<PAGE> 1
BT INSTITUTIONAL FUNDS
Institutional
Cash
Management
Fund
Semi-Annual Report
June 30, 1995
<PAGE> 2
INSTITUTIONAL CASH MANAGEMENT FUND 1
---------------------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
=============================================================================
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . 3
INSTITUTIONAL CASH MANAGEMENT FUND . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 5
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 6
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . 7
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 8
CASH MANAGEMENT PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 9
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 10
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . 11
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 12
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . 13
INSTITUTIONAL CASH MANAGEMENT FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 17
CASH MANAGEMENT PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . .
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 19
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Institutional
Cash Management Fund may be obtained by calling or writing to Investors
Fiduciary Trust Company or Signature Broker-Dealer Services, Inc., the primary
Servicing Agent and Distributor, respectively, of BT Institutional Funds:
BT INSTITUTIONAL FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT INSTITUTIONAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Institutional Cash Management Fund at the following
address:
BT INSTITUTIONAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 3
INSTITUTIONAL CASH MANAGEMENT FUND 2
---------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
==============================================================================
August, 1995
Dear Shareholders:
We are pleased to present your 1995 Semi-Annual Report for BT
Institutional Funds Institutional Cash Management Fund. This Report
provides you with an investment overview as well as a financial summary of
the Fund's operations for the six months ended June 30, 1995. We have also
included a Letter from the Investment Adviser detailing the factors that
affected the Fund's performance for the six months ended June 30, 1995.
Also presented in your Report is a pie chart displaying diversification of
Portfolio investments, financial statements, financial highlights and a
listing of the Portfolio's holdings.
Looking ahead, we will continue to closely observe the economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of the Institutional Cash Management
Fund and look forward to continuing to serve your investment needs.
Philip W. Coolidge
President
<PAGE> 4
INSTITUTIONAL CASH MANAGEMENT FUND 3
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LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
==============================================================================
The first six months of 1995 were characterized by the Federal Reserve
Board's seeming success in slowing economic growth and in keeping a
confident grip on inflation. Although the strength of the dollar remains a
concern and some recent evidence, particularly in the interest rate
sensitive housing, materials, and auto sectors hint at modest
reacceleration, other economic indicators, including the currently
inverted yield curve, support the Fed's actions. So, too, does,
constructive discourse within Congress regarding the federal deficit.
Events such as the financial stress in Mexico, which impaired exports, and
floods on the West Coast helped to contain growth as well.
While we experienced one additional Fed tightening of interest rates in
February, the lack of threat by both inflation and further rate hikes
after that led to a decline in rates without a change in monetary policy.
As of June 20, the yield spread between the 2-year Treasury and Fed Funds
was 24 basis points.
Despite all this positive evidence, we do not view the current trend as
unambiguously bullish for the short-term end of the fixed income markets.
We have, however, moved from a completely defensive posture at the end of
1994 to a neutral position, extending maturities by selectively seeking
relative value along the yield curve. The Fund's weighted average maturity
stands approximately at the midpoint between overnight and its maximum
weighted average maturity. We have also sought to add value by increasing
the proportion of floating rate instruments in the Fund, thereby enhancing
performance while retaining liquidity and flexibility.
On July 6, 1995, the Federal Reserve Board acted to cut official interest
rates by 0.25%. Nevertheless, we intend to maintain our current strategy
until we know the outcome of the August Federal Open Market Committee
meeting. If the Fed decides against lowering rates in August, the markets
are likely to express disappointment by selling bonds and driving rates
up. On the other hand, if the Fed acts as we expect dropping the target
further, the market is likely to perform well.
At this time, we believe that extending maturity would add very little to
the Fund's yield. Moreover, because the market already expects lower
rates, as reflected in the inverted yield curve, there is little upside
and substantial risk if it is disappointed. In the meantime, we are taking
advantage of daily trading and relative value opportunities.
==============================================================================
ABOUT THE JOHN BURGESS
PORTFOLIO MANAGER Managing Director
Head of Reserve Management
- Responsible for Global Investment Management's
Reserve Management activities
- Formerly Treasurer & First Vice President at
Banca Della Svizzera Italiana (subsidiary of the
Swiss Bank Corporation Group) responsible for all
proprietary and customer trading for the Treasury
Division
- Ten years investment experience, including five
years at J.P. Morgan
- Joined Bankers Trust in 1995
- B.A. (Economics) -- Wesleyan University
<PAGE> 5
INSTITUTIONAL CASH MANAGEMENT FUND 4
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<TABLE>
<S> <C>
==================================================================================
OBJECTIVE Seeks high current income consistent with
liquidity and preservation of capital.
- ----------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Bank obligations, commercial paper, U.S.
Treasury obligations and repurchase
agreements collateralized by U.S. Treasury
obligations.
- ----------------------------------------------------------------------------------
RATINGS S&P: AAAm
Moody's: AAA
- ----------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 6.03%
JUNE 30, 1995 Average maturity: 36 days
(unaudited) Net Assets: $583.6 million
- ----------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of June 30, 1995 (unaudited)
(percentages are based on market value)
</TABLE>
[FIGURE 1]
<TABLE>
<S> <C>
Eurodollar Time Deposits 23.11%
Deposit Note 1.44%
Floating Rate Notes 6.98%
U.S. Government Agency Note 0.60%
Commercial Paper 43.87%
Certificates of Deposit 24.00%
</TABLE>
<PAGE> 6
INSTITUTIONAL CASH MANAGEMENT FUND 5
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<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investment in Cash Management Portfolio, at Value $584,147,396
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses 902
- ---------------------------------------------------------------------------------------------------------------
Total Assets 584,148,298
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 11,973
- ---------------------------------------------------------------------------------------------------------------
Dividends Payable 505,731
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 20,302
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 538,006
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 584,363,537 Outstanding Shares of $.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $583,610,292
===============================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($583,610,292/584,363,537 Shares) $ 1.00
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 584,364
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital 583,779,173
- ---------------------------------------------------------------------------------------------------------------
Accumulated Net Realized (Loss) from Securities Transactions (753,245)
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $583,610,292
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 7
INSTITUTIONAL CASH MANAGEMENT FUND 6
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<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Income Allocated from Cash Management Portfolio, net $16,766,005
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee $142,688
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 2,608
- ---------------------------------------------------------------------------------------------------------------
Shareholders Reports 10,467
- ---------------------------------------------------------------------------------------------------------------
Registration Fees 888
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 2,740
- ---------------------------------------------------------------------------------------------------------------
Insurance 438
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 4,319
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 164,148
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (21,460) 142,688
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,623,317
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 10,504
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $16,633,821
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 8
INSTITUTIONAL CASH MANAGEMENT FUND 7
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<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 $ 16,623,317 $ 34,184,817
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 10,504 (5,994,447)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 16,633,821 28,190,370
- ---------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income (16,623,317) (34,184,817)
- ---------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends (16,623,317) (34,184,817)
- ---------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
- ---------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 3,458,178,690 10,302,248,027
- ---------------------------------------------------------------------------------------------------------------
Dividends Reinvested 12,283,736 21,787,108
- ---------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (3,551,011,139) (11,509,329,518)
- ---------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Transactions in
Shares of Beneficial Interest (80,548,713) (1,185,294,383)
- ---------------------------------------------------------------------------------------------------------------
FROM CONTRIBUTION OF CAPITAL
- ---------------------------------------------------------------------------------------------------------------
Proceeds Contributed -- 5,215,181
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Contribution of Capital -- 5,215,181
- ---------------------------------------------------------------------------------------------------------------
TOTAL (DECREASE) IN NET ASSETS (80,538,209) (1,186,073,649)
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 664,148,501 1,850,222,150
- ---------------------------------------------------------------------------------------------------------------
End of Period $ 583,610,292 $ 664,148,501
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 9
INSTITUTIONAL CASH MANAGEMENT FUND 8
---------------------------------------------------------------
FINANCIAL HIGHLIGHTS
==============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the Institutional Cash Management Fund.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
For the period
July 25, 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>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.03 0.04 0.03 0.04 0.06 0.03
Net Realized Gain (Loss) from
Securities Transactions 0.00+ (0.01) 0.00+ 0.00+ 0.00+ --
----- ----- ----- ----- ----- -----
Total from Investment Operations 0.03 0.03 0.03 0.04 0.06 0.03
----- ----- ----- ----- ----- -----
Contribution of Capital -- 0.01 -- -- -- --
----- ----- ----- ----- ----- -----
Less Dividends and Distributions
Dividends from Net Investment
Income (0.03) (0.04) (0.03) (0.04) (0.06) (0.03)
Distributions from Net Realized
Gain from Securities Transactions -- -- (0.00)+ (0.00)+ (0.00)+ --
----- ----- ----- ----- ----- -----
Total Dividends and Distributions (0.03) (0.04) (0.03) (0.04) (0.06) (0.03)
----- ----- ----- ----- ----- -----
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 2.93% 4.18%++ 3.05% 3.58% 6.20% 8.29%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 5.83%* 3.98% 3.01% 3.48% 5.82% 7.90%*
Ratio of Expenses to Average Net
Assets, Including Expenses of the
Cash Management Portfolio 0.23%* 0.23% 0.25% 0.25% 0.25% 0.25%*
Decrease Reflected in Above
Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.03%* 0.03% 0.02% 0.04% 0.09% 0.21%*
Net Assets, End of Period
(000's omitted) $583,610 $664,149 $1,850,222 $1,334,517 $806,690 $301,546
</TABLE>
* Annualized
+ Less than $0.01 per share
++ Increased by 0.91% due to Contribution of Capital.
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 10
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> 11
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> 12
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> 13
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> 14
CASH MANAGEMENT PORTFOLIO 13
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<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> 15
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> 16
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> 17
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> 18
INSTITUTIONAL CASH MANAGEMENT FUND 17
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
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 a business trust under
the laws of the Commonwealth of Massachusetts. The Institutional Cash
Management Fund (the "Fund") is one of the 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 investable
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 June 30,
1995, the Fund's investment was approximately 24% 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 interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized 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, payable to shareholders of
record as of 4:00 p.m. (E.S.T.) from net investment income. Dividends from net
investment income are paid monthly. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date, which is the same as the
declaration 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 applicable to regulated investment companies and to distribute all of its
taxable 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 the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
<PAGE> 19
INSTITUTIONAL CASH MANAGEMENT FUND 18
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
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 six months ended June 30, 1995, this fee aggregated $142,688.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.10 of 1% of the 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 six
months ended June 30, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive 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 six months ended June 30, 1995, expenses of the Fund
have been reduced $21,460.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
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 Fund's Statement of Changes in Net Assets 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.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - CAPITAL LOSS CARRYFORWARD
At December 31, 1994, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$779,266, which will expire in 2003.
<PAGE> 20
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> 21
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.
<PAGE> 22
BT INSTITUTIONAL FUNDS
Institutional
Treasury
Money
Fund
Semi-Annual Report
June 30, 1995
<PAGE> 23
[COVER]
<PAGE> 24
INSTITUTIONAL TREASURY MONEY FUND 1
-----------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
================================================================================
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM
INVESTMENT ADVISER . . . . . . . . . . . . . . . . . . . . . . . . . . 3
INSTITUTIONAL TREASURY MONEY FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 5
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 6
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . 7
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . 8
TREASURY MONEY PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . 9
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . 10
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . 11
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . 12
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . . 13
INSTITUTIONAL TREASURY MONEY FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 15
TREASURY MONEY PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 17
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Institutional
Treasury Money Fund may be obtained by calling or writing to Investors
Fiduciary Trust Company or Signature Broker-Dealer Services, Inc., the primary
Servicing Agent and Distributor, respectively, of BT Institutional Funds:
BT INSTITUTIONAL FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT INSTITUTIONAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Institutional Treasury Money Fund at the following
address:
BT INSTITUTIONAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 25
INSTITUTIONAL TREASURY MONEY FUND 2
-----------------------------------------------------
INTRODUCTION FROM PRESIDENT
==============================================================================
August, 1995
Dear Shareholders:
We are pleased to present your 1995 Semi-Annual Report for the BT
Institutional Treasury Money Fund. This Report provides you with an
investment overview as well as a financial summary of the Fund's
operations for the six months ended June 30, 1995. In addition, the Report
contains a Letter from the Investment Adviser detailing the factors that
affected the Fund's performance. Also presented in your Report is a pie
chart displaying diversification of Portfolio investments, financial
statements, financial highlights and a listing of the Portfolio's
holdings.
Looking ahead, we will continue to closely observe the economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of the Institutional Treasury Money
Fund and look forward to continuing to serve your investment needs.
Philip W. Coolidge
President
<PAGE> 26
INSTITUTIONAL TREASURY MONEY FUND 3
-----------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
==============================================================================
The first six months of 1995 were characterized by the Federal Reserve
Board's seeming success in slowing economic growth and in keeping a
confident grip on inflation. Although the strength of the dollar remains a
concern and some recent evidence, particularly in the interest rate
sensitive housing, materials, and auto sectors hint at modest
reacceleration, other economic indicators, including the currently
inverted yield curve, support the Fed's actions. So, too, does,
constructive discourse within Congress regarding the Federal deficit.
Events such as the financial stress in Mexico, which impaired exports, and
floods on the West Coast helped to contain growth as well.
While we experienced one additional Fed tightening of interest rates in
February, the lack of threat by both inflation and further rate hikes
after that led to a decline in rates without a change in monetary policy.
As of June 20, the yield spread between the 2-year Treasury and Fed Funds
was 24 basis points.
Despite all this positive evidence, we do not view the current trend as
unambiguously bullish for the short-term end of the fixed income markets.
We have, however, moved from a completely defensive posture at the end of
1994 to a neutral position, extending maturities by selectively seeking
relative value along the yield curve. The Fund's weighted average maturity
stands at 49 days.
On July 6, 1995, the Federal Reserve Board acted to cut official interest
rates by 0.25%. Nevertheless, we intend to maintain our current strategy
until we know the outcome of the August Federal Open Market Committee
meeting. If the Fed decides against lowering rates in August, the markets
are likely to express disappointment by selling bonds and driving rates
up. On the other hand, if the Fed acts as we expect, dropping the target
further, the market is likely to perform well.
At this time, we believe that extending maturity would add very little to
the Fund's yield. Moreover, because the market already expects lower
rates, as reflected in the inverted yield curve, there is little upside
and substantial risk if it is disappointed. In the meantime, we are taking
advantage of daily trading and relative value opportunities.
==============================================================================
ABOUT THE JOHN BURGESS
PORTFOLIO MANAGER Managing Director
Head of Reserve Management
- Responsible for Global Investment Management's
Reserve Management activities
- Formerly Treasurer & First Vice President at
Banca Della Svizzera Italiana (subsidiary of the
Swiss Bank Corporation Group) responsible for all
proprietary and customer trading for the Treasury
Division
- Ten years investment experience, including five
years at J.P. Morgan
- Joined Bankers Trust in 1995
- B.A. (Economics) -- Wesleyan University
<PAGE> 27
INSTITUTIONAL TREASURY MONEY FUND 4
-----------------------------------------------------
<TABLE>
<S> <C>
=================================================================================================
OBJECTIVE Seeks high current income consistent with liquidity and
preservation of capital.
