolio 0.23% 0.23% 0.23% 0.23% 0.25%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.03% 0.04% 0.04% 0.03% 0.02%
</TABLE>
- ----------
+ Less than $0.01 per share.
++ Increased by approximately 0.01% and 0.91% due to Contributions of Capital
for the years ended December 31, 1996 and 1994, respectively.
See Notes to Financial Statements on Page 7
6
<PAGE>
Institutional Cash Management Fund
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Institutional Cash Management Fund (the "Fund") is one of the institutional
funds offered to investors by the Trust. The Fund commenced operations and began
offering shares of beneficial interest on July 25, 1990. The Fund invests
substantially all of its assets in the Cash Management Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At December 31, 1997, the Fund's investment was
approximately 48% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. Dividends
It is the Fund's policy to declare dividends daily and pay monthly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund will be made
annually to the extent they are not offset by any capital loss carryforwards.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code and distribute its income to shareholders. Therefore, no federal income tax
provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Fund 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 Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1997, this fee aggregated $931,345.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement at an annual
rate not exceeding 0.10 of 1% of each Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the year ended December 31, 1997, there
were no reimbursable expenses incurred under this agreement. The Fund does not
intend to charge 12b-1 fees in the future.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Fund, to the extent necessary, to limit all expenses to 0.05 of
1% of the average daily net assets of the Fund, excluding expenses of the
Portfolio and 0.23 of 1% of the average daily net assets of the Fund, including
expenses of the Portfolio. For the year ended December 31, 1997, expenses of the
Fund have been reduced by $108,093.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest to a
put agreement and that third party financial institution immediately resold such
security to Bankers Trust New York Corporation, the parent of the Advisor, at
the same price, also pursuant to a put agreement. As a result of these
transactions the Fund's Financial Highlights for the year ended December 31,
1994 reflects its pro rata share of the Portfolio's realized loss on the sale of
these securities and a capital contribution in the amount of $5,215,181. In
1996, Bankers Trust contributed capital in the amount of $93,110 to reimburse
the Fund from capital losses incurred in prior years.
Certain officers of the Fund are also directors, officers and/or employees of
Edgewood and Signature. None of the officers so affiliated received compensation
for services as officers of the Fund.
Note 3--Capital Loss Carryforward
At December 31, 1997, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$577,344, which will expire in 2002 and $17,916, which will expire in 2005.
