<PAGE> 1
BT INSTITUTIONAL FUNDS
INSTITUTIONAL
CASH
MANAGEMENT
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 2
INSTITUTIONAL CASH MANAGEMENT FUND 1
-----------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . 2
INSTITUTIONAL CASH MANAGEMENT FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . 6
CASH MANAGEMENT PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . 9
INSTITUTIONAL CASH MANAGEMENT FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . . 14
CASH MANAGEMENT PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . 15
Report of Independent Accountants . . . . . . . . . . . . . . 16
</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) 368-4031
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
================================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 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 year ended December 31, 1995. We have also included a
Letter to Shareholders from Investment Adviser detailing the factors that
affected the Fund's performance for the year ended December 31, 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 monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the Institutional Cash Management
Fund and are looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
Falling interest rates in conjunction with the Federal Reserve Board's
seeming success in slowing economic growth and keeping inflation contained
led to an overall positive environment in 1995 for fixed income investing
and the money markets in particular.
Nevertheless, signals regarding the strength of the dollar and of the
economy were often mixed, and so the Fund maintained a relatively neutral
duration as compared to its benchmark through much of the year. In fact,
only in the third quarter, shorter after the Fed lowered official interest
rates on July 6, did we position the portfolio somewhat long to take
advantage of falling rates. Constructive action on the budget deficit by
Congress and the administration was expected to spur interest rates still
lower as the second half of the year progressed. But even without real
progress on this front, the Federal Reserve Board cut rates by another 25
basis points on December 19, 1995.
While economic data has been scarce due to the government shutdowns and
thus hampers our assessment to some degree, indicators from private
sources point to the economy proceeding on a course that includes real but
modest growth, inflation around 2.5%, and corporate profits rising within
a range of 5% to 7%. The Federal Reserve Board may respond with another
modest interest rate reduction early in 1996. If so, the fixed income
market should benefit from a very favorable climate.
The Fund's weighted average maturity stands at 36 days. We plan to keep
the Fund's relatively neutral duration position for the near future for
two main reasons. First, resolution of the budget impasse would add a
positive note, but uncertainty surrounding the Federal budgeting process
remains unabated, and any agreement may well be discounted in today's
prices. Second, after the dramatic fall in interest rates during 1996, we
do not expect the prospects for the money markets in 1996 to be quite as
bright. In the meantime, we continue to take advantage of the positive
fixed income market while it lasts as well as daily trading and relative
value opportunities created by market volatility.
<PAGE> 4
INSTITUTIONAL CASH MANAGEMENT FUND 3
----------------------------------------------------------
================================================================================
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: 5.71%
DECEMBER 31, 1995 Average maturity: 39 days
Net Assets: $1,010.9 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF
PORTFOLIO INVESTMENTS BY ASSET TYPE
December 31, 1995 (percentages are
based on market value)
<TABLE>
<S> <C>
Commercial Paper 38.84%
Certificates of Deposit 30.83%
Eurodollar Time Deposits 22.90%
Repurchase Agreement 3.79%
Floating Rate Notes 2.84%
U.S. Government Agency Note 0.80%
</TABLE>
[FIGURE 1]
================================================================================
ABOUT THE DARLENE M. RASEL
PORTFOLIO MANAGER Vice President
- Responsible for managing the Money Market and
Treasury Mutual Funds.
- Formerly, Head of Collateral Management Desk
for five years before joining Global Investment
Management.
- Fifteen years investment experience, including
eight years at Bankers Trust.
<PAGE> 5
INSTITUTIONAL CASH MANAGEMENT FUND 4
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Cash Management Portfolio, at Value $1,011,457,730
- -----------------------------------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 21,001
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 27,497
- -----------------------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 45,940
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,011,552,168
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Payable 578,633
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 99,123
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 677,756
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 1,011,568,872 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $1,010,874,412
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, Subscription and Redemption Price
Per Share ($1,010,874,412/1,011,568,872 Shares) $ 1.00
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,011,568,872
- -----------------------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (694,460)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,010,874,412
===================================================================================================================================
STATEMENT OF OPERATIONS
===================================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Income Allocated from Cash Management Portfolio, net $ 37,803,062
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services $ 327,340
- -----------------------------------------------------------------------------------------------------------------------------------
Professional 9,251
- -----------------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 22,198
- -----------------------------------------------------------------------------------------------------------------------------------
Registration 85,728
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees 6,416
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 5,637
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 456,570
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (129,230) 327,340
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 37,475,722
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 69,289
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 37,545,011
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 6
INSTITUTIONAL CASH MANAGEMENT FUND 5
----------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 37,475,722 $ 34,184,817
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 69,289 (5,994,447)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 37,545,011 28,190,370
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (37,475,722) (34,184,817)
- -----------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at Net Asset Value of $1.00 per share)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 9,449,379,844 10,302,248,027
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Reinvested 29,013,898 21,787,108
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (9,131,737,120) (11,509,329,518)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Transactions in
Shares of Beneficial Interest 346,656,622 (1,185,294,383)
- -----------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed - 5,215,181
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 346,725,911 (1,186,073,649)
===================================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 664,148,501 1,850,222,150
- -----------------------------------------------------------------------------------------------------------------------------------
End of Year $ 1,010,874,412 $ 664,148,501
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 7
INSTITUTIONAL CASH MANAGEMENT FUND 6
----------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for the Institutional Cash Management Fund.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
-------------------------------------------------------------------
1995 1994 1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Year $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.06 0.04 0.03 0.04 0.06
Net Realized Gain (Loss) from
Securities Transactions 0.00+ (0.01) 0.00+ 0.00+ 0.00+
----- ----- ----- ----- -----
Total from Investment Operations 0.06 0.03 0.03 0.04 0.06
----- ----- ----- ----- -----
Contribution of Capital - 0.01 - - -
----- ----- ----- ----- -----
Distributions From
Net Investment Income (0.06) (0.04) (0.03) (0.04) (0.06)
Net Realized Gain from
Securities Transactions - - (0.00)+ (0.00)+ (0.00)+
----- ----- ----- ----- -----
Total Distributions (0.06) (0.04) (0.03) (0.04) (0.06)
----- ----- ----- ----- -----
Net Asset Value, End of Year $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 5.89% 4.18%++ 3.05% 3.58% 6.20%
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 5.72% 3.98% 3.01% 3.48% 5.82%
Ratio of Expenses to Average Net
Assets, Including Expenses of the
Cash Management Portfolio 0.23% 0.23% 0.25% 0.25% 0.25%
Decrease Reflected in Above
Expense Ratio Due to Absorption
of Expenses by Bankers Trust 0.04% 0.03% 0.02% 0.04% 0.09%
Net Assets, End of Year
(000's omitted) $1,010,874 $664,149 $1,850,222 $1,334,517 $806,690
</TABLE>
+ Less than $0.01 per share
++ Increased by 0.91% due to Contribution of Capital.
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 8
CASH MANAGEMENT PORTFOLIO 7
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investments, at Value $2,636,244,326
- -----------------------------------------------------------------------------------------------------------------------------------
Cash 234,792
- -----------------------------------------------------------------------------------------------------------------------------------
Interest Receivable 9,803,616
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 19,395
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 2,646,302,129
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 336,262
- -----------------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 30,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 33,650
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 30,369,912
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,615,932,217
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $2,615,932,217
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $2,615,932,217
===================================================================================================================================
STATEMENT OF OPERATIONS
===================================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Interest $ 152,708,666
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Advisory $3,847,729
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services 1,282,576
- -----------------------------------------------------------------------------------------------------------------------------------
Professional 34,574
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees 1,868
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 28,778
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,195,525
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (578,251) 4,617,274
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 148,091,392
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 268,537
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 148,359,929
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 9
CASH MANAGEMENT PORTFOLIO 8
------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 148,091,392 $ 107,531,263
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 268,537 (21,679,797)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 148,359,929 85,851,466
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 35,062,532,338 29,684,647,236
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (35,329,985,394) (28,984,267,374)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (267,453,056) 700,379,862
- -----------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed - 18,718,663
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (119,093,127) 804,949,991
===================================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 2,735,025,344 1,930,075,353
- -----------------------------------------------------------------------------------------------------------------------------------
End of Year $ 2,615,932,217 $ 2,735,025,344
===================================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the years
presented for the Cash Management Portfolio.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
--------------------------------------------------------------------------------
1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment
Income to Average Net Assets 5.77% 4.24% 3.06% 3.52% 5.85%
Ratio of Expenses to
Average Net Assets 0.18% 0.18% 0.20% 0.22% 0.25%
Decrease Reflected in Above
Ratio of Expenses to Average
Net Assets Due to Absorption
of Expenses by Bankers Trust 0.02% 0.02% 0.00%+ 0.00%+ 0.01%
Net Assets, End of Year
(000's omitted) $2,615,932 $2,735,025 $1,930,075 $1,438,688 $934,402
</TABLE>
+ Less than 0.01%
See Notes to Financial Statements on Page 15
<PAGE> 10
CASH MANAGEMENT PORTFOLIO 9
------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C>
CERTIFICATES OF DEPOSIT - 31.07%
- ------------------------------------------------------------------------------------------------------------------------------
$ 5,000,000 Abbey National Bank, 5.76%, 2/1/96 $ 4,999,857
- ------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of America, 5.78%, 1/31/96 35,000,000
- ------------------------------------------------------------------------------------------------------------------------------
13,000,000 Bank of Nova Scotia, 5.77%, 2/1/96 13,000,554
- ------------------------------------------------------------------------------------------------------------------------------
Bank of Tokyo:
30,000,000 5.90%, 1/16/96 30,000,122
29,000,000 5.90%, 1/22/96 29,000,166
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Bayerische Hypotheka, 5.83%, 1/16/96 25,000,205
- ------------------------------------------------------------------------------------------------------------------------------
21,000,000 Bayerische Landesbank, 5.80%, 1/24/96 21,000,021
- ------------------------------------------------------------------------------------------------------------------------------
46,000,000 Bayerische Vereinsbank, 5.80%, 1/31/96 46,000,380
- ------------------------------------------------------------------------------------------------------------------------------
9,000,000 Credit Suisse, 5.73%, 1/9/96 8,999,612
- ------------------------------------------------------------------------------------------------------------------------------
50,000,000 Deutsche, 5.79%, 1/25/96 50,000,000
- ------------------------------------------------------------------------------------------------------------------------------
28,000,000 Hessen Thuringer, 5.795%, 1/31/96 27,999,505
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Industrial Bank of Japan, 5.89%, 1/22/96 25,000,143
- ------------------------------------------------------------------------------------------------------------------------------
Kreditbank:
40,000,000 5.80%, 1/24/96 40,000,253
30,000,000 5.75%, 2/21/96 30,000,420
- ------------------------------------------------------------------------------------------------------------------------------
26,000,000 Mellon Bank, 5.78%, 2/5/96 26,000,000
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Mitsubishi Bank, 6.15%, 1/2/96 25,000,012
- ------------------------------------------------------------------------------------------------------------------------------
28,000,000 Morgan Guaranty, 5.51%, 6/11/96 28,001,226
- ------------------------------------------------------------------------------------------------------------------------------
National Westminster Bank:
2,000,000 5.81%, 2/1/96 2,000,111
40,000,000 5.72%, 2/16/96 39,999,770
29,300,000 5.70%, 2/16/96 29,302,639
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Rabobank, 5.76%, 1/31/96 25,000,206
- ------------------------------------------------------------------------------------------------------------------------------
Sanwa Bank:
38,000,000 5.91%, 1/31/96 38,000,309
24,000,000 5.86%, 2/9/96 23,997,792
- ------------------------------------------------------------------------------------------------------------------------------
Societe Generale:
25,000,000 5.82%, 1/5/96 25,000,000
39,400,000 5.66%, 3/4/96 39,400,559
30,000,000 5.71%, 3/4/96 30,000,988
- ------------------------------------------------------------------------------------------------------------------------------
Sumitomo Bank:
35,000,000 5.98%, 1/16/96 35,000,143
20,000,000 5.89%, 1/22/96 20,000,114
10,000,000 5.91%, 1/22/96 10,000,057
- ------------------------------------------------------------------------------------------------------------------------------
30,000,000 Toronto Dominion, 5.64%, 4/2/96 30,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $812,705,164) $812,705,164
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 11
CASH MANAGEMENT PORTFOLIO 10
--------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C>
COMMERCIAL PAPER - 39.14%
- ------------------------------------------------------------------------------------------------------------------------------
$ 36,500,000 Abbey National Bank of North America, 5.58%, 3/14/96 $36,087,003
- ------------------------------------------------------------------------------------------------------------------------------
21,000,000 Asset Securitization, 5.66%, 2/15/96 20,851,425
- ------------------------------------------------------------------------------------------------------------------------------
11,500,000 Banco Bilbao Vizcaya, 5.71%, 2/5/96 11,436,159
- ------------------------------------------------------------------------------------------------------------------------------
20,000,000 Bank of America, 5.28%, 6/5/96 19,542,400
- ------------------------------------------------------------------------------------------------------------------------------
29,000,000 Bank Brussels Lambert of North America, 5.58%, 4/18/96 28,514,540
- ------------------------------------------------------------------------------------------------------------------------------
30,500,000 BTR Dunlop, 5.65%, 2/16/96 30,279,807
- ------------------------------------------------------------------------------------------------------------------------------
23,000,000 Caisse des Depots et Consignations, 5.80%, 1/11/96 22,962,944
- ------------------------------------------------------------------------------------------------------------------------------
15,000,000 Central Hispana, 5.75%, 1/25/96 14,942,500
- ------------------------------------------------------------------------------------------------------------------------------
50,000,000 Commonwealth Bank Australia, 5.41%, 4/2/96 49,308,722
- ------------------------------------------------------------------------------------------------------------------------------
7,000,000 Dun & Bradstreet, 5.59%, 3/19/96 6,915,218
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Finnish Export Credit, 5.71%, 1/23/96 24,912,764
- ------------------------------------------------------------------------------------------------------------------------------
General Electric Capital:
20,000,000 5.81%, 1/18/96 19,945,128
25,000,000 5.53%, 4/3/96 24,642,854
- ------------------------------------------------------------------------------------------------------------------------------
25,700,000 General Electric Capital Services, 5.68%, 2/5/96 25,558,079
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Goldman Sachs, 5.53%, 3/18/96 24,704,299
- ------------------------------------------------------------------------------------------------------------------------------
14,000,000 Hanson Finance, 5.65%, 3/7/96 13,854,983
- ------------------------------------------------------------------------------------------------------------------------------
21,000,000 Hewlett-Packard, 5.63%, 2/15/96 20,852,213
- ------------------------------------------------------------------------------------------------------------------------------
KFW International Finance:
35,000,000 5.715%, 1/30/96 34,838,869
30,000,000 5.65%, 3/6/96 29,693,958
- ------------------------------------------------------------------------------------------------------------------------------
Kingdom of Sweden:
20,000,000 5.00%, 1/31/96 19,905,000
6,000,000 5.65%, 2/15/96 5,957,625
25,000,000 5.66%, 2/21/96 24,799,542
1,815,000 5.68%, 2/27/96 1,798,677
25,000,000 5.66%, 2/28/96 24,772,028
25,000,000 5.62%, 3/11/96 24,726,806
- ------------------------------------------------------------------------------------------------------------------------------
20,300,000 Manitoba Hydro Electric, 5.65%, 2/15/96 20,156,631
- ------------------------------------------------------------------------------------------------------------------------------
McKenna Triangle:
25,000,000 5.75%, 1/25/96 24,904,167
20,000,000 5.72%, 1/26/96 19,920,556
30,000,000 5.68%, 2/6/96 29,829,600
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Merrill Lynch, 5.72%, 1/31/96 24,880,833
- ------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
23,500,000 6.00%, 1/5/96 23,484,333
25,000,000 5.77%, 1/25/96 24,903,833
40,000,000 5.70%, 2/9/96 39,753,000
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 12
CASH MANAGEMENT PORTFOLIO 11
--------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C>
$ 30,805,000 National Australia Funding, 5.30%, 6/14/96 $ 30,056,695
- ------------------------------------------------------------------------------------------------------------------------------
National Rural Utility:
15,000,000 5.65%, 2/16/96 14,891,708
35,000,000 5.50%, 3/5/96 34,657,778
- ------------------------------------------------------------------------------------------------------------------------------
New South Wales Treasury:
25,000,000 5.70%, 1/24/96 24,908,958
12,000,000 5.56%, 2/9/96 11,927,720
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Philip Morris, 6.20%, 1/2/96 24,995,694
- ------------------------------------------------------------------------------------------------------------------------------
20,000,000 Province of Alberta, 5.75%, 1/26/96 19,920,139
- ------------------------------------------------------------------------------------------------------------------------------
70,000,000 Prudential Funding, 6.054%, 1/2/96 70,000,000
- ------------------------------------------------------------------------------------------------------------------------------
10,000,000 Receivables Capital, 5.80%, 1/31/96 9,951,667
- ------------------------------------------------------------------------------------------------------------------------------
13,000,000 Sheffield, 5.80%, 1/22/96 12,956,017
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $1,023,902,872) $1,023,902,872
==============================================================================================================================
EURODOLLAR TIME DEPOSITS - 23.08%
- ------------------------------------------------------------------------------------------------------------------------------
Bank of America:
$ 17,000,000 5.76%, 3/27/96 $ 17,000,000
30,000,000 5.50%, 4/5/96 30,000,000
- ------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of Scotland, 5.813%, 2/13/96 35,000,000
- ------------------------------------------------------------------------------------------------------------------------------
50,000,000 Canadian Imperial Bank of Commerce, 6.00%, 1/2/96 50,000,000
- ------------------------------------------------------------------------------------------------------------------------------
72,791,998 Commerz Bank, 3.50%, 1/2/96 72,791,998
- ------------------------------------------------------------------------------------------------------------------------------
Dresdner Bank:
100,000,000 5.938%, 1/2/96 100,000,000
10,000,000 5.75%, 3/4/96 10,000,000
- ------------------------------------------------------------------------------------------------------------------------------
100,000,000 International Nederlander, 6.00%, 1/2/96 100,000,000
- ------------------------------------------------------------------------------------------------------------------------------
14,000,000 Kreditbank, 5.75%, 3/15/96 14,000,000
- ------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Bank:
25,000,000 6.25%, 1/19/96 25,000,000
25,000,000 5.906%, 3/5/96 25,000,000
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 National Westminster, 5.813%, 1/29/96 25,000,000
- ------------------------------------------------------------------------------------------------------------------------------
25,000,000 Nordeutsche Landesbank, 5.75%, 2/29/96 25,000,000
- ------------------------------------------------------------------------------------------------------------------------------
75,000,000 Toronto Dominion, 6.00%, 1/2/96 75,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $603,791,998) $ 603,791,998
==============================================================================================================================
FLOATING RATE NOTES - 2.86%
- ------------------------------------------------------------------------------------------------------------------------------
Student Loan Marketing Association:
$ 50,000,000 Variable Rate Weekly, 5.22%, 11/24/97 $ 49,885,005
25,000,000 Variable Rate Weekly, 5.24%, 9/28/98 24,993,148
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $74,878,153) $ 74,878,153
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 13
CASH MANAGEMENT PORTFOLIO 12
--------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==============================================================================================================================
<S> <C> <C>
U.S. GOVERNMENT AGENCY NOTES - 0.80%
- ------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association:
$ 9,820,000 5.14%, 6/25/96 $ 9,573,234
11,690,000 5.14%, 6/27/96 11,392,905
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY NOTES
(Amortized Cost $20,966,139) $ 20,966,139
==============================================================================================================================
REPURCHASE AGREEMENT - 3.82%
- ------------------------------------------------------------------------------------------------------------------------------
$100,000,000 Repurchase Agreement with Swiss Bank, dated 12/29/1995, 5.90%,
Principal and Interest in the Amount of $100,049,167, due 1/2/96,
(Collateralized by Federal Home Loan Mortgage, par value of
$25,000,000, 7.61%,
due 9/1/04, value of $26,386,331, $25,000,000, 7.88%,
due 8/5/04, value of $26,659,471, Federal National Mortgage
Association, par value of $970,000, 7.50%
due 2/11/02, value of
$1,087,494 Federal Home Loan Banks Medium Term Construction
Bonds, par value of $15,000,000, 6.05%, due 3/10/99, value of $15,281,575,
Federal Farm Credit Banks Construction System-wide Medium-Term
Notes, par value of $6,000,000, 5.41%, due 12/7/98, value of $5,974,410,
Federal Home Loan Bank Construction Discount Notes, par value of
$25,000,000, due 2/22/96, value of $24,828,473 and Federal Home Loan
Bank, par value of $4,000,000, 8.00%, due 7/25/96, value of $4,195,761) $ 100,000,000
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Amortized Cost $2,636,244,326) 100.77% $2,636,244,326
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (0.77) (20,312,109)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $2,615,932,217
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 14
INSTITUTIONAL CASH MANAGEMENT FUND 13
----------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as 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 December
31, 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.