- -------------------------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Direct obligations of U.S. Treasury and repurchase agreements
collateralized by U.S. Treasury obligations.
- -------------------------------------------------------------------------------------------------
RATINGS S&P: AAAm
Moody's: Aaa
- -------------------------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 5.86%
JUNE 30, 1995 Average maturity: 49 days
Net Assets: $206.6 million
- -------------------------------------------------------------------------------------------------
</TABLE>
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of June 30, 1995 (unaudited)
(percentages are based on market value)
[FIGURE 1]
Repurchase Agreements 46.05%
U.S. Treasury Bills 43.95%
U.S. Treasury Notes 10.00%
<PAGE> 28
INSTITUTIONAL TREASURY MONEY FUND 5
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investment in Treasury Money Portfolio, at Value $206,768,147
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses 924
- ---------------------------------------------------------------------------------------------------------------
Due From Bankers Trust 8,158
- ---------------------------------------------------------------------------------------------------------------
Total Assets 206,777,229
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Dividends Payable 175,271
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 20,927
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 196,198
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 206,562,249 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $206,581,031
===============================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($206,581,031/206,562,249 Shares) $ 1.00
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 206,562
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital 206,355,687
- ---------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Gain from Securities Transactions 18,782
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $206,581,031
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 29
INSTITUTIONAL TREASURY MONEY FUND 6
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Income Allocated from Treasury Money Portfolio, net $4,905,679
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 43,188
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 2,658
- ---------------------------------------------------------------------------------------------------------------
Shareholders Reports 11,143
- ---------------------------------------------------------------------------------------------------------------
Registration Fees 753
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 2,715
- ---------------------------------------------------------------------------------------------------------------
Insurance 438
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 4,460
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 65,355
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (22,167) 43,188
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,862,491
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 41,454
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,903,945
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 30
INSTITUTIONAL TREASURY MONEY FUND 7
-----------------------------------------------------
<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 $ 4,862,491 $ 5,906,390
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 41,454 (23,702)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,903,945 5,882,688
- ---------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income (4,862,491) (5,906,390)
- ---------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends (4,862,491) (5,906,390)
- ---------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per Share)
- ---------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 947,154,755 1,332,544,359
- ---------------------------------------------------------------------------------------------------------------
Dividends Reinvested 4,384,707 4,168,968
- ---------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (927,101,283) (1,298,554,174)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 24,438,179 38,159,153
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 24,479,633 38,135,451
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 182,101,398 143,965,947
- ---------------------------------------------------------------------------------------------------------------
End of Period $ 206,581,031 $ 182,101,398
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 31
INSTITUTIONAL TREASURY MONEY FUND 8
-----------------------------------------------------
FINANCIAL HIGHLIGHTS
==============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the Institutional Treasury Money Fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
For the period
July 25, 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>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.03 0.04 0.03 0.04 0.06 0.03
Net Realized Gain (Loss) on Securities 0.00+ (0.00)+ 0.00+ 0.00+ 0.00+ 0.00+
----- ----- ----- ----- ----- -----
Total from Investment Operations 0.03 0.04 0.03 0.04 0.06 0.03
----- ----- ----- ----- ----- -----
Less Dividends and Distributions
Dividends from Net Investment Income (0.03) (0.04) (0.03) (0.04) (0.06) (0.03)
Distributions from Net Realized Gain
from Securities Transactions -- -- (0.00)+ (0.00)+ (0.00)+ (0.00)+
----- ----- ----- ----- ----- -----
Total Dividends and Distributions (0.03) (0.04) (0.03) (0.04) (0.06) (0.03)
----- ----- ----- ----- ----- -----
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 2.81% 3.92% 2.94% 3.56% 5.84% 7.90%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 5.63%* 3.97% 2.88% 3.47% 5.54% 7.36%*
Ratio of Expenses to Average Net Assets,
Including Expenses of the Treasury
Money Portfolio 0.25%* 0.25% 0.25% 0.25% 0.25% 0.25%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust 0.04%* 0.04% 0.03% 0.04% 0.12% 0.39%*
Net Assets, End of Period (000's omitted) $206,581 $182,101 $143,966 $102,182 $131,406 $57,184
</TABLE>
* Annualized
+ Less than $0.01 per share
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 32
TREASURY MONEY PORTFOLIO 9
-----------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
================================================================================================================
June 30, 1995 (unaudited)
- ----------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ----------------------------------------------------------------------------------------------------------------
Investments, at Value (including Repurchase Agreements amounting to $344,367,347) $747,833,393
- ----------------------------------------------------------------------------------------------------------------
Interest Receivable 1,140,937
- ----------------------------------------------------------------------------------------------------------------
Prepaid Expenses 12,377
- ----------------------------------------------------------------------------------------------------------------
Total Assets 748,986,707
- ----------------------------------------------------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 117,041
- ----------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 34,164
- ----------------------------------------------------------------------------------------------------------------
Total Liabilities 151,205
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS $748,835,502
================================================================================================================
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
Paid-in Capital $748,835,502
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $748,835,502
================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 33
TREASURY MONEY PORTFOLIO 10
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
================================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------------------------------------------------------------------------------
Interest $22,752,157
- ----------------------------------------------------------------------------------------------------------------
EXPENSES
- ----------------------------------------------------------------------------------------------------------------
Advisory Fee $584,232
- ----------------------------------------------------------------------------------------------------------------
Administration and Services Fee 194,744
- ----------------------------------------------------------------------------------------------------------------
Professional Fees 18,022
- ----------------------------------------------------------------------------------------------------------------
Trustees Fees 732
- ----------------------------------------------------------------------------------------------------------------
Insurance 1,318
- ----------------------------------------------------------------------------------------------------------------
Miscellaneous 20,483
- ----------------------------------------------------------------------------------------------------------------
Total Expenses 819,531
- ----------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (40,555) 778,976
- ----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 21,973,181
- ----------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 186,095
- ----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $22,159,276
================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 34
TREASURY MONEY 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 $ 21,973,181 $ 30,804,929
- ----------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 186,095 (124,833)
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 22,159,276 30,680,096
- ----------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 4,048,962,541 6,929,406,671
- ----------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (4,205,060,907) (6,866,790,869)
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (156,098,366) 62,615,802
- ----------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (133,939,090) 93,295,898
================================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
Beginning of Period 882,774,592 789,478,694
- ----------------------------------------------------------------------------------------------------------------
End of Period $ 748,835,502 $ 882,774,592
================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 35
TREASURY MONEY PORTFOLIO 12
------------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Treasury Money 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 5.64%* 3.93% 2.93% 3.44% 5.58% 7.53%*
Ratio of Expenses to Average Net Assets 0.20%* 0.20% 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 0.01%* 0.01% 0.01% 0.01% 0.01% 0.01%*
Net Assets, End of Period (000's omitted) $748,836 $882,775 $789,479 $1,408,114 $671,138 $531,713
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 36
TREASURY MONEY PORTFOLIO 13
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===============================================================================================================
<S> <C>
UNITED STATES TREASURY BILLS - 43.89%
- ---------------------------------------------------------------------------------------------------------------
$ 25,000,000 5.72%, 7/6/95 $ 24,980,139
- ---------------------------------------------------------------------------------------------------------------
30,000,000 6.06%, 8/10/95 29,798,167
- ---------------------------------------------------------------------------------------------------------------
20,000,000 5.78%, 8/31/95 19,804,122
- ---------------------------------------------------------------------------------------------------------------
93,500,000 5.38%, 9/28/95 92,255,628
- ---------------------------------------------------------------------------------------------------------------
65,000,000 5.42%, 10/19/95 63,924,063
- ---------------------------------------------------------------------------------------------------------------
25,000,000 5.67%, 11/2/95 24,511,750
- ---------------------------------------------------------------------------------------------------------------
45,000,000 5.75%, 11/9/95 44,059,165
- ---------------------------------------------------------------------------------------------------------------
30,000,000 5.47%, 11/24/95 29,334,584
- ---------------------------------------------------------------------------------------------------------------
TOTAL UNITED STATES TREASURY BILLS (Cost $328,667,618) $328,667,618
===============================================================================================================
UNITED STATES TREASURY NOTES - 9.99%
- ---------------------------------------------------------------------------------------------------------------
$ 25,000,000 4.625%, 8/15/95 $ 24,950,562
- ---------------------------------------------------------------------------------------------------------------
50,000,000 3.875%, 8/31/95 49,847,866
- ---------------------------------------------------------------------------------------------------------------
TOTAL UNITED STATES TREASURY NOTES (Cost $74,798,428) $ 74,798,428
===============================================================================================================
REPURCHASE AGREEMENTS - 45.99%
- ---------------------------------------------------------------------------------------------------------------
$ 80,000,000 Repurchase Agreement with First Boston, Dated 6/30/95, 6.15%,
Principal and Interest in the Amount of $80,013,677, Due 7/3/95,
(Collateralized by U.S. Treasury Bills, Par Value of $82,975,000,
Due 10/12/95, Value of $83,947,508) $ 80,000,000
- ---------------------------------------------------------------------------------------------------------------
75,000,000 Repurchase Agreement with Fuji Bank Ltd., Dated 6/30/95, 6.20%,
Principal and Interest in the Amount of $75,012,917, Due 7/3/95,
(Collateralized by U.S. Treasury Strips, Par Value of $47,910,000,
Due 2/15/96, Value of $47,187,519 and $37,531,000, Due 2/15/99,
Value of $30,213,098) 75,000,000
- ---------------------------------------------------------------------------------------------------------------
100,000,000 Repurchase Agreement with Swiss Bank, Dated 6/30/95, 6.15%,
Principal and Interest in the Amount of $100,017,083, Due 7/3/95,
(Collateralized by U.S. Treasury Notes, Par Value $25,000,000, 9.00%,
Due 5/15/98, Value of $27,308,594, $25,000,000, 5.125%, Due 4/30/98,
Value of $24,728,006, $24,220,000, 5.625%, Due 1/31/98, Value of $24,644,498
and $24,475,000, 6.00%, Due 6/30/96, Value of $25,274,262) 100,000,000
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 37
TREASURY MONEY PORTFOLIO 14
------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===============================================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===============================================================================================================
<S> <C>
$ 80,000,000 Repurchase Agreement with Union Bank of Switzerland, Dated 6/30/95,
6.10%, Principal and Interest in the Amount of $80,013,556, Due 7/3/95,
(Collateralized by U.S. Treasury Notes, Par Value of $50,000,000, 7.875%,
Due 8/15/01, Value of $56,069,967 and $25,660,000, 5.50%, Due 4/30/96,
Value of $25,841,816) $ 80,000,000
- ---------------------------------------------------------------------------------------------------------------
9,367,347 Repurchase Agreement with Union Bank of Switzerland, Dated 6/30/95,
6.00%, Principal and Interest in the Amount of $9,368,908, Due 7/3/95,
(Collateralized by U.S. Treasury Note, Par Value of $6,965,000, 11.875%,
Due 11/15/03, Value of $9,577,549) 9,367,347
- ---------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost $344,367,347) $344,367,347
===============================================================================================================
TOTAL INVESTMENTS (Cost $747,833,393) 99.87% $747,833,393
- ---------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.13% 1,002,109
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $748,835,502
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 38
INSTITUTIONAL TREASURY MONEY FUND 15
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
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 Treasury Money 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 investable assets in the Treasury Money 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 June 30, 1995, the Fund's investment was
approximately 28% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in the report.
B. Investment Income
The Fund earns interest 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, payable to shareholders of
record as of 2:00 p.m. (E.S.T.) from net investment income, and to pay these
dividends monthly. Dividends payable to shareholders are recorded by the Fund
on the ex-dividend date, which is the same as the declaration 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 applicable to regulated investment companies and to distribute all of its
taxable 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 charge to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
<PAGE> 39
INSTITUTIONAL TREASURY MONEY FUND 16
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
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 six months ended June 30, 1995, this fee aggregated $43,188.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.10 of 1% of the 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 six
months ended June 30, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive 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
0.25 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended June 30, 1995, expenses of the Fund
have been reduced $22,167.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature, None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - CAPITAL LOSS CARRYFORWARD
At December 31, 1994, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$23,702, which will expire in 2003.
<PAGE> 40
TREASURY MONEY PORTFOLIO 17
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Treasury Money 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 and 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> 41
TREASURY MONEY PORTFOLIO 18
------------------------------------------------------
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 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
$194,744.
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 $584,232.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.20 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 $40,555.
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> 42
[This Page Intentionally Left Blank]
<PAGE> 43
[This Page Intentionally Left Blank]
<PAGE> 44
[COVER]
<PAGE> 45
[COVER]
<PAGE> 46
BT INSTITUTIONAL FUNDS
Equity
500 Index
Fund
Semi-Annual Report
June 30, 1995
<PAGE> 47
EQUITY 500 INDEX FUND 1
------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
================================================================================
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . 3
EQUITY 500 INDEX FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . 6
Statement of Operations . . . . . . . . . . . . . . . . . . . 7
Statement of Changes in Net Assets . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . 9
EQUITY 500 INDEX PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . 10
Statement of Operations . . . . . . . . . . . . . . . . . . . 11
Statement of Changes in Net Assets . . . . . . . . . . . . . . 12
Financial Highlights . . . . . . . . . . . . . . . . . . . . . 13
Schedule of Portfolio Investments . . . . . . . . . . . . . . 14
EQUITY 500 INDEX FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . 25
EQUITY 500 INDEX PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . 27
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Equity 500
Index Fund may be obtained by calling or writing to Investors Fiduciary Trust
Company or Signature Broker-Dealer Services, Inc., the primary Servicing Agent
and Distributor, respectively, of BT Institutional Funds:
BT INSTITUTIONAL FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT INSTITUTIONAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Equity 500 Index Fund at the following address:
BT INSTITUTIONAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 48
EQUITY 500 INDEX FUND 2
------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
August, 1995
Dear Shareholders:
We are pleased to present your 1995 Semi-Annual Report for the BT Institutional
Funds Equity 500 Index Fund. This Report provides you with an investment
overview as well as a financial summary of the Fund's operations for the six
months ended June 30, 1995. We have also included a Letter from the Investment
Adviser detailing the factors that affected the Fund's performance and a
performance chart which illustrates your Fund's return versus a relevant
financial index. Also presented in your Report is a pie chart displaying
diversification of Portfolio investments, financial statements, financial
highlights and a listing of the Portfolio's holdings.
Looking ahead, we will continue to closely observe the economic conditions and
how they affect the financial markets.
We appreciate your ongoing support of the Equity 500 Index Fund and look
forward to continuing to serve your investment needs.
Philip W. Coolidge
President
<PAGE> 49
EQUITY 500 INDEX FUND 3
------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The BT Institutional Funds Equity 500 Index Fund returned 20.21% for the
semi-annual period ended June 30, 1995, matching exactly the 20.21% return of
the S&P 500 Index. Clearly, the Fund's tracking of its benchmark is excellent.
It is also well worth noting that the Fund outperformed most of its peers, as
measured by the Lipper S&P 500 Average.
In contrast to our description of the market's trying times in our last report
to you, the first six months of 1995 were, overall, extremely strong and
impressive ones for the equity markets. Large cap issues continued to
outperform small cap stocks, even with the latter's rally during the second
quarter.