7
<PAGE>
Institutional Cash Management Fund
Report of Independent Accountants
To the Trustees of BT Institutional Funds and
Shareholders of the Institutional Cash Management Fund:
We have audited the accompanying statement of assets and liabilities of the
Institutional Cash Management Fund (one of the Funds comprising BT Institutional
Funds) as of December 31, 1997, and the related statement of operations for the
year then ended, the statement 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 Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We 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, 1997, by correspondence with the custodian. 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
Institutional Cash Management Fund as of December 31, 1997, the results of its
operations for the year then ended, the changes in its 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, in conformity with generally accepted
accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 18, 1998
8
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
------ ----------- -----
CERTIFICATE OF DEPOSIT - 0.62%
$25,000,000 J.P. Morgan, 5.80%, 6/22/98
(Amortized Cost $25,000,000) $ 25,000,000
--------------
COMMERCIAL PAPER - 42.92%*
Abbey National:
25,000,000 5.495%, 3/31/98 24,660,378
9,000,000 5.55%, 4/27/98 8,839,050
25,500,000 Alcatel Alsthom,
6.10%, 1/06/98 25,478,396
Asset Securitization Cooperative Corp.:
31,000,000 5.62%, 1/15/98 30,932,248
33,000,000 5.61%, 1/29/98 32,856,010
10,000,000 5.88%, 1/29/98 9,954,267
25,000,000 5.74%, 2/13/98 24,828,597
30,000,000 5.705%, 2/25/98 29,738,521
20,000,000 5.69%, 2/26/98 19,822,978
20,000,000 Australia Wheat Board,
5.72%, 3/04/98 19,802,978
15,000,000 BBL North America,
5.75%, 3/10/98 14,837,083
BTR Dunlop:
10,000,000 5.69%, 2/17/98 9,925,714
10,000,000 5.68%, 2/26/98 9,911,644
45,000,000 Bank of Austria,
5.72%, 3/17/98 44,463,750
Bank of Nova Scotia:
10,000,000 5.667%, 2/17/98 9,926,014
25,000,000 5.727%, 3/02/98 24,761,375
30,000,000 Bayer Corp.,
5.78%, 2/18/98 29,768,800
27,000,000 Bell Network,
5.88%, 1/29/98 26,876,520
23,000,000 CAFCO,
5.75%, 2/13/98 22,842,035
14,000,000 Caterpillar Financial,
5.52%, 1/21/98 13,957,067
Principal
Amount Description Value
------ ----------- -----
Commonwealth Bank of Australia:
$12,000,000 5.54%, 4/30/98 $ 11,780,247
10,000,000 5.56%, 4/30/98 9,816,211
10,000,000 Credit Suisse,
5.72%, 3/12/98 9,888,778
Daimler Benz:
28,000,000 5.73%, 2/27/98 27,745,970
15,000,000 5.72%, 3/24/98 14,804,567
Delaware Funding Corp.:
15,770,000 5.52%, 1/12/98 15,743,401
12,600,000 5.95%, 1/15/98 12,570,845
25,000,000 5.95%, 1/16/98 24,938,021
10,000,000 5.72%, 1/28/98 9,957,100
16,219,000 5.85%, 1/30/98 16,142,568
22,511,000 5.85%, 2/12/98 22,357,362
60,000,000 Ford Motor Credit,
5.60%, 1/16/98 59,860,000
General Electric Capital Corp.:
25,000,000 5.57%, 1/23/98 24,914,903
5,000,000 5.54%, 1/30/98 4,977,686
25,000,000 5.61%, 2/06/98 24,859,750
20,000,000 5.70%, 2/18/98 19,848,000
10,000,000 5.73%, 2/27/98 9,909,275
25,000,000 5.71%, 4/17/98 24,579,681
10,000,000 5.57%, 5/05/98 9,808,144
Goldman Sachs:
10,000,000 5.60%, 1/20/98 9,970,444