C. Dividends
It is the Fund's policy to declare dividends daily and pay 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. 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. The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $327,340.
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 year
ended December 31, 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 year ended December 31, 1995, expenses of the Fund have
been reduced by $129,230.
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.
<PAGE> 15
INSTITUTIONAL CASH MANAGEMENT FUND 14
----------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such securities to Bankers Trust New York Corporation, the
parent of the Adviser, at the same price, also pursuant to a put agreement. As
a result of these transactions the 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, 1995, accumulated net realized capital loss carryforwards
available as a reduction against future net realized capital gains aggregated
$709,997, which will expire in 2002.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Institutional Cash Management Fund (one of the funds comprising BT
Institutional Funds) as of December 31, 1995, and the related statement of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, and the financial highlights
for each of the five years in the period then ended. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Institutional Cash Management Fund of BT Institutional Funds as of December 31,
1995, the results of its operations, the changes in its net assets, and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 16
CASH MANAGEMENT PORTFOLIO 15
------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990 as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions pro rata among the investors in the Portfolio at the time
of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated
$1,282,576.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $3,847,729.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.18 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $578,251.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such securities to Bankers Trust New York Corporation, the
parent of the Adviser, at the same price, also pursuant to a put agreement. As
a result of these transactions the Portfolio's Statement of Changes in Net
Assets for the year ended December 31, 1994 reflects a realized loss on the
sale of these securities and a capital contribution in the amount of
$18,718,663.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
<PAGE> 17
CASH MANAGEMENT PORTFOLIO 16
------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the Cash Management Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Cash Management Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 18
BT INSTITUTIONAL FUNDS
INSTITUTIONAL
TREASURY
MONEY
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 19
INSTITUTIONAL TREASURY MONEY FUND 1
---------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM
INVESTMENT ADVISER . . . . . . . . . . . . . . . . . . . . . . . 2
INSTITUTIONAL TREASURY MONEY FUND . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . 6
TREASURY MONEY PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . 9
INSTITUTIONAL TREASURY MONEY FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . 11
Report of Independent Accountants . . . . . . . . . . . . . . 12
TREASURY MONEY PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . . 14
</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) 368-4031
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> 20
INSTITUTIONAL TREASURY MONEY FUND 2
---------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 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 year ended December 31, 1995. In addition, the report
contains a Letter to Shareholders from 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 monitoring the economic conditions and
how they affect the financial markets.
We appreciate your ongoing support of the Institutional Treasury Money
Fund and are looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
Falling interest rates in conjunction with the Federal Reserve Board's
seeming success in slowing economic growth and keeping inflation
contained led to an overall positive environment in 1995 for fixed income
investing and the money markets in particular.
Nevertheless, signals regarding the strength of the dollar and of the
economy were often mixed, and so the Fund maintained a relatively neutral
duration as compared to its benchmark through much of the year. In fact,
only in the third quarter, shortly after the Fed lowered official
interest rates on July 6, did we position the portfolio somewhat long to
take advantage of falling rates. Constructive action on the budget
deficit by Congress and the administration was expected to spur interest
rates still lower as the second half of the year progressed. But even
without real progress on this front, the Federal Reserve Board cut rates
by another 25 basis points on December 19.
While economic data has been scarce due to the government shutdowns and
thus hampers our assessment to some degree, indicators from private
sources point to the economy proceeding on a course that includes real
but modest growth, inflation around 2.5%, and corporate profits rising
within a range of 5% to 7%. The Federal Reserve Board may respond with
another modest interest rate reduction early in 1996. If so, the fixed
income market should benefit from a very favorable climate.
The Fund's weighted average maturity stands at 44 days. We plan to keep
the Fund's relatively neutral duration position for the near future for
two main reasons. First, resolution of the budget impasse would add a
positive note, but uncertainty surrounding the Federal budgeting process
remains unabated, and any agreement may well be discounted in today's
prices. Second, after the dramatic fall in interest rates during 1995,
we do not expect the prospects for the money markets in 1996 to be quite
as bright. In the meantime, we continue to take advantage of the positive
fixed income market while it lasts as well as daily trading and relative
value opportunities created by market volatility.
<PAGE> 21
INSTITUTIONAL TREASURY MONEY FUND 3
---------------------------------------------------
================================================================================
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: 5.49%
DECEMBER 31, 1995 Average maturity: 45 days
Net Assets: $1,325.1 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
<TABLE>
<S> <C>
Repurchase Agreements 48.36%
U.S. Treasury Notes 27.84%
U.S. Treasury Bills 23.80%
</TABLE>
[FIGURE 1]
================================================================================
ABOUT THE DARLENE M. RASEL
PORTFOLIO MANAGER Vice President
- Responsible for managing the Money Market and
Treasury Mutual Funds.
- Formerly, Head of Collateral Management Desk
for five years before joining Global Investment
Management.
- Fifteen years investment experience, including
eight years at Bankers Trust.
<PAGE> 22
INSTITUTIONAL TREASURY MONEY FUND 4
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==============================================================================================================================
December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
- ------------------------------------------------------------------------------------------------------------------------------
Investment in Treasury Money Portfolio, at Value $1,325,387,722
- ------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 4,002
- ------------------------------------------------------------------------------------------------------------------------------
Due From Bankers Trust 194,636
- ------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,325,586,360
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------------------
Dividends Payable 195,408
- ------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 321,669
- ------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 517,077
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 1,325,057,506 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $1,325,069,283
==============================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($1,325,069,283/1,325,057,506 Shares) $ 1.00
==============================================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,325,057,506
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities Transactions 11,777
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,325,069,283
==============================================================================================================================
STATEMENT OF OPERATIONS
==============================================================================================================================
For the year ended December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------------------------
Income Allocated from Treasury Money Portfolio, net $ 30,608,120
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------
Administration and Services $ 274,216
- ------------------------------------------------------------------------------------------------------------------------------
Registration 292,196
- ------------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 17,466
- ------------------------------------------------------------------------------------------------------------------------------
Professional 9,376
- ------------------------------------------------------------------------------------------------------------------------------
Trustees 6,366
- ------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 14,974
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 614,594
- ------------------------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (340,378) 274,216
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 30,333,904
- ------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 74,117
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 30,408,021
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 11
<PAGE> 23
INSTITUTIONAL TREASURY MONEY FUND 5
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
==============================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 30,333,904 $5,906,390
- ------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 74,117 (23,702)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 30,408,021 5,882,688
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (30,333,904) (5,906,390)
- ------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions (39,668) --
- ------------------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (30,373,572) (5,906,390)
- ------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per Share)
- ------------------------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 5,234,318,300 1,332,544,359
- ------------------------------------------------------------------------------------------------------------------------------
Dividends Reinvested 16,232,391 4,168,968
- ------------------------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (4,107,617,255) (1,298,554,174)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
- ------------------------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest 1,142,933,436 38,159,153
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 1,142,967,885 38,135,451
==============================================================================================================================
NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 182,101,398 143,965,947
- ------------------------------------------------------------------------------------------------------------------------------
End of Year $ 1,325,069,283 $182,101,398
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 11
<PAGE> 24
INSTITUTIONAL TREASURY MONEY FUND 6
---------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of
the years presented for the Institutional Treasury Money Fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
-----------------------------------------------------------------------
1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Year $1.00 $1.00 $1.00 $1.00 $1.00
----- ----- ----- ----- -----
Income from Investment Operations
Net Investment Income 0.06 0.04 0.03 0.04 0.06
Net Realized Gain (Loss) on Securities 0.00+ (0.00)+ 0.00+ 0.00+ 0.00+
----- ----- ----- ----- -----
Total from Investment Operations 0.06 0.04 0.03 0.04 0.06
----- ----- ----- ----- -----
Distributions From
Net Investment Income (0.06) (0.04) (0.03) (0.04) (0.06)
Net Realized Gain
from Securities Transactions (0.00)+ - (0.00)+ (0.00)+ (0.00)+
----- ----- ----- ----- -----
Total Distributions (0.06) (0.04) (0.03) (0.04) (0.06)
----- ----- ----- ----- -----
Net Asset Value, End of Year $1.00 $1.00 $1.00 $1.00 $1.00
===== ===== ===== ===== =====
TOTAL INVESTMENT RETURN 5.71% 3.92% 2.94% 3.56% 5.84%
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 5.53% 3.97% 2.88% 3.47% 5.54%
Ratio of Expenses to Average Net Assets,
Including Expenses of the Treasury
Money Portfolio 0.25% 0.25% 0.25% 0.25% 0.25%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust 0.07% 0.04% 0.03% 0.04% 0.12%
Net Assets, End of Year (000's omitted) $1,325,069 $182,101 $143,966 $102,182 $131,406
</TABLE>
+Less than $0.01 per share
See Notes to Financial Statements on Page 11
<PAGE> 25
TREASURY MONEY PORTFOLIO 7
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==============================================================================================================================
December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Investments, at Value (including Repurchase Agreements amounting to $934,107,061) $1,931,571,982
- ------------------------------------------------------------------------------------------------------------------------------
Interest Receivable 9,881,545
- ------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 9,051
- ------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,941,462,578
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 339,711
- ------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 41,271
- ------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 380,982
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,941,081,596
==============================================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,941,081,596
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,941,081,596
==============================================================================================================================
STATEMENT OF OPERATIONS
==============================================================================================================================
For the year ended December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------------------------
Interest $ 68,065,344
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------
Advisory $1,764,890
- ------------------------------------------------------------------------------------------------------------------------------
Administration and Services 588,297
- ------------------------------------------------------------------------------------------------------------------------------
Professional 32,849
- ------------------------------------------------------------------------------------------------------------------------------
Trustees 1,868
- ------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 35,248
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,423,152
- ------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (69,965) 2,353,187
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 65,712,157
- ------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 244,290
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 65,956,447
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 26
TREASURY MONEY PORTFOLIO 8
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
==============================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 65,712,157 $ 30,804,929
- ------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 244,290 (124,833)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 65,956,447 30,680,096
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 12,489,163,533 6,929,406,671
- ------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (11,496,812,976) (6,866,790,869)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 992,350,557 62,615,802
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 1,058,307,004 93,295,898
==============================================================================================================================
NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 882,774,592 789,478,694
- ------------------------------------------------------------------------------------------------------------------------------
End of Year $ 1,941,081,596 $ 882,774,592
==============================================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the years
presented for the Treasury Money Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
----------------------------------------------------------------------
1995 1994 1993 1992 1991
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 5.58% 3.93% 2.93% 3.44% 5.58%
Ratio of Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.22% 0.25%
Decrease Reflected in Above Ratio of
Expenses to Average Net Assets
Due to Absorption of Expenses
by Bankers Trust 0.01% 0.01% 0.01% 0.01% 0.01%
Net Assets, End of Year (000's omitted) $1,941,082 $882,775 $789,479 $1,408,114 $671,138
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 27
TREASURY MONEY PORTFOLIO 9
---------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
========================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
========================================================================================================================
<S> <C>
UNITED STATES TREASURY BILLS 23.69%
- ------------------------------------------------------------------------------------------------------------------------
$ 50,000,000 5.42%, 1/18/96 $ 49,872,028
- ------------------------------------------------------------------------------------------------------------------------
50,000,000 5.44%, 2/8/96 49,712,757
- ------------------------------------------------------------------------------------------------------------------------
50,000,000 5.47%, 2/22/96 49,605,306
- ------------------------------------------------------------------------------------------------------------------------
1,000,000 5.35%, 2/29/96 991,231
- ------------------------------------------------------------------------------------------------------------------------
50,000,000 5.31%, 3/7/96 49,513,250
- ------------------------------------------------------------------------------------------------------------------------
25,000,000 5.34%, 3/14/96 24,729,545
- ------------------------------------------------------------------------------------------------------------------------
25,000,000 5.34%, 4/4/96 24,651,416
- ------------------------------------------------------------------------------------------------------------------------
25,000,000 5.33%, 5/2/96 24,548,854
- ------------------------------------------------------------------------------------------------------------------------
70,000,000 5.23%, 5/9/96 68,688,769
- ------------------------------------------------------------------------------------------------------------------------
30,000,000 4.93%, 5/16/96 29,441,833
- ------------------------------------------------------------------------------------------------------------------------
40,000,000 5.24%, 5/30/96 39,127,500
- ------------------------------------------------------------------------------------------------------------------------
50,000,000 5.17%, 6/6/96 48,872,653
- ------------------------------------------------------------------------------------------------------------------------
TOTAL UNITED STATES TREASURY BILLS (Cost $459,755,142) $ 459,755,142
========================================================================================================================
UNITED STATES TREASURY NOTES - 27.70%
- ------------------------------------------------------------------------------------------------------------------------
$ 125,000,000 4.00%, 1/31/96 $ 124,843,890
- ------------------------------------------------------------------------------------------------------------------------
137,500,000 4.625%, 2/15/96 137,358,118
- ------------------------------------------------------------------------------------------------------------------------
125,000,000 7.875%, 2/15/96 125,339,713
- ------------------------------------------------------------------------------------------------------------------------
25,000,000 5.125%, 3/31/96 25,003,780
- ------------------------------------------------------------------------------------------------------------------------
125,000,000 5.875%, 5/31/96 125,164,278
- ------------------------------------------------------------------------------------------------------------------------
TOTAL UNITED STATES TREASURY NOTES (Cost $537,709,779) $ 537,709,779
========================================================================================================================
REPURCHASE AGREEMENTS - 48.12%
- ------------------------------------------------------------------------------------------------------------------------
$ 55,000,000 Repurchase Agreement with C.S.
First Boston, Inc., dated 12/1/95, 5.79%,
principal and interest in the amount of
$55,274,221, due 1/8/96, (Collateralized
by U.S. Treasury Strips, par value of
$96,977,000, 5.68%, due 5/15/05, value
of $57,110,361) $ 55,000,000
- ------------------------------------------------------------------------------------------------------------------------
200,000,000 Repurchase Agreement with Goldman Sachs
& Co., dated 12/29/95, 5.85%, principal
and interest in the amount of $200,097,500,
due 1/2/96, (Collateralized by U.S. Treasury
Notes, par value $182,900,000, 7.75%, due
1/31/00, value of $204,568,431) 200,000,000
- ------------------------------------------------------------------------------------------------------------------------
104,107,061 Repurchase Agreement with Merrill Lynch & Co.,
Inc., dated 12/29/95, 5.50%, principal and
interest in the amount of $104,154,777,
due 1/2/96, (Collaterized by U.S. Treasury
Notes,par value $103,730,000, 6.875%, due
10/31/96, value of $106,282,152) 104,107,061
- ------------------------------------------------------------------------------------------------------------------------
175,000,000 Repurchase Agreement with Sanwa Bank, Ltd.,
dated 12/29/95, 5.90%, principal and interest
in the amount of $175,086,042, due 1/2/96,
(Collateralized by U.S. Treasury Notes, par
value $25,277,000, 7.25%, due 8/15/04, value
of $28,799,982, $50,000,000, 5.625%, due 10/31/97,
value of $50,861,951, $28,000,000, 6.125%,
due 5/31/97, value of $28,494,839, $40,000,000,
7.50%, due 2/15/05, value of $46,484,261 and
$23,000,000, 6.25%, due 8/31/00, value of
$24,285,397) 175,000,000
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 28
TREASURY MONEY PORTFOLIO 10
---------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
========================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
========================================================================================================================
<S> <C> <C>
200,000,000 Repurchase Agreement with Swiss Bank Corp., dated
12/29/95, 5.90%, principal and interest in the amount
of $200,098,333, due 1/2/96, (Collateralized by U.S.
Treasury Strips, par value of $92,550,000, 5.68%,
due 5/15/05, value of $54,503,273, $118,050,000,
5.67%, due 2/15/05, value of $70,996,008 and
$114,100,000, 5.49%, due 8/15/02, value
of $79,691,719) $ 200,000,000
- ------------------------------------------------------------------------------------------------------------------------
200,000,000 Tri Party Repurchase Agreement withMorgan Stanley
Group, Inc., dated 12/29/95, 5.85%, principal and
interest in the amount of $200,097,500, due 1/2/96,
(Collateralized by U.S. Treasury Notes, par value
of $177,090,000, 7.50%, due 2/15/05, value of
$205,797,445) 200,000,000
- ------------------------------------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST $934,107,061) $ 934,107,061
========================================================================================================================
TOTAL INVESTMENTS (COST $1,931,571,982) 99.51% $1,931,571,982
- ------------------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.49% 9,509,614
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $1,941,081,596
========================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 13
<PAGE> 29
INSTITUTIONAL TREASURY MONEY FUND 11
---------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Institutional 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 December 31, 1995, the Fund's investment was
approximately 68% 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.
C. Dividends
It is the Fund's policy to declare dividends daily, 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.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. 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.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $274,216.
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 year
ended December 31, 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 year ended December 31, 1995, expenses of the Fund have
been reduced by $340,378.
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.
<PAGE> 30
INSTITUTIONAL TREASURY MONEY FUND 12
---------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders
of BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Institutional Treasury Money Fund (one of the funds comprising BT Institutional
Funds) as of December 31, 1995, and the related statement of operations for the
year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Institutional Treasury Money Fund of BT Institutional Funds as of December 31,
1995, the results of its operations, the changes in its net assets, and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 31
TREASURY MONEY PORTFOLIO 13
---------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as realized gains and losses from security
transactions pro rata among the investors in the Portfolio at the time of such
determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $588,297.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $1,764,890.
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 year ended December 31,
1995, expenses of the Portfolio have been reduced by $69,965.
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> 32
TREASURY MONEY PORTFOLIO 14
---------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial
Interest of the Treasury Money Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Treasury Money Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Treasury Money Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 33
BT INSTITUTIONAL FUNDS
EQUITY
500 INDEX
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 34
EQUITY 500 INDEX FUND 1
------------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . 2
EQUITY 500 INDEX FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . 5
Statement of Operations . . . . . . . . . . . . . . . . . . . 5
Statements of Changes in Net Assets . . . . . . . . . . . . . 6
Financial Highlights . . . . . . . . . . . . . . . . . . . . . 7
EQUITY 500 INDEX PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . 8
Statement of Operations . . . . . . . . . . . . . . . . . . . 9
Statements of Changes in Net Assets . . . . . . . . . . . . . 10
Financial Highlights . . . . . . . . . . . . . . . . . . . . . 10
Schedule of Portfolio Investments . . . . . . . . . . . . . . 11
EQUITY 500 INDEX FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . 19
Report of Independent Accountants . . . . . . . . . . . . . . 20
EQUITY 500 INDEX PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . 21
Report of Independent Accountants . . . . . . . . . . . . . . 22
</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) 368-4031
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> 35
EQUITY 500 INDEX FUND 2
------------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
===============================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 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 year ended December 31, 1995. We have also
included a Letter to Shareholders from 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 monitoring the economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of the Equity 500 Index Fund and
are looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
===============================================================================
The BT Institutional Funds Equity 500 Index Fund (the "Fund")
returned 37.59% for the year ended December 31, 1995, tightly
tracking the 37.58% return of the S&P 500 Index. Clearly, the Fund's
tracking of its benchmark continues to be excellent. We are also
pleased to report that the Fund continued to outperform most of its
peers, as measured by the Lipper S&P 500 Average.