Several factors contributed to rising stock prices and investors' positive
sentiment about the markets and the economy's direction. Primary among these
were lower long-term interest rates and strong corporate earnings' reports.
These indicators, which incorporate improvements in productivity and
containment of labor costs, overshadowed higher unemployment figures, weaker
housing starts, lower exports, slower auto sales, and decreased industrial
growth. In other words, despite signs of moderation, there still seemed to be
plenty of strength in the economy.
Add to that no signs of higher inflation on the horizon, and the consensus was
that the Federal Reserve Board would act sooner rather than later to lower the
Fed funds rate. In fact, the Federal Reserve Board did act to cut official
interest rates by 0.25% in early July. If this scenario continues to hold true,
the conditions for stocks, in our opinion, will remain favorable.
<PAGE> 50
EQUITY 500 INDEX FUND 4
------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund's return versus the S&P 500 Index
since the Fund's inception, assuming a $10,000 initial investment:
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE
EQUITY 500 INDEX FUND
AND THE S&P 500 INDEX
<TABLE>
<CAPTION>
FUND INDEX
---- -----
<S> <C> <C>
12/31/92 $10,000 $10,000
3/31/93 10,420 10,437
6/30/93 10,491 10,487
9/30/93 10,736 10,758
12/31/93 10,984 11,008
3/31/94 10,573 10,591
6/30/94 10,615 10,635
9/30/94 11,126 11,155
12/31/94 11,137 11,153
3/31/95 12,214 12,239
6/30/95 13,388 13,407
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED JUNE 30, 1995
One Year Since 12/31/92*
<S> <C>
26.12% 33.88%
</TABLE>
* The Fund's inception date
Investment return and principal
value may fluctuate so that shares,
when redeemed, may be worth more
or less than their original cost.
[FIGURE 1]
<TABLE>
<S> <C>
ABOUT THE FRANK SALERNO
PORTFOLIO MANAGER Managing Director
- Oversees Administration and Management of domestic
and international equity index strategies
- B.A. - Syracuse University
- M.B.A. - New York University
- Joined Bankers Trust in 1981
</TABLE>
<PAGE> 51
EQUITY 500 INDEX FUND 5
-------------------------------------------------
<TABLE>
<S> <C>
================================================================================
OBJECTIVE Seeks to match the performance of the stock
market index, as represented by the S&P 500
Index, before expenses.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Primarily equity securities, consisting of
common stock of current S&P 500 companies.
- --------------------------------------------------------------------------------
TEN LARGEST STOCK HOLDINGS General Electric Philip Morris
Exxon Wal-Mart Stores
AT&T Merck & Co.
Coca-Cola International Business
Machines
Royal Dutch Petroleum Microsoft
================================================================================
</TABLE>
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY INDUSTRY
as of June 30, 1995 (unaudited)
(percentages are based on market value)
[FIGURE 2]
<TABLE>
<S> <C>
Beverages 3.56%
Electronics 4.74%
Chemicals 3.40%
Electrical Equipment 3.85%
Foods 3.37%
Utilities 6.95%
Drugs 5.01%
Banks 5.46%
U.S. Treasury Bills 3.43%
Retail 4.88%
Office Equipment 3.18%
Other* 33.26%
Financial Services 3.08%
Oil Related 9.42%
Telecommunications 6.41%
</TABLE>
* No one industry represents more than 3.00% of Portfolio holdings.
<PAGE> 52
EQUITY 500 INDEX FUND 6
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================
June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------
Investment in Equity 500 Index Portfolio, at Value $511,265,009
- ---------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 461,577
- ---------------------------------------------------------------------------------------------------
Prepaid Expenses 1,805
- ---------------------------------------------------------------------------------------------------
Due from Bankers Trust 14,629
- ---------------------------------------------------------------------------------------------------
Total Assets 511,743,020
- ---------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 694,720
- ---------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 23,216
- ---------------------------------------------------------------------------------------------------
Total Liabilities 717,936
- ---------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 40,987,659 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $511,025,084
===================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($511,025,084/40,987,659 Shares) $ 12.47
===================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 40,988
- ---------------------------------------------------------------------------------------------------
Paid-in Capital 440,529,883
- ---------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 3,116,930
- ---------------------------------------------------------------------------------------------------
Distributions in Excess of Realized Gains from Securities and Futures
Transactions (864,551)
- ---------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 68,256,023
- ---------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Futures Contracts (54,189)
- ---------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $511,025,084
===================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 25 and 26
<PAGE> 53
EQUITY 500 INDEX FUND 7
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
==========================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ----------------------------------------------------------------------------------------------------------
Income Allocated from Equity 500 Index Portfolio, net $ 5,615,998
- ----------------------------------------------------------------------------------------------------------
EXPENSES
- ----------------------------------------------------------------------------------------------------------
Administration and Services Fee $104,045
- ----------------------------------------------------------------------------------------------------------
Professional Fees 1,589
- ----------------------------------------------------------------------------------------------------------
Shareholders Reports 19,094
- ----------------------------------------------------------------------------------------------------------
Registration Fees 2,469
- ----------------------------------------------------------------------------------------------------------
Insurance 438
- ----------------------------------------------------------------------------------------------------------
Trustees Fees 2,740
- ----------------------------------------------------------------------------------------------------------
Miscellaneous 523
- ----------------------------------------------------------------------------------------------------------
Total Expenses 130,898
- ----------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (130,898) --
==========================================================================================================
NET INVESTMENT INCOME 5,615,998
- ----------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 151,160
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 2,065,149
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 69,612,789
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 35,430
- ----------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 71,864,528
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $77,480,526
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 25 and 26
<PAGE> 54
EQUITY 500 INDEX FUND 8
-------------------------------------------------
<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 $ 5,615,998 $ 7,950,315
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and
Futures Transactions 2,216,309 (328,755)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 69,648,219 (5,282,636)
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 77,480,526 2,338,924
- ------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS AND DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------
Net Investment Income (2,577,053) (7,898,667)
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities and Futures Transactions -- (3,401,029)
- ------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends
and Distributions (2,577,053) (11,299,696)
- ------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 64,905,957 209,668,609
- ------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 139,809,430 200,707,837
============================================================================================================
NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Beginning of Period 371,215,654 170,507,817
- ------------------------------------------------------------------------------------------------------------
End of Period [including Undistributed Net Investment Income
of $3,116,930 and $77,985 for 1995 and 1994, respectively] $511,025,084 $371,215,654
============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 25 and 26
<PAGE> 55
EQUITY 500 INDEX FUND 9
-------------------------------------------------
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the Equity 500 Index Fund.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
For the six For the year ended
months ended December 31, December 31, 1992
June 30, 1995 -------------------------- (Commencement
(unaudited) 1994 1993 of Operations)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $10.44 $10.68 $10.00 $10.00
------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.15 0.28 0.25 --
Net Realized and Unrealized Gain (Loss) on Securities
and Futures Transactions 1.95 (0.13) 0.73 --
------ ------ ------ ------
Total from Investment Operations 2.10 0.15 0.98 --
------ ------ ------ ------
Less Dividends and Distributions
Dividends from Net Investment Income (0.07) (0.28) (0.25) --
Distributions from Net Realized Gain from
Securities and Futures Transactions -- (0.11) (0.05) --
------ ------ ------ ------
Total Dividends and Distributions (0.07) (0.39) (0.30) --
------ ------ ------ ------
Net Asset Value, End of Period $12.47 $10.44 $10.68 $10.00
====== ====== ====== ======
TOTAL INVESTMENT RETURN 20.21% 1.40% 9.84% --
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 2.70%* 2.84% 2.67% --
Ratio of Expenses to Average Net Assets, Including
Expenses of the Equity 500 Index Portfolio 0.10%* 0.10% 0.10% --
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust 0.12%* 0.13% 0.25% --
Net Assets, End of Period (000's omitted) $511,025 $371,216 $170,508 $9,335
</TABLE>
*Annualized
See Notes to Financial Statements on Pages 25 and 26
<PAGE> 56
EQUITY 500 INDEX PORTFOLIO 10
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=================================================================================================
June 30, 1995 (unaudited)
- -------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -------------------------------------------------------------------------------------------------
Investments, at Value (Cost $633,467,762) $735,482,804
- -------------------------------------------------------------------------------------------------
Cash 2,615
- -------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 1,545,133
- -------------------------------------------------------------------------------------------------
Prepaid Expenses 858
- -------------------------------------------------------------------------------------------------
Total Assets 737,031,410
- -------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------
Due to Bankers Trust 52,977
- -------------------------------------------------------------------------------------------------
Variation Margin Payable 62,925
- -------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 15,671
- -------------------------------------------------------------------------------------------------
Total Liabilities 131,573
- -------------------------------------------------------------------------------------------------
NET ASSETS $736,899,837
=================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------
Paid-in Capital $634,855,670
- -------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 102,015,042
- -------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 29,125
- -------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $736,899,837
=================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 57
EQUITY 500 INDEX PORTFOLIO 11
-------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
============================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $71,619) $ 8,014,569
- ------------------------------------------------------------------------------------------------------------
Interest 616,125
- ------------------------------------------------------------------------------------------------------------
Total Investment Income $ 8,630,694
- ------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------
Advisory Fee 308,524
- ------------------------------------------------------------------------------------------------------------
Administration and Services Fee 154,262
- ------------------------------------------------------------------------------------------------------------
Professional Fees 14,154
- ------------------------------------------------------------------------------------------------------------
Trustees Fees 732
- ------------------------------------------------------------------------------------------------------------
Insurance 1,318
- ------------------------------------------------------------------------------------------------------------
Miscellaneous 654
- ------------------------------------------------------------------------------------------------------------
Total Expenses 479,644
- ------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (171,120) 308,524
- ------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 8,322,170
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 223,341
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 3,056,679
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 103,011,691
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Futures Contracts 51,357
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 106,343,068
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $114,665,238
============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 58
EQUITY 500 INDEX PORTFOLIO 12
-------------------------------------------------
<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 $ 8,322,170 $ 12,177,697
- ------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and
Futures Transactions 3,280,020 (483,667)
- ------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 103,063,048 (4,936,075)
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 114,665,238 6,757,955
- ------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 145,848,521 529,295,851
- ------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (83,385,450) (128,087,609)
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 62,463,071 401,208,242
- ------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 177,128,309 407,966,197
============================================================================================================
NET ASSETS
- ------------------------------------------------------------------------------------------------------------
Beginning of Period 559,771,528 151,805,331
- ------------------------------------------------------------------------------------------------------------
End of Period $736,899,837 $559,771,528
============================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 59
EQUITY 500 INDEX PORTFOLIO 13
-------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
For the six For the year ended
months ended December 31, December 31, 1992
June 30, 1995 ----------------------- (Commencement
(unaudited) 1994 1993 of Operations)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 2.70%* 2.84% 2.67% --
Ratio of Expenses to Average Net Assets 0.10%* 0.10% 0.10% --
Decrease Reflected in Above Ratio
of Expenses to Average Net Assets
Due to Absorption of Expenses
by Bankers Trust 0.06%* 0.06% 0.10% --
Portfolio Turnover Rate 3% 21% 31% --
Net Assets, End of Period
(000's omitted) $736,900 $559,772 $151,805 $9,435
</TABLE>
*Annualized
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 60
EQUITY 500 INDEX PORTFOLIO 14
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
COMMON STOCKS - 96.38%
==========================================================================
AEROSPACE - 1.96%
- --------------------------------------------------------------------------
61,442 Boeing $ 3,847,805
- --------------------------------------------------------------------------
10,222 General Dynamics 453,601
- --------------------------------------------------------------------------
36,410 Lockheed Martin 2,298,381
- --------------------------------------------------------------------------
14,836 Loral 767,763
- --------------------------------------------------------------------------
19,588 McDonnell Douglas 1,503,379
- --------------------------------------------------------------------------
7,979 Northrop Grumman 415,906
- --------------------------------------------------------------------------
22,207 Raytheon 1,723,819
- --------------------------------------------------------------------------
36,724 Rockwell International 1,680,123
- --------------------------------------------------------------------------
22,706 United Technologies 1,773,906
- --------------------------------------------------------------------------
14,464,683
==========================================================================
AIRLINES - 0.33%
- --------------------------------------------------------------------------
14,402 AMR (a) 1,074,749
- --------------------------------------------------------------------------
9,949 Delta Air Lines 733,739
- --------------------------------------------------------------------------
22,000 Southwest Airlines 525,250
- --------------------------------------------------------------------------
9,015 USAir Group (a) 104,799
- --------------------------------------------------------------------------
2,438,537
==========================================================================
APPAREL, TEXTILES - 0.67%
- --------------------------------------------------------------------------
1,493 Brown Group 33,966
- --------------------------------------------------------------------------
18,003 Charming Shoppes 94,516
- --------------------------------------------------------------------------
42,614 Corning 1,395,608
- --------------------------------------------------------------------------
9,100 Fruit of the Loom (a) 192,237
- --------------------------------------------------------------------------
16,203 Liz Claiborne 344,314
- --------------------------------------------------------------------------
19,119 Melville 654,826
- --------------------------------------------------------------------------
8,912 Nike, Cl. B 748,608
- --------------------------------------------------------------------------
15,629 Reebok International Ltd. 531,386
- --------------------------------------------------------------------------
4,611 Russell 132,566
- --------------------------------------------------------------------------
1,704 Springs Industries, Cl. A 63,474
- --------------------------------------------------------------------------
6,749 Stride Rite 70,021
- --------------------------------------------------------------------------
12,715 V.F. 683,431
- --------------------------------------------------------------------------
4,944,953
==========================================================================
AUTO RELATED - 2.56%
- --------------------------------------------------------------------------
69,897 Chrysler 3,346,319
- --------------------------------------------------------------------------
6,834 Cummins Engine 298,133
- --------------------------------------------------------------------------
15,774 Dana 451,531
- --------------------------------------------------------------------------
12,482 Eaton 725,516
- --------------------------------------------------------------------------
9,144 Echlin 317,754
- --------------------------------------------------------------------------
194,864 Ford Motor 5,797,204
- --------------------------------------------------------------------------
133,684 General Motors 6,266,437
- --------------------------------------------------------------------------
20,284 Genuine Parts 768,256
- --------------------------------------------------------------------------
6,090 PACCAR 284,708
- --------------------------------------------------------------------------
11,143 Parker-Hannifin 403,934
- --------------------------------------------------------------------------
1,212 SPX 13,787
- --------------------------------------------------------------------------
3,648 Timken 168,264
- --------------------------------------------------------------------------
18,841,843
==========================================================================
BANKS - 5.45%
- --------------------------------------------------------------------------
18,434 Ahmanson (H.F.) & Company 405,548
- --------------------------------------------------------------------------
73,359 Banc One 2,365,828
- --------------------------------------------------------------------------
21,067 Bank of Boston 790,012
- --------------------------------------------------------------------------