59,500,000 5.85%, 1/30/98 59,219,606
21,000,000 5.72%, 3/16/98 20,753,087
4,000,000 Hitachi America,
5.57%, 4/10/98 3,938,730
20,000,000 Kingdom of Sweden,
5.52%, 3/16/98 19,773,067
25,000,000 Kreditbank,
5.53%, 1/22/98 24,919,354
10,000,000 MCI Communications,
5.55%, 1/15/98 9,978,417
13,000,000 Manitoba Hydro Electric,
5.68%, 4/16/98 12,784,633
See Notes to Financial Statements on Page 16
9
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
------ ----------- -----
Merrill Lynch & Co.:
$25,000,000 5.52%, 1/15/98 $ 24,946,333
28,000,000 5.57%, 1/16/98 27,935,017
15,000,000 5.62%, 1/21/98 14,953,167
20,000,000 5.61%, 1/30/98 19,909,617
15,000,000 5.60%, 2/11/98 14,904,333
8,000,000 5.71%, 2/25/98 7,930,211
30,000,000 5.75%, 3/13/98 29,659,792
10,000,000 5.57%, 5/05/98 9,808,144
Morgan Guaranty,
40,000,000 5.69%, 4/15/98 39,342,489
Morgan Stanley Group Inc.:
10,000,000 5.90%, 1/28/98 9,955,750
28,000,000 5.75%, 2/18/98 27,785,333
35,000,000 5.70%, 2/23/98 34,706,292
60,000,000 Motorola,
5.65%, 2/04/98 59,679,833
4,500,000 National Australia Funding,
5.55%, 1/09/98 4,494,450
National Rural Utility Cooperative
Financial Corp.:
10,000,000 5.53%, 2/06/98 9,944,700
10,000,000 5.692%, 4/21/98 9,826,078
18,000,000 Norwest,
5.72%, 2/27/98 17,836,980
15,000,000 Pacific Dunlop Holdings,
6.15%, 1/07/98 14,984,625
28,000,000 Panasonic Finance,
6.07%, 1/21/98 27,905,578
25,000,000 Province of Quebec,
5.57%, 3/05/98 24,756,312
Rabobank:
10,000,000 5.56%, 1/29/98 9,956,756
25,000,000 5.54%, 4/30/98 24,542,181
Receivables Capital Corp.:
5,000,000 5.92%, 1/05/98 4,996,711
22,000,000 5.93%, 1/30/98 21,894,907
17,000,000 5.96%, 1/30/98 16,918,381
10,000,000 5.79%, 2/10/98 9,935,667
10,000,000 5.74%, 2/18/98 9,923,467
27,401,000 5.76%, 2/20/98 27,181,792
40,000,000 5.77%, 2/20/98 39,679,444
Principal
Amount Description Value
------ ----------- -----
$14,000,000 5.813%, 2/25/98 $ 13,875,666
50,000,000 SBC Communications, Inc.,
6.70%, 1/02/98 49,990,694
11,500,000 Schering Plough,
5.70%, 4/21/98 11,299,708
60,000,000 Smith Barney Shearson,
5.62%, 2/17/98 59,559,767
Sony Capital Corp.:
10,000,000 5.88%, 1/30/98 9,952,633
18,000,000 5.90%, 2/12/98 17,876,100
15,000,000 5.93%, 2/23/98 14,869,046
10,000,000 Westpac Capital Corp.,
5.73%, 3/09/98 9,893,358
--------------
Total Commercial Paper
(Amortized Cost $1,733,634,584) 1,733,634,584
--------------
COMMERCIAL PAPER
(INTEREST BEARING) - 1.24%
50,000,000 General Electric Capital Corp.,
6.002%, 1/02/98
(Amortized Cost $50,000,000) 50,000,000
--------------
EURODOLLAR CERTIFICATES OF
DEPOSIT - 8.98% Abbey National:
20,000,000 5.76%, 2/17/98 19,999,671
33,000,000 5.77%, 2/27/98 32,996,828
20,000,000 Australia and New Zealand Bank,
5.75%, 2/17/98 20,000,392
Banco Bilbao Vizcaya:
20,000,000 5.80%, 1/14/98 20,000,188
4,000,000 5.65%, 1/20/98 4,000,021
15,000,000 5.81%, 3/16/98 15,000,304
23,000,000 Banco Santander,
5.79%, 1/20/98 23,000,240
21,000,000 Bank of Tokyo-Mitsubishi,
5.80%, 1/26/98 21,000,037
35,000,000 Banque Nationale de Paris,
5.82%, 3/05/98 35,000,604
Barclays Bank:
20,000,000 5.60%, 1/07/98 19,999,848
50,000,000 5.66%, 2/12/98 50,000,000
See Notes to Financial Statements on Page 16