With surging equity markets and falling interest rates, 1995 was
truly a year for the record books. After raising interest rates for
more than a year, the Federal Reserve Board cut rates twice in 1995,
once in July and once in December, bringing the official short-term
rate down 50 basis points to 5.50% and the yield on 30-year
Treasuries from 7.78% to 5.94% as of December 31. This, along with
modest economic growth, stable to lower inflation, and reasonably
strong corporate earnings growth, contributed to positive investor
sentiment and favorable conditions for virtually all domestic
equities. The biotechnology and technology sectors led the pack for
the year, with trucking and steel bringing up the rear. Large
capitalization equities outperformed small cap stocks for all but the
third quarter of 1995, and overall, the S&P 500 had its best year
since 1958.
As the economy proceeds on a course that includes real albeit
sluggish growth of 2.5% or so, inflation staying low at around 2.5%,
corporate profits rising in the range of 5% to 7%, and another cut in
interest rates appearing likely to come early in the year, the equity
markets, in our opinion, should be facing a favorable background.
Still, we do not foresee a series of interest rate reductions, and it
is extremely unlikely that the extent of the strength in stocks in
1995 will be repeated in 1996. We intend to continue tracking the
Fund with the S&P 500 Index closely, thereby providing a broadly
diversified equity portfolio.
<PAGE> 36
EQUITY 500 INDEX FUND 3
------------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
===============================================================================
The following graph illustrates the Fund's return versus the S&P 500
Index from December 31, 1992 (commencement of operations) to December
31, 1995, assuming a $10,000 initial investment:
===============================================================================
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE [FIGURE 1]
EQUITY 500 INDEX FUND
AND THE S&P 500 INDEX
<TABLE>
<CAPTION>
Equity 500 S&P
Index Fund 500 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
9/30/95 14,445 14,473
12/31/95 15,323 15,344
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED DECEMBER 31, 1995
One Year Since 12/31/92*
<S> <C>
37.59% 53.23%
</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.
===============================================================================
OBJECTIVE Seeks to match the performance of the stock
market, 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 Royal Dutch Petroleum
AT&T Philip Morris
Exxon Procter & Gamble
Coca-Cola Johnson & Johnson
Merck & Co. Microsoft
===============================================================================
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
<PAGE> 37
EQUITY 500 INDEX FUND 4
------------------------------------------------------------------
===============================================================================
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY INDUSTRY
as of December 31, 1995
(percentages are based on market value)
[FIGURE 2]
<TABLE>
<S> <C>
Other* 32.00%
Telecommunications 9.87%
Oil Related 9.21%
Drugs 6.70%
Banks 5.82%
Electrical Equipment 4.17%
Utilities 4.16%
Retail 3.98%
Financial Services 3.79%
Beverages 3.61%
Electronics 3.59%
Foods 3.37%
Chemicals & Toxic Waste 3.27%
Hospital Supplies & Healthcare 3.25%
Insurance 3.21%
</TABLE>
* No one industry represents more than 3.00% of Portfolio holdings.
<PAGE> 38
EQUITY 500 INDEX FUND 5
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==========================================================================================================
December 31, 1995
- ----------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ----------------------------------------------------------------------------------------------------------
Investment in Equity 500 Index Portfolio, at Value $800,920,963
- ----------------------------------------------------------------------------------------------------------
Receivable for Shares of Beneficial Interest Sold 151,119
- ----------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 15,496
- ----------------------------------------------------------------------------------------------------------
Due from Bankers Trust 95,342
- ----------------------------------------------------------------------------------------------------------
Total Assets 801,182,920
- ----------------------------------------------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------------------------------------------
Payable for Shares of Beneficial Interest Redeemed 507,465
- ----------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 124,075
- ----------------------------------------------------------------------------------------------------------
Total Liabilities 631,540
- ----------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 57,325,199 Outstanding Shares of $0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest Authorized) $800,551,380
==========================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($800,551,380/57,325,199 Shares) $ 13.97
==========================================================================================================
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Paid-in Capital $656,312,245
- ----------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income 5,199
- ----------------------------------------------------------------------------------------------------------
Distributions in Excess of Realized Gains from Securities and Futures Transactions (3,177,433)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 147,411,369
- ----------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $800,551,380
==========================================================================================================
STATEMENT OF OPERATIONS
==========================================================================================================
For the year ended December 31, 1995
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ----------------------------------------------------------------------------------------------------------
Income Allocated from Equity 500 Index Portfolio, net $ 13,634,670
- ----------------------------------------------------------------------------------------------------------
EXPENSES
- ----------------------------------------------------------------------------------------------------------
Administration and Services $ 270,327
- ----------------------------------------------------------------------------------------------------------
Professional 8,582
- ----------------------------------------------------------------------------------------------------------
Shareholders Reports 29,682
- ----------------------------------------------------------------------------------------------------------
Registration 104,077
- ----------------------------------------------------------------------------------------------------------
Trustees 6,491
- ----------------------------------------------------------------------------------------------------------
Miscellaneous 2,617
- ----------------------------------------------------------------------------------------------------------
Total Expenses 421,776
- ----------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (421,776) --
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 13,634,670
- ----------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- ----------------------------------------------------------------------------------------------------------
Net Realized Loss from Securities Transactions (234,901)
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 3,426,598
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures Contracts 148,857,754
- ----------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 152,049,451
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $165,684,121
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 39
EQUITY 500 INDEX FUND 6
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
==========================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ----------------------------------------------------------------------------------------------------------
OPERATIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income $ 13,634,670 $ 7,950,315
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 3,191,697 (328,755)
- ----------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 148,857,754 (5,282,636)
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 165,684,121 2,338,924
- ----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------
Net Investment Income (13,707,456) (7,898,667)
- ----------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities and Futures Transactions (3,288,270) (3,401,029)
- ----------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (16,995,726) (11,299,696)
- ----------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 280,647,331 209,668,609
- ----------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 429,335,726 200,707,837
==========================================================================================================
NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Beginning of Year 371,215,654 170,507,817
- ----------------------------------------------------------------------------------------------------------
End of Year (including Undistributed Net Investment Income
of $5,199 and $77,985 for 1995 and 1994, respectively) $800,551,380 $371,215,654
==========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 40
EQUITY 500 INDEX FUND 7
------------------------------------------------------------------
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 presented for the Equity 500 Index Fund.
<TABLE>
<CAPTION>
=============================================================================================================================
For the year ended December 31, December 31, 1992
--------------------------------------- (Commencement
1995 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 0.30 0.28 0.25 --
Net Realized and Unrealized Gain (Loss) on
Securities and Futures Transactions 3.59 (0.13) 0.73 --
-------- -------- -------- ------
Total from Investment Operations 3.89 0.15 0.98 --
-------- -------- -------- ------
Distributions from
Net Investment Income (0.30) (0.28) (0.25) --
Net Realized Gain from
Securities and Futures Transactions (0.06) (0.11) (0.05) --
-------- -------- -------- ------
Total Distributions (0.36) (0.39) (0.30) --
-------- -------- -------- ------
Net Asset Value, End of Period $ 13.97 $ 10.44 $ 10.68 $10.00
======== ======== ======== ======
TOTAL INVESTMENT RETURN 37.59% 1.40% 9.84% --
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 2.52% 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 0.13% 0.13% 0.25% --
Net Assets, End of Period (000's omitted) $800,551 $371,216 $170,508 $9,335
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 41
EQUITY 500 INDEX PORTFOLIO 8
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=============================================================================
December 31, 1995
- -----------------------------------------------------------------------------
<S> <C>
ASSETS
- -----------------------------------------------------------------------------
Investments, at Value (Cost $882,615,151) $1,094,348,578
- -----------------------------------------------------------------------------
Cash 123,298
- -----------------------------------------------------------------------------
Dividends and Interest Receivable 1,956,933
- -----------------------------------------------------------------------------
Variation Margin Receivable 20,521
- -----------------------------------------------------------------------------
Prepaid Expenses and Other 6,237
- -----------------------------------------------------------------------------
Total Assets 1,096,455,567
- -----------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------
Due to Bankers Trust 88,584
- -----------------------------------------------------------------------------
Payable for Securities Purchased 15,605,707
- -----------------------------------------------------------------------------
Accrued Expenses and Other 25,250
- -----------------------------------------------------------------------------
Total Liabilities 15,719,541
- -----------------------------------------------------------------------------
NET ASSETS $1,080,736,026
=============================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------
Paid-in Capital $ 869,029,224
- -----------------------------------------------------------------------------
Net Unrealized Appreciation on Securities and Futures
Contracts 211,706,802
- -----------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,080,736,026
=============================================================================
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 42
EQUITY 500 INDEX PORTFOLIO 9
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
============================================================================================
For the year ended December 31, 1995
- --------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- --------------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $126,152) $18,799,153
- --------------------------------------------------------------------------------------------
Interest 1,396,877
- --------------------------------------------------------------------------------------------
Total Investment Income $ 20,196,030
- --------------------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------------------
Advisory 770,530
- --------------------------------------------------------------------------------------------
Administration and Services 385,265
- --------------------------------------------------------------------------------------------
Professional 26,713
- --------------------------------------------------------------------------------------------
Trustees 1,868
- --------------------------------------------------------------------------------------------
Miscellaneous 4,968
- --------------------------------------------------------------------------------------------
Total Expenses 1,189,344
- --------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (418,814) 770,530
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 19,425,500
- --------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FUTURES
- --------------------------------------------------------------------------------------------
Net Realized Loss From Securities Transactions (275,120)
- --------------------------------------------------------------------------------------------
Net Realized Gain from Futures Transactions 4,963,019
- --------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 212,730,076
- --------------------------------------------------------------------------------------------
Net Unrealized Depreciation on Futures Contracts (4,393)
- --------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES AND FUTURES 217,413,582
- --------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $236,839,082
============================================================================================
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 43
EQUITY 500 INDEX PORTFOLIO 10
-------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
- ---------------------------------------------------------------------------------------------------
Net Investment Income $ 19,425,500 $ 12,177,697
- ---------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Futures Transactions 4,687,899 (483,667)
- ---------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Futures Contracts 212,725,683 (4,936,075)
- ---------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 236,839,082 6,757,955
- ---------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 474,637,337 529,295,851
- ---------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (190,511,921) (128,087,609)
- ---------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 284,125,416 401,208,242
- ---------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 520,964,498 407,966,197
===================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------
Beginning of Year 559,771,528 151,805,331
- ---------------------------------------------------------------------------------------------------
End of Year $1,080,736,026 $559,771,528
===================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
===============================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the Equity 500 Index Portfolio.
<TABLE>
====================================================================================================
For the year ended December 31, December 31, 1992
------------------------------- (Commencement
1995 1994 1993 of Operations)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 2.52% 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 0.05% 0.06% 0.10% --
Portfolio Turnover Rate 6% 21% 31% --
Net Assets, End of Period
(000's omitted) $1,080,736 $559,772 $151,805 $9,435
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 44
EQUITY 500 INDEX PORTFOLIO 11
------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
COMMON STOCKS - 98.43%
- -------------------------------------------------------------------------------------
AEROSPACE - 2.13%
- -------------------------------------------------------------------------------------
81,042 Boeing $ 6,351,667
- -------------------------------------------------------------------------------------
11,222 General Dynamics 663,501
- -------------------------------------------------------------------------------------
47,610 Lockheed Martin 3,761,190
- -------------------------------------------------------------------------------------
32,272 Loral 1,141,622
- -------------------------------------------------------------------------------------
27,588 McDonnell Douglas 2,538,096
- -------------------------------------------------------------------------------------
8,479 Northrop Grumman 542,656
- -------------------------------------------------------------------------------------
54,914 Raytheon 2,594,686
- -------------------------------------------------------------------------------------
49,424 Rockwell International 2,613,294
- -------------------------------------------------------------------------------------
29,706 United Technologies 2,818,357
- -------------------------------------------------------------------------------------
23,025,069
=====================================================================================
AIRLINES - 0.30%
- -------------------------------------------------------------------------------------
19,202 AMR (a) 1,425,749
- -------------------------------------------------------------------------------------
13,349 Delta Air Lines 986,157
- -------------------------------------------------------------------------------------
31,900 Southwest Airlines 741,675
- -------------------------------------------------------------------------------------
9,015 USAir Group (a) 119,449
- -------------------------------------------------------------------------------------
3,273,030
=====================================================================================
APPAREL, TEXTILES - 0.61%
- -------------------------------------------------------------------------------------
1,493 Brown Group 21,275
- -------------------------------------------------------------------------------------
18,003 Charming Shoppes 51,759
- -------------------------------------------------------------------------------------
56,714 Coming 1,814,848
- -------------------------------------------------------------------------------------
10,300 Fruit of the Loom (a) 251,063
- -------------------------------------------------------------------------------------
17,603 Liz Clairborne 488,483
- -------------------------------------------------------------------------------------
20,919 Melville 643,259
- -------------------------------------------------------------------------------------
22,724 Nike, CI. B 1,582,159
- -------------------------------------------------------------------------------------
18,229 Reebok International Ltd. 514,969
- -------------------------------------------------------------------------------------
4,611 Russell 127,955
- -------------------------------------------------------------------------------------
8,204 Spring Industries, Cl. A 339,441
- -------------------------------------------------------------------------------------
6,749 Stride Rite 50,617
- -------------------------------------------------------------------------------------
14,515 V F 765,666
- -------------------------------------------------------------------------------------
6,651,494
=====================================================================================
AUTO RELATED - 2.45%
- -------------------------------------------------------------------------------------
90,751 Chrysler 5,025,337
- -------------------------------------------------------------------------------------
13,734 Cummins Engine 508,158
- -------------------------------------------------------------------------------------
16,874 Dana 493,565
- -------------------------------------------------------------------------------------
20,082 Eaton 1,076,897
- -------------------------------------------------------------------------------------
9,844 Echlin 359,306
- -------------------------------------------------------------------------------------
253,064 Ford Motor 7,338,856
- -------------------------------------------------------------------------------------
176,084 General Motors 9,310,441
- -------------------------------------------------------------------------------------
23,284 Genuine Parts 954,644
- -------------------------------------------------------------------------------------
12,690 PACCAR 534,566
- -------------------------------------------------------------------------------------
12,343 Parker-Hannifin 422,748
- -------------------------------------------------------------------------------------
11,448 Timken 437,886
- -------------------------------------------------------------------------------------
26,462,404
=====================================================================================
BANKS - 5.89%
- -------------------------------------------------------------------------------------
24,034 Ahmanson (H.F.) & Company 636,901
- -------------------------------------------------------------------------------------
94,559 Banc One 3,569,602
- -------------------------------------------------------------------------------------
26,567 Bank of Boston 1,228,724
- -------------------------------------------------------------------------------------
49,900 Bank of New York 2,432,625
- -------------------------------------------------------------------------------------
88,536 BankAmerica 5,732,706
- -------------------------------------------------------------------------------------
19,397 Barnett Banks 1,144,423
- -------------------------------------------------------------------------------------
30,754 Boatmen's Bancshares 1,257,070
- -------------------------------------------------------------------------------------
44,294 Chase Manhattan 2,685,324
- -------------------------------------------------------------------------------------
60,855 Chemical Banking 3,575,231
- -------------------------------------------------------------------------------------
101,166 Citicorp 6,803,414
- -------------------------------------------------------------------------------------
25,400 Comerica 1,019,175
- -------------------------------------------------------------------------------------
27,064 Corestates Financial 1,025,049
- -------------------------------------------------------------------------------------
76,036 First Chicago NBD 3,003,422
- -------------------------------------------------------------------------------------
13,354 First Fidelity Bancorp 1,006,558
- -------------------------------------------------------------------------------------
18,772 First Interstate Bancorp 2,562,378
- -------------------------------------------------------------------------------------
30,923 First Union 1,720,092
- -------------------------------------------------------------------------------------
10,817 Golden West Financial 597,639
- -------------------------------------------------------------------------------------
31,984 Great Western Financial 815,592
- -------------------------------------------------------------------------------------
58,200 KeyCorp 2,109,750
- -------------------------------------------------------------------------------------
35,262 Mellon Bank 1,895,332
- -------------------------------------------------------------------------------------
45,660 Morgan (J. P.) 3,664,215
- -------------------------------------------------------------------------------------
31,200 National City 1,033,500
- -------------------------------------------------------------------------------------
65,326 NationsBank 4,548,323
- -------------------------------------------------------------------------------------
86,908 Norwest 2,867,964
- -------------------------------------------------------------------------------------
25,080 Suntrust Banks 1,717,980
- -------------------------------------------------------------------------------------
21,388 U.S. Bancorp 719,171
- -------------------------------------------------------------------------------------
37,500 Wachovia 1,715,625
- -------------------------------------------------------------------------------------
11,922 Wells Fargo 2,575,152
- -------------------------------------------------------------------------------------
63,662,937
=====================================================================================
BEVERAGES - 3.66%
- -------------------------------------------------------------------------------------
60,640 Anheuser-Busch 4,055,300
- -------------------------------------------------------------------------------------
8,219 Brown Forman, Cl. B 299,993
- -------------------------------------------------------------------------------------
292,611 Coca-Cola 21,726,367
- -------------------------------------------------------------------------------------
6,168 Coors (Adolph), Cl. B 136,467
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 45
EQUITY 500 INDEX PORTFOLIO 12
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
184,847 PepsiCo $10,328,326
- -------------------------------------------------------------------------------------
86,037 Seagram, ADR 2,979,031
- -------------------------------------------------------------------------------------
39,525,484
=====================================================================================
BUILDING & CONSTRUCTION - 0.76%
- -------------------------------------------------------------------------------------
8,483 Armstrong World Industries 525,946
- -------------------------------------------------------------------------------------
5,990 Centex 208,152
- -------------------------------------------------------------------------------------
3,311 Crane 122,093
- -------------------------------------------------------------------------------------
6,906 Fleetwood Enterprises 177,829
- -------------------------------------------------------------------------------------
112,951 Home Depot 5,407,529
- -------------------------------------------------------------------------------------
32,311 Masco 1,013,758
- -------------------------------------------------------------------------------------
8,650 Owens-Corning Fiberglas (a) 388,169
- -------------------------------------------------------------------------------------
6,565 Stanley Works 338,098
- -------------------------------------------------------------------------------------
8,181,574
=====================================================================================
BUILDING, FOREST PRODUCTS - 0.59%
- -------------------------------------------------------------------------------------
8,203 Boise Cascade 284,029
- -------------------------------------------------------------------------------------
25,028 Champion International 1,051,176
- -------------------------------------------------------------------------------------
23,001 Georgia-Pacific 1,578,444
- -------------------------------------------------------------------------------------
8,977 Johnson Controls 617,169
- -------------------------------------------------------------------------------------
2,045 Kaufman & Broad Home 30,419
- -------------------------------------------------------------------------------------
19,858 Louisiana Pacific 481,556
- -------------------------------------------------------------------------------------
4,901 Potlatch 196,040
- -------------------------------------------------------------------------------------
49,294 Weyerhaeuser 2,131,966
- -------------------------------------------------------------------------------------
6,370,799
=====================================================================================
CHEMICALS & TOXIC WASTE - 3.31%
- -------------------------------------------------------------------------------------
24,304 Air Products & Chemical 1,282,036
- -------------------------------------------------------------------------------------
63,540 Amgen (a) 3,772,687
- -------------------------------------------------------------------------------------
62,276 Dow Chemical 4,382,673
- -------------------------------------------------------------------------------------