36,100 Bank of New York 1,457,537
- --------------------------------------------------------------------------
68,136 BankAmerica 3,585,657
- --------------------------------------------------------------------------
18,297 Barnett Banks 937,721
- --------------------------------------------------------------------------
20,554 Boatmen's Bancshares 724,528
- --------------------------------------------------------------------------
33,494 Chase Manhattan 1,574,218
- --------------------------------------------------------------------------
47,355 Chemical Banking 2,237,524
- --------------------------------------------------------------------------
72,066 Citicorp 4,170,820
- --------------------------------------------------------------------------
21,164 Corestates Financial 738,094
- --------------------------------------------------------------------------
16,988 First Chicago 1,017,156
- --------------------------------------------------------------------------
13,354 First Fidelity Bancorp 787,886
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 61
EQUITY 500 INDEX PORTFOLIO 15
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
14,672 First Interstate Bancorp $ 1,177,428
- --------------------------------------------------------------------------
30,923 First Union 1,399,266
- --------------------------------------------------------------------------
10,317 Golden West Financial 486,189
- --------------------------------------------------------------------------
25,684 Great Western Financial 529,733
- --------------------------------------------------------------------------
45,200 KeyCorp 1,418,150
- --------------------------------------------------------------------------
28,262 Mellon Bank 1,176,406
- --------------------------------------------------------------------------
34,560 Morgan (J.P.) 2,423,520
- --------------------------------------------------------------------------
22,600 National City 663,875
- --------------------------------------------------------------------------
51,126 NationsBank 2,741,632
- --------------------------------------------------------------------------
25,271 NBD Bancorp 808,672
- --------------------------------------------------------------------------
53,808 Norwest 1,546,980
- --------------------------------------------------------------------------
20,505 Shawmut National 653,597
- --------------------------------------------------------------------------
19,980 Sun Trust Banks 1,163,835
- --------------------------------------------------------------------------
19,188 U.S. Bancorp 461,711
- --------------------------------------------------------------------------
29,400 Wachovia 1,051,050
- --------------------------------------------------------------------------
9,322 Wells Fargo 1,680,291
- --------------------------------------------------------------------------
40,174,864
==========================================================================
BEVERAGES - 3.55%
- --------------------------------------------------------------------------
46,640 Anheuser-Busch 2,652,650
- --------------------------------------------------------------------------
8,219 Brown Forman, Cl. B 274,309
- --------------------------------------------------------------------------
225,311 Coca-Cola 14,363,576
- --------------------------------------------------------------------------
5,968 Coors (Adolph), Cl. B 97,726
- --------------------------------------------------------------------------
140,747 Pepsico 6,421,582
- --------------------------------------------------------------------------
68,137 Seagram, ADR 2,359,244
- --------------------------------------------------------------------------
26,169,087
==========================================================================
BUILDING & CONSTRUCTION - 0.74%
- --------------------------------------------------------------------------
7,783 Armstrong World Industries 390,123
- --------------------------------------------------------------------------
5,990 Centex 169,217
- --------------------------------------------------------------------------
3,311 Crane 120,024
- --------------------------------------------------------------------------
6,906 Fleetwood Enterprises 136,394
- --------------------------------------------------------------------------
81,951 Home Depot 3,329,259
- --------------------------------------------------------------------------
25,811 Masco 696,897
- --------------------------------------------------------------------------
3,022 Morrison Knudsen 20,399
- --------------------------------------------------------------------------
8,150 Owens-Corning (a) 300,531
- --------------------------------------------------------------------------
2,036 Skyline 36,903
- --------------------------------------------------------------------------
6,165 Stanley Works 233,499
- --------------------------------------------------------------------------
5,433,246
==========================================================================
BUILDING, FOREST PRODUCTS - 0.77%
- --------------------------------------------------------------------------
7,403 Boise Cascade 299,821
- --------------------------------------------------------------------------
18,028 Champion International 939,709
- --------------------------------------------------------------------------
16,901 Georgia-Pacific 1,466,162
- --------------------------------------------------------------------------
8,577 Johnson Controls 484,600
- --------------------------------------------------------------------------
2,045 Kaufman & Broad Home 29,653
- --------------------------------------------------------------------------
18,058 Louisiana Pacific 474,023
- --------------------------------------------------------------------------
4,901 Potlatch 204,617
- --------------------------------------------------------------------------
37,994 Weyerhaeuser 1,790,467
- --------------------------------------------------------------------------
5,689,052
==========================================================================
CHEMICALS - 3.39%
- --------------------------------------------------------------------------
21,704 Air Products & Chemical 1,209,998
- --------------------------------------------------------------------------
25,320 Amgen (a) 2,036,678
- --------------------------------------------------------------------------
49,776 Dow Chemical 3,577,650
- --------------------------------------------------------------------------
98,796 Du Pont (E.I.) de Nemours 6,792,225
- --------------------------------------------------------------------------
13,781 Eastman Chemical 819,970
- --------------------------------------------------------------------------
1,660 First Mississippi 56,647
- --------------------------------------------------------------------------
5,750 FMC (a) 386,688
- --------------------------------------------------------------------------
17,849 Grace (W.R.) 1,095,482
- --------------------------------------------------------------------------
11,596 Great Lakes Chemical 698,659
- --------------------------------------------------------------------------
19,814 Hercules 965,932
- --------------------------------------------------------------------------
15,702 Mallinckrodt Group 557,421
- --------------------------------------------------------------------------
20,944 Monsanto 1,887,578
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 62
EQUITY 500 INDEX PORTFOLIO 16
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
24,906 Morton International $ 728,500
- --------------------------------------------------------------------------
11,725 Nalco Chemical 426,497
- --------------------------------------------------------------------------
37,042 PPG Industries 1,592,806
- --------------------------------------------------------------------------
7,638 Raychem 293,108
- --------------------------------------------------------------------------
11,459 Rohm & Haas 628,813
- --------------------------------------------------------------------------
6,700 Sigma Aldrich 329,137
- --------------------------------------------------------------------------
26,917 Union Carbide 898,355
- --------------------------------------------------------------------------
24,982,144
==========================================================================
COMPUTER HARDWARE - 0.15%
- --------------------------------------------------------------------------
23,042 Apple Computer 1,070,013
==========================================================================
COMPUTER SERVICES - 0.59%
- --------------------------------------------------------------------------
26,656 Automatic Data Processing 1,675,996
- --------------------------------------------------------------------------
14,000 Cabletron Systems (a) 745,500
- --------------------------------------------------------------------------
17,200 CUC International (a) 722,400
- --------------------------------------------------------------------------
29,700 Silicon Graphics (a) 1,184,287
- --------------------------------------------------------------------------
4,328,183
==========================================================================
COMPUTER SOFTWARE - 2.29%
- --------------------------------------------------------------------------
48,900 Cisco Systems (a) 2,472,506
- --------------------------------------------------------------------------
29,345 Computer Associates International 1,988,124
- --------------------------------------------------------------------------
104,300 Microsoft (a) 9,426,113
- --------------------------------------------------------------------------
78,036 Oracle Systems (a) 3,014,140
- --------------------------------------------------------------------------
16,900,883
==========================================================================
CONTAINERS - 0.31%
- --------------------------------------------------------------------------
10,515 Avery Dennison 420,600
- --------------------------------------------------------------------------
2,754 Ball 96,046
- --------------------------------------------------------------------------
17,350 Crown Cork & Seal (a) 869,669
- --------------------------------------------------------------------------
19,949 Stone Container (a) 423,916
- --------------------------------------------------------------------------
10,022 Temple-Inland (a) 477,298
- --------------------------------------------------------------------------
2,287,529
==========================================================================
COSMETICS - 0.73%
- --------------------------------------------------------------------------
1,599 Alberto-Culver, Cl. B 48,370
- --------------------------------------------------------------------------
11,714 Avon Products 784,838
- --------------------------------------------------------------------------
80,108 Gillette 3,574,819
- --------------------------------------------------------------------------
19,687 International Flavors & Fragrance 979,428
- --------------------------------------------------------------------------
5,387,455
==========================================================================
DIVERSIFIED - 1.00%
- --------------------------------------------------------------------------
6,902 Ceridian (a) 254,511
- --------------------------------------------------------------------------
9,700 Loews (a) 1,173,700
- --------------------------------------------------------------------------
75,478 Minnesota Mining & Manufacturing 4,321,115
- --------------------------------------------------------------------------
1,181 NACCO Industries, Cl. A 70,712
- --------------------------------------------------------------------------
17,864 Pall 397,474
- --------------------------------------------------------------------------
22,215 Praxair 555,375
- --------------------------------------------------------------------------
12,620 Supervalu 367,558
- --------------------------------------------------------------------------
8,857 Teledyne 216,997
- --------------------------------------------------------------------------
7,357,442
==========================================================================
DRUGS - 5.00%
- --------------------------------------------------------------------------
55,483 American Home Products 4,292,997
- --------------------------------------------------------------------------
90,689 Bristol Myers-Squibb 6,178,188
- --------------------------------------------------------------------------
52,685 Lily (Eli) 4,135,772
- --------------------------------------------------------------------------
220,197 Merck & Co. 10,789,653
- --------------------------------------------------------------------------
56,302 Pfizer 5,200,897
- --------------------------------------------------------------------------
68,758 Schering-Plough 3,033,947
- --------------------------------------------------------------------------
28,460 Upjohn 1,077,923
- --------------------------------------------------------------------------
24,643 Warner-Lambert 2,128,539
- --------------------------------------------------------------------------
36,837,916
==========================================================================
ELECTRICAL EQUIPMENT - 3.84%
- --------------------------------------------------------------------------
301,222 General Electric 16,981,390
- --------------------------------------------------------------------------
7,372 General Signal 293,037
- --------------------------------------------------------------------------
8,465 Grainger (W.W.) 497,319
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 63
EQUITY 500 INDEX PORTFOLIO 17
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
91,170 Hewlett-Packard $ 6,792,165
- --------------------------------------------------------------------------
19,223 ITT 2,258,703
- --------------------------------------------------------------------------
11,316 Tyco International 611,064
- --------------------------------------------------------------------------
58,410 Westinghouse Electric 854,246
- --------------------------------------------------------------------------
28,287,924
==========================================================================
ELECTRONICS - 4.73%
- --------------------------------------------------------------------------
20,141 Advanced Micro Devices 732,629
- --------------------------------------------------------------------------
52,006 Allied Signal 2,314,267
- --------------------------------------------------------------------------
38,618 AMP 1,631,610
- --------------------------------------------------------------------------
15,800 Applied Materials (a) 1,368,675
- --------------------------------------------------------------------------
21,590 DSC Communications (a) 1,003,935
- --------------------------------------------------------------------------
42,300 Emerson Electric 3,024,450
- --------------------------------------------------------------------------
7,371 Harris 380,528
- --------------------------------------------------------------------------
147,614 Intel 9,345,811
- --------------------------------------------------------------------------
37,700 Micron Technology 2,068,787
- --------------------------------------------------------------------------
105,242 Motorola 7,064,369
- --------------------------------------------------------------------------
1,625 M/A-Com (a) 19,094
- --------------------------------------------------------------------------
24,526 National Semiconductor (a) 680,596
- --------------------------------------------------------------------------
41,401 Northern Telecom 1,511,136
- --------------------------------------------------------------------------
6,125 Perkin-Elmer 217,438
- --------------------------------------------------------------------------
10,638 Scientific-Atlanta 234,036
- --------------------------------------------------------------------------
3,738 Tektronix 184,097
- --------------------------------------------------------------------------
16,964 Texas Instruments 2,271,056
- --------------------------------------------------------------------------
3,500 Thomas & Betts 239,313
- --------------------------------------------------------------------------
6,027 Trinova 210,945
- --------------------------------------------------------------------------
7,959 Western Atlas (a) 353,181
- --------------------------------------------------------------------------
34,855,953
==========================================================================
ENVIRONMENTAL CONTROL - 0.59%
- --------------------------------------------------------------------------
37,335 Browning-Ferris Industries 1,348,727
- --------------------------------------------------------------------------
39,000 Laidlaw, Cl. B 375,375
- --------------------------------------------------------------------------
7,326 Safety-Kleen 118,132
- --------------------------------------------------------------------------
88,358 WMX Technologies 2,507,158
- --------------------------------------------------------------------------
1,272 Zurn Industries 25,440
- --------------------------------------------------------------------------
4,374,832
==========================================================================
FINANCIAL SERVICES - 3.07%
- --------------------------------------------------------------------------
89,766 American Express 3,153,031
- --------------------------------------------------------------------------
9,152 Beneficial 402,688
- --------------------------------------------------------------------------
31,874 Dean Witter, Discover 1,498,078
- --------------------------------------------------------------------------
32,956 Federal Home Loan Mortgage 2,265,725
- --------------------------------------------------------------------------
48,941 Federal National Mortgage 4,618,807
- --------------------------------------------------------------------------
37,100 First Data 2,110,062
- --------------------------------------------------------------------------
27,691 Fleet Financial Group 1,028,028
- --------------------------------------------------------------------------
15,258 Household International 755,271
- --------------------------------------------------------------------------
22,630 MBNA 763,763
- --------------------------------------------------------------------------
33,738 Merrill Lynch 1,771,245
- --------------------------------------------------------------------------
39,733 PNC Bank Corp 1,047,958
- --------------------------------------------------------------------------
17,433 Salomon 699,499
- --------------------------------------------------------------------------
58,173 Travelers 2,545,069
- --------------------------------------------------------------------------
22,659,224
==========================================================================
FOOD, SERVICE, LODGING - 0.78%
- --------------------------------------------------------------------------
10,803 Bruno's 125,585
- --------------------------------------------------------------------------
26,119 Darden Restaurants (a) 284,044
- --------------------------------------------------------------------------
4,051 Luby's Cafeterias 81,526
- --------------------------------------------------------------------------
124,514 McDonald's 4,871,610
- --------------------------------------------------------------------------
6,282 Ryan's Family Steak House (a) 49,471
- --------------------------------------------------------------------------
4,809 Shoney's (a) 56,506
- --------------------------------------------------------------------------
14,262 Wendy's International 254,933
- --------------------------------------------------------------------------
5,723,675
==========================================================================
FOODS - 3.37%
- --------------------------------------------------------------------------
92,586 Archer-Daniels-Midland 1,724,414
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 64
EQUITY 500 INDEX PORTFOLIO 18
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
42,369 Campbell Soup $ 2,076,081
- --------------------------------------------------------------------------
44,516 ConAgra 1,552,495
- --------------------------------------------------------------------------
24,530 CPC International 1,514,727
- --------------------------------------------------------------------------
27,219 General Mills 1,398,376
- --------------------------------------------------------------------------
44,650 Heinz, (H.J.) 1,981,344
- --------------------------------------------------------------------------
12,797 Hershey Foods 707,034
- --------------------------------------------------------------------------
39,907 Kellogg 2,848,362
- --------------------------------------------------------------------------
14,300 Pioneer Hi-Bred International 600,600
- --------------------------------------------------------------------------
10,296 Premark Internatinal 534,105
- --------------------------------------------------------------------------
24,684 Quaker Oats 811,487
- --------------------------------------------------------------------------
17,205 Ralston-Purina Group 877,455
- --------------------------------------------------------------------------
86,787 Sara Lee 2,473,430
- --------------------------------------------------------------------------
30,310 Sysco 894,145
- --------------------------------------------------------------------------
27,717 Unilever N.V., ADR 3,606,675
- --------------------------------------------------------------------------