10
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
------ ----------- -----
$10,000,000 Bayerische Landesbank,
5.66%, 1/29/98 $ 9,998,251
11,000,000 Bayerische Vereinbank,
5.67%, 2/23/98 10,999,986
15,000,000 Credit Anstaldt,
5.66%, 1/07/98 15,000,109
International Nederlander Funding:
9,000,000 5.64%, 1/14/98 8,999,968
11,000,000 5.65%, 1/16/98 11,000,022
15,000,000 J.P. Morgan,
5.80%, 6/17/98 15,005,466
8,000,000 Rabobank,
5.675%, 2/12/98 7,999,125
Svenska Handelbanken:
10,000,000 5.62%, 1/09/98 9,999,924
13,000,000 5.82%, 3/17/98 12,999,874
--------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $363,000,858) 363,000,858
--------------
EURODOLLAR TIME DEPOSIT - 12.58%
70,000,000 Banco Santander,
5.70%, 1/29/98 70,000,000
25,000,000 Bank of America,
5.67%, 1/29/98 25,000,000
100,000,000 Bank of Nova Scotia,
7.00%, 1/02/98 100,000,000
Bank of Tokyo-Mitsubishi:
20,000,000 5.75%, 1/05/98 20,000,000
10,000,000 5.75%, 1/16/98 10,000,000
35,000,000 Canadian Imperial Bank,
6.75%, 1/02/98 35,000,000
25,000,000 Den Danske,
5.73%, 1/27/98 25,000,000
International Nederlanden:
40,000,000 5.70%, 1/02/98 40,000,000
20,000,000 5.68%, 1/14/98 20,000,000
25,000,000 5.75%, 1/26/98 25,000,000
30,000,000 National Australia,
5.84%, 3/04/98 30,000,000
Principal
Amount Description Value
------ ----------- -----
$25,000,000 Nordeutsche Landesbank,
5.781%, 3/27/98 $ 25,000,000
35,000,000 Royal Bank of Scotland,
5.687%, 2/12/98 35,000,000
23,031,762 Suntrust Bank,
5.00%, 1/02/98 23,031,762
25,000,000 Svenska Handelbanken,
5.687%, 1/30/98 25,000,000
--------------
Total Eurodollar Time Deposits
(Amortized Cost $508,031,762) 508,031,762
--------------
FLOATING RATE NOTES - 11.48%
American Express Centurion Bank:
Monthly Variable Rate,
20,000,000 5.97%, 3/06/98 20,000,000
20,000,000 5.928%, 9/25/98 20,000,000
25,000,000 Associates Corp.:
Quarterly Variable Rate,
5.55%, 1/04/99 24,987,796
11,000,000 Bank of America:
Quarterly Variable Rate,
6.10%, 6/30/98 10,995,420
50,000,000 Bayerische Landesbank:
Monthly Variable Rate,
5.838%, 6/26/98 49,981,243
8,000,000 Bear Stearns Co.:
Monthly Variable Rate,
6.118%, 4/28/98 8,004,019
5,000,000 Chase Manhattan Bank:
Quarterly Variable Rate,
5.877%, 11/10/98 5,007,561
35,000,000 Comerica:
Monthly Variable Rate,
5.90%, 2/05/98 34,997,730
20,000,000 Corestates Bank:
Monthly Variable Rate,
5.96%, 2/02/98 20,000,000
20,000,000 General Electric Capital Corporation:
Quarterly Variable Rate,
5.82%, 1/23/98 20,000,000
See Notes to Financial Statements on Page 16
11
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
------ ----------- -----
$40,000,000 Key Bank:
Monthly Variable Rate,
5.854%, 3/19/98 $ 39,993,801
Mellon Bank:
Quarterly Variable Rate,
10,000,000 5.846%, 6/16/98 10,000,000
15,000,000 5.795%, 11/17/98 15,000,000
25,000,000 Merrill Lynch & Co.:
Monthly Variable Rate,
5.98%, 2/06/98 24,999,517
Morgan Stanley:
Quarterly Variable Rate,
40,000,000 5.96%, 1/30/98 40,000,000
10,000,000 5.825%, 5/18/98 10,000,000
15,000,000 National City Cleveland:
Monthly Variable Rate,
5.85%, 2/18/98 14,998,571
PNC Bank:
Monthly Variable Rate,
40,000,000 5.878%, 1/09/98 39,999,486
20,000,000 5.868%, 5/27/98 19,995,331