130,396 Du Pont (E.I.) de Nemours 9,111,420
- -------------------------------------------------------------------------------------
20,581 Eastman Chemical 1,288,885
- -------------------------------------------------------------------------------------
6,050 FMC (a) 409,131
- -------------------------------------------------------------------------------------
24,349 Grace (W. R.) 1,439,635
- -------------------------------------------------------------------------------------
12,296 Great Lakes Chemical 885,312
- -------------------------------------------------------------------------------------
26,314 Hercules 1,483,452
- -------------------------------------------------------------------------------------
18,506 Mallinckrodt Group 600,260
- -------------------------------------------------------------------------------------
27,844 Monsanto 3,410,890
- -------------------------------------------------------------------------------------
32,006 Morton International 1,148,215
- -------------------------------------------------------------------------------------
12,325 Nalco Chemical 371,291
- -------------------------------------------------------------------------------------
49,442 PPG Industries 2,261,971
- -------------------------------------------------------------------------------------
29,315 Praxair 985,717
- -------------------------------------------------------------------------------------
8,438 Raychem 479,911
- -------------------------------------------------------------------------------------
12,159 Rohm & Haas 782,736
- -------------------------------------------------------------------------------------
7,500 Sigma-Aldrich 371,250
- -------------------------------------------------------------------------------------
35,317 Union Carbide 1,324,388
- -------------------------------------------------------------------------------------
35,791,860
=====================================================================================
COMPUTER SERVICES - 0.84%
- -------------------------------------------------------------------------------------
40,100 3Com (a) 1,869,662
- -------------------------------------------------------------------------------------
34,856 Automatic Data Processing 2,588,058
- -------------------------------------------------------------------------------------
18,000 Cabletron Systems (a) 1,458,000
- -------------------------------------------------------------------------------------
12,602 Ceridian (a) 519,832
- -------------------------------------------------------------------------------------
45,600 CUC International (a) 1,556,100
- -------------------------------------------------------------------------------------
41,300 Silicon Graphics (a) 1,135,750
- -------------------------------------------------------------------------------------
9,127,402
=====================================================================================
COMPUTER SOFTWARE - 2.29%
- -------------------------------------------------------------------------------------
64,900 Cisco Systems (a) 4,843,162
- -------------------------------------------------------------------------------------
58,567 Computer Associates International 3,330,998
- -------------------------------------------------------------------------------------
138,700 Microsoft (a) 12,170,925
- -------------------------------------------------------------------------------------
103,436 Oracle Systems (a) 4,383,101
- -------------------------------------------------------------------------------------
24,728,186
=====================================================================================
CONTAINERS - 0.22%
- -------------------------------------------------------------------------------------
11,015 Avery Dennison 552,127
- -------------------------------------------------------------------------------------
3,054 Ball 83,985
- -------------------------------------------------------------------------------------
23,850 Crown Cork & Seal (a) 995,738
- -------------------------------------------------------------------------------------
21,649 Stone Container 311,204
- -------------------------------------------------------------------------------------
11,022 Temple-Inland 486,346
- -------------------------------------------------------------------------------------
2,429,400
=====================================================================================
COSMETICS & TOILETRIES - 0.73%
- -------------------------------------------------------------------------------------
1,599 Alberto-Culver, CI. B 54,965
- -------------------------------------------------------------------------------------
17,314 Avon Products 1,305,043
- -------------------------------------------------------------------------------------
105,008 Gillette 5,473,542
- -------------------------------------------------------------------------------------
20,987 International Flavors & Fragrance 1,007,376
- -------------------------------------------------------------------------------------
7,840,926
=====================================================================================
DIVERSIFIED - 1.06%
- -------------------------------------------------------------------------------------
25,400 Loews 1,990,725
- -------------------------------------------------------------------------------------
99,078 Minnesota Mining & Manufacturing 6,563,917
- -------------------------------------------------------------------------------------
4,781 NAACO Industries, CI. A 265,345
- -------------------------------------------------------------------------------------
19,064 Pall 512,345
- -------------------------------------------------------------------------------------
13,420 Supervalu 422,730
- -------------------------------------------------------------------------------------
8,857 Teledyne 226,961
- -------------------------------------------------------------------------------------
22,003 Textron 1,485,203
- -------------------------------------------------------------------------------------
11,467,226
=====================================================================================
DRUGS - 6.79%
- -------------------------------------------------------------------------------------
186,122 Abbott Laboratories 7,770,594
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 46
EQUITY 500 INDEX PORTFOLIO 13
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
73,683 American Home Products $ 7,147,251
- -------------------------------------------------------------------------------------
118,989 Bristol-Myers Squibb 10,218,180
- -------------------------------------------------------------------------------------
129,970 Lilly (Eli) 7,310,813
- -------------------------------------------------------------------------------------
287,497 Merck & Co. 18,902,928
- -------------------------------------------------------------------------------------
149,404 Pfizer 9,412,452
- -------------------------------------------------------------------------------------
119,632 Pharmacia & Upjohn 4,635,740
- -------------------------------------------------------------------------------------
87,258 Schering-Plough 4,777,375
- -------------------------------------------------------------------------------------
32,543 Warner-Lambert 3,160,739
- -------------------------------------------------------------------------------------
73,336,072
=====================================================================================
ELECTRICAL EQUIPMENT - 4.22%
- -------------------------------------------------------------------------------------
389,222 General Electric 28,023,984
- -------------------------------------------------------------------------------------
8,272 General Signal 267,806
- -------------------------------------------------------------------------------------
10,765 Grainger (W.W.) 713,181
- -------------------------------------------------------------------------------------
120,070 Hewlett-Packard 10,055,863
- -------------------------------------------------------------------------------------
29,123 ITT (a) 1,543,519
- -------------------------------------------------------------------------------------
30,523 ITT Hartford Group (a) 1,476,550
- -------------------------------------------------------------------------------------
27,823 ITT Industries 667,752
- -------------------------------------------------------------------------------------
33,832 Tyco International 1,205,265
- -------------------------------------------------------------------------------------
102,910 Westinghouse Electric 1,698,015
- -------------------------------------------------------------------------------------
45,651,935
=====================================================================================
ELECTRONICS - 3.64%
- -------------------------------------------------------------------------------------
29,841 Advanced Micro Devices 492,377
- -------------------------------------------------------------------------------------
53,373 AMP 2,048,189
- -------------------------------------------------------------------------------------
43,900 Applied Materials (a) 1,728,562
- -------------------------------------------------------------------------------------
26,690 DSC Communications (a) 1,094,819
- -------------------------------------------------------------------------------------
53,400 Emerson Electric 4,365,450
- -------------------------------------------------------------------------------------
7,771 Harris 424,491
- -------------------------------------------------------------------------------------
192,514 Intel 10,925,169
- -------------------------------------------------------------------------------------
33,100 LSI Logic (a) 1,084,025
- -------------------------------------------------------------------------------------
50,500 Micron Technology 2,001,062
- -------------------------------------------------------------------------------------
139,042 Motorola 7,925,394
- -------------------------------------------------------------------------------------
33,226 National Semiconductor (a) 739,279
- -------------------------------------------------------------------------------------
61,501 Northern Telecom 2,644,543
- -------------------------------------------------------------------------------------
6,125 Perkin-Elmer 231,219
- -------------------------------------------------------------------------------------
11,938 Scientific-Atlanta 179,070
- -------------------------------------------------------------------------------------
3,738 Tektronix 183,629
- -------------------------------------------------------------------------------------
45,828 Texas Instruments 2,371,599
- -------------------------------------------------------------------------------------
3,500 Thomas & Betts 258,125
- -------------------------------------------------------------------------------------
6,027 Trinova 172,523
- -------------------------------------------------------------------------------------
8,459 Western Atlas (a) 427,180
- -------------------------------------------------------------------------------------
39,296,705
=====================================================================================
ENVIRONMENTAL CONTROL - 0.52%
- -------------------------------------------------------------------------------------
53,035 Browning-Ferris Industries 1,564,532
- -------------------------------------------------------------------------------------
41,100 Laidlaw, CI. B 421,275
- -------------------------------------------------------------------------------------
7,326 Safety-Kleen 114,469
- -------------------------------------------------------------------------------------
116,658 WMX Technologies 3,485,158
- -------------------------------------------------------------------------------------
5,585,434
=====================================================================================
FINANCIAL SERVICES - 3.84%
- -------------------------------------------------------------------------------------
114,966 American Express 4,756,718
- -------------------------------------------------------------------------------------
9,652 Beneficial 450,024
- -------------------------------------------------------------------------------------
41,374 Dean Witter, Discover 1,944,578
- -------------------------------------------------------------------------------------
43,256 Federal Home Loan Mortgage 3,611,876
- -------------------------------------------------------------------------------------
64,141 Federal National Mortgage 7,961,502
- -------------------------------------------------------------------------------------
31,900 First Bank System 1,583,037
- -------------------------------------------------------------------------------------
53,400 First Data 3,571,125
- -------------------------------------------------------------------------------------
63,544 Fleet Financial Group 2,589,447
- -------------------------------------------------------------------------------------
24,558 Household International 1,451,992
- -------------------------------------------------------------------------------------
36,030 MBNA 1,328,606
- -------------------------------------------------------------------------------------
42,838 Merrill Lynch 2,184,738
- -------------------------------------------------------------------------------------
19,400 Morgan Stanley Group 1,564,125
- -------------------------------------------------------------------------------------
78,033 PNC Banc Corp 2,516,564
- -------------------------------------------------------------------------------------
9,300 Republic New York 577,763
- -------------------------------------------------------------------------------------
19,033 Salomon 675,672
- -------------------------------------------------------------------------------------
75,073 Travelers Group 4,720,215
- -------------------------------------------------------------------------------------
41,487,982
=====================================================================================
FOOD SERVICE, LODGING - 0.94%
- -------------------------------------------------------------------------------------
29,419 Darden Restaurants 349,351
- -------------------------------------------------------------------------------------
11,912 Hilton Hotels 732,588
- -------------------------------------------------------------------------------------
6,851 Luby's Cafeterias 152,435
- -------------------------------------------------------------------------------------
26,590 Marriott International 1,017,068
- -------------------------------------------------------------------------------------
163,914 McDonald's 7,396,619
- -------------------------------------------------------------------------------------
21,182 Ryan's Family Steak House (a) 148,274
- -------------------------------------------------------------------------------------
4,809 Shoney's (a) 49,292
- -------------------------------------------------------------------------------------
16,162 Wendy's International 343,442
- -------------------------------------------------------------------------------------
10,189,069
=====================================================================================
FOODS - 3.42%
- -------------------------------------------------------------------------------------
129,055 Archer-Daniels-Midland 2,322,990
- -------------------------------------------------------------------------------------
56,169 Campbell Soup 3,370,140
- -------------------------------------------------------------------------------------
54,716 ConAgra 2,257,035
- -------------------------------------------------------------------------------------
33,430 CPC International 2,294,134
- -------------------------------------------------------------------------------------
38,719 General Mills 2,236,022
- -------------------------------------------------------------------------------------
89,075 Heinz (H.J.) 2,950,609
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 47
EQUITY 500 INDEX PORTFOLIO 14
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
14,197 Hershey Foods $ 922,805
- -------------------------------------------------------------------------------------
49,707 Kellogg 3,839,866
- -------------------------------------------------------------------------------------
21,800 Pioneer Hi-Bred International 1,212,625
- -------------------------------------------------------------------------------------
17,396 Premark International 880,672
- -------------------------------------------------------------------------------------
34,384 Quaker Oats 1,186,248
- -------------------------------------------------------------------------------------
23,005 Ralston Purina Group 1,434,937
- -------------------------------------------------------------------------------------
115,687 Sara Lee 3,687,523
- -------------------------------------------------------------------------------------
40,410 Sysco 1,313,325
- -------------------------------------------------------------------------------------
37,917 Unilever N.V., ADR 5,336,818
- -------------------------------------------------------------------------------------
18,127 Whitman 421,453
- -------------------------------------------------------------------------------------
24,192 Wrigley (Wm) Jr. 1,270,080
- -------------------------------------------------------------------------------------
36,937,282
=====================================================================================
FOREST PRODUCTS & PAPER - 1.11%
- -------------------------------------------------------------------------------------
5,731 Bemis 146,857
- -------------------------------------------------------------------------------------
13,133 Federal Paper Board 681,275
- -------------------------------------------------------------------------------------
61,928 International Paper 2,345,523
- -------------------------------------------------------------------------------------
13,835 James River 333,769
- -------------------------------------------------------------------------------------
65,965 Kimberly-Clark 5,458,640
- -------------------------------------------------------------------------------------
13,751 Mead 718,490
- -------------------------------------------------------------------------------------
17,703 Union Camp 843,106
- -------------------------------------------------------------------------------------
23,560 Westvaco 653,790
- -------------------------------------------------------------------------------------
13,700 Willamette Industries 770,625
- -------------------------------------------------------------------------------------
11,952,075
=====================================================================================
HOSPITAL SUPPLIES & HEALTHCARE - 3.30%
- -------------------------------------------------------------------------------------
9,501 Allergan 308,783
- -------------------------------------------------------------------------------------
14,634 Alza, CI. A (a) 362,192
- -------------------------------------------------------------------------------------
9,477 Bard (C.R.) 305,633
- -------------------------------------------------------------------------------------
11,023 Bausch & Lomb 436,786
- -------------------------------------------------------------------------------------
65,963 Baxter International 2,762,200
- -------------------------------------------------------------------------------------
14866 Becton, Dickinson 1,114,950
- -------------------------------------------------------------------------------------
22,582 Beverly Enterprises (a) 239,934
- -------------------------------------------------------------------------------------
17,050 Blomet (a) 304,769
- -------------------------------------------------------------------------------------
34,900 Boston Scientific (a) 1,710,100
- -------------------------------------------------------------------------------------
105,515 Columbia/HCA Healthcare 5,354,886
- -------------------------------------------------------------------------------------
6,417 Community Psychiatric Centers 78,608
- -------------------------------------------------------------------------------------
41,600 Humana (a) 1,138,800
- -------------------------------------------------------------------------------------
151,548 Johnson & Johnson 12,976,297
- -------------------------------------------------------------------------------------
9,160 Manor Care 320,600
- -------------------------------------------------------------------------------------
55,852 Medtronic 3,120,731
- -------------------------------------------------------------------------------------
7,374 Shared Medical Systems 400,961
- -------------------------------------------------------------------------------------
18,919 St. Jude Medical (a) 813,517
- -------------------------------------------------------------------------------------
42,510 Tenet Healthcare (a) 882,083
- -------------------------------------------------------------------------------------
42,200 United Healthcare 2,764,100
- -------------------------------------------------------------------------------------
10,248 U.S. Surgical 219,051
- -------------------------------------------------------------------------------------
35,614,981
=====================================================================================
HOUSEHOLD FURNISHINGS - 0.18%
- -------------------------------------------------------------------------------------
17,512 Maytag 354,618
- -------------------------------------------------------------------------------------
28,958 Newell 749,288
- -------------------------------------------------------------------------------------
16,439 Whirlpool 875,377
- -------------------------------------------------------------------------------------
1,979,283
=====================================================================================
HOUSEHOLD PRODUCTS - 0.08%
- -------------------------------------------------------------------------------------
35,502 Rubbermaid 905,301
=====================================================================================
INSURANCE - 3.25%
- -------------------------------------------------------------------------------------
28,013 Aetna Life & Casualty 1,939,900
- -------------------------------------------------------------------------------------
7,509 Alexander & Alexander Services 142,671
- -------------------------------------------------------------------------------------
107,250 Allstate 4,410,656
- -------------------------------------------------------------------------------------
45,554 American General 1,588,696
- -------------------------------------------------------------------------------------
111,167 American International Group 10,282,947
- -------------------------------------------------------------------------------------
21,336 Chubb 2,064,258
- -------------------------------------------------------------------------------------
18,633 CIGNA 1,923,857
- -------------------------------------------------------------------------------------
19,678 General Re 3,050,090
- -------------------------------------------------------------------------------------
15,577 Jefferson-Pilot 724,354
- -------------------------------------------------------------------------------------
22,110 Lincoln National 1,188,413
- -------------------------------------------------------------------------------------
14,262 Marsh & McLennan 1,265,753
- -------------------------------------------------------------------------------------
19,298 Providian 786,394
- -------------------------------------------------------------------------------------
34,202 SAFECO 1,179,969
- -------------------------------------------------------------------------------------
16,530 St. Paul 919,481
- -------------------------------------------------------------------------------------
12,134 Torchmark 549,064
- -------------------------------------------------------------------------------------
13,500 UNUM 742,500
- -------------------------------------------------------------------------------------
13,917 USF & G 234,849
- -------------------------------------------------------------------------------------
13,030 USLIFE 389,271
- -------------------------------------------------------------------------------------
38,000 U.S. HealthCare 1,767,000
- -------------------------------------------------------------------------------------
35,150,123
=====================================================================================
LEISURE RELATED - 1.11%
- -------------------------------------------------------------------------------------
20,114 American Greetings 555,649
- -------------------------------------------------------------------------------------
4,093 Bally Entertainment (a) 57,302
- -------------------------------------------------------------------------------------
21,442 Brunswick 514,608
- -------------------------------------------------------------------------------------
123,173 Disney (Walt) 7,267,207
- -------------------------------------------------------------------------------------
15,839 Handleman 91,074
- -------------------------------------------------------------------------------------
13,239 Harcourt General 554,383
- -------------------------------------------------------------------------------------
25,815 Harrah's Entertainment (a) 626,014
- -------------------------------------------------------------------------------------
17,825 Hasbro 552,575
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 48
EQUITY 500 INDEX PORTFOLIO 15
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
1,239 Jostens $ 30,046
- -------------------------------------------------------------------------------------
55,052 Mattel 1,692,849
- -------------------------------------------------------------------------------------
3,618 Outboard Marine 73,717
- -------------------------------------------------------------------------------------
12,015,424
=====================================================================================
MACHINERY - 1.63%
- -------------------------------------------------------------------------------------
67,906 AlliedSignal 3,225,535
- -------------------------------------------------------------------------------------
16,271 Black & Decker 573,553
- -------------------------------------------------------------------------------------
11,182 Briggs & Stratton 485,019
- -------------------------------------------------------------------------------------
48,282 Caterpillar 2,836,568
- -------------------------------------------------------------------------------------
3,647 Cincinnati Milacron 95,734
- -------------------------------------------------------------------------------------
23,148 Cooper Industries 850,689
- -------------------------------------------------------------------------------------
64,323 Deere 2,267,386
- -------------------------------------------------------------------------------------
22,404 Dover 826,147
- -------------------------------------------------------------------------------------
46,882 Dresser Industries 1,142,749
- -------------------------------------------------------------------------------------
20,230 Echo Bay Mines Ltd. 209,886
- -------------------------------------------------------------------------------------
16,847 Giddings & Lewis 277,975
- -------------------------------------------------------------------------------------
5,522 Harnischfeger Industries 183,606
- -------------------------------------------------------------------------------------
25,596 Illinois Tool Works 1,510,164
- -------------------------------------------------------------------------------------
23,431 Ingersoll-Rand 823,014
- -------------------------------------------------------------------------------------
6,992 Millipore 287,546
- -------------------------------------------------------------------------------------
11,958 Navistar International (a) 125,559
- -------------------------------------------------------------------------------------
7,196 Snap-On 325,619
- -------------------------------------------------------------------------------------
17,586 TRW 1,362,915
- -------------------------------------------------------------------------------------
7,262 Varity (a) 269,602
- -------------------------------------------------------------------------------------
17,679,266
=====================================================================================
METALS - 1.58%
- -------------------------------------------------------------------------------------
52,336 Alcan Aluminium 1,628,958
- -------------------------------------------------------------------------------------
43,300 Aluminum Company of America 2,289,488
- -------------------------------------------------------------------------------------
15,835 Armco (a) 93,031
- -------------------------------------------------------------------------------------
8,049 ASARCO 257,568
- -------------------------------------------------------------------------------------
86,100 Barrick Gold 2,270,887
- -------------------------------------------------------------------------------------
19,749 Bethlehem Steel (a) 276,486
- -------------------------------------------------------------------------------------
20,994 Cyprus Amax Minerals 548,468
- -------------------------------------------------------------------------------------
24,108 Engelhard 524,349
- -------------------------------------------------------------------------------------
34,600 Freeport-McMoran Copper & Gold 973,125
- -------------------------------------------------------------------------------------