17,327 Whitman 335,711
- --------------------------------------------------------------------------
18,892 Wrigley (Wm) Jr. 876,116
- --------------------------------------------------------------------------
24,812,557
==========================================================================
HEALTHCARE - 1.28%
- --------------------------------------------------------------------------
142,922 Abbott Laboratories 5,788,341
- --------------------------------------------------------------------------
83,643 Columbia/HCA Healthcare 3,617,560
- --------------------------------------------------------------------------
9,405,901
==========================================================================
HOSPITAL SUPPLIES & SERVICES - 2.23%
- --------------------------------------------------------------------------
9,001 Allergan 244,152
- --------------------------------------------------------------------------
13,234 Alza, Cl. A (a) 309,345
- --------------------------------------------------------------------------
9,477 Bard (C.R.) 284,310
- --------------------------------------------------------------------------
9,823 Bausch & Lomb 407,654
- --------------------------------------------------------------------------
50,263 Baxter International 1,828,317
- --------------------------------------------------------------------------
13,066 Becton, Dickinson 761,094
- --------------------------------------------------------------------------
9,682 Beverly Enterprises (a) 119,815
- --------------------------------------------------------------------------
15,050 Biomet (a) 233,275
- --------------------------------------------------------------------------
6,417 Community Psychiatric Centers 72,191
- --------------------------------------------------------------------------
115,148 Johnson & Johnson 7,786,884
- --------------------------------------------------------------------------
8,560 Manor Care 249,310
- --------------------------------------------------------------------------
20,626 Medtronic 1,590,780
- --------------------------------------------------------------------------
2,674 Shared Medical Systems 107,294
- --------------------------------------------------------------------------
9,613 St. Jude Medical (a) 481,852
- --------------------------------------------------------------------------
27,310 Tenet Healthcare (a) 392,581
- --------------------------------------------------------------------------
32,300 United Healthcare 1,336,413
- --------------------------------------------------------------------------
9,248 U.S. Surgical 193,052
- --------------------------------------------------------------------------
16,398,319
==========================================================================
HOTEL, MOTEL - 0.29%
- --------------------------------------------------------------------------
8,812 Hilton Hotels 619,043
- --------------------------------------------------------------------------
21,090 Marriott International 756,604
- --------------------------------------------------------------------------
19,815 Promus (a) 772,785
- --------------------------------------------------------------------------
2,148,432
==========================================================================
HOUSEHOLD FURNISHINGS - 0.24%
- --------------------------------------------------------------------------
1,433 Bassett Furniture 40,124
- --------------------------------------------------------------------------
16,512 Maytag 264,192
- --------------------------------------------------------------------------
26,858 Newell 658,021
- --------------------------------------------------------------------------
14,339 Whirlpool 788,645
- --------------------------------------------------------------------------
2,490 Zenith Electronics (a) 18,364
- --------------------------------------------------------------------------
1,769,346
==========================================================================
HOUSEHOLD PRODUCTS - 0.10%
- --------------------------------------------------------------------------
27,302 Rubbermaid 757,631
==========================================================================
INSURANCE - 2.73%
- --------------------------------------------------------------------------
21,113 Aetna Life & Casualty 1,327,480
- --------------------------------------------------------------------------
7,509 Alexander & Alexander Services 179,277
- --------------------------------------------------------------------------
38,854 American General 1,311,322
- --------------------------------------------------------------------------
56,478 American International Group 6,438,492
- --------------------------------------------------------------------------
16,236 Chubb 1,300,909
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 65
EQUITY 500 INDEX PORTFOLIO 19
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
12,033 CIGNA $ 934,062
- --------------------------------------------------------------------------
14,578 General Re 1,951,630
- --------------------------------------------------------------------------
9,985 Jefferson-Pilot 546,679
- --------------------------------------------------------------------------
15,610 Lincoln National 682,937
- --------------------------------------------------------------------------
13,062 Marsh & McLennan 1,059,655
- --------------------------------------------------------------------------
17,698 Providian 641,552
- --------------------------------------------------------------------------
10,401 SAFECO 597,407
- --------------------------------------------------------------------------
15,530 St. Paul 764,853
- --------------------------------------------------------------------------
11,434 Torchmark 431,634
- --------------------------------------------------------------------------
12,700 UNUM 595,313
- --------------------------------------------------------------------------
12,817 USF & G 208,276
- --------------------------------------------------------------------------
30,500 U.S. HealthCare 934,063
- --------------------------------------------------------------------------
4,787 USLife 192,677
- --------------------------------------------------------------------------
20,098,218
==========================================================================
LEISURE RELATED - 1.11%
- --------------------------------------------------------------------------
14,314 American Greetings 420,474
- --------------------------------------------------------------------------
4,093 Bally Entertainment (a) 50,139
- --------------------------------------------------------------------------
19,742 Brunswick 335,614
- --------------------------------------------------------------------------
93,273 Disney (Walt) 5,188,311
- --------------------------------------------------------------------------
2,239 Handleman 21,550
- --------------------------------------------------------------------------
11,939 Harcourt General 507,408
- --------------------------------------------------------------------------
16,925 Hasbro 537,369
- --------------------------------------------------------------------------
5,222 Jostens 110,967
- --------------------------------------------------------------------------
35,652 Mattel 926,952
- --------------------------------------------------------------------------
3,618 Outboard Marine 71,003
- --------------------------------------------------------------------------
8,169,787
==========================================================================
MACHINERY - 1.59%
- --------------------------------------------------------------------------
11,371 Black & Decker 351,080
- --------------------------------------------------------------------------
4,182 Briggs & Stratton 144,279
- --------------------------------------------------------------------------
37,982 Caterpillar 2,440,343
- --------------------------------------------------------------------------
3,647 Cincinnati Milacron 98,469
- --------------------------------------------------------------------------
20,548 Cooper Industries 811,646
- --------------------------------------------------------------------------
16,841 Deere 1,442,011
- --------------------------------------------------------------------------
10,602 Dover 771,295
- --------------------------------------------------------------------------
29,082 Dresser Industries 647,075
- --------------------------------------------------------------------------
18,030 Echo Bay Mines Ltd. 162,270
- --------------------------------------------------------------------------
3,747 Giddings & Lewis 66,978
- --------------------------------------------------------------------------
4,722 Harnischfeger Industries 163,499
- --------------------------------------------------------------------------
19,796 Illinois Tool Works 1,088,780
- --------------------------------------------------------------------------
19,631 Ingersoll-Rand 750,886
- --------------------------------------------------------------------------
3,496 Millipore 235,980
- --------------------------------------------------------------------------
11,958 Navistar International (a) 180,865
- --------------------------------------------------------------------------
6,896 Snap-On 267,220
- --------------------------------------------------------------------------
16,003 Textron 930,174
- --------------------------------------------------------------------------
11,186 TRW 893,482
- --------------------------------------------------------------------------
6,862 Varity (a) 301,928
- --------------------------------------------------------------------------
11,748,260
==========================================================================
MEDICAL SUPPLIES - 0.10%
- --------------------------------------------------------------------------
22,700 Boston Scientific (a) 723,563
==========================================================================
METALS - 1.68%
- --------------------------------------------------------------------------
36,736 Alcan Aluminium 1,111,264
- --------------------------------------------------------------------------
33,000 Aluminum Company of America 1,654,125
- --------------------------------------------------------------------------
15,835 Armco (a) 106,886
- --------------------------------------------------------------------------
7,249 ASARCO 221,094
- --------------------------------------------------------------------------
65,100 Barrick Gold 1,643,775
- --------------------------------------------------------------------------
17,749 Bethlehem Steel (a) 288,421
- --------------------------------------------------------------------------
14,894 Cyprus Amax Minerals 424,479
- --------------------------------------------------------------------------
14,939 Engelhard 640,510
- --------------------------------------------------------------------------
22,543 Homestake Mining 371,959
- --------------------------------------------------------------------------
18,766 Inco Ltd. 530,139
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 66
EQUITY 500 INDEX PORTFOLIO 20
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
5,803 Inland Steel Industries $ 176,992
- --------------------------------------------------------------------------
15,934 Newmont Mining 667,236
- --------------------------------------------------------------------------
16,894 Nucor 903,829
- --------------------------------------------------------------------------
5,831 Ogden 127,553
- --------------------------------------------------------------------------
13,508 Phelps Dodge 796,972
- --------------------------------------------------------------------------
44,804 Placer Dome 1,170,505
- --------------------------------------------------------------------------
11,649 Reynolds Metals 602,836
- --------------------------------------------------------------------------
19,308 Santa Fe Pacific Gold 234,110
- --------------------------------------------------------------------------
12,377 USX-U.S. Steel Group 425,459
- --------------------------------------------------------------------------
12,379 Worthington Industries 252,996
- --------------------------------------------------------------------------
12,351,140
==========================================================================
OFFICE EQUIPMENT - 3.18%
- --------------------------------------------------------------------------
9,031 Alco Standard 721,351
- --------------------------------------------------------------------------
17,857 Amdahl (a) 198,659
- --------------------------------------------------------------------------
10,114 Autodesk 434,902
- --------------------------------------------------------------------------
47,913 Compaq Computer (a) 2,174,052
- --------------------------------------------------------------------------
8,386 Computer Sciences (a) 476,954
- --------------------------------------------------------------------------
4,468 Cray Research (a) 108,908
- --------------------------------------------------------------------------
6,045 Data General (a) 58,183
- --------------------------------------------------------------------------
27,532 Digital Equipment (a) 1,121,929
- --------------------------------------------------------------------------
23,019 Honeywell 992,694
- --------------------------------------------------------------------------
7,946 Intergraph (a) 88,399
- --------------------------------------------------------------------------
103,441 International Business Machines 9,930,336
- --------------------------------------------------------------------------
10,331 Lotus Development (a) 658,601
- --------------------------------------------------------------------------
13,079 Moore 289,373
- --------------------------------------------------------------------------
68,392 Novell (a) 1,363,566
- --------------------------------------------------------------------------
25,998 Pitney Bowes 997,673
- --------------------------------------------------------------------------
18,364 Sun Microsystems (a) 890,654
- --------------------------------------------------------------------------
19,460 Tandem Computers (a) 313,793
- --------------------------------------------------------------------------
27,199 Unisys (a) 295,789
- --------------------------------------------------------------------------
19,545 Xerox 2,291,651
- --------------------------------------------------------------------------
23,407,467
==========================================================================
OIL RELATED - 9.41%
- --------------------------------------------------------------------------
16,593 Amerada Hess 810,983
- --------------------------------------------------------------------------
88,802 Amoco 5,916,433
- --------------------------------------------------------------------------
11,087 Ashland 389,431
- --------------------------------------------------------------------------
29,025 Atlantic Richfield 3,185,494
- --------------------------------------------------------------------------
23,644 Baker Hughes 484,702
- --------------------------------------------------------------------------
21,100 Burlington Resources 778,062
- --------------------------------------------------------------------------
116,766 Chevron 5,444,215
- --------------------------------------------------------------------------
18,366 Coastal 557,867
- --------------------------------------------------------------------------
228,657 Exxon 16,148,901
- --------------------------------------------------------------------------
15,781 Fluor 820,612
- --------------------------------------------------------------------------
4,738 Foster Wheeler 167,014
- --------------------------------------------------------------------------
19,290 Halliburton 689,617
- --------------------------------------------------------------------------
2,808 Helmerich & Payne 82,836
- --------------------------------------------------------------------------
9,032 Kerr-McGee 484,341
- --------------------------------------------------------------------------
4,362 Louisiana Land & Exploration 173,935
- --------------------------------------------------------------------------
9,187 McDermott International 221,636
- --------------------------------------------------------------------------
70,671 Mobil 6,784,416
- --------------------------------------------------------------------------
16,728 Noram Energy 108,732
- --------------------------------------------------------------------------
59,314 Occidental Petroleum 1,356,808
- --------------------------------------------------------------------------
16,579 Oryx Energy (a) 227,961
- --------------------------------------------------------------------------
7,354 Pennzoil 346,557
- --------------------------------------------------------------------------
48,506 Phillips Petroleum 1,618,888
- --------------------------------------------------------------------------
16,500 Rowan (a) 134,063
- --------------------------------------------------------------------------
95,401 Royal Dutch Petroleum 11,626,997
- --------------------------------------------------------------------------
8,269 Santa Fe Energy Resources (a) 78,556
- --------------------------------------------------------------------------
43,881 Schlumberger 2,726,107
- --------------------------------------------------------------------------
17,833 Sun 488,178
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 67
EQUITY 500 INDEX PORTFOLIO 21
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
30,934 Tenneco $ 1,422,964
- --------------------------------------------------------------------------
46,961 Texaco 3,081,816
- --------------------------------------------------------------------------
44,337 Unocal 1,224,810
- --------------------------------------------------------------------------
51,664 USX-Marathon Group 1,020,364
- --------------------------------------------------------------------------
20,312 Williams 708,381
- --------------------------------------------------------------------------
69,311,677
==========================================================================
PAPER - 1.01%
- --------------------------------------------------------------------------
5,731 Bemis 149,006
- --------------------------------------------------------------------------
6,233 Federal Paper Board 220,492
- --------------------------------------------------------------------------
23,314 International Paper 1,999,175
- --------------------------------------------------------------------------
12,535 James River 346,279
- --------------------------------------------------------------------------
26,371 Kimberly-Clark 1,578,964
- --------------------------------------------------------------------------
9,951 Mead 590,841
- --------------------------------------------------------------------------
28,398 Scott Paper 1,405,701
- --------------------------------------------------------------------------
11,903 Union Camp 688,886
- --------------------------------------------------------------------------
9,807 Westvaco 433,960
- --------------------------------------------------------------------------
7,413,304
==========================================================================
PHOTOGRAPHY & OPTICAL - 0.55%
- --------------------------------------------------------------------------
61,326 Eastman Kodak 3,717,889
- --------------------------------------------------------------------------
8,482 Polaroid 345,641
- --------------------------------------------------------------------------
4,063,530
==========================================================================
PRINTING & PUBLISHING - 1.47%
- --------------------------------------------------------------------------
13,291 Deluxe 440,264
- --------------------------------------------------------------------------
16,572 Dow Jones 611,093
- --------------------------------------------------------------------------
31,279 Dun & Bradstreet 1,642,148
- --------------------------------------------------------------------------
24,196 Gannett 1,312,633
- --------------------------------------------------------------------------
3,804 Harland (John H.) 87,017
- --------------------------------------------------------------------------
9,463 Knight-Ridder 538,208
- --------------------------------------------------------------------------
9,315 McGraw-Hill 706,776
- --------------------------------------------------------------------------
4,736 Meredith 120,176
- --------------------------------------------------------------------------
15,884 New York Times, Cl. A 373,274
- --------------------------------------------------------------------------
26,452 RR Donnelley & Sons 952,272
- --------------------------------------------------------------------------
68,715 Time Warner 2,825,904
- --------------------------------------------------------------------------
21,629 Times Mirror, Cl. A 516,392
- --------------------------------------------------------------------------
11,798 Tribune 724,102
- --------------------------------------------------------------------------
10,850,259
==========================================================================
PROFESSIONAL SERVICES - 0.46%
- --------------------------------------------------------------------------
13,036 Dial 322,641
- --------------------------------------------------------------------------
7,300 Ecolab 178,850
- --------------------------------------------------------------------------
8,825 EG&G 147,819