10,000,000 Societe Generale:
Quarterly Variable Rate,
6.17%, 6/11/98 9,998,602
25,000,000 Student Loan Marketing Association:
Weekly Variable Rate,
5.619%, 9/28/98 24,998,152
--------------
Total Floating Rate Notes
(Amortized Cost $463,957,229) 463,957,229
--------------
REPURCHASE AGREEMENTS - 6.19%
150,000,000 Tri-Party Repurchase Agreement
with Chase Manhattan Bank
Corp., Dated 12/31/97, Daily
Variable Rate, Principal amount
of $150,000,000, Interest
amount varies dependent on
rate, Due 1/07/98,
(Collateralized by FNMA, Par
Value of $159,343,563, Coupon
rates of 6.00% to 9.50%, Due
from 1/01/98 to 9/01/27,
Value of $153,000,279) 150,000,000
Principal
Amount Description Value
------ ----------- -----
$100,000,000 Tri-Party Repurchase Agreement
with Goldman Sachs & Co.,
Dated 12/31/97, 6.80%,
Principal & Interest in the
amount of $100,037,778,
Due 1/02/98,
(Collateralized by FGLMC,
Par Value of $159,831,991,
Coupon rates of 6.00% to
8.50%, Due from 2/01/00 to
12/01/27,
Value of $102,000,000) $ 100,000,000
--------------
Total Repurchase Agreements
(Amortized Cost $250,000,000) 250,000,000
--------------
U.S. TREASURY AGENCY NOTES - 0.25%
10,000,000 U.S. Treasury Note,
6.125%, 8/31/98
(Amortized Cost $10,030,010) 10,030,010
--------------
YANKEE CERTIFICATES OF DEPOSIT - 16.46%
35,000,000 ABN Amro Bank,
5.68%, 2/02/98 35,000,506
25,000,000 Bank of Scotland,
5.77%, 2/23/98 25,000,000
30,000,000 Bank of Tokyo-Mitsubishi,
6.23%, 4/02/98 30,000,000
25,000,000 Bayerische Hypotheka,
5.77%, 2/20/98 25,000,000
15,000,000 Canadian Imperial Bank of Commerce,
5.79%, 4/22/98 15,000,000
Commerz Bank:
43,000,000 5.59%, 1/07/98 43,000,000
6,000,000 5.63%, 1/14/98 6,000,000
Dresdner Bank:
50,000,000 6.125%, 1/06/98 50,000,000
10,000,000 5.93%, 4/09/98 10,002,739
J.P. Morgan:
2,000,000 5.92%, 3/19/98 2,000,264
11,000,000 5.94%, 3/20/98 11,001,943
National Westminster Bank:
25,000,000 5.69%, 1/23/98 25,000,000
10,000,000 5.77%, 3/03/98 9,997,661
See Notes to Financial Statements on Page 16
12
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1997
Principal
Amount Description Value
------ ----------- -----
$14,000,000 Rabobank,
5.97%, 3/20/98 $ 13,996,148
Sanwa Bank:
21,000,000 5.755%, 1/22/98 21,000,060
10,000,000 5.76%, 1/22/98 10,000,057
Societe Generale:
35,000,000 5.78%, 2/27/98 35,000,000
40,000,000 5.80%, 3/09/98 40,000,000
4,000,000 5.97%, 3/18/98 4,001,147
25,000,000 5.81%, 6/16/98 25,001,120
Principal
Amount Description Value
------ ----------- -----
Swiss Bank Corp.:
$49,000,000 5.64%, 1/14/98 $ 49,000,000
20,000,000 5.76%, 2/20/98 20,000,000
50,000,000 5.76%, 2/25/98 50,000,000
5,000,000 5.73%, 3/17/98 5,000,360
Westdeutsche Landesbank:
30,000,000 6.25%, 1/09/98 30,000,000
75,000,000 5.67%, 2/06/98 75,000,000
--------------
Total Yankee Certificates of Deposit
(Amortized Cost $665,002,005) 665,002,005
--------------
Total Investments
(Amortized Cost $4,068,656,448) 100.72% $4,068,656,448
Liabilities in Excess of Other Assets (0.72)% (28,931,473)
------- --------------
Net Assets 100.00% $4,039,724,975
======= ==============
- ----------
*Interest rates for commercial paper represent discount rates at the time of
purchase.