24,843 Homestake Mining 388,172
- -------------------------------------------------------------------------------------
26,166 Inco Ltd. 870,019
- -------------------------------------------------------------------------------------
6,103 Inland Steel Industries 153,338
- -------------------------------------------------------------------------------------
22,334 Newmont Mining 1,010,613
- -------------------------------------------------------------------------------------
22,194 Nucor 1,267,832
- -------------------------------------------------------------------------------------
5,831 Ogden 124,638
- -------------------------------------------------------------------------------------
17,808 Phelps Dodge 1,108,548
- -------------------------------------------------------------------------------------
59,804 Placer Dome 1,442,772
- -------------------------------------------------------------------------------------
12,749 Reynolds Metals 721,912
- -------------------------------------------------------------------------------------
21,408 Santa Fe Pacific Gold 259,572
- -------------------------------------------------------------------------------------
18,977 USX-U.S. Steel Group 583,543
- -------------------------------------------------------------------------------------
13,179 Worthington Industries 274,288
- -------------------------------------------------------------------------------------
17,067,607
=====================================================================================
OFFICE EQUIPMENT & COMPUTERS - 2.94%
- -------------------------------------------------------------------------------------
23,262 Alco Standard 1,061,329
- -------------------------------------------------------------------------------------
37,057 Amdahl (a) 314,984
- -------------------------------------------------------------------------------------
31,742 Apple Computer 1,011,776
- -------------------------------------------------------------------------------------
14,114 Autodesk 483,404
- -------------------------------------------------------------------------------------
63,913 Compaq Computer (a) 3,067,824
- -------------------------------------------------------------------------------------
9,286 Computer Sciences (a) 652,341
- -------------------------------------------------------------------------------------
5,068 Cray Research (a) 125,433
- -------------------------------------------------------------------------------------
6,045 Data General (a) 83,119
- -------------------------------------------------------------------------------------
36,632 Digital Equipment (a) 2,349,027
- -------------------------------------------------------------------------------------
25,019 Honeywell 1,216,549
- -------------------------------------------------------------------------------------
9,046 Intergraph (a) 142,475
- -------------------------------------------------------------------------------------
131,441 International Business Machines 12,059,712
- -------------------------------------------------------------------------------------
13,879 Moore 258,496
- -------------------------------------------------------------------------------------
93,292 Novell (a) 1,329,411
- -------------------------------------------------------------------------------------
32,898 Pitney Bowes 1,546,206
- -------------------------------------------------------------------------------------
46,328 Sun Microsystems (a) 2,113,715
- -------------------------------------------------------------------------------------
21,460 Tandem Computers (a) 228,013
- -------------------------------------------------------------------------------------
30,099 Unisys (a) 169,307
- -------------------------------------------------------------------------------------
25,745 Xerox 3,527,065
- -------------------------------------------------------------------------------------
31,740,186
=====================================================================================
OIL RELATED - 9.33%
- -------------------------------------------------------------------------------------
21,993 Amerada Hess 1,165,629
- -------------------------------------------------------------------------------------
116,802 Amoco 8,395,144
- -------------------------------------------------------------------------------------
11,687 Ashland 410,506
- -------------------------------------------------------------------------------------
38,225 Atlantic Richfield 4,233,419
- -------------------------------------------------------------------------------------
37,144 Baker Hughes 905,385
- -------------------------------------------------------------------------------------
32,000 Burlington Resources 1,256,000
- -------------------------------------------------------------------------------------
153,466 Chevron 8,056,965
- -------------------------------------------------------------------------------------
19,466 Coastal 725,108
- -------------------------------------------------------------------------------------
289,557 Exxon 23,200,755
- -------------------------------------------------------------------------------------
19,081 Fluor 1,259,346
- -------------------------------------------------------------------------------------
4,738 Foster Wheeler 201,365
- -------------------------------------------------------------------------------------
28,890 Halliburton 1,462,556
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 49
EQUITY 500 INDEX PORTFOLIO 16
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
2,808 Helmerich & Payne $ 83,538
- -------------------------------------------------------------------------------------
9,532 Kerr-McGee 605,282
- -------------------------------------------------------------------------------------
8,062 Louisiana Land & Exploration 345,658
- -------------------------------------------------------------------------------------
9,187 McDermott International 202,114
- -------------------------------------------------------------------------------------
92,771 Mobil 10,390,352
- -------------------------------------------------------------------------------------
16,728 Noram Energy 148,461
- -------------------------------------------------------------------------------------
78,914 Occidental Petroleum 1,686,787
- -------------------------------------------------------------------------------------
16,579 Oryx Energy (a) 221,744
- -------------------------------------------------------------------------------------
7,654 Pennzoil 323,381
- -------------------------------------------------------------------------------------
63,906 Phillips Petroleum 2,180,792
- -------------------------------------------------------------------------------------
16,500 Rowan (a) 162,938
- -------------------------------------------------------------------------------------
125,201 Royal Dutch Petroleum 17,668,991
- -------------------------------------------------------------------------------------
8,269 Santa Fe Energy Resources (a) 79,589
- -------------------------------------------------------------------------------------
57,681 Schlumberger 3,994,409
- -------------------------------------------------------------------------------------
18,745 Sun 513,144
- -------------------------------------------------------------------------------------
44,234 Tenneco 2,195,112
- -------------------------------------------------------------------------------------
62,661 Texaco 4,918,889
- -------------------------------------------------------------------------------------
61,137 Unocal 1,780,615
- -------------------------------------------------------------------------------------
56,064 USX-Marathon Group 1,093,248
- -------------------------------------------------------------------------------------
22,012 Williams 965,777
- -------------------------------------------------------------------------------------
100,832,999
=====================================================================================
PHOTOGRAPHY & OPTICAL - 0.54%
- -------------------------------------------------------------------------------------
81,026 Eastman Kodak 5,428,742
- -------------------------------------------------------------------------------------
9,282 Polaroid 439,735
- -------------------------------------------------------------------------------------
5,868,477
=====================================================================================
PRINTING & PUBLISHING - 1.41%
- -------------------------------------------------------------------------------------
13,991 Deluxe 405,739
- -------------------------------------------------------------------------------------
17,572 Dow Jones 700,684
- -------------------------------------------------------------------------------------
41,179 Dun & Bradstreet 2,666,340
- -------------------------------------------------------------------------------------
34,296 Gannett 2,104,917
- -------------------------------------------------------------------------------------
3,804 Harland (John H.) 79,409
- -------------------------------------------------------------------------------------
13,863 Knight-Ridder 866,438
- -------------------------------------------------------------------------------------
13,115 McGraw-Hill 1,142,645
- -------------------------------------------------------------------------------------
4,736 Meredith 198,320
- -------------------------------------------------------------------------------------
17,684 New York Times, Cl. A 523,888
- -------------------------------------------------------------------------------------
33,252 RR Donnelley & Sons 1,309,297
- -------------------------------------------------------------------------------------
92,715 Time Warner 3,511,581
- -------------------------------------------------------------------------------------
28,829 Times Mirror, Cl. A 976,582
- -------------------------------------------------------------------------------------
12,898 Tribune 788,390
- -------------------------------------------------------------------------------------
15,274,230
=====================================================================================
PROFESSIONAL SERVICES - 0.47%
- -------------------------------------------------------------------------------------
14,736 Dial 436,554
- -------------------------------------------------------------------------------------
7,800 Ecolab 234,000
- -------------------------------------------------------------------------------------
8,825 EG&G 214,007
- -------------------------------------------------------------------------------------
26,835 H & R Block 1,086,818
- -------------------------------------------------------------------------------------
14,707 Interpublic Group 637,916
- -------------------------------------------------------------------------------------
7,526 National Service Industries 243,654
- -------------------------------------------------------------------------------------
26,596 Service Corp International 1,170,224
- -------------------------------------------------------------------------------------
13,743 Transamerica 1,001,521
- -------------------------------------------------------------------------------------
5,024,694
=====================================================================================
RAILROADS - 1.08%
- -------------------------------------------------------------------------------------
34,262 Burlington Northern 2,672,436
- -------------------------------------------------------------------------------------
20,672 Conrail 1,447,040
- -------------------------------------------------------------------------------------
44,432 CSX 2,027,210
- -------------------------------------------------------------------------------------
28,051 Norfolk Southern 2,226,548
- -------------------------------------------------------------------------------------
49,347 Union Pacific 3,256,902
- -------------------------------------------------------------------------------------
11,630,136
=====================================================================================
REAL ESTATE - 0.04%
- -------------------------------------------------------------------------------------
11,666 Pulte 392,269
=====================================================================================
RETAIL - 4.03%
- -------------------------------------------------------------------------------------
61,902 Albertson's 2,035,028
- -------------------------------------------------------------------------------------
40,118 American Stores 1,073,156
- -------------------------------------------------------------------------------------
23,646 Circuit City Stores 653,221
- -------------------------------------------------------------------------------------
16,936 Dayton Hudson 1,270,200
- -------------------------------------------------------------------------------------
26,597 Dillard Department Stores, Cl. A 758,014
- -------------------------------------------------------------------------------------
51,000 Federated Department Stores (a) 1,402,500
- -------------------------------------------------------------------------------------
6,2790 Fleming 129,504
- -------------------------------------------------------------------------------------
35,907 Gap 1,508,094
- -------------------------------------------------------------------------------------
19,193 Giant Food, Cl. A 604,579
- -------------------------------------------------------------------------------------
5,125 Great Atlantic & Pacific 117,875
- -------------------------------------------------------------------------------------
54,150 J.C. Penney 2,578,894
- -------------------------------------------------------------------------------------
123,003 Kmart 891,772
- -------------------------------------------------------------------------------------
22,260 Kroger (a) 834,750
- -------------------------------------------------------------------------------------
89,712 Limited 1,558,746
- -------------------------------------------------------------------------------------
6,113 Longs Drug Stores 292,660
- -------------------------------------------------------------------------------------
37,994 Lowe's 1,272,799
- -------------------------------------------------------------------------------------
57,198 May Department Stores 2,416,615
- -------------------------------------------------------------------------------------
5,830 Mercantile Stores 269,637
- -------------------------------------------------------------------------------------
18,729 Nordstrom 758,525
- -------------------------------------------------------------------------------------
8,612 Pep Boys-Manny, Moe & Jack 220,683
- -------------------------------------------------------------------------------------
44,199 Price/Costco (a) 674,035
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 50
EQUITY 500 INDEX PORTFOLIO 17
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
18,501 Rite Aid $ 633,659
- -------------------------------------------------------------------------------------
93,209 Sears, Roebuck 3,635,151
- -------------------------------------------------------------------------------------
16,037 Sherwin-Williams 653,508
- -------------------------------------------------------------------------------------
11,483 Tandy 476,545
- -------------------------------------------------------------------------------------
12,554 TJX 236,957
- -------------------------------------------------------------------------------------
68,318 Toys 'R' Us (a) 1,485,917
- -------------------------------------------------------------------------------------
53,734 Walgreen 1,605,303
- -------------------------------------------------------------------------------------
537,648 Wal-Mart Stores 12,029,874
- -------------------------------------------------------------------------------------
31,880 Winn-Dixie Stores 1,175,575
- -------------------------------------------------------------------------------------
25,222 Woolworth 327,886
- -------------------------------------------------------------------------------------
43,581,662
=====================================================================================
SOAPS & TOILETRIES - 1.53%
- -------------------------------------------------------------------------------------
9,952 Clorox 712,812
- -------------------------------------------------------------------------------------
35,251 Colgate-Palmolive 2,476,383
- -------------------------------------------------------------------------------------
160,570 Procter & Gamble 13,327,310
- -------------------------------------------------------------------------------------
16,516,505
=====================================================================================
TELECOMMUNICATIONS - 9.99%
- -------------------------------------------------------------------------------------
118,835 Airtouch Communications (a) 3,357,089
- -------------------------------------------------------------------------------------
40,500 Alltel 1,194,750
- -------------------------------------------------------------------------------------
130,452 Ameritech 7,696,668
- -------------------------------------------------------------------------------------
9,123 Andrew (a) 348,955
- -------------------------------------------------------------------------------------
371,206 AT&T 24,035,588
- -------------------------------------------------------------------------------------
103,139 Bell Atlantic 6,897,420
- -------------------------------------------------------------------------------------
233,032 BellSouth 10,136,892
- -------------------------------------------------------------------------------------
36,580 Capital Cities/ABC 4,513,057
- -------------------------------------------------------------------------------------
50,362 Comcast, Cl. A 915,959
- -------------------------------------------------------------------------------------
227,336 GTE 10,002,784
- -------------------------------------------------------------------------------------
10,106 King World Productions (a) 392,871
- -------------------------------------------------------------------------------------
161,420 MCI Communications 4,217,097
- -------------------------------------------------------------------------------------
101,900 NYNEX 5,502,600
- -------------------------------------------------------------------------------------
102,635 Pacific Telesis Group 3,451,102
- -------------------------------------------------------------------------------------
143,262 SBC Communications 8,237,565
- -------------------------------------------------------------------------------------
80,582 Sprint 3,213,207
- -------------------------------------------------------------------------------------
138,116 Tele-Communications, Cl. A (a) 2,745,055
- -------------------------------------------------------------------------------------
23,400 Tellabs (a) 865,800
- -------------------------------------------------------------------------------------
114,928 U S West 2,183,632
- -------------------------------------------------------------------------------------
112,328 U S West Communications Group 4,015,726
- -------------------------------------------------------------------------------------
85,149 Viacom, Cl. B (a) 4,033,934
- -------------------------------------------------------------------------------------
107,957,751
=====================================================================================
TIRE & RUBBER - 0.22%
- -------------------------------------------------------------------------------------
3,926 B.F. Goodrich 267,459
- -------------------------------------------------------------------------------------
14,951 Cooper Tire & Rubber 368,168
- -------------------------------------------------------------------------------------
38,036 Goodyear Tire & Rubber 1,725,884
- -------------------------------------------------------------------------------------
2,361,511
=====================================================================================
TOBACCO - 1.95%
- -------------------------------------------------------------------------------------
45,674 American Brands 2,038,203
- -------------------------------------------------------------------------------------
194,966 Philip Morris 17,644,423
- -------------------------------------------------------------------------------------
42,107 UST 1,405,321
- -------------------------------------------------------------------------------------
21,087,947
=====================================================================================
TRUCKING, SHIPPING - 0.24%
- -------------------------------------------------------------------------------------
14,392 Consolidated Freightways 381,388
- -------------------------------------------------------------------------------------
12,275 Federal Express (a) 906,815
- -------------------------------------------------------------------------------------
7,338 Pittston Services Group 230,230
- -------------------------------------------------------------------------------------
7,382 Roadway Services 360,796
- -------------------------------------------------------------------------------------
25,217 Ryder System 624,121
- -------------------------------------------------------------------------------------
6,040 Yellow 74,745
- -------------------------------------------------------------------------------------
2,578,095
=====================================================================================
UTILITIES - 4.21%
- -------------------------------------------------------------------------------------
41,310 American Electric Power 1,673,055
- -------------------------------------------------------------------------------------
30,625 Baltimore Gas & Electric 872,812
- -------------------------------------------------------------------------------------
33,228 Carolina Power & Light 1,146,366
- -------------------------------------------------------------------------------------
36,430 Central & South West 1,015,487
- -------------------------------------------------------------------------------------
33,122 CINergy 1,014,361
- -------------------------------------------------------------------------------------
9,135 Columbia Gas System (a) 400,798
- -------------------------------------------------------------------------------------
51,536 Consolidated Edison 1,649,152
- -------------------------------------------------------------------------------------
17,005 Consolidated Natural Gas 771,602
- -------------------------------------------------------------------------------------
28,276 Detroit Edison 975,522
- -------------------------------------------------------------------------------------
37,906 Dominion Resources 1,563,622
- -------------------------------------------------------------------------------------
42,787 Duke Power 2,027,034
- -------------------------------------------------------------------------------------
4,142 Eastern Enterprises 146,005
- -------------------------------------------------------------------------------------
62,266 Enron 2,373,891
- -------------------------------------------------------------------------------------
11,424 ENSERCH 185,640
- -------------------------------------------------------------------------------------
56,607 Entergy 1,655,755
- -------------------------------------------------------------------------------------
45,594 FPL Group 2,114,422
- -------------------------------------------------------------------------------------
23,900 General Public Utilities 812,600
- -------------------------------------------------------------------------------------
65,556 Houston Industries 1,589,733
- -------------------------------------------------------------------------------------
43,142 Niagara Mohawk Power 415,242
- -------------------------------------------------------------------------------------
8,469 NICOR 232,898
- -------------------------------------------------------------------------------------
13,644 Northern States Power 670,262
- -------------------------------------------------------------------------------------
25,584 Ohio Edison 601,224
- -------------------------------------------------------------------------------------
13,591 ONEOK 310,894
- -------------------------------------------------------------------------------------
31,900 P P & L Resources 797,500
- -------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 51
EQUITY 500 INDEX PORTFOLIO 18
-------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
12,268 Pacific Enterprises $ 346,571
- -------------------------------------------------------------------------------------
101,005 Pacific Gas & Electric 2,866,017
- -------------------------------------------------------------------------------------
61,689 PacifiCorp 1,310,891
- -------------------------------------------------------------------------------------
36,958 Panhandle Eastern 1,030,204
- -------------------------------------------------------------------------------------
46,484 PECO Energy 1,400,330
- -------------------------------------------------------------------------------------
5,755 People's Energy 182,721
- -------------------------------------------------------------------------------------
60,394 Public Service Enterprise Group 1,849,566
- -------------------------------------------------------------------------------------
109,570 SCEcorp 1,944,867
- -------------------------------------------------------------------------------------
19,710 Sonat 702,169
- -------------------------------------------------------------------------------------
158,958 Southern 3,914,341
- -------------------------------------------------------------------------------------
55,465 Texas Utilities 2,280,998
- -------------------------------------------------------------------------------------
53,225 Unicom 1,743,119
- -------------------------------------------------------------------------------------
21,220 Union Electric 885,935
- -------------------------------------------------------------------------------------
45,473,606
=====================================================================================
TOTAL COMMON STOCKS
- -------------------------------------------------------------------------------------
(Cost $852,011,555) $1,063,706,398
=====================================================================================
PREFERRED STOCK
NON-CONVERTIBLE - 0.00%
- -------------------------------------------------------------------------------------
DIVERSIFIED - 0.00%
- -------------------------------------------------------------------------------------
88 Teledyne (Cost $1,320) $ 1,265
=====================================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=====================================================================================
<S> <C> <C>
BOND - 0.00%
- -------------------------------------------------------------------------------------
$ 33,000 Viacom International
8.00%, 7/7/06 (Cost $28,638) $ 33,722
=====================================================================================
U.S. TREASURY BILLS - 2.83%
- -------------------------------------------------------------------------------------
$ 1,590,000 5.310%, 1/11/96 (b) $ 1,587,665
- -------------------------------------------------------------------------------------
3,875,000 5.465%, 2/22/96 3,845,161
- -------------------------------------------------------------------------------------
2,110,000 5.340%, 2/29/96 2,094,295
- -------------------------------------------------------------------------------------
12,997,000 5.310%, 3/07/96 12,887,231
- -------------------------------------------------------------------------------------
8,303,000 5.200%, 5/16/96 8,152,505
- -------------------------------------------------------------------------------------
2,078,000 5.330%, 5/16/96 2,040,336
- -------------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS
(Cost $30,573,638) $ 30,607,193
=====================================================================================
TOTAL INVESTMENTS
(Cost $882,615,151) 101.26% $1,094,348,578
- -------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (1.26%) (13,612,552)
- -------------------------------------------------------------------------------------
NET ASSETS 100.00% $1,080,736,026
=====================================================================================
</TABLE>
See Notes to Financial Statements on Pages 21 and 22
<PAGE> 52
EQUITY 500 INDEX FUND 19
-------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 December
31, 1995, the Fund's investment was approximately 74% 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 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.
The Fund may periodically make reclassifications among certain of its capital
accounts as a result of the timing and characterization of certain income and
capital gains distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code. Therefore, no federal income tax provision is required.
E. Other
The Trust accounts separately for the assets, liabilities, and operations of
the Fund. Expenses directly attributable to the Fund are charged to that Fund,
while expenses which are attributable to all of the Trust's funds are allocated
among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $270,327.
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 year
ended December 31, 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
<PAGE> 53
EQUITY 500 INDEX FUND 20
-------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
of the Fund, including expenses of the Portfolio. For the year ended December
31, 1995, expenses of the Fund have been reduced by $421,776.