- --------------------------------------------------------------------------
20,335 H & R Block 836,277
- --------------------------------------------------------------------------
13,907 Interpublic Group 521,512
- --------------------------------------------------------------------------
7,526 National Service Industries 217,313
- --------------------------------------------------------------------------
13,696 Service Corp International 433,136
- --------------------------------------------------------------------------
13,043 Transamerica 759,755
- --------------------------------------------------------------------------
3,417,303
==========================================================================
RAILROADS - 1.03%
- --------------------------------------------------------------------------
17,023 Burlington Northern 1,078,833
- --------------------------------------------------------------------------
15,772 Conrail 877,317
- --------------------------------------------------------------------------
19,516 CSX 1,466,139
- --------------------------------------------------------------------------
22,651 Norfolk Southern 1,526,111
- --------------------------------------------------------------------------
22,843 Santa Fe Pacific (a) 582,497
- --------------------------------------------------------------------------
37,747 Union Pacific 2,090,240
- --------------------------------------------------------------------------
7,621,137
==========================================================================
REAL ESTATE - 0.01%
- --------------------------------------------------------------------------
2,566 Pulte 71,848
==========================================================================
RETAIL - 4.87%
- --------------------------------------------------------------------------
47,302 Albertson's 1,407,234
- --------------------------------------------------------------------------
29,318 American Stores 824,569
- --------------------------------------------------------------------------
19,346 Circuit City Stores 611,817
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 68
EQUITY 500 INDEX PORTFOLIO 22
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
==========================================================================
<S> <C> <C>
13,636 Dayton Hudson $ 978,383
- --------------------------------------------------------------------------
18,097 Dillard Department Stores, Cl. A 531,599
- --------------------------------------------------------------------------
6,279 Fleming 166,393
- --------------------------------------------------------------------------
23,807 Gap 830,269
- --------------------------------------------------------------------------
8,193 Giant Food 232,476
- --------------------------------------------------------------------------
5,125 Great Atlantic & Pacific 135,172
- --------------------------------------------------------------------------
42,550 J.C. Penney 2,042,400
- --------------------------------------------------------------------------
85,703 Kmart 1,253,406
- --------------------------------------------------------------------------
15,760 Kroger (a) 423,550
- --------------------------------------------------------------------------
59,012 Limited 1,298,264
- --------------------------------------------------------------------------
1,813 Longs Drug Stores 67,988
- --------------------------------------------------------------------------
30,694 Lowe's 916,983
- --------------------------------------------------------------------------
45,598 May Department Stores 1,898,017
- --------------------------------------------------------------------------
5,530 Mercantile Stores 257,145
- --------------------------------------------------------------------------
16,229 Nordstrom 671,475
- --------------------------------------------------------------------------
8,012 Pep-Boys Manny Moe & Jack 214,321
- --------------------------------------------------------------------------
35,599 Price/Costco (a) 578,486
- --------------------------------------------------------------------------
17,701 Rite Aid 453,588
- --------------------------------------------------------------------------
73,009 Sears, Roebuck 4,371,414
- --------------------------------------------------------------------------
14,637 Sherwin-Williams 521,443
- --------------------------------------------------------------------------
10,583 Tandy 548,993
- --------------------------------------------------------------------------
12,554 TJX 166,341
- --------------------------------------------------------------------------
51,618 Toys 'R' Us (a) 1,509,827
- --------------------------------------------------------------------------
19,367 Walgreen 970,771
- --------------------------------------------------------------------------
408,948 Wal-Mart Stores 10,939,359
- --------------------------------------------------------------------------
12,240 Winn-Dixie Stores 706,860
- --------------------------------------------------------------------------
22,822 Woolworth 345,183
- --------------------------------------------------------------------------
35,873,726
==========================================================================
SOAPS & TOILETRIES - 1.54%
- --------------------------------------------------------------------------
9,452 Clorox 616,743
- --------------------------------------------------------------------------
26,551 Colgate-Palmolive 1,941,542
- --------------------------------------------------------------------------
122,470 Procter & Gamble 8,802,531
- --------------------------------------------------------------------------
11,360,816
==========================================================================
TELECOMMUNICATIONS - 6.39%
- --------------------------------------------------------------------------
89,835 Airtouch Communications (a) 2,560,297
- --------------------------------------------------------------------------
28,600 Alltel 725,725
- --------------------------------------------------------------------------
99,352 Ameritech 4,371,488
- --------------------------------------------------------------------------
3,623 Andrew (a) 209,681
- --------------------------------------------------------------------------
281,106 AT&T 14,933,756
- --------------------------------------------------------------------------
88,916 BellSouth 5,646,166
- --------------------------------------------------------------------------
27,880 Capital Cities/ABC 3,011,040
- --------------------------------------------------------------------------
10,035 CBS 672,345
- --------------------------------------------------------------------------
37,662 Comcast, Cl. A 699,101
- --------------------------------------------------------------------------
173,636 GTE 5,925,329
- --------------------------------------------------------------------------
4,806 King World Productions (a) 194,643
- --------------------------------------------------------------------------
123,720 MCI Communications 2,721,840
- --------------------------------------------------------------------------
104,016 Tele-Communications, Cl. A (a) 2,437,875
- --------------------------------------------------------------------------
64,749 Viacom, Cl. B (a) 3,002,735
- --------------------------------------------------------------------------
47,112,021
==========================================================================
TIRE & RUBBER - 0.23%
- --------------------------------------------------------------------------
3,826 B.F. Goodrich 205,169
- --------------------------------------------------------------------------
14,151 Cooper Tire & Rubber 344,931
- --------------------------------------------------------------------------
28,436 Goodyear Tire & Rubber 1,172,985
- --------------------------------------------------------------------------
1,723,085
==========================================================================
TOBACCO - 1.84%
- --------------------------------------------------------------------------
34,274 American Brands 1,362,392
- --------------------------------------------------------------------------
150,366 Philip Morris 11,183,471
- --------------------------------------------------------------------------
33,607 UST 999,808
- --------------------------------------------------------------------------
13,545,671
==========================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 69
EQUITY 500 INDEX PORTFOLIO 23
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
SHARES DESCRIPTION VALUE
<S> <C> <C>
==========================================================================
TRANSPORTATION-AIR - 0.02%
- --------------------------------------------------------------------------
7,338 Pittston Services Group $ 176,112
==========================================================================
TRUCKING, SHIPPING - 0.21%
- --------------------------------------------------------------------------
8,092 Consolidated Freightways 179,035
- --------------------------------------------------------------------------
9,275 Federal Express (a) 563,456
- --------------------------------------------------------------------------
6,682 Roadway Services 315,725
- --------------------------------------------------------------------------
15,817 Ryder System 377,631
- --------------------------------------------------------------------------
5,640 Yellow 102,225
- --------------------------------------------------------------------------
1,538,072
==========================================================================
UTILITIES - 6.94%
- --------------------------------------------------------------------------
30,210 American Electric Power 1,061,126
- --------------------------------------------------------------------------
21,225 Baltimore Gas & Electric 530,625
- --------------------------------------------------------------------------
78,439 Bell Atlantic 4,392,584
- --------------------------------------------------------------------------
25,028 Carolina Power & Light 757,097
- --------------------------------------------------------------------------
33,230 Central & South West 872,287
- --------------------------------------------------------------------------
23,522 CINergy 617,452
- --------------------------------------------------------------------------
4,235 Columbia Gas System (a) 134,461
- --------------------------------------------------------------------------
38,636 Consolidated Edison 1,139,762
- --------------------------------------------------------------------------
15,405 Consolidated Natural Gas 581,539
- --------------------------------------------------------------------------
26,876 Detroit Edison 792,842
- --------------------------------------------------------------------------
27,606 Dominion Resources 1,007,619
- --------------------------------------------------------------------------
33,787 Duke Power 1,402,161
- --------------------------------------------------------------------------
4,142 Eastern Enterprises 123,742
- --------------------------------------------------------------------------
49,066 Enron 1,723,443
- --------------------------------------------------------------------------
10,024 ENSERCH 171,661
- --------------------------------------------------------------------------
43,107 Entergy 1,039,956
- --------------------------------------------------------------------------
34,694 FPL Group 1,340,056
- --------------------------------------------------------------------------
17,300 General Public Utilities 514,675
- --------------------------------------------------------------------------
21,378 Houston Industries 900,548
- --------------------------------------------------------------------------
23,842 Niagara Mohawk Power 351,670
- --------------------------------------------------------------------------
8,469 NICOR 227,604
- --------------------------------------------------------------------------
9,344 Northern States Power 430,992
- --------------------------------------------------------------------------
77,000 NYNEX 3,099,250
- --------------------------------------------------------------------------
24,284 Ohio Edison 549,426
- --------------------------------------------------------------------------
4,391 ONEOK 93,858
- --------------------------------------------------------------------------
10,768 Pacific Enterprises 263,816
- --------------------------------------------------------------------------
78,205 Pacific Gas & Electric 2,267,945
- --------------------------------------------------------------------------
77,735 Pacific Telesis Group 2,079,411
- --------------------------------------------------------------------------
46,189 PacifiCorp 866,044
- --------------------------------------------------------------------------
34,558 Panhandle Eastern 842,351
- --------------------------------------------------------------------------
41,784 PECO Energy 1,154,283
- --------------------------------------------------------------------------
5,755 People's Energy 148,911
- --------------------------------------------------------------------------
39,894 Public Service Enterprise Group 1,107,059
- --------------------------------------------------------------------------
108,962 SBC Communications (a) 5,189,315
- --------------------------------------------------------------------------
80,470 SCEcorp 1,378,049
- --------------------------------------------------------------------------
18,210 Sonat 555,405
- --------------------------------------------------------------------------
120,858 Southern 2,704,198
- --------------------------------------------------------------------------
64,682 Sprint 2,174,932
- --------------------------------------------------------------------------
42,065 Texas Utilities 1,445,984
- --------------------------------------------------------------------------
38,425 Unicom 1,023,066
- --------------------------------------------------------------------------
15,420 Union Electric 574,395
- --------------------------------------------------------------------------
84,528 U S West 3,518,478
- --------------------------------------------------------------------------
51,150,078
==========================================================================
<CAPTION>
<S> <C>
==========================================================================
TOTAL COMMON STOCKS
(Cost $608,221,837) $710,228,698
==========================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- --------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- --------------------------------------------------------------------------
84 Teledyne (Cost $1,260) $ 1,228
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 70
EQUITY 500 INDEX PORTFOLIO 24
-------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==========================================================================
<S> <C>
BONDS - 0.01%
- --------------------------------------------------------------------------
$ 33,000 Viacom International, 8.00% 7/7/06
(Cost $28,549) $ 32,175
- --------------------------------------------------------------------------
U.S. TREASURY BILLS - 3.42%
==========================================================================
$ 8,081,000 5.60%, 7/13/95 $ 8,066,010
- --------------------------------------------------------------------------
4,872,000 5.69%, 7/27/95 4,852,867
- --------------------------------------------------------------------------
1,015,000 5.50%, 8/3/95 (b) 1,010,047
- --------------------------------------------------------------------------
25,000 5.625%, 8/24/95 24,804
- --------------------------------------------------------------------------
11,379,000 5.775%, 9/7/95 11,266,975
- --------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS
(Cost $25,216,116) $ 25,220,703
==========================================================================
TOTAL INVESTMENTS
(Cost $633,467,762) 99.81% $735,482,804
- --------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.19% 1,417,033
- --------------------------------------------------------------------------
NET ASSETS 100.00% $736,899,837
==========================================================================
</TABLE>
(a) Non-income producing security
(b) Held as collateral for futures contracts
<TABLE>
<CAPTION>
NUMBER OF
FUTURES NET UNREALIZED
CONTRACTS DESCRIPTION APPRECIATION
==========================================================================
<S> <C> <C>
FUTURES CONTRACTS
- --------------------------------------------------------------------------
107 S&P 500, September 1995
Long Futures
(Market Value $ 29,272,525) $ 29,125
==========================================================================
</TABLE>
See Notes to Financial Statements on Pages 27 and 28
<PAGE> 71
EQUITY 500 INDEX FUND 25
-------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The 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 a business
trust under the laws of the Commonwealth of Massachusetts. The Equity 500 Index
Fund (the "Fund") is one of the funds offered to investors by the Trust. The
Fund commenced operations and began offering shares of beneficial interest on
December 31, 1992. The Fund invests substantially all of its assets in the
Equity 500 Index 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 June 30,
1995, the Fund's investment was approximately 69% 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 and distribute dividends quarterly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date, which is the same as the
declaration 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. Distributions in excess
of realized gains from securities and futures transactions primarily relate to
the deferral of wash sale losses for tax purposes.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable 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.
<PAGE> 72
EQUITY 500 INDEX FUND 26
-------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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 six months ended June 30, 1995, this fee aggregated $104,045.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.10 of 1% of the 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 six
months ended June 30, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.00 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio, and
0.10 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended June 30, 1995, expenses of the Fund
have been reduced $130,898.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - SHARES OF BENEFICIAL INTEREST
At June 30, 1995, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the six months
ended June 30, 1995 For the year ended
(unaudited) December 31, 1994
--------------------------------- --------------------------------
Shares Amount Shares Amount
---------- -------------- ---------- ------------
<S> <C> <C> <C> <C>
Sold 10,104,826 $118,073,124 27,246,568 $289,900,607
Reinvested 224,272 2,558,941 1,063,347 11,109,940
Redeemed (4,911,738) (55,726,108) (8,706,746) (91,341,938)
---------- ------------ ---------- ------------
Net Increase 5,417,360 $ 64,905,957 19,603,169 $209,668,609
========== ============ ========== ============
</TABLE>
<PAGE> 73
EQUITY 500 INDEX PORTFOLIO 27
-------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Equity 500 Index 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 December 11, 1991
as an unincorporated trust under the laws of New York and commenced operations
on December 31, 1992. The Declaration of Trust permits the Board of Trustees
(the "Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business each day.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less, are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
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). Dividend income is recorded on the ex-dividend
date. 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. 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.
<PAGE> 74
EQUITY 500 INDEX PORTFOLIO 28
-------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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
$154,262.
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 0.10 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1995,
this fee aggregated $308,524.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.10 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 $171,120.
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.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 1995 were
$87,248,709 and $16,409,134, respectively. The aggregate gross unrealized
appreciation for all investments was $110,211,628, and the aggregate gross
unrealized depreciation for all investments was $8,167,461.
The Portfolio may enter into financial futures contracts as an investment
technique designed to hedge against anticipated future change in general market
prices which otherwise might either adversely affect the value of securities
held by the Portfolio or adversely affect the prices of securities which are
intended to be purchased at a later date for the Portfolio. Investments in
financial futures require initial margin deposits which consist of cash or cash
equivalents equal to approximately 5% to 10% of the contract amount. During the
period the financial futures are open, changes in the value of the contracts
are recognized by a "mark to market" on a daily basis to reflect the market
value of the contracts at the close of each day's trading. Accordingly,
variation margin payments are made or received to reflect daily unrealized
gains or losses. When the contracts are closed, the Portfolio recognizes a
realized gain or loss.