See Notes to Financial Statements on Page 16
13
<PAGE>
Cash Management Portfolio
Statement of Assets and Liabilities December 31, 1997
<TABLE>
<S> <C>
Assets
Investments, at Value $ 4,068,656,448
Interest Receivable 16,411,303
Prepaid Expenses and Other 461,532
---------------
Total Assets 4,085,529,283
---------------
Liabilities
Due to Bankers Trust 708,486
Payable for Securities Purchased 45,051,382
Accrued Expenses and Other 44,440
---------------
Total Liabilities 45,804,308
---------------
Net Assets $ 4,039,724,975
===============
Composition of Net Assets
Paid-in Capital $ 4,039,724,975
---------------
Net Assets, December 31, 1997 $ 4,039,724,975
===============
</TABLE>
Statement of Operations For the year ended December 31, 1997
<TABLE>
<S> <C>
Investment Income
Interest $ 244,875,536
---------------
Expenses
Advisory Fees 6,544,181
Administration and Services Fees 2,181,394
Professional Fees 31,250
Trustees Fees 2,100
Miscellaneous 34,622
---------------
Total Expenses 8,793,547
Less: Expenses Absorbed by Bankers Trust (940,530)
---------------
Net Expenses 7,853,017
---------------
Net Investment Income 237,022,519
---------------
Net Realized Loss from Investment Transactions (41,207)
---------------
Net Increase in Net Assets from Operations $ 236,981,312
===============
</TABLE>
See Notes to Financial Statements on Page 16
14
<PAGE>
Cash Management Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
year ended year ended
December 31, 1997 December 31, 1996
----------------- -----------------
<S> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 237,022,519 $ 173,497,388
Net Realized Gain (Loss) from Investment Transactions (41,207) 102,443
---------------- ----------------
Net Increase in Net Assets from Operations 236,981,312 173,599,831
---------------- ----------------
Capital Transactions
Proceeds from Capital Invested 25,687,643,529 20,303,004,962
Value of Capital Withdrawn (25,146,809,558) (19,831,740,806)
---------------- ----------------
Net Increase in Net Assets from Capital Transactions 540,833,971 471,264,156
---------------- ----------------
Contribution of Capital
Proceeds Contributed -- 1,113,488
---------------- ----------------
Total Increase in Net Assets 777,815,283 645,977,475
Net Assets
Beginning of Year 3,261,909,692 2,615,932,217
---------------- ----------------
End of Year $ 4,039,724,975 $ 3,261,909,692
================ ================
</TABLE>
Financial Highlights
Contained below are selected ratios and supplemental data for each of the years
indicated for the Cash Management Portfolio.
<TABLE>
<CAPTION>
For the years ended December 31,
--------------------------------------------------------
1997 1996 1995 1994 1993
---- ---- ---- ---- ----
<S> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $4,039,725 $3,261,910 $2,615,932 $2,735,025 $1,930,075
Ratios to Average Net Assets:
Net Investment Income 5.43% 5.27% 5.77% 4.24% 3.06%
Expenses 0.18% 0.18% 0.18% 0.18% 0.20%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust 0.02% 0.02% 0.02% 0.02% 0.00%+
</TABLE>
- ----------
+ Less than 0.01%.
See Notes to Financial Statements on Page 16
15
<PAGE>
Cash Management Portfolio
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 is in accordance to Rule 2a-7 of
the Investment Company Act of 1940 and represents the fair value of the
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.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. Repurchase Agreements
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisor, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the 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. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to legal
proceedings.
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.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
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, 1997, this fee aggregated
$2,181,394.
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 an annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31,1997, this
fee aggregated $6,544,181.
Bankers Trust has voluntarily undertaken to waive its fees 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, 1997, expenses of the Portfolio have been reduced by $940,530.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest to a
put agreement and that third party financial institution immediately resold such
security to Bankers Trust New York Corporation, the parent of the Advisor, at
the same price, also pursuant to a put agreement. As a result of these
transactions the Portfolio's Financial Highlights for the year ended December
31, 1994 reflects the Portfolio's realized loss on the sale of these securities
and a capital contribution in the amount of $18,718,663. In 1996, Bankers Trust
contributed capital in the amount of $1,113,488 to reimburse the Cash Management
Portfolio for capital losses incurred in prior years.
Certain officers of the Portfolio are also directors, officers and/or employees
of Edgewood Services, Inc., distributor of BT Institutional Funds. None of the
officers so affiliated received compensation for services as officers of the
Portfolio. Cash Management Portfolio Report of Independent Accountants To the
Trustees and Holders of Beneficial Interest of the Cash Management Portfolio:
16
<PAGE>
Case Management Portfolio
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, including
the schedule of portfolio investments, of the Cash Management Portfolio as of
December 31, 1997, and the related statement of operations for the year then
ended, the statement 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 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, 1997, 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, 1997, the results of its operations
for the year then ended, the changes in its 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, in conformity with generally accepted accounting
principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 18, 1998
17
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
BT INSTITUTIONAL FUNDS
BT INSTITUTIONAL CASH MANAGEMENT FUND
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Counsel
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
-------------------------------------------------
For information on how to invest, shareholder
account information and current price and yield
information, please contact your relationship
manager or the BT Mutual Fund Service Center at
(800) 368-4031. This report must be preceded or
accompanied by the Fund's current prospectus.
-------------------------------------------------
Cusip #055924104
STA479200 (2/98)
