<PAGE>
- B T I N S T I T U T I O N A L F U N D S -
INSTITUTIONAL CASH MANAGEMENT FUND
SEMI-ANNUAL REPORT
-------------------------------------------------------------
JUNE - 1996
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL CASH MANAGEMENT FUND
TABLE OF CONTENTS
- ----------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................... 3
INSTITUTIONAL CASH MANAGEMENT FUND
Statement of Assets and Liabilities................................... 5
Statement of Operations............................................... 5
Statements of Changes in Net Assets................................... 6
Financial Highlights.................................................. 6
Notes to Financial Statements......................................... 7
CASH MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments..................................... 8
Statement of Assets and Liabilities................................... 11
Statement of Operations............................................... 11
Statements of Changes in Net Assets................................... 12
Financial Highlights.................................................. 12
Notes to Financial Statements......................................... 13
</TABLE>
2
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL CASH MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- ----------------------------------------------------------------------
We are pleased to present you with this newly-designed semi-annual report
for the BT Institutional Cash Management Fund, providing a more detailed review
of the
market, the portfolio, and our outlook -- all in an
easier-to-read format. Of course, we continue to include a
complete financial summary of the Fund's operations and a
listing of the Portfolio's holdings.
Through purchase of high quality instruments, flexibility
to adjust maturities, and active market analysis, the manager
of the BT Institutional Cash Management Fund ("the Fund) was
able to use the volatility in interest rates over the six
months ended June 30, 1996 to the Fund's advantage and
produce competitive yields. In fact, the Fund's annualized
7-day effective yield of 5.30% as of June 25, 1996, was
higher than the 5.17% yield of the IBC First
Tier-Institutional Only Money Funds average.
- --------------------------------------------------------------------------
INVESTMENT
INSTRUMENTS
Bank obligations,
commercial paper,
U.S. Treasury
obligations and
repurchase
agreements
collateralized by U.S.
Treasury obligations.
OBJECTIVE
Seeks high current
income consistent
with liquidity and
preservation
of capital.
- --------------------------------------------------------------------------
MARKET ACTIVITY
In contrast to the strong rally of 1995, the first half of 1996 saw
perceptions of economic activity shift and rates increase dramatically in the
fixed income markets in general and the money markets in particular.
In January, the Federal Reserve Board cut rates by 25
basis points (100 basis points = one percentage point),
leading to general market expectations of a near-term
recession that would drive interest rates even lower. What happened instead was
that the huge 705,000 increase in non-farm payrolls in February, i.e. the
biggest job gain in 13 years, put to rest any belief that the economy was poised
to enter a recessionary period. Overnight, the short-term fixed income market
was re-priced to reflect the expectation of the Fed keeping interest rates
steady.
- --------------------------------------------------------------------------
RATINGS
S&P: AAAm
Moody's: AAA
- -----------------------------------------------
There was no change in monetary policy. However, when this surprising
employment data was released, along with evidence of a slowly but steadily
accelerating economy, interest rates began to go up across the yield curve, as
market participants re-evaluated economic fundamentals and security valuations.
The shorter end of the yield curve felt the impact of this dramatic
turnaround. For example, 1-year U.S. Treasury rates increased approximately 50
basis points from mid-February to mid-March, and 2-year U.S. Treasuries backed
up even more, increasing approximately 86 basis points over the same period.
From that point through the end of the semi-annual period, with some
fluctuations, the yield curve remained relatively flat.
Still, during the second quarter, interest rates continued to rise based on
fears of a stronger-than-anticipated economy and possible tightening by the
Federal Reserve. Consumer spending was bolstered by continued improvement in
employment, rising incomes, and low inflation. Housing starts held up
surprisingly well, despite increased mortgage rates.
INVESTMENT REVIEW
Overall, the semi-annual period started on a rather bullish note for the
money markets, quickly became uncertain, and ended with the Fund in a more
bearish, defensive position. More specifically, the Fund started the year with a
bias toward easing. We then shifted to neutral in February. In March, we
adjusted the Fund's average maturity to well below normal levels and kept it
there during the second quarter. The Fund's maturity positioning added value
throughout the semi-annual period.
3
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL CASH MANAGEMENT FUND
- --------------------------------------------------------------------------------
- --------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE JUNE 30, 1996 (UNAUDITED)
(PERCENTAGES ARE BASED ON MARKET VALUE)
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Commercial Paper 47.17%
Certificates of
Deposit 24.22%
Floating Rate Notes 3.62%
Repurchase Agreement 5.58%
Eurodollar Time
Deposits 19.41%
</TABLE>
With the perception over the last quarter that the next
move in interest rates should be higher, we also began
purchasing high quality, floating rate notes. Our current
strategy is to maintain a large cash position to reinvest at
higher yields and to continue to purchase floaters if the
opportunities present themselves.