<PAGE> 75
BT INSTITUTIONAL FUNDS
SHORT/
INTERMEDIATE
U.S.
GOVERNMENT
SECURITIES
FUND
SEMI-ANNUAL REPORT
JUNE 30, 1995
<PAGE> 76
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 1
------------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . 3
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
Statement of Assets and Liabilities . . . . . . . . . 6
Statement of Operations . . . . . . . . . . . . . . . 7
Statement of Changes in Net Assets . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . 9
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . 10
Statement of Operations . . . . . . . . . . . . . . . 11
Statement of Changes in Net Assets . . . . . . . . . 12
Financial Highlights . . . . . . . . . . . . . . . . 13
Schedule of Portfolio Investments . . . . . . . . . . 14
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
Notes to Financial Statements . . . . . . . . . . . . 15
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . 17
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the
Short/Intermediate U.S. Government Securities Fund may be obtained by calling
or writing to Investors Fiduciary Trust Company or Signature Broker-Dealer
Services, Inc., the primary Servicing Agent and Distributor, respectively, of
BT Institutional Funds:
BT INSTITUTIONAL FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT INSTITUTIONAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Short/Intermediate U.S. Government Securities Fund at the
following address:
BT INSTITUTIONAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 77
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 2
------------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
August, 1995
Dear Shareholders:
We are pleased to present your 1995 Semi-Annual Report for the BT
Institutional Funds Short/Intermediate U.S. Government Securities Fund. This
Report provides you with an investment overview as well as a financial
summary of the Fund's operations for the six months ended June 30, 1995. We
have also included a Letter from the Investment Adviser detailing the factors
that affected the Fund's performance and a performance chart which
illustrates your Fund's return versus a relevant financial index. Also
presented in your Report is a pie chart displaying diversification of
Portfolio investments, financial statements, financial highlights and a
listing of the Portfolio's holdings.
Looking ahead, we will continue to closely observe the economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of the BT Institutional Funds
Short/Intermediate U.S. Government Securities Fund and look forward to
continuing to serve your investment needs.
Philip W. Coolidge
President
<PAGE> 78
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 3
------------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The Short/Intermediate U.S. Government Securities Fund (the "Fund")
underperformed its benchmark for the semi-annual period ended June 30, 1995,
returning 6.16% versus the Lehman 1-3 Year Government Index return of 6.60%.
In general, the first six months of 1995 for the short/intermediate
government securities market--and for the Fund--were dominated by the
changing shape of the yield curve. Early in the year, the Fund was
positioned with a shorter than average maturity, and in anticipation of the
yield curve flattening, in a "barbell" position. This means holding more in
cash and 4-year securities and less with maturities in between. The yield
curve steepened instead. By the end of March, the Fund was returned to a
neutral to slightly long maturity position and the "barbell" was removed.
As the second quarter progressed, the yield curve at the short end,
i.e. between zero and two years, inverted as the market anticipated an
easing in the Federal Reserve Board's Funds Rate. This inverted yield curve
rewards shorter maturity positioning. We then shifted the Fund's maturity
from longer than average to a neutral position.
The Federal Reserve Board did, in fact, act to cut official interest
rates by 0.25% on July 6, 1995, and the yield curve remains inverted in
anticipation of further cuts. Though we feel that the Fed will ease again
before year-end, the timing of the cut depends on as yet unreleased economic
data. Until that information becomes available, we anticipate little more
than sideways trading in the short-term markets. As a result, we expect to
keep the Fund's maturity in line with its benchmark, maintaining a
conservative, defensive posture, until the market's direction becomes more
clear.
<PAGE> 79
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 4
------------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund's return versus the Lehman 1-3 Year
Government Index since January 31, 1994, assuming a $10,000 initial
investment.
================================================================================
COMPARISON OF CHANGE [FIGURE 1]
IN VALUE OF A $10,000
INVESTMENT IN THE Lehman
SHORT/INTERMEDIATE U.S. Short/Intermediate 1-3 Year
GOVERNMENT SECURITIES U.S. Government Government
FUND AND THE LEHMAN Securities Fund Index
1-3 YEAR GOVERNMENT
INDEX 1/31/94 10,000 10,000
3/31/94 9,912 9,889
6/30/94 9,929 9,889
9/30/94 9,945 9,988
12/31/94 9,972 9,989
3/31/95 10,256 10,321
6/30/95 10,586 10,648
Past performance is not indicative of future
performance
TOTAL RETURN
ENDED JUNE 30, 1995
One Year Since 1/24/94*
6.62% 5.96%
*The Fund's inception date
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
================================================================================
ABOUT THE LOU HUDSON
PORTFOLIO MANAGER Vice President
- Thirty-two years of investment experience
- Specializes in short-intermediate fixed income
securities
- BA -- City College of New York
<PAGE> 80
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 5
------------------------------------------------------------------
================================================================================
OBJECTIVE Seeks high level of current income with the
preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Direct obligations issued or guaranteed by the U.S.
Government, or its agencies and instrumentalities,
including repurchase agreements secured by U.S.
Government obligations. The average weighted maturity
of securities will range from two to five years.
- --------------------------------------------------------------------------------
DIVERSIFICATION OF [FIGURE 2]
PORTFOLIO INVESTMENTS
BY ASSET TYPE U.S. Treasury Notes 90.44%
as of June 30, 1995 U.S. Government Agencies 6.93%
(unaudited) Repurchase Agreement 2.63%
(percentages are based
on market value)
<PAGE> 81
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 6
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
======================================================================================================
June 30, 1995 (unaudited)
- ------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------
Investment in Short/Intermediate U.S. Government Securities Portfolio, at Value $2,118,776
- ------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 624
- ------------------------------------------------------------------------------------------------------
Prepaid Expenses 520
- ------------------------------------------------------------------------------------------------------
Due from Bankers Trust 12,079
- ------------------------------------------------------------------------------------------------------
Total Assets 2,131,999
- ------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 17,173
- ------------------------------------------------------------------------------------------------------
Total Liabilities 17,173
- ------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 214,785 Outstanding Shares of $.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $2,114,826
======================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($2,114,826/214,785 Shares) $ 9.85
======================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 215
- ------------------------------------------------------------------------------------------------------
Paid-in Capital 2,155,418
- ------------------------------------------------------------------------------------------------------
Accumulated Net Realized (Loss) from Securities Transactions (39,222)
- ------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (1,585)
- ------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $2,114,826
======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 82
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 7
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
=======================================================================================================================
For the six months ended June 30, 1995 (unaudited)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------
Income Allocated from Short/Intermediate U.S. Government Securities Portfolio, net $ 63,623
- -----------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 2,034
- -----------------------------------------------------------------------------------------------------------------------
Professional Fees 3,051
- -----------------------------------------------------------------------------------------------------------------------
Shareholders Reports 2,349
- -----------------------------------------------------------------------------------------------------------------------
Trustees Fees 2,740
- -----------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,710
- -----------------------------------------------------------------------------------------------------------------------
Registration Fees 617
- -----------------------------------------------------------------------------------------------------------------------
Insurance 436
- -----------------------------------------------------------------------------------------------------------------------
Miscellaneous 535
=======================================================================================================================
Total Expenses 13,472
- -----------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (11,438) 2,034
- -----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 61,589
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -----------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 6,313
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 53,922
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 60,235
- -----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $121,824
=======================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 83
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 8
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==========================================================================================================================
For the period
For the six January 24, 1994
months ended (Commencement
June 30, 1995 of Operations) to
(unaudited) December 31, 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- --------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 61,589 $ 90,844
- --------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 6,313 (45,535)
- --------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 53,922 (55,507)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 121,824 (10,198)
- --------------------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- --------------------------------------------------------------------------------------------------------------------------
Net Investment Income (61,589) (90,844)
==========================================================================================================================
Net (Decrease) in Net Assets from Dividends (61,589) (90,844)
- --------------------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- --------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in Shares of Beneficial Interest 61,588 2,094,045
==========================================================================================================================
TOTAL INCREASE IN NET ASSETS 121,823 1,993,003
==========================================================================================================================
NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
Beginning of Period 1,993,003 -
- --------------------------------------------------------------------------------------------------------------------------
End of Period $2,114,826 $1,993,003
==========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 84
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 9
------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the periods indicated for the Short/Intermediate U.S. Government Securities
Fund.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
For the period
For the six January 24, 1994
months ended (Commencement
June 30, 1995 of Operations) to
(unaudited) December 31, 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $9.56 $10.00
----- ------
Income from Investment Operations
Net Investment Income 0.29 0.42
Net Realized and Unrealized Gain (Loss) on Securities 0.29 (0.44)
----- -------
Total from Investment Operations 0.58 (0.02)
----- -------
Less Dividends from Net Investment Income (0.29) (0.42)
----- -------
Net Asset Value, End of Period $9.85 $ 9.56
===== =======
TOTAL INVESTMENT RETURN 6.16% (0.20%)*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 6.06%* 4.56%*
Ratio of Expenses to Average Net Assets, Including
Expenses of the Short/Intermediate U.S. Government
Securities Portfolio 0.50%* 0.50%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 1.17%* 1.82%*
Net Assets, End of Period (000's omitted) $2,115 $1,993
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 15 and 16
<PAGE> 85
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 10
--------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==========================================================================================================================
June 30, 1995 (unaudited)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- --------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $51,342,118, including Repurchase Agreement
amounting to $1,365,224) $51,869,119
- --------------------------------------------------------------------------------------------------------------------------
Interest Receivable 925,677
- --------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 24,041
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 52,818,837
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 3,281
- --------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,571
- --------------------------------------------------------------------------------------------------------------------------
Total Liabilities 16,852
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $52,801,985
==========================================================================================================================
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $52,274,984
- --------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 527,001
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $52,801,985
==========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 86
SHORT/INTERMEDIATE U.S. GOVERNMENTSECURITIES PORTFOLIO 11
--------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
==========================================================================================================================
For the six months ended June 30, 1995 (unaudited)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- --------------------------------------------------------------------------------------------------------------------------
Interest $1,619,829
- --------------------------------------------------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------------------------------------------------
Advisory Fee $ 61,909
- --------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 12,382
- --------------------------------------------------------------------------------------------------------------------------
Professional Fees 8,272
- --------------------------------------------------------------------------------------------------------------------------
Insurance 1,314
- --------------------------------------------------------------------------------------------------------------------------
Trustees Fees 731
- --------------------------------------------------------------------------------------------------------------------------
Miscellaneous 583
- --------------------------------------------------------------------------------------------------------------------------
Total Expenses 85,191
- --------------------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (10,901) 74,290
- --------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,545,539
==========================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- --------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from SecuritiesTransactions 153,193
- --------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,317,941
- --------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 1,471,134
==========================================================================================================================
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,016,673
==========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 87
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 12
--------------------------------------------------------------------
<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 $ 1,545,539 $ 1,768,139
- --------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 153,193 (765,789)
- --------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 1,317,941 (800,099)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 3,016,673 202,251
==========================================================================================================================
FROM CAPITAL TRANSACTIONS
- --------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 11,443,035 45,632,673
- --------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (8,928,261) (16,293,202)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 2,514,774 29,339,471
- --------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 5,531,447 29,541,722
==========================================================================================================================
NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------
Beginning of Period 47,270,538 17,728,816
- --------------------------------------------------------------------------------------------------------------------------
End of Period $52,801,985 $ 47,270,538
==========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 88
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 13
--------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Short/Intermediate U.S. Government Securities
Portfolio.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
For the period
For the six For the For the August 24, 1992
months ended year ended year ended (Commencement
June 30, 1995 December December of Operations) to
(unaudited) 31, 1994 31, 1993 December 31, 1992
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 6.24%* 4.91% 4.25% 4.36%*
Ratio of Expenses to Average Net Assets 0.30%* 0.30% 0.30% 0.30%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption of
Expenses by Bankers Trust 0.04%* 0.09% 0.25% 1.41%*
Portfolio Turnover Rate 22% 202% 267% 75%
Net Assets, End of Period (000's omitted) $52,802 $47,271 $17,729 $4,999
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 89
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 14
--------------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
=====================================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================
<S> <C>
U.S. GOVERNMENT
AGENCIES & OBLIGATIONS - 95.65%
- -------------------------------------------------------------------------------------
U.S. TREASURY NOTES - 88.84%
- -------------------------------------------------------------------------------------
$5,000,000 7.875%, 2/15/96 $ 5,062,500
- -------------------------------------------------------------------------------------
1,000,000 4.25%, 5/15/96 987,030
- -------------------------------------------------------------------------------------
4,000,000 5.875%, 5/31/96 4,005,640
- -------------------------------------------------------------------------------------
5,000,000 6.00%, 6/30/96 5,012,500
- -------------------------------------------------------------------------------------
6,000,000 7.50%, 12/31/96 6,140,640
- -------------------------------------------------------------------------------------
5,000,000 6.75%, 2/28/97 5,071,100
- -------------------------------------------------------------------------------------
5,000,000 6.625%, 3/31/97 5,064,850
- -------------------------------------------------------------------------------------
3,000,000 5.50%, 9/30/97 2,977,020
- -------------------------------------------------------------------------------------
7,500,000 5.125%, 11/30/98 7,307,775
- -------------------------------------------------------------------------------------
5,000,000 7.50%, 10/31/99 5,280,450
- -------------------------------------------------------------------------------------
46,909,505
=====================================================================================
U.S. GOVERNMENT AGENCIES - 6.81%
- -------------------------------------------------------------------------------------
2,000,000 Student Loan Marketing
Association, 8.29%, 12/22/97 2,098,140
- -------------------------------------------------------------------------------------
1,500,000 Tennessee Valley Authority,
6.00%, 1/15/97 1,496,250
- -------------------------------------------------------------------------------------
3,594,390
=====================================================================================
TOTAL U.S. GOVERNMENT AGENCIES& OBLIGATIONS
(Cost $49,976,894) $50,503,895
=====================================================================================
SHORT-TERM INVESTMENT - 2.58%
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENT - 2.58%
- -------------------------------------------------------------------------------------
$1,365,224 Repurchase Agreement with Sanwa Bank,
Dated 6/30/95, 6.05%, Principal and
Interest in the Amount of $1,365,453
due 7/3/95, (Collateralized by U.S.
Treasury Notes, Par Value $1,355,000,
6.125%, due 7/31/96) $ 1,365,224
=====================================================================================
TOTAL SHORT-TERM INVESTMENT
(Amortized Cost $1,365,224) $ 1,365,224
=====================================================================================
TOTAL INVESTMENTS
(Cost $51,342,118) 98.23% $51,869,119
- -------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 1.77% 932,866
- -------------------------------------------------------------------------------------
NET ASSETS 100.00% $52,801,985
=====================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 90
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 15
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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 a business trust under
the laws of the Commonwealth of Massachusetts. The Short/Intermediate U.S.
Government Securities Fund (the "Fund") is one of the funds offered to
investors by the Trust. The Fund commenced operations and began offering shares
of beneficial interest on January 24, 1994. The Fund invests substantially all
of its assets in the Short/Intermediate U.S. Government Securities 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 June 30, 1995, the Fund's investment was
approximately 4% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained else- where in this report.