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 December 31, 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 year ended For the year ended
December 31, 1995 December 31, 1994
--------------------------- ---------------------------
Shares Amount Shares Amount
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C>
Sold 32,375,846 $412,369,528 27,246,568 $289,900,607
Reinvested 1,206,449 15,722,534 1,063,347 11,109,940
Redeemed (11,827,395) (147,444,731) (8,706,746) (91,341,938)
------------ ------------- ----------- ------------
Net Increase 21,754,900 $280,647,331 19,603,169 $209,668,609
============ ============= =========== ============
</TABLE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders
of BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Equity 500 Index Fund (one of the funds comprising BT Institutional Funds) as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the three years in
the period then ended and for the period December 31, 1992 (commencement of
operations). These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements.
Our procedures included confirmation of securities owned as of December 31, 1995
by correspondence with the custodian. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Equity 500 Index Fund of BT Institutional Funds as of December 31, 1995, the
results of its operations, the changes in its net assets, and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 54
EQUITY 500 INDEX PORTFOLIO 21
-------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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. The portfolio may enter into financial futures contracts which are contracts
to buy a standard quantity of securities at a specified price on a future date.
The Portfolio is required to deposit either in cash or securities an amount
equal to a certain percentage of the contract amount. Subsequent payments are
made or received by the portfolio each day, dependent on the daily fluctuations
in the value of the underlying security, and are recorded for financial
statement purposes as unrealized gains or losses by the portfolio. The
Portfolio's investment in the financial futures contracts is designed to hedge
against anticipated future changes in general market prices which otherwise
might either adversely affect the value of securities held by the Portfolio,
the prices of securities which are intended to be purchased at a later date for
the Portfolio or to closely replicate the benchmark index used by the
portfolio. Should the portfolio prices move unexpectedly, the portfolio may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss.
Futures contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are traded.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $385,265.
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 year ended December 31, 1995,
this fee aggregated $770,530.
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
<PAGE> 55
EQUITY 500 INDEX PORTFOLIO 22
-------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
daily net assets of the Portfolio. For the year ended December 31, 1995,
expenses of the Portfolio have been reduced by $418,814.
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 year ended December 31, 1995 were
$361,509,575 and $46,402,840, respectively. The cost of investments for federal
income tax purposes was $888,890,700. The aggregate gross unrealized
appreciation for all investments was $217,720,061, and the aggregate gross
unrealized depreciation for all investments was $12,262,183.
NOTE 4 -- FUTURES CONTRACTS
A summary of obligations under these financial instruments at December 31, 1995
is as follows:
<TABLE>
<CAPTION>
Type Unrealized
of Future Expiration Contracts Position Depreciation
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
S&P 500 March 1996 43 Long $(26,625)
Futures Index
</TABLE>
At December 31, 1995, the Portfolio has segregated sufficient securities to
cover margin requirements on open futures contracts.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial
Interest of the Equity 500 Index Portfolio
We have audited the accompanying statement of assets and liabilities of the
Equity 500 Index Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the three years in
the period then ended and for the period December 31, 1992 (commencement of
operations). These financial statements and financial highlights are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Equity 500 Index Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 56
BT INSTITUTIONAL FUNDS
SHORT/
INTERMEDIATE
U.S.
GOVERNMENT
SECURITIES
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 57
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 1
------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . 2
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 6
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES PORTFOLIO
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . 9
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 10
Report of Independent Accountants . . . . . . . . . . . . . . . . 11
SHORT/INTERMEDIATE U.S. GOVERNMENT
SECURITIES PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 12
Report of Independent Accountants . . . . . . . . . . . . . . . . 13
</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) 368-4031
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> 58
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 2
------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 2, 1996
Dear Shareholders:
We are pleased to present your 1995 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 year ended December
31, 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 monitoring 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 are looking
forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The Short/Intermediate U.S. Government Securities Fund (the "Fund")
returned 9.83% for the year ended December 31, 1995.
Overall, the bond market had one of its best years ever in 1995. In fact,
the magnitude and strength of the bond market rally took many by
surprise. The impact of the Federal Reserve Board's monetary policy was
felt more quickly than anticipated, and evidence of a slowing economy and
continued low inflation created a climate of optimism that pushed rates
down across the board. The yield curve, over the course of the twelve
months, steepened, with the intermediate range experiencing the greatest
change along the curve. Specifically, yields on 5-year Treasury Notes
declined by 2.45% over the year, and yields on 2-year Treasury Notes
declined by more than 2.50%.
To take advantage of the price appreciation of bonds during this period,
the Fund remained overweighted in Treasury securities, which tend to
outperform in a rally. Plus, in contrast to the first six months of 1995
when the Fund was affected by the changing shape of the yield curve, the
Fund was able to capture part of the strong total returns produced by the
rally in the second half of the year when the yield curve steepened
again. We lengthened the Fund's maturity from its defensive neutral
position to longer than the benchmark toward the end of the third
quarter, and this strategy particularly benefitted the Fund's performance
in the fourth quarter.
The Fund is maintaining its longer maturity as compared to the Index as
we begin 1996. This stance reflects both the output of our proprietary
duration model and our belief that the bond market environment will
remain positive as the U.S. government negotiates a balanced budget,
inflation continues to stay in check, and the Federal Reserve Board,
which cut interest rates for the second time in 1995 on December 19, may
do so again early this year.
<PAGE> 59
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 3
------------------------------------------------------------
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
The following graph illustrates the Fund's return versus the Lehman 1-3
Year Government Index from January 31, 1994 to December 31, 1995 assuming
a $10,000 initial investment.
================================================================================
COMPARISON OF CHANGE
IN VALUE OF A $10,000
INVESTMENT IN THE [FIGURE 1]
SHORT/INTERMEDIATE U.S.
GOVERNMENT SECURITIES
FUND AND THE LEHMAN
1-3 YEAR GOVERNMENT
INDEX
<TABLE>
<CAPTION>
Short/Intermediate Lehman 1-3 Year
U.S. Government Securities Fund Government Index
<S> <C> <C>
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
9/30/95 10,713 10,806
12/31/95 10,953 11,072
</TABLE>
<TABLE>
<CAPTION>
TOTAL RETURN
ENDED DECEMBER 31, 1995
One Year Since 1/24/94*
<S> <C>
9.83% 9.63%
</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.
================================================================================
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 collateralized by U.S. Government
obligations. The average weighted maturity of
securities will range from two to five years.
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
AS OF DECEMBER 31, 1995
(percentages are based on market value)
U.S. Treasury Notes 80.92%
Repurchase Agreement 16.41%
U.S. Government Policy 2.67%
[FIGURE 2]
================================================================================
ABOUT THE LOU HUDSON
PORTFOLIO MANAGER Vice President
- Thirty-three years of investment experience
- Specializes in short-intermediate fixed income securities
- BA -- City College of New York
<PAGE> 60
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 4
------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
=========================================================================================================================
December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Investment in Short/Intermediate U.S. Government Securities Portfolio, at Value $2,193,610
- -------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 828
- -------------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 16,802
- -------------------------------------------------------------------------------------------------------------------------
Total Assets 2,211,240
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 21,325
- -------------------------------------------------------------------------------------------------------------------------
Total Liabilities 21,325
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 221,098 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $2,189,915
=========================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($2,189,915/221,098 Shares) $ 9.90
=========================================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Paid-in Capital 2,217,801
- -------------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (11,843)
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Depreciation on Securities (16,043)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $2,189,915
=========================================================================================================================
</TABLE>
<TABLE>
<S> <C> <C>
STATEMENT OF OPERATIONS
=========================================================================================================================
For the year ended December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------------
Income Allocated from Short/Intermediate U.S. Government Securities Portfolio, net $127,948
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------------------
Administration and Services $ 4,192
- -------------------------------------------------------------------------------------------------------------------------
Professional 8,873
- -------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 10,070
- -------------------------------------------------------------------------------------------------------------------------
Trustees 6,391
- -------------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,807
- -------------------------------------------------------------------------------------------------------------------------
Registration 1,087
- -------------------------------------------------------------------------------------------------------------------------
Miscellaneous 1,946
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 34,366
- -------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (30,174) 4,192
=========================================================================================================================
NET INVESTMENT INCOME 123,756
=========================================================================================================================
NET REALIZED AND UNREALIZED GAIN ON SECURITIES
- -------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 33,692
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 39,464
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 73,156
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $196,912
=========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 10 and 11
<PAGE> 61
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 5
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=========================================================================================================================
For the period
For the January 24, 1994
year ended (Commencement
December of Operations) to
31, 1995 December 31, 1994
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 123,756 $ 90,844
- -------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 33,692 (45,535)
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 39,464 (55,507)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations 196,912 (10,198)
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income (123,756) (90,844)
- -------------------------------------------------------------------------------------------------------------------------
Net Decrease in Net Assets from Distributions (123,756) (90,844)
- -------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in Shares of Beneficial Interest 123,756 2,094,045
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 196,912 1,993,003
=========================================================================================================================
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Beginning of Period 1,993,003 -
- -------------------------------------------------------------------------------------------------------------------------
End of Period $2,189,915 $1,993,003
=========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 10 and 11
<PAGE> 62
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 6
------------------------------------------------------------
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 January 24, 1994
year ended (Commencement
December of Operations) to
31, 1995 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 0.58 0.42
Net Realized and Unrealized Gain (Loss) on Securities 0.34 (0.44)
------ ------
Total from Investment Operations 0.92 (0.02)
------ ------
Distributions from Net Investment Income (0.58) (0.42)
------ ------
Net Asset Value, End of Period $ 9.90 $ 9.56
====== ======
TOTAL INVESTMENT RETURN 9.83% (0.20%)*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.90% 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 1.49% 1.82%*
Net Assets, End of Period (000's omitted) $2,190 $1,993
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 10 and 11
<PAGE> 63
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 7
------------------------------------------------------------
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
=========================================================================================================================
December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $56,358,485, including Repurchase Agreement
amounting to $9,278,124) $56,532,772
- -------------------------------------------------------------------------------------------------------------------------
Interest Receivable 613,544
- -------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 23,588
- -------------------------------------------------------------------------------------------------------------------------
Total Assets 57,169,904
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 3,102
- -------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 1,966,313
- -------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 22,576
- -------------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,991,991
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS $55,177,913
=========================================================================================================================
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $55,003,626
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 174,287
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $55,177,913
=========================================================================================================================
STATEMENT OF OPERATIONS
=========================================================================================================================
For the year ended December 31, 1995
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------------
Interest $3,342,884
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------------------
Advisory $130,819
- -------------------------------------------------------------------------------------------------------------------------
Administration and Services 26,164
- -------------------------------------------------------------------------------------------------------------------------
Professional 21,223
- -------------------------------------------------------------------------------------------------------------------------
Miscellaneous 2,265
- -------------------------------------------------------------------------------------------------------------------------
Trustees 1,917
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 182,388
- -------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (25,406) 156,982
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,185,902
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES
- -------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 834,099
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 965,227
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 1,799,326
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,985,228
=========================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 64
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=========================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,185,902 $ 1,768,139
- -------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 834,099 (765,789)
- -------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 965,227 (800,099)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,985,228 202,251
- -------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- -------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 24,442,594 45,632,673
- -------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (21,520,447) (16,293,202)
- -------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 2,922,147 29,339,471
- -------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 7,907,375 29,541,722
=========================================================================================================================
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------
Beginning of Year 47,270,538 17,728,816
- -------------------------------------------------------------------------------------------------------------------------
End of Year $ 55,177,913 $ 47,270,538
=========================================================================================================================
</TABLE>
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
August 24, 1992
For the year ended December 31, (Commencement
------------------------------------------- of Operations) to
1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 6.09% 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 0.05% 0.09% 0.25% 1.41%*
Portfolio Turnover Rate 246% 202% 267% 75%
Net Assets, End of Period (000's omitted) $55,178 $47,271 $17,729 $4,999
</TABLE>
* Annualized
See Notes to Financial Statements on Page 12
<PAGE> 65
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 9
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
================================================================================
<S> <C> <C>
U.S. GOVERNMENT &
AGENCY OBLIGATIONS - 85.64%
- --------------------------------------------------------------------------------
U.S. TREASURY NOTES - 82.91%
- --------------------------------------------------------------------------------
$ 1,500,000 7.50%, 12/31/96 $ 1,533,750
- --------------------------------------------------------------------------------
5,000,000 6.625%, 3/31/97 5,087,500
- --------------------------------------------------------------------------------
7,000,000 5.875%, 7/31/97 7,074,375
- --------------------------------------------------------------------------------
13,980,000 5.625%, 10/31/97 14,082,613
- --------------------------------------------------------------------------------
15,300,000 5.50%, 11/15/98 15,412,302
- --------------------------------------------------------------------------------
1,000,000 7.125%, 9/30/99 1,060,000
- --------------------------------------------------------------------------------
1,472,000 5.75%, 10/31/00 1,495,000
- --------------------------------------------------------------------------------
45,745,540
================================================================================
U.S. GOVERNMENT AGENCY - 2.73%
- --------------------------------------------------------------------------------
1,500,000 Tennessee Valley Authority,
6.00%, 1/15/97 1,509,108
================================================================================
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $47,080,361) $47,254,648
================================================================================
SHORT-TERM INVESTMENT - 16.82%
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT - 16.82%
- --------------------------------------------------------------------------------
$ 9,278,124 Repurchase Agreement with Sanwa Bank,
Dated 12/29/95, 5.85%, Principal and
Interest in the Amount of $9,282,647,
(Cost $9,278,124), due 1/2/96,
(Collateralized by U.S. Treasury Notes,
Par Value $6,036,000, 10.625%,
due 8/15/15 Value at $9,236,966) $ 9,278,124
================================================================================
TOTAL INVESTMENTS
(Cost $56,358,485) 102.46% $56,532,772
- --------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (2.46%) (1,354,859)
- --------------------------------------------------------------------------------
NET ASSETS 100.00% $55,177,913
================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 66
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 10
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as 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 December 31, 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 evenly over a sixty month period.
D. Dividends
The Fund declares dividends daily from net investment income and pays 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,
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.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The 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 year ended December 31, 1995, this fee aggregated $4,192.
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 year
ended December 31, 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 year ended December 31, 1995, expenses of the Fund have
been reduced $30,174.
<PAGE> 67
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 11
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 December 31, 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
January 24, 1994
(Commencement of
For the year ended Operations) to
December 31, 1995 December 31, 1994
----------------- -----------------------
Shares Amount Shares Amount
------ -------- -------- -----------
<S> <C> <C> <C> <C>
Sold - - 275,304 $2,752,043
Reinvested 12,637 $123,756 9,201 89,512
Redeemed - - (76,044) (747,510)
------ -------- -------- -----------
Net Increase 12,637 $123,756 208,461 $2,094,045
====== ======== ======== ===========
</TABLE>
NOTE 4 - CAPITAL LOSS CARRYFORWARD
At December 31, 1995, the accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gain aggregated
$34,559, which will expire 2002.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Short/Intermediate U.S. Government Securities Fund (one of the funds comprising
BT Institutional Funds) as of December 31, 1995, and the related statement of
operations for the year then ended, the statement of changes in net assets, and
the financial highlights for the year then ended and for the period January 24,
1994 (commencement of operations) to December 31, 1994. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above, present fairly, in all material respects, the financial position of the
Short/Intermediate U.S. Government Securities Fund of BT Institutional Funds as
of December 31, 1995, the results of its operations, the changes in its net
assets, and the financial highlights for the periods referred to above, in
conformity with generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 2, 1996
<PAGE> 68
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 12
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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 carried at fair market value as determined by
an independent pricing service at the end of each business day. 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. 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. Therefore, no federal income tax provision is required.
E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $26,164.
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 year ended December 31, 1995,
this fee aggregated $130,819.
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 year ended December 31,
1995, expenses of the Portfolio have been reduced $25,406.
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 year ended December 31, 1995,
were $132,638,189 and $109,527,306, respectively. The net unrealized
appreciation of investments amounted to $174,287, consisting of gross
unrealized appreciation of $211,820 and gross unrealized depreciation of
$37,533. The cost of investments for federal income tax purposes was
substantially the same as for financial reporting purposes.
<PAGE> 69
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 13
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the Short/Intermediate U.S. Government
Securities Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Short/Intermediate U.S. Government Securities Portfolio, including the schedule
of portfolio investments, as of December 31, 1995, and the related statement of
operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended, and the financial highlights
for each of the three years in the period then ended and for the period August
24, 1992 (commencement of operations) to December 31, 1992. These financial
statements and financial highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Short/Intermediate U.S. Government Securities Portfolio as of December 31,
1995, the results of its operations, the changes in its net assets, and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 2, 1996
<PAGE> 70
BT INSTITUTIONAL FUNDS
CASH
RESERVES
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 71
CASH RESERVES FUND 1
-------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . 2
CASH RESERVES FUND . . . . . . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 4
Statements of Changes in Net Assets . . . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 6
CASH MANAGEMENT PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . 9
CASH RESERVES FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 13
Report of Independent Accountants . . . . . . . . . . . . . . . . 14
CASH MANAGEMENT PORTFOLIO
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 15
Report of Independent Accountants . . . . . . . . . . . . . . . . 16
</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) 368-4031
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> 72
CASH RESERVES FUND 2
-------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for BT Institutional
Funds Cash Reserve Fund. This report provides you with an investment
overview as well as a financial summary of the Fund's operations for the
year ended December 31, 1995. We have also included a Letter to
Shareholders from Investment Adviser detailing the factors that affected
the Fund's performance for the year ended December 31, 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 monitoring the economic conditions
and how they affect the financial markets.
We appreciate your ongoing support of the Cash Reserves Fund and are
looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
Falling interest rates in conjunction with the Federal Reserve Board's
seeming success in slowing economic growth and keeping inflation
contained led to an overall positive environment in 1995 for fixed
income investing and the money markets in particular.
Nevertheless, signals regarding the strength of the dollar and of the
economy were often mixed, and so the Fund maintained a relatively
neutral duration as compared to its benchmark through much of the year.
In fact, only in the third quarter, shortly after the Fed lowered
official interest rates on July 6, did we position the portfolio
somewhat long to take advantage of falling rates. Constructive action on
the budget deficit by Congress and the administration was expected to
spur interest rates still lower as the second half of the year
progressed. But even without real progress on this front, the Federal
Reserve Board cut rates by another 25 basis points on December 19, 1995.
While economic data has been scarce due to the government shutdowns and
thus hampers our assessment to some degree, indicators from private
sources point to the economy proceeding on a course that includes real
but modest growth, inflation around 2.5%, and corporate profits rising
within a range of 5% to 7%. The Federal Reserve Board may respond with
another modest interest rate reduction early in 1996. If so, the fixed
income market should benefit from a very favorable climate.
The Fund's weighted average maturity stands at 36 days. We plan to keep
the Fund's relatively neutral duration position for the near future for
two main reasons. First, resolution of the budget impasse would add a
positive note, but uncertainty surrounding the Federal budgeting process
remains unabated, and any agreement may well be discounted in today's
prices. Second, after the dramatic fall in interest rates during 1995,
we do not expect the prospects for the money markets in 1996 to be quite
as bright. In the meantime, we continue to take advantage of the
positive fixed income market while it lasts as well as daily trading and
relative value opportunities created by market volatility.
<PAGE> 73
CASH RESERVES FUND 3
-------------------------------------------------------------
================================================================================
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: 5.75%
DECEMBER 31, 1995 Average maturity: 39 days
Net Assets: $821.0 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
[FIGURE 1]
<TABLE>
<S> <C>
Commercial Paper 38.84%
Certificates of Deposit 30.83%
Eurodollar Time Deposits 22.90%
Repurchase Agreement 3.79%
Floating Rate Notes 2.84%
U.S. Government Agency Note 0.80%
</TABLE>
================================================================================
ABOUT THE DARLENE M. RASEL
PORTFOLIO MANAGER Vice President
- Responsible for managing the Money Market and
Treasury Mutual Funds.
- Formerly, Head of Collateral Management Desk for
five years before joining Global Investment
Management.
- Fifteen years investment experience, including
eight years at Bankers Trust.