- --------------------------------------------------------------------------
STATUS AT
JUNE 30, 1996
(UNAUDITED)
Seven day effective
yield: 5.32%
Average maturity:
31 days
Net Assets:
$1,254.7
- --------------------------------------------------------------------------
LOOKING AHEAD
The wisdom of the Fund's cautious strategy was confirmed in early July, as
the June unemployment figures were again stronger than expected. The most
disturbing aspect of this new data was a nine cent increase in hourly wages, the
sharpest monthly jump since 1965.
As the economy continues to perk along, wage increases are expected to
gradually accelerate and push inflation a bit higher. This, in turn, would keep
upward pressure on interest rates. The Federal Reserve Board maintained its
5.25% Federal Funds rate at their June meeting, but persisting economic
strength, moderate though it may be, suggests that a 25 basis point increase is
likely between now and the end of August.
We will, of course, continue to closely observe economic conditions and how
they affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
* * *
We value your ongoing support of the BT Institutional Cash Management Fund
and look forward to continuing to serve your investment needs in the years
ahead.
[SIG]
John Burgess
PORTFOLIO MANAGER OF THE
CASH MANAGEMENT PORTFOLIO
June 30, 1996
4
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL CASH MANAGEMENT FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE, 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Cash Management Portfolio, at Value............ $1,255,164,648
Prepaid Expenses............................................. 17,063
--------------
Total Assets..................................................... 1,255,181,711
--------------
LIABILITIES
Due to Bankers Trust......................................... 5,393
Dividends Payable............................................ 441,714
--------------
Total Liabilities................................................ 447,107
--------------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of
Shares of Beneficial Interest Authorized)...................... $1,254,734,604
--------------
--------------
SHARES OUTSTANDING............................................... 1,255,316,449
--------------
--------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE................... $ 1.00
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................. $1,255,316,449
Accumulated Net Realized Loss from Investment Transactions... (581,845)
--------------
NET ASSETS, JUNE 30, 1996........................................ $1,254,734,604
--------------
--------------
</TABLE>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Cash Management Portfolio, net......... $29,207,847
-----------
EXPENSES
Administration and Services.................................. 276,620
Shareholders Reports......................................... 15,058
Registration................................................. 26,757
Professional................................................. 4,109
Trustees..................................................... 3,119
Miscellaneous................................................ 6,198
-----------
Total Expenses............................................... 331,861
Less: Expenses Absorbed by Bankers Trust..................... (55,241)
-----------
Net Expenses............................................... 276,620
-----------
NET INVESTMENT INCOME............................................ 28,931,227
-----------
NET REALIZED GAIN ON INVESTMENT TRANSACTIONS..................... 19,505
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS....................... $28,950,732
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 7
5
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL CASH MANAGEMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
JUNE 30, 1996 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
-------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income.................... $ 28,931,227 $ 37,475,722
Net Realized Gain from Investment
Transactions............................ 19,505 69,289
-------------- -----------------
Net Increase in Net Assets from Operations... 28,950,732 37,545,011
-------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income.................... (28,931,227) (37,475,722)
-------------- -----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase from Transactions in Shares
of Beneficial Interest................. 243,747,577 346,656,622
-------------- -----------------
CONTRIBUTION OF CAPITAL
Proceeds Contributed..................... 93,110 --
-------------- -----------------
TOTAL INCREASE IN NET ASSETS................. 243,860,192 346,725,911
NET ASSETS
Beginning of Period.......................... 1,010,874,412 664,148,501
-------------- -----------------
End of Period................................ $1,254,734,604 $1,010,874,412
-------------- -----------------
-------------- -----------------
</TABLE>
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for each of the
periods indicated for the Institutional Cash Management Fund.