B. Investment Income
The Fund earns interest 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. Organizational Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
D. Dividends
It is the Fund's policy to declare dividends daily, payable to shareholders of
record as of 4:00 p.m. (E.S.T.) from net investment income and to pay these
dividends monthly. Dividends payable to shareholders are recorded by the Fund
on the ex-dividend date, which is the same as the declaration 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.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required.
F. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
<PAGE> 91
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 16
------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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 0.20 of 1% of the Fund's average daily net assets.
For the six months ended June 30, 1995, this fee aggregated $2,034.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the 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 six
months ended June 30, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.50 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended June 30, 1995, expenses of the Fund
have been reduced $11,438.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - SHARES OF BENEFICIAL INTEREST
At June 30, 1995, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
For the period
For the six January 24, 1994
months ended (Commencement of
June 30, 1995 Operations) to
(unaudited) December 31, 1994
------------------- ---------------------
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold - - 275,304 $2,752,043
Reinvested 6,324 $61,588 9,201 89,512
Redeemed - - (76,044) (747,510)
------ ------- ------- ----------
Net Increase 6,324 $61,588 208,461 $2,094,045
====== ======= ======= ==========
</TABLE>
NOTE 4 - CAPITAL LOSS CARRYFORWARD
At December 31, 1994, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$55,804, which will expire in 2003.
<PAGE> 92
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 17
--------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Short/Intermediate U.S. Government Securities 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
December 11, 1991, as an unincorporated trust under the laws of New York and
commenced operations on August 24, 1992. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Investments for
which quoted bid prices in the judgment of the Service are readily available
and are representative of the bid side of the market are valued at the mean
between the quoted bid prices (as obtained by the Service from dealers in such
securities) and asked prices (as calculated by the Service based upon its
evaluation of the market for such securities). Other investments (which
constitute a majority of the portfolio securities) are carried at fair value as
determined by the Service, based on methods which include consideration of:
yields or prices of government securities of comparable quality, coupon,
maturity and type; indications as to values from dealers; and general market
conditions. Short-term obligations with remaining maturities of 60 days or
less, are valued at amortized cost which with accrued interest approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Board of Trustees.
C. Security Transactions and Interest 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 security 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.
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. 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.
<PAGE> 93
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 18
--------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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
$12,382.
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 0.25 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1995,
this fee aggregated $61,909.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.30 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 $10,901.
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.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments of
long-term U.S. Government obligations, for the six months ended June 30, 1995,
were $34,871,133 and $8,141,895, respectively. The net unrealized appreciation
of investments amounted to $527,001, consisting of gross unrealized
appreciation of $647,443 and gross unrealized depreciation of $120,442.
<PAGE> 94
BT INSTITUTIONAL FUNDS
Cash
Reserves
Fund
Semi-Annual Report
June 30, 1995
<PAGE> 95
CASH RESERVES FUND 1
--------------------------------------------------
<TABLE>
<CAPTION>
TABLE OF CONTENTS
================================================================================
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . 3
CASH RESERVES FUND
Statement of Assets and Liabilities . . . . . . . . . . . 5
Statement of Operations . . . . . . . . . . . . . . . . . 6
Statement of Changes in Net Assets . . . . . . . . . . . 7
Financial Highlights . . . . . . . . . . . . . . . . . . 8
CASH MANAGEMENT PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . 9
Statement of Operations . . . . . . . . . . . . . . . . . 10
Statement of Changes in Net Assets . . . . . . . . . . . 11
Financial Highlights . . . . . . . . . . . . . . . . . . 12
Schedule of Portfolio Investments . . . . . . . . . . . . 13
CASH RESERVES FUND
Notes to Financial Statements . . . . . . . . . . . . . . 17
CASH MANAGEMENT PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . 19
</TABLE>
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the Cash Reserves
Fund may be obtained by calling or writing to Investors Fiduciary Trust Company
or Signature Broker-Dealer Services, Inc., the primary Servicing Agent and
Distributor, respectively, of BT Institutional Funds:
BT INSTITUTIONAL FUNDS
INVESTORS FIDUCIARY TRUST COMPANY
127 WEST 10TH STREET
KANSAS CITY, MO 64105
(800) 422-6577
BT INSTITUTIONAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Cash Reserves Fund at the
following address:
BT INSTITUTIONAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 96
CASH RESERVES FUND 2
--------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
August, 1995
Dear Shareholders:
We are pleased to present your 1995 Semi-Annual Report for BT Institutional
Funds Cash Reserves Fund. This Report provides you with an investment overview
as well as a financial summary of the Fund's operations for the six months
ended June 30, 1995. We have also included a Letter from the Investment Adviser
detailing the factors that affected the Fund's performance for the six months
ended June 30, 1995. Also presented in your Report is a pie chart displaying
diversification of Portfolio investments, financial statements, financial
highlights and a listing of the Portfolio's holdings.
Looking ahead, we will continue to closely observe the economic conditions and
how they affect the financial markets.
We appreciate your ongoing support of the Cash Reserves Fund and look forward
to continuing to serve your investment needs.
Philip W. Coolidge
President
<PAGE> 97
CASH RESERVES FUND 3
--------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The first six months of 1995 were characterized by the Federal Reserve Board's
seeming success in slowing economic growth and in keeping a confident grip on
inflation. Although the strength of the dollar remains a concern and some
recent evidence, particularly in the interest rate sensitive housing,
materials, and auto sectors hint at modest reacceleration, other economic
indicators, including the currently inverted yield curve, support the Fed's
actions. So, too, does, constructive discourse within Congress regarding the
federal deficit. Events such as the financial stress in Mexico, which impaired
exports, and floods on the West Coast helped to contain growth as well.
While we experienced one additional Fed tightening of interest rates in
February, the lack of threat by both inflation and further rate hikes after
that led to a decline in rates without a change in monetary policy. As of June
20, the yield spread between the 2-year Treasury and Fed Funds was 24 basis
points.
Despite all this positive evidence, we do not view the current trend as
unambiguously bullish for the short-term end of the fixed income markets. We
have, however, moved from a completely defensive posture at the end of 1994 to
a neutral position, extending maturities by selectively seeking relative value
along the yield curve. The Fund's weighted average maturity stands
approximately at the midpoint between overnight and its maximum weighted
average maturity. We have also sought to add value by increasing the proportion
of floating rate instruments in the Fund, thereby enhancing performance while
retaining liquidity and flexibility.
On July 6, 1995, the Federal Reserve Board acted to cut official interest rates
by 0.25%. Nevertheless, we intend to maintain our current strategy until we
know the outcome of the August Federal Open Market Committee meeting. If the
Fed decides against lowering rates in August, the markets are likely to express
disappointment by selling bonds and driving rates up. On the other hand, if the
Fed acts as we expect dropping the target further, the market is likely to
perform well.
At this time, we believe that extending maturity would add very little to the
Fund's yield. Moreover, because the market already expects lower rates, as
reflected in the inverted yield curve, there is little upside and substantial
risk if it is disappointed. In the meantime, we are taking advantage of daily
trading and relative value opportunities.
================================================================================
ABOUT THE JOHN BURGESS
PORTFOLIO MANAGER Managing Director
Head of Reserve Management
- Responsible for Global Investment
Management's Reserve Management activities
- Formerly Treasurer & First Vice President
at Banca Della Svizzera Italiana
(subsidiary of the Swiss Bank Corporation
Group) responsible for all proprietary and
customer trading for the Treasury Division
- Ten years investment experience, including
five years at J.P. Morgan
- Joined Bankers Trust in 1995
- B.A. (Economics) -- Wesleyan University
<PAGE> 98
CASH RESERVES FUND 4
--------------------------------------------------
================================================================================
OBJECTIVE Seeks high current income consistent with
liquidity and preservation of capital.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Bank obligations, commercial paper, U.S.
Treasury obligations and repurchase
agreements collateralized by U.S. Treasury
obligations.
- --------------------------------------------------------------------------------
RATINGS S&P: AAAm
Moody's: AAA
- --------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 6.07%
JUNE 30, 1995 Average maturity: 36 days
(unaudited) Net Assets: $945.4 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of June 30, 1995 (unaudited)
(percentages are based on market value)
[FIGURE 1]
<TABLE>
<S> <C>
Commercial Paper 43.87%
Certificates of Deposit 24.00%
U.S. Government Agency Note 0.60%
Floating Rate Notes 6.98%
Deposit Note 1.44%
Eurodollar Time Deposits 23.11%
</TABLE>
<PAGE> 99
CASH RESERVES FUND 5
--------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
================================================================================
June 30, 1995 (unaudited)
<TABLE>
<S> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Cash Management Portfolio, at Value $945,828,349
- -----------------------------------------------------------------------------------------------------------------------------------
Deferred Organizational Expense 703
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses 899
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 945,829,951
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 25,965
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Payable 346,748
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 20,027
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 392,740
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 946,363,663 Outstanding Shares of $.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $945,437,211
===================================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($945,437,211/946,363,663 Shares) $ 1.00
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest, at Par $ 946,364
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital 945,417,299
- -----------------------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized (Loss) from Securities Transactions (926,452)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $945,437,211
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 100
CASH RESERVES FUND 6
---------------------------------------------------
STATEMENT OF OPERATIONS
================================================================================
For the six months ended June 30, 1995 (unaudited)
<TABLE>
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Income Allocated from Cash Management Portfolio, net $28,317,257
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee $ 240,443
- -----------------------------------------------------------------------------------------------------------------------------------
Professional Fees 1,941
- -----------------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 9,987
- -----------------------------------------------------------------------------------------------------------------------------------
Registration Fees 682
- -----------------------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 480
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees Fees 2,740
- -----------------------------------------------------------------------------------------------------------------------------------
Insurance 438
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 4,944
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 261,655
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (261,655) --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 28,317,257
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 15,660
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $28,332,917
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 101
CASH RESERVES FUND 7
--------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
For the period
For the six January 25, 1994
months ended (Commencement
June 30, 1995 of Operations) to
(unaudited) December 31, 1994
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 28,317,257 $ 35,868,156
- --------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 15,660 (6,808,107)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 28,332,917 29,060,049
- --------------------------------------------------------------------------------------------------------------------------------
FROM DIVIDENDS
- --------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (28,317,257) (35,868,156)
- --------------------------------------------------------------------------------------------------------------------------------
Net (Decrease) in Net Assets from Dividends (28,317,257) (35,868,156)
- --------------------------------------------------------------------------------------------------------------------------------
FROM TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
- --------------------------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 8,420,854,467 11,171,963,496
- --------------------------------------------------------------------------------------------------------------------------------
Dividends Reinvested 29,659,854 30,040,014
- --------------------------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (8,425,814,464) (10,280,339,704)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in Shares of
Beneficial Interest 24,699,857 921,663,806
- --------------------------------------------------------------------------------------------------------------------------------
FROM CONTRIBUTION OF CAPITAL
- --------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed -- 5,865,995
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Contribution of Capital -- 5,865,995
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 24,715,517 920,721,694
================================================================================================================================
NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
Beginning of Period 920,721,694 --
- --------------------------------------------------------------------------------------------------------------------------------
End of Period $ 945,437,211 $ 920,721,694
================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 102
CASH RESERVES FUND 8
-----------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the
periods indicated for the Cash Reserves Fund.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
For the period
For the six January 25, 1994
months ended (Commencement of
June 30, 1995 Operations) to
(unaudited) December 31, 1994
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $1.00 $1.00
----- -----
Income from Investment Operations
Net Investment Income 0.03 0.04
Net Realized Gain (Loss) from Securities Transactions 0.00+ (0.01)
----- -----
Total from Investment Operations 0.03 0.03
----- -----
Contribution of Capital -- 0.01
----- -----
Less Dividends
Dividends from Net Investment Income (0.03) (0.04)
----- -----
Total Dividends (0.03) (0.04)
----- -----
Net Asset Value, End of Period $1.00 $1.00
===== =====
TOTAL INVESTMENT RETURN 2.95% 4.32%*+
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.89%* 4.32%*
Ratio of Expenses to Average Net Assets, Including Expenses
of the Cash Management Portfolio 0.18%* 0.18%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.08%* 0.08%*
Net Assets, End of Period (000's omitted) $945,437 $920,722
</TABLE>
* Annualized
+ Increased by 0.81% due to Contribution of Capital.
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 103
CASH MANAGEMENT PORTFOLIO 9
--------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
================================================================================
June 30, 1995 (unaudited)
<TABLE>
<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> 104
CASH MANAGEMENT PORTFOLIO 10
--------------------------------------------------
STATEMENT OF OPERATIONS
================================================================================
For the six months ended June 30, 1995 (unaudited)
<TABLE>
<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> 105
CASH MANAGEMENT PORTFOLIO 11
--------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
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> 106
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> 107
CASH MANAGEMENT PORTFOLIO 13
-----------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
<TABLE>
<CAPTION>
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> 108
CASH MANAGEMENT PORTFOLIO 14
-----------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
<TABLE>
<CAPTION>
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> 109
CASH MANAGEMENT PORTFOLIO 15
-----------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
<TABLE>
<CAPTION>
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> 110
CASH MANAGEMENT PORTFOLIO 16
-----------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
June 30, 1995 (unaudited)
<TABLE>
<CAPTION>
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> 111
CASH RESERVES FUND 17
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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 a business trust under
the laws of the Commonwealth of Massachusetts. The Cash Reserves Fund (the
"Fund") is one of the funds offered to investors by the Trust. The Fund
commenced operations and began offering shares of beneficial interest on
January 25, 1994. 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 June 30, 1995,
the Fund's investment was approximately 39% 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 interest income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized 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. Organizational Expenses
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
D. Dividends
It is the Fund's policy to declare dividends daily, payable to shareholders of
record as of 4:00 p.m. (E.S.T.) from net investment income. Dividends from net
investment income are paid monthly. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date, which is the same as the
declaration 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.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no federal income tax provision is
required.
F. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to the Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
<PAGE> 112
CASH RESERVES FUND 18
---------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
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 six months ended June 30, 1995, this fee aggregated $240,443.
The Trust has entered into a Distribution Agreement with Signature
Broker-Dealer Services, Inc. ("Signature"). Under the Distribution Agreement
with the Trust, pursuant to Rule 12b-1 of the 1940 Act, Signature may seek
reimbursement, at an annual rate not exceeding 0.20 of 1% of the 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 six
months ended June 30, 1995, there were no reimbursable expenses incurred under
this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.00 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.18 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended June 30, 1995, expenses of the Fund
have been reduced $261,655.
The Fund is subject to such limitations as may from time to time be imposed by
the Blue Sky laws of states in which the Fund sells its shares. Currently, the
most restrictive jurisdiction imposes expense limitations of 2.5% of the first
$30,000,000 of the average daily net assets, 2.0% of the next $70,000,000, and
1.5% of any excess over $100,000,000.
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 Fund's Statement of Changes in Net Assets for the period
January 25, 1994 (commencement of operations) to 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 $5,865,995.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Fund. Similarly, none of the Fund's
officers received compensation from the Fund.
NOTE 3 - CAPITAL LOSS CARRYFORWARD
At December 31, 1994, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$942,112, which will expire in 2003.
<PAGE> 113
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> 114
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.