<PAGE> 74
CASH RESERVES FUND 4
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===================================================================================================================================
December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Investment in Cash Management Portfolio, at Value $821,182,199
- -----------------------------------------------------------------------------------------------------------------------------------
Deferred Organizational Expense 605
- -----------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 4,278
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 821,187,082
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 1,661
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Payable 181,214
- -----------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 31,104
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 213,979
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 821,820,371 Outstanding Shares of $0.001 Par Value
Per Share, Unlimited Number of Shares of Beneficial Interest Authorized) $820,973,103
===================================================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share ($820,973,103/821,820,371 Shares) $ 1.00
===================================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $821,820,371
- -----------------------------------------------------------------------------------------------------------------------------------
Accumulated Net Realized Loss from Securities Transactions (847,268)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $820,973,103
===================================================================================================================================
STATEMENT OF OPERATIONS
===================================================================================================================================
For the year ended December 31, 1995
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- -----------------------------------------------------------------------------------------------------------------------------------
Income Allocated from Cash Management Portfolio, net $53,682,885
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -----------------------------------------------------------------------------------------------------------------------------------
Administration and Services $ 462,879
- -----------------------------------------------------------------------------------------------------------------------------------
Professional 9,384
- -----------------------------------------------------------------------------------------------------------------------------------
Shareholders Reports 21,389
- -----------------------------------------------------------------------------------------------------------------------------------
Registration 1,359
- -----------------------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 580
- -----------------------------------------------------------------------------------------------------------------------------------
Trustees 6,416
- -----------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 6,388
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 508,395
- -----------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (508,395) --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 53,682,885
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 94,844
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $53,777,729
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 75
CASH RESERVES FUND 5
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===================================================================================================================================
For the period
For the January 25, 1994
year ended (Commencement
December of Operations) to
31, 1995 December 31, 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 53,682,885 $ 35,868,156
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 94,844 (6,808,107)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 53,777,729 29,060,049
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (53,682,885) (35,868,156)
- -----------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (AT NET ASSET VALUE OF
$1.00 PER SHARE)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Proceeds from Shares Sold 15,241,716,412 11,171,963,496
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends Reinvested 52,567,944 30,040,014
- -----------------------------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (15,394,127,791) (10,280,339,704)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Transactions in
- -----------------------------------------------------------------------------------------------------------------------------------
Shares of Beneficial Interest (99,843,435) 921,663,806
- -----------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed -- 5,865,995
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (99,748,591) 920,721,694
===================================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning of Period 920,721,694 --
- -----------------------------------------------------------------------------------------------------------------------------------
End of Period $ 820,973,103 $ 920,721,694
===================================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 76
CASH RESERVES FUND 6
-------------------------------------------------------------
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 presented for the Cash Reserves Fund.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
For the period
For the January 25, 1994
year ended (Commencement of
December Operations) to
31, 1995 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 0.06 0.04
Net Realized Gain (Loss) from Securities Transactions 0.00+ (0.01)
-------- --------
Total from Investment Operations 0.06 0.03
-------- --------
Contribution of Capital - 0.01
-------- --------
Distributions From:
Net Investment Income (0.06) (0.04)
-------- --------
Net Asset Value, End of Period $1.00 $1.00
======== ========
TOTAL INVESTMENT RETURN 5.94% 4.32%*+
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 5.80% 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 0.07% 0.08%*
Net Assets, End of Period (000's omitted) $820,973 $920,722
* Annualized
+ Increased by 0.81% due to Contribution of Capital.
</TABLE>
See Notes to Financial Statements on Pages 13 and 14
<PAGE> 77
CASH MANAGEMENT PORTFOLIO 7
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=================================================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Investments, at Value $2,636,244,326
- ---------------------------------------------------------------------------------------------------------------------------------
Cash 234,792
- ---------------------------------------------------------------------------------------------------------------------------------
Interest Receivable 9,803,616
- ---------------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other 19,395
- ---------------------------------------------------------------------------------------------------------------------------------
Total Assets 2,646,302,129
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 336,262
- ---------------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 30,000,000
- ---------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 33,650
- ---------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 30,369,912
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,615,932,217
=================================================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $2,615,932,217
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $2,615,932,217
=================================================================================================================================
STATEMENT OF OPERATIONS
=================================================================================================================================
For the year ended December 31, 1995
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------------------------
Interest $152,708,666
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------------------------
Advisory $3,847,729
- ---------------------------------------------------------------------------------------------------------------------------------
Administration and Services 1,282,576
- ---------------------------------------------------------------------------------------------------------------------------------
Professional 34,574
- ---------------------------------------------------------------------------------------------------------------------------------
Trustees 1,868
- ---------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 28,778
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,195,525
- ---------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (578,251) 4,617,274
- ---------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 148,091,392
- ---------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 268,537
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $148,359,929
=================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 78
CASH MANAGEMENT PORTFOLIO 8
-------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
=================================================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 148,091,392 $ 107,531,263
- ---------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 268,537 (21,679,797)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 148,359,929 85,851,466
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 35,062,532,338 29,684,647,236
- ---------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (35,329,985,394) (28,984,267,374)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (267,453,056) 700,379,862
- ---------------------------------------------------------------------------------------------------------------------------------
CONTRIBUTION OF CAPITAL
- ---------------------------------------------------------------------------------------------------------------------------------
Proceeds Contributed - 18,718,663
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (119,093,127) 804,949,991
=================================================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
Beginning of Year 2,735,025,344 1,930,075,353
- ---------------------------------------------------------------------------------------------------------------------------------
End of Year $ 2,615,932,217 $ 2,735,025,344
=================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
====================================================================================================================================
Contained below are selected ratios and supplemental data for each of the years
presented for the Cash Management Portfolio.
- ------------------------------------------------------------------------------------------------------------------------------------
For the year ended December 31,
---------------------------------------------------------------------------------
1995 1994 1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment
Income to Average Net Assets 5.77% 4.24% 3.06% 3.52% 5.85%
Ratio of Expenses to
Average Net Assets 0.18% 0.18% 0.20% 0.22% 0.25%
Decrease Reflected in Above
Ratio of Expenses to Average
Net Assets Due to Absorption
of Expenses by Bankers Trust 0.02% 0.02% 0.00%+ 0.00%+ 0.01%
Net Assets, End of Period
(000's omitted) $2,615,932 $2,735,025 $1,930,075 $1,438,688 $934,402
</TABLE>
+ Less than 0.01%
See Notes to Financial Statements on Page 15
<PAGE> 79
CASH MANAGEMENT PORTFOLIO 9
-------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
====================================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 31.07%
- ----------------------------------------------------------------------------------------------------------------------------------
$ 5,000,000 Abbey National Bank, 5.76%, 2/1/96 $ 4,999,857
- ----------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of America, 5.78%, 1/31/96 35,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
13,000,000 Bank of Nova Scotia, 5.77%, 2/1/96 13,000,554
- ----------------------------------------------------------------------------------------------------------------------------------
Bank of Tokyo:
30,000,000 5.90%, 1/16/96 30,000,122
29,000,000 5.90%, 1/22/96 29,000,166
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Bayerische Hypotheka, 5.83%, 1/16/96 25,000,205
- ----------------------------------------------------------------------------------------------------------------------------------
21,000,000 Bayerische Landesbank, 5.80%, 1/24/96 21,000,021
- ----------------------------------------------------------------------------------------------------------------------------------
46,000,000 Bayerische Vereinsbank, 5.80%, 1/31/96 46,000,380
- ----------------------------------------------------------------------------------------------------------------------------------
9,000,000 Credit Suisse, 5.73%, 1/9/96 8,999,612
- ----------------------------------------------------------------------------------------------------------------------------------
50,000,000 Deutsche, 5.79%, 1/25/96 50,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
28,000,000 Hessen Thuringer, 5.795%, 1/31/96 27,999,505
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Industrial Bank of Japan, 5.89%, 1/22/96 25,000,143
- ----------------------------------------------------------------------------------------------------------------------------------
Kreditbank:
40,000,000 5.80%, 1/24/96 40,000,253
30,000,000 5.75%, 2/21/96 30,000,420
- ----------------------------------------------------------------------------------------------------------------------------------
26,000,000 Mellon Bank, 5.78%, 2/5/96 26,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Mitsubishi Bank, 6.15%, 1/2/96 25,000,012
- ----------------------------------------------------------------------------------------------------------------------------------
28,000,000 Morgan Guaranty, 5.51%, 6/11/96 28,001,226
- ----------------------------------------------------------------------------------------------------------------------------------
National Westminster Bank:
2,000,000 5.81%, 2/1/96 2,000,111
40,000,000 5.72%, 2/16/96 39,999,770
29,300,000 5.70%, 2/16/96 29,302,639
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Rabobank, 5.76%, 1/31/96 25,000,206
- ----------------------------------------------------------------------------------------------------------------------------------
Sanwa Bank:
38,000,000 5.91%, 1/31/96 38,000,309
24,000,000 5.86%, 2/9/96 23,997,792
- ----------------------------------------------------------------------------------------------------------------------------------
Societe Generale:
25,000,000 5.82%, 1/5/96 25,000,000
39,400,000 5.66%, 3/4/96 39,400,559
30,000,000 5.71%, 3/4/96 30,000,988
- ----------------------------------------------------------------------------------------------------------------------------------
Sumitomo Bank:
35,000,000 5.98%, 1/16/96 35,000,143
20,000,000 5.89%, 1/22/96 20,000,114
10,000,000 5.91%, 1/22/96 10,000,057
- ----------------------------------------------------------------------------------------------------------------------------------
30,000,000 Toronto Dominion, 5.64%, 4/2/96 30,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $812,705,164) $812,705,164
==================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 80
CASH MANAGEMENT PORTFOLIO 10
-------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==================================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
COMMERCIAL PAPER - 39.14%
- ----------------------------------------------------------------------------------------------------------------------------------
$ 36,500,000 Abbey National Bank of North America, 5.58%, 3/14/96 $36,087,003
- ----------------------------------------------------------------------------------------------------------------------------------
21,000,000 Asset Securitization, 5.66%, 2/15/96 20,851,425
- ----------------------------------------------------------------------------------------------------------------------------------
11,500,000 Banco Bilbao Vizcaya, 5.71%, 2/5/96 11,436,159
- ----------------------------------------------------------------------------------------------------------------------------------
20,000,000 Bank of America, 5.28%, 6/5/96 19,542,400
- ----------------------------------------------------------------------------------------------------------------------------------
29,000,000 Bank Brussels Lambert of North America, 5.58%, 4/18/96 28,514,540
- ----------------------------------------------------------------------------------------------------------------------------------
30,500,000 BTR Dunlop, 5.65%, 2/16/96 30,279,807
- ----------------------------------------------------------------------------------------------------------------------------------
23,000,000 Caisse des Depots et Consignations, 5.80%, 1/11/96 22,962,944
- ----------------------------------------------------------------------------------------------------------------------------------
15,000,000 Central Hispana, 5.75%, 1/25/96 14,942,500
- ----------------------------------------------------------------------------------------------------------------------------------
50,000,000 Commonwealth Bank Australia, 5.41%, 4/2/96 49,308,722
- ----------------------------------------------------------------------------------------------------------------------------------
7,000,000 Dun & Bradstreet, 5.59%, 3/19/96 6,915,218
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Finnish Export Credit, 5.71%, 1/23/96 24,912,764
- ----------------------------------------------------------------------------------------------------------------------------------
General Electric Capital:
20,000,000 5.81%, 1/18/96 19,945,128
25,000,000 5.53%, 4/3/96 24,642,854
- ----------------------------------------------------------------------------------------------------------------------------------
25,700,000 General Electric Capital Services, 5.68%, 2/5/96 25,558,079
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Goldman Sachs, 5.53%, 3/18/96 24,704,299
- ----------------------------------------------------------------------------------------------------------------------------------
14,000,000 Hanson Finance, 5.65%, 3/7/96 13,854,983
- ----------------------------------------------------------------------------------------------------------------------------------
21,000,000 Hewlett-Packard, 5.63%, 2/15/96 20,852,213
- ----------------------------------------------------------------------------------------------------------------------------------
KFW International Finance:
35,000,000 5.715%, 1/30/96 34,838,869
30,000,000 5.65%, 3/6/96 29,693,958
- ----------------------------------------------------------------------------------------------------------------------------------
Kingdom of Sweden:
20,000,000 5.00%, 1/31/96 19,905,000
6,000,000 5.65%, 2/15/96 5,957,625
25,000,000 5.66%, 2/21/96 24,799,542
1,815,000 5.68%, 2/27/96 1,798,677
25,000,000 5.66%, 2/28/96 24,772,028
25,000,000 5.62%, 3/11/96 24,726,806
- ----------------------------------------------------------------------------------------------------------------------------------
20,300,000 Manitoba Hydro Electric, 5.65%, 2/15/96 20,156,631
- ----------------------------------------------------------------------------------------------------------------------------------
McKenna Triangle:
25,000,000 5.75%, 1/25/96 24,904,167
20,000,000 5.72%, 1/26/96 19,920,556
30,000,000 5.68%, 2/6/96 29,829,600
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Merrill Lynch, 5.72%, 1/31/96 24,880,833
- ----------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
23,500,000 6.00%, 1/5/96 23,484,333
25,000,000 5.77%, 1/25/96 24,903,833
40,000,000 5.70%, 2/9/96 39,753,000
==================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 81
CASH MANAGEMENT PORTFOLIO 11
-------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==================================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
$ 30,805,000 National Australia Funding, 5.30%, 6/14/96 $ 30,056,695
- ----------------------------------------------------------------------------------------------------------------------------------
National Rural Utility:
15,000,000 5.65%, 2/16/96 14,891,708
35,000,000 5.50%, 3/5/96 34,657,778
- ----------------------------------------------------------------------------------------------------------------------------------
New South Wales Treasury:
25,000,000 5.70%, 1/24/96 24,908,958
12,000,000 5.56%, 2/9/96 11,927,720
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Philip Morris, 6.20%, 1/2/96 24,995,694
- ----------------------------------------------------------------------------------------------------------------------------------
20,000,000 Province of Alberta, 5.75%, 1/26/96 19,920,139
- ----------------------------------------------------------------------------------------------------------------------------------
70,000,000 Prudential Funding, 6.054%, 1/2/96 70,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
10,000,000 Receivables Capital, 5.80%, 1/31/96 9,951,667
- ----------------------------------------------------------------------------------------------------------------------------------
13,000,000 Sheffield, 5.80%, 1/22/96 12,956,017
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $1,023,902,872) $1,023,902,872
==================================================================================================================================
EURODOLLAR TIME DEPOSITS - 23.08%
- ----------------------------------------------------------------------------------------------------------------------------------
Bank of America:
$ 17,000,000 5.76%, 3/27/96 $ 17,000,000
30,000,000 5.50%, 4/5/96 30,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
35,000,000 Bank of Scotland, 5.813%, 2/13/96 35,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
50,000,000 Canadian Imperial Bank of Commerce, 6.00%, 1/2/96 50,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
72,791,998 Commerz Bank, 3.50%, 1/2/96 72,791,998
- ----------------------------------------------------------------------------------------------------------------------------------
Dresdner Bank:
100,000,000 5.938%, 1/2/96 100,000,000
10,000,000 5.75%, 3/4/96 10,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
100,000,000 International Nederlander, 6.00%, 1/2/96 100,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
14,000,000 Kreditbank, 5.75%, 3/15/96 14,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Bank:
25,000,000 6.25%, 1/19/96 25,000,000
25,000,000 5.906%, 3/5/96 25,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 National Westminster, 5.813%, 1/29/96 25,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
25,000,000 Nordeutsche Landesbank, 5.75%, 2/29/96 25,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
75,000,000 Toronto Dominion, 6.00%, 1/2/96 75,000,000
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $603,791,998) $ 603,791,998
==================================================================================================================================
FLOATING RATE NOTES - 2.86%
- ----------------------------------------------------------------------------------------------------------------------------------
Student Loan Marketing Association:
$ 50,000,000 Variable Rate Weekly, 5.22%, 11/24/97 $ 49,885,005
25,000,000 Variable Rate Weekly, 5.24%, 9/28/98 24,993,148
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $74,878,153) $ 74,878,153
==================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 82
CASH MANAGEMENT PORTFOLIO 12
-------------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==================================================================================================================================
December 31, 1995
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==================================================================================================================================
<S> <C>
U.S. Government Agency Notes - 0.80%
- ----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association:
$ 9,820,000 5.14%, 6/25/96 $ 9,573,234
11,690,000 5.14%, 6/27/96 11,392,905
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY NOTES
(Amortized Cost $20,966,139) $ 20,966,139
==================================================================================================================================
REPURCHASE AGREEMENT - 3.82%
- ----------------------------------------------------------------------------------------------------------------------------------
$ 100,000,000 Repurchase Agreement with Swiss Bank, dated 12/29/1995, 5.90%,
Principal and Interest in the Amount of $100,049,167, due 1/2/96,
(Collateralized by Federal Home Loan Mortgage, par value of
$25,000,000, 7.61%, due 9/1/04, value of $26,386,331, $25,000,000,
7.88%, due 8/5/04, value of $26,659,471, Federal National Mortgage
Association, par value of $970,000, 7.50% due 2/11/02, value of
$1,087,494 Federal Home Loan Banks Medium Term Construction
Bonds, par value of $15,000,000, 6.05%, due 3/10/99, value of $15,281,575,
Federal Farm Credit Banks Construction System-wide Medium-Term
Notes, par value of $6,000,000, 5.41%, due 12/7/98, value of $5,974,410,
Federal Home Loan Bank Construction Discount Notes, par value of
$25,000,000, due 2/22/96, value of $24,828,473 and Federal Home
Loan Bank, par value of $4,000,000, 8.00%, due 7/25/96, value of $4,195,761) $ 100,000,000
==================================================================================================================================
TOTAL INVESTMENTS
(Amortized Cost $2,636,244,326) 100.77% $2,636,244,326
- ----------------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (0.77) (20,312,109)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $2,615,932,217
==================================================================================================================================
</TABLE>
See Notes to Financial Statements on Page 15
<PAGE> 83
CASH RESERVES FUND 13
-------------------------------------------------------------
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 December 31,
1995, the Fund's investment was approximately 31% 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.
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 and pay 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. 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.
The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1995, this fee aggregated $462,879.
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 year
ended December 31, 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 year ended December 31, 1995, expenses of the Fund have
been reduced by $508,395.
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.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institu-
<PAGE> 84
CASH RESERVES FUND 14
-------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
tion 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, 1995, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$847,269, which will expire in 2002.
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Cash Reserves Fund (one of the funds comprising BT Institutional Funds) as of
December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets, and the financial highlights
for the year then ended and for the period January 25, 1994 (commencement of
operations) to December 31, 1994. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Reserves Fund of BT Institutional Funds as of December 31, 1995, the
results of its operations, the changes in its net assets, and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
- -----------------------------
Kansas City, Missouri
February 13, 1996
<PAGE> 85
CASH MANAGEMENT PORTFOLIO 15
-------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990 as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from securities transactions are recorded on the identified
cost basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions pro rata among the investors in the Portfolio at the time
of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated
$1,282,576.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at the annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $3,847,729.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.18 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31,
1995, expenses of the Portfolio have been reduced by $578,251.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such securities to Bankers Trust New York Corporation, the
parent of the Adviser, at the same price, also pursuant to a put agreement. As
a result of these transactions the Portfolio's Statement of Changes in Net
Assets for the year ended December 31, 1994 reflects a realized loss on the
sale of these securities and a capital contribution in the amount of
$18,718,663.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
<PAGE> 86
CASH MANAGEMENT PORTFOLIO 16
-------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the Cash Management Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Cash Management Portfolio, including the schedule of portfolio investments, as
of December 31, 1995, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management Portfolio as of December 31, 1995, the results of its
operations, the changes in its net assets, and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles
/s/ COOPERS & LYBRAND L.L.P.
- -----------------------------
Kansas City, Missouri
February 13, 1996
<PAGE> 87
BT INSTITUTIONAL FUNDS
INSTITUTIONAL
LIQUID
ASSETS
FUND
ANNUAL REPORT
DECEMBER 31, 1995
<PAGE> 88
INSTITUTIONAL LIQUID ASSETS FUND 1
------------------------------------------------------------
TABLE OF CONTENTS
================================================================================
<TABLE>
<S> <C>
INTRODUCTION FROM PRESIDENT . . . . . . . . . . . . . . . . . . . . . . . . 2
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER . . . . . . . . . . . . . . 2
INSTITUTIONAL LIQUID ASSETS FUND . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 4
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . . 5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 6
LIQUID ASSETS PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . .
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . 7
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . 7
Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . 8
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . . . 9
INSTITUTIONAL LIQUID ASSETS FUND
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 10
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 11
LIQUID ASSETS PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . . .
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . 12
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . 13
</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
Liquid Assets 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) 368-4031
BT INSTITUTIONAL FUNDS
SIGNATURE BROKER-DEALER SERVICES, INC.
6 ST. JAMES AVENUE
BOSTON, MA 02116
(800) 545-1074
You may write to the Institutional Liquid Assets Fund at the following address:
BT INSTITUTIONAL FUNDS
6 ST. JAMES AVENUE
BOSTON, MA 02116
<PAGE> 89
INSTITUTIONAL LIQUID ASSETS FUND 2
------------------------------------------------------------
INTRODUCTION FROM PRESIDENT
================================================================================
February 13, 1996
Dear Shareholders:
We are pleased to present your 1995 Annual Report for BT Institutional Funds
Institutional Liquid Assets Fund. This report provides you with an
investment overview as well as a financial summary of the Fund's operations
for the period December 11, 1995 (commencement of operations) to December
31, 1995. In addition, the report contains a Letter to Shareholders from
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 monitoring the economic conditions and how
they affect the financial markets.
We appreciate your ongoing support of the Institutional Liquid Assets Fund
and are looking forward to serving your investment needs.
Philip W. Coolidge
President
LETTER TO SHAREHOLDERS FROM INVESTMENT ADVISER
================================================================================
Falling interest rates in conjunction with the Federal Reserve Board's
seeming success in slowing economic growth and keeping inflation contained
led to an overall positive environment in 1995 for fixed income investing
and the money markets in particular.
Following the official cut of interest rates on July 6, constructive action
on the budget deficit by Congress and the administration was expected to
spur interest rates still lower as the second half of the year progressed.
But even with-out real progress on this front, the Federal Reserve Board cut
rates by another 25 basis points on December 19, 1995.
While economic data has been scarce due to the government shutdowns and thus
hampers our assessment to some degree, indicators from private sources point
to the economy proceeding on a course that includes real but modest growth,
inflation around 2.5%, and corporate profits rising within a range of 5% to
7%. The Federal Reserve Board may respond with another modest interest rate
reduction early in 1996. If so, the fixed income market should benefit from
a very favorable climate.
The Fund's weighted average maturity stands at 46 days. We plan to keep the
Fund's relatively neutral duration position for the near future for two main
reasons. First, resolution of the budget impasse would add a positive note,
but uncertainty surrounding the Federal budgeting process remains unabated,
and any agreement may well be discounted in today's prices. Second, after
the dramatic fall in interest rates during 1995, we do not expect the
prospects for the money markets in 1996 to be quite as bright. In the
meantime, we continue to take advantage of the positive fixed income market
while it lasts as well as daily trading and relative value opportunities
created by market volatility.
<PAGE> 90
INSTITUTIONAL LIQUID ASSETS FUND 3
------------------------------------------------------------
================================================================================
OBJECTIVE Seeks high level of current income to the extent
consistent with liquidity and preservation of
capital.
- --------------------------------------------------------------------------------
INVESTMENT INSTRUMENTS Bank obligations, commercial paper, U.S. Treasury
obligations and repurchase agreements.
- --------------------------------------------------------------------------------
STATUS AT Seven day effective yield: 5.62%
DECEMBER 31, 1995 Average maturity: 46 days
Net Assets: $1,477.4 million
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO
INVESTMENTS BY ASSET TYPE
as of December 31, 1995
(percentages are based on market value)
[FIGURE 1]
Commercial Paper 48.40%
Certificates of Deposit 28.83%
Eurodollar Time Deposits 22.08%
U.S. Treasury Bills 0.69%
================================================================================
ABOUT THE DARLENE M. RASEL
PORTFOLIO MANAGER Vice President
- Responsible for managing the Money Market and
Treasury Mutual Funds.
- Formerly, Head of Collateral Management Desk for
five years before joining Global Investment
Management.
- Fifteen years investment experience, including
eight years at Bankers Trust.
<PAGE> 91
INSTITUTIONAL LIQUID ASSETS FUND 4
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investment in Liquid Assets Portfolio, at Value $1,481,588,880
- ---------------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 9,879
- ---------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 488,131
- ---------------------------------------------------------------------------------------------------------------
Total Assets 1,482,086,890
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Dividends Payable 4,187,751
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 498,011
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 4,685,762
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS (Applicable to 1,477,384,445 Outstanding Shares of $0.001 Par Value Per Share,
Unlimited Number of Shares of Beneficial Interest Authorized) $1,477,401,128
===============================================================================================================
NET ASSET VALUE, Subscription and Redemption Price Per Share
($1,477,401,128/1,477,384,445 Shares) $ 1.00
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,477,384,445
- ---------------------------------------------------------------------------------------------------------------
Undistributed Net Realized Gain from Securities Transactions 16,683
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,477,401,128
===============================================================================================================
STATEMENT OF OPERATIONS
===============================================================================================================
For the period December 11, 1995 (Commencement of Operations) to December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Income Allocated from Liquid Assets Portfolio, net $4,187,751
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Administration and Services $ 38,038
- ---------------------------------------------------------------------------------------------------------------
Registration 471,043
- ---------------------------------------------------------------------------------------------------------------
Shareholders Reports 10,000
- ---------------------------------------------------------------------------------------------------------------
Professional 5,475
- ---------------------------------------------------------------------------------------------------------------
Trustees 750
- ---------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 121
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 742
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 526,169
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (526,169) --
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,187,751
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 16,683
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,204,434
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 10
<PAGE> 92
INSTITUTIONAL LIQUID ASSETS FUND 5
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================
For the period
December 11, 1995
(Commencement of
Operations) to
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 4,187,751
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 16,683
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,204,434
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income (4,187,751)
- ---------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (At Net Asset Value of $1.00 per share)
Net Proceeds from Shares Sold 1,679,671,203
- ---------------------------------------------------------------------------------------------------------------
Value of Shares Redeemed (202,286,758)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Transactions in
Shares of Beneficial Interest 1,477,384,445
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 1,477,401,128
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period --
- ---------------------------------------------------------------------------------------------------------------
End of Period $1,477,401,128
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 10
<PAGE> 93
INSTITUTIONAL LIQUID ASSETS FUND 6
------------------------------------------------------------
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 period
presented for the Institutional Liquid Assets Fund.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
For the period
December 11, 1995
(Commencement
of Operations)
to December
31, 1995
- --------------------------------------------------------------------------------
<S> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $1.00
------
Income from Investment Operations
Net Investment Income 0.00+
Net Realized Gain on Securities 0.00+
------
Total from Investment Operations 0.00+
------
Distribution from
Net Investment Income 0.00+
------
Net Asset Value, End of Period $1.00
======
TOTAL INVESTMENT RETURN 5.88%*
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 5.50%*
Ratio of Expenses to Average Net Assets,
Including Expenses of the Liquid Assets Portfolio 0.01%*
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers Trust 0.97%*
Net Assets, End of Period (000's omitted) $1,477,401
</TABLE>
* Annualized
+ Less than $0.01 per share
See Notes to Financial Statements on Page 10
<PAGE> 94
LIQUID ASSETS PORTFOLIO 7
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value $1,420,393,102
- ---------------------------------------------------------------------------------------------------------------
Cash 59,566,208
- ---------------------------------------------------------------------------------------------------------------
Interest Receivable 1,634,688
- ---------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 16,905
- ---------------------------------------------------------------------------------------------------------------
Total Assets 1,481,610,903
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 21,875
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $1,481,589,028
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,481,589,028
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,481,589,028
===============================================================================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the periods January 1, 1995 to September 14, 1995 and December 11, 1995 to December 31, 1995 (see Note 1A)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Interest $4,730,412
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory $127,704
- ---------------------------------------------------------------------------------------------------------------
Administration and Services 42,568
- ---------------------------------------------------------------------------------------------------------------
Professional 12,291
- ---------------------------------------------------------------------------------------------------------------
Trustees 1,365
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 3,391
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 187,319
- ---------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (178,381) 8,938
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,721,474
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 18,254
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,739,728
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 95
LIQUID ASSETS PORTFOLIO 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
For the For the
period ended year ended
December December
31, 1995+ 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 4,721,474 $ 637,521
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 18,254 (27,641)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,739,728 609,880
- ---------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 1,701,831,076 61,272,350
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (238,385,924) (56,615,492)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 1,463,445,152 4,656,858
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 1,468,184,880 5,266,738
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 13,404,148 8,137,410
- ---------------------------------------------------------------------------------------------------------------
End of Period $1,481,589,028 $ 13,404,148
===============================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the Liquid Assets Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
For the period
For the For the June 7, 1993
period ended year ended (Commencement
December December of Operations) to
31, 1995+ 31, 1994 December 31, 1993
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 7.28%* 4.28% 3.12%*
Ratio of Expenses to Average Net Assets 0.01%* 0.10% 0.10%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption
of Expenses by Bankers Trust 0.28%* 0.30% 0.57%*
Net Assets, End of Period (000's omitted) $1,481,589 $13,404 $8,137
</TABLE>
* Annualized
+ For the periods January 1, 1995 to September 14, 1995 and December 11, 1995
to December 31, 1995 (see Note 1A)
See Notes to Financial Statements on Page 12
<PAGE> 96
LIQUID ASSETS PORTFOLIO 9
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
================================================================================
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 27.63%
- --------------------------------------------------------------------------------
$ 35,000,000 Abbey National Bank, 5.68%,
3/14/96 $ 35,001,150
- --------------------------------------------------------------------------------
ABN Amro Bank:
25,000,000 5.58%, 5/28/96 25,013,882
10,000,000 5.52%, 6/19/96 10,003,601
- --------------------------------------------------------------------------------
22,000,000 American Express Centurion Bank,
5.82%, 1/11/96 21,999,905
- --------------------------------------------------------------------------------
40,000,000 Bank of Tokyo, 5.85%, 2/12/96 39,998,481
- --------------------------------------------------------------------------------
50,000,000 Canadian Imperial Bank of
Commerce, 5.80%, 1/19/96 50,000,000
- --------------------------------------------------------------------------------
29,400,000 Commerz Bank, 5.83%, 1/22/96 29,403,055
- --------------------------------------------------------------------------------
5,000,000 Deutsche Bank, 5.64%, 3/11/96 5,000,685
- --------------------------------------------------------------------------------
National Westminister Bank:
20,000,000 5.70%, 2/16/96 20,001,801
35,000,000 5.72%, 2/16/96 34,999,799
- --------------------------------------------------------------------------------
Societe Generale:
50,000,000 5.58%, 4/25/96 49,996,056
3,000,000 5.75%, 10/17/96 3,004,517
- --------------------------------------------------------------------------------
30,000,000 Toronto-Dominion Bank, 5.64%,
4/2/96 30,000,000
- --------------------------------------------------------------------------------
Wachovia Bank of North Carolina:
30,000,000 5.80%, 1/9/96 29,999,836
25,000,000 5.72%, 1/17/96 25,000,473
- --------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $409,423,241) $ 409,423,241
================================================================================
COMMERCIAL PAPER - 46.41%
- --------------------------------------------------------------------------------
$ 25,000,000 Abbey National North America,
5.58%, 3/14/96 $ 24,717,125
- --------------------------------------------------------------------------------
20,000,000 Banco Bilbao Vizcaya, 5.71%,
2/5/96 19,888,972
- --------------------------------------------------------------------------------
10,000,000 Bank of America, 5.28%, 6/5/96 9,771,200
- --------------------------------------------------------------------------------
50,000,000 Bank of Austria, 5.69%, 2/8/96 49,699,695
- --------------------------------------------------------------------------------
50,000,000 Caisse des Depots et Consignations,
5.80%, 1/11/96 49,919,444
- --------------------------------------------------------------------------------
25,000,000 Ciesco, 5.67%, 2/28/96 24,771,625
- --------------------------------------------------------------------------------
17,000,000 Daimler Benz North American,
5.78%, 1/30/96 16,920,846
- --------------------------------------------------------------------------------
General Electric Capital:
20,000,000 5.81%, 1/18/96 19,945,128
40,000,000 5.70%, 2/12/96 39,734,000
- --------------------------------------------------------------------------------
25,000,000 Internationale Nederlanden Bank,
5.46%, 3/25/96 24,681,500
- --------------------------------------------------------------------------------
10,000,000 Manitoba Hydro-Electric Board,
5.47%, 3/22/96 9,876,925
- --------------------------------------------------------------------------------
30,000,000 McKenna Triangle, 5.80%,
1/25/96 29,884,000
- --------------------------------------------------------------------------------
28,000,000 Monte dei Paschi di Siena,
5.70%, 2/16/96 27,796,067
- --------------------------------------------------------------------------------
50,000,000 Morgan Stanley, 6.00%,
1/5/96 49,966,667
- --------------------------------------------------------------------------------
48,000,000 National Australia Funding,
5.00%, 6/14/96 46,812,000
- --------------------------------------------------------------------------------
17,000,000 Pacific Gas &Electric, 5.65%,
1/26/96 16,933,299
- --------------------------------------------------------------------------------
1,750,000 Panasonic Finance, 5.60%, 2/14/96 1,738,022
- --------------------------------------------------------------------------------
24,600,000 Philip Morris, 6.20%, 1/2/96 24,595,763
- --------------------------------------------------------------------------------
60,000,000 Prudential Funding, 6.054%,
1/2/96 60,000,000
- --------------------------------------------------------------------------------
Receivables Capital:
21,168,000 5.82%, 1/24/96 21,089,290
29,715,000 5.82%, 1/25/96 29,599,706
- --------------------------------------------------------------------------------
25,000,000 Riverwoods Funding, 5.70%,
2/13/96 24,829,792
- --------------------------------------------------------------------------------
40,450,000 Sheffield Receivables, 5.72%,
2/21/96 40,122,220
- --------------------------------------------------------------------------------
24,350,000 Siemens, 5.78%, 1/29/96 24,240,533
- --------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $687,533,819) $ 687,533,819
================================================================================
EURODOLLAR TIME DEPOSITS - 21.17%
- --------------------------------------------------------------------------------
$ 8,000,000 Bank of Tokyo, 6.156%, 1/10/96 $ 8,000,000
- --------------------------------------------------------------------------------
30,000,000 Berliner Handles-und Franfurler
Bank, 4.25%, 1/2/96 30,000,000
- --------------------------------------------------------------------------------
75,661,511 Commerz Bank, 3.50%, 1/2/96 75,661,511
- --------------------------------------------------------------------------------
50,000,000 Mellon Bank, 5.937%, 1/2/96 50,000,000
- --------------------------------------------------------------------------------
50,000,000 Mitsubishi Bank, 5.83%, 3/15/96 50,000,000
- --------------------------------------------------------------------------------
60,000,000 Royal Bank of Canada, 5.50%,
1/2/96 60,000,000
- --------------------------------------------------------------------------------
40,000,000 Sanwa Bank, 5.94%, 2/15/96 40,000,000
- --------------------------------------------------------------------------------
TOTAL TIME DEPOSITS
(Amortized Cost $313,661,511) $ 313,661,511
================================================================================
UNITED STATES TREASURY BILLS - .66%
- --------------------------------------------------------------------------------
$ 10,000,000 5.17%, 6/6/96
(Amortized Cost $9,774,531) $ 9,774,531
================================================================================
TOTAL INVESTMENTS
(Amortized Cost $1,420,393,102) 95.87% $1,420,393,102
- --------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 4.13 61,195,926
- --------------------------------------------------------------------------------
NET ASSETS 100.00% $1,481,589,028
================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 97
INSTITUTIONAL LIQUID ASSETS FUND 10
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as a business trust under
the laws of the Commonwealth of Massachusetts. The Institutional Liquid Assets
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 11, 1995. The Fund invests substantially all of its assets in the
Liquid Assets Portfolio (the "Portfolio"). The Portfolio is an open-end
management investment company registered under the Act. The Fund seeks to
achieve its investment objective by investing all of its investable assets in
the Portfolio. The value of such investment in the Portfolio reflects the
Fund's proportionate interest in the net assets of the Portfolio. At December
31, 1995, the Fund's investment was approximately 100% 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 and pay 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. 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 the Trust's funds are allocated
among them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
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 period December 11, 1995 (commencement of operations) to December 31,
1995, this fee aggregated $38,038.
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 period
December 11, 1995 (commencement of operations) to December 31, 1995, there were
no reimbursable expenses incurred under this agreement.
Bankers Trust voluntarily agreed to limit all expenses of the Fund to 0.05 of
1% of the average daily net assets of the Fund, excluding the Portfolio's
expenses, and 0.16 of 1% of the average daily net assets of the Fund, including
the Portfolio's expenses. Bankers Trust voluntarily decided to waive and
reimburse all the expenses of the Fund for the period December 11, 1995
(commencement of operations) to December 31, 1995. Such expenses amounted to
$526,169.
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.
<PAGE> 98
INSTITUTIONAL LIQUID ASSETS FUND 11
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders
of BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Institutional Liquid Assets Fund (one of the funds comprising BT Institutional
Funds) as of December 31, 1995, and the related statements of operations,
changes in net assets, and the financial highlights for the period December 11,
1995 (commencement of operations) to December 31, 1995. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Institutional Liquid Assets Fund of BT Institutional Funds as of December 31,
1995, the results of its operations, the changes in its net assets, and the
financial highlights for the period referred to above, in conformity with
generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
<PAGE> 99
LIQUID ASSETS PORTFOLIO 12
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Liquid Assets 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 commenced operations on June 7,
1993, as an unincorporated trust under the laws of New York. The Declaration of
Trust permits the Board of Trustees (the "Trustees") to issue beneficial
interests in the Portfolio.
On September 15, 1995, the Portfolio temporarily suspended its operations due
to a withdrawal of investments by BT Investment Liquid Assets Fund. On December
11, 1995, the Portfolio resumed its operations as a result of an investment
made by the Institutional Liquid Assets Fund.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. Security Transactions and 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 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 agreements must have an aggregate
market value greater than or equal to the repurchase price plus accrued
interest at all times. If the value of the underlying securities falls below
the value of the repurchase price plus accrued interest, the Portfolio will
require the seller to deposit additional collateral by the next business day.
If the request for additional collateral is not met, or the seller defaults on
its repurchase obligation, the Portfolio maintains the right to sell the
underlying securities at market value and may claim any resulting loss against
the seller.
D. Investment Income
The Portfolio determines its net investment income on each valuation day and
allocates all such income as well as any realized gains and losses from
security transactions pro rata among the investors in the Portfolio at the time
of such determination.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1995, this fee aggregated $42,568.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31, 1995,
this fee aggregated $127,704.
From January 1, 1995 to December 10, 1995 Bankers Trust has voluntarily agreed
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. From December 11, 1995 to December 31, 1995 Bankers Trust has
voluntarily agreed to waive and reimburse expenses of the Portfolio, to the
extent necessary, to limit all expenses to 0.11 of 1% of the average daily net
assets of the Portfolio. For the period December 11, 1995 to December 31, 1995
Bankers Trust has agreed to waive all expenses incurred by the Portfolio. For
the period January 1, 1995 to December 31, 1995 (see Note 1A), expenses of the
Portfolio have been reduced by $178,381.
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> 100
LIQUID ASSETS PORTFOLIO 13
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial
Interest of the Liquid Assets Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Liquid Assets Portfolio, including the schedule of portfolio investments, as of
December 31, 1995, and the related statement of operations for the period
January 1, 1995 to September 14, 1995 and December 11, 1995 to December 31,
1995, the statements of changes in net assets for the period January 1, 1995 to
September 14, 1995 and December 11, 1995 to December 31, 1995 and the year
ended December 31, 1994, and the financial highlights for the period January 1,
1995 to September 14, 1995 and December 11, 1995 to December 31, 1995, the year
ended December 31, 1994, and for the period June 7, 1993 (commencement of
operations) to December 31, 1993. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Liquid Assets Portfolio as of December 31, 1995, the results of its operations,
the changes in its net assets, and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 13, 1996