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS
ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1996 -----------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................... 0.03 0.06 0.04 0.03 0.04
Net Realized Gain (Loss) from Investment
Transactions............................ 0.00+ 0.00+ (0.01) 0.00+ 0.00+
----------- ----------- ----------- ----------- -----------
Total from Investment Operations............. 0.03 0.06 0.03 0.03 0.04
----------- ----------- ----------- ----------- -----------
CONTRIBUTION OF CAPITAL...................... 0.00+ -- 0.01 -- --
----------- ----------- ----------- ----------- -----------
DISTRIBUTION TO SHAREHOLDERS
Net Investment Income.................... (0.03) (0.06) (0.04) (0.03) (0.04)
Net Realized Gain from Investment
Transactions............................ -- -- -- (0.00)+ (0.00)+
----------- ----------- ----------- ----------- -----------
Total Distributions.......................... (0.03) (0.06) (0.04) (0.03) (0.04)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
TOTAL INVESTMENT RETURN...................... 2.63%** 5.89% 4.18%++ 3.05% 3.58%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)................................ $1,254,735 $ 1,010,874 $ 664,149 $ 1,850,222 $ 1,334,517
Ratios to Average Net Assets
Net Investment Income.................. 5.23%* 5.72% 3.98% 3.01% 3.48%
Expenses, including Expenses of the
Cash Management Portfolio............. 0.23%* 0.23% 0.23% 0.25% 0.25%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust......................... 0.03%* 0.04% 0.03% 0.02% 0.04%
</TABLE>
- ------------------
* Annualized
** The Contribution of Capital had no impact on the Total Investment Return.
+ Less than $0.01 per share
++ Increased by 0.91% due to Contribution of Capital.
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 7
6
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL CASH MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Institutional Funds ("the Trust") is registered under the Investment Company
Act of 1940 ("the Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as a business trust under
the laws of the Commonwealth of Massachusetts. The Institutional Cash Management
Fund (the "Fund") is one of the funds offered to investors by the Trust. The
Fund commenced operations and began offering shares of beneficial interest on
July 25, 1990. The Fund invests substantially all of its assets in the Cash
Management Portfolio (the "Portfolio"). The Portfolio is an open-end management
investment company registered under the Act. The Fund seeks to achieve its
investment objective by investing all of its investable assets in the Portfolio.
The value of such investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. At June 30, 1996, the Fund's
investment was approximately 36% of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. DIVIDENDS
It is the Fund's policy to declare dividends daily and pay monthly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date, 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 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 six months ended June 30, 1996, this fee aggregated $276,620.
The Trust has entered into a Distribution Agreement with Signature Broker-Dealer
Services, Inc. ("Signature"). Under the Distributions Agreement with the Trust,
pursuant to Rule 12b-1 of the 1940 Act, Signature may seek reimbursement, at an
annual rate not exceeding 0.10 of 1% of the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the six months ended June 30, 1996, there
were no reimbursable expenses incurred under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.05 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.23% of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended June 30, 1996, expenses of the Fund have
been reduced by $55,241.
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 imposed expense limitation 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 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 Statements of Changes in Net Assets for
the year ended December 31, 1994 and for the six months ended June 30, 1996,
reflects its pro rata share of the Portfolio's realized loss on the sale of
these securities and capital contributions in the amount of $5,215,181 and
$93,110, respectively.
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
$709,997, which will expire in 2002.
NOTE 4 -- SHARES OF BENEFICIAL INTEREST
At June 30, 1996, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED DECEMBER
JUNE 30, 1996 31,
(UNAUDITED) 1995
--------------- ---------------
<S> <C> <C>
Sold................. $ 9,484,740,798 $ 9,449,379,844
Reinvested........... 25,149,241 29,013,898
Redeemed............. (9,266,142,462) (9,131,737,120)
--------------- ---------------
Net Increase......... $ 243,747,577 $ 346,656,622
--------------- ---------------
--------------- ---------------
</TABLE>
7
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------- --------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT - 24.88%
ABN Amro Bank:
$ 20,000,000 5.06%, 8/23/96........... $ 20,000,287
25,000,000 5.14%, 9/05/96........... 25,000,000
Bank of Montreal:
50,000,000 5.32%, 7/26/96........... 50,000,000
50,000,000 5.37%, 8/05/96........... 50,000,443
24,500,000 5.438%, 9/03/96.......... 24,500,000
35,000,000 Banque Nationale de
Paris,
5.34%, 7/17/96......... 34,999,653
Bayerische Hypotheka:
25,000,000 5.39%, 8/05/96........... 25,000,322
25,000,000 5.36%, 8/05/96........... 25,000,000
25,000,000 5.44%, 8/12/96........... 25,000,265
Bayerische Vereinsbank:
25,000,000 5.36%, 7/03/96........... 24,999,937
30,000,000 5.33%, 7/12/96........... 30,000,062
1,000,000 5.35%, 9/03/96........... 999,784
Canadian Imperial Bank:
30,000,000 5.45%, 7/25/96........... 30,000,000
25,000,000 5.41%, 8/23/96........... 25,000,000
30,000,000 Commerzbank,
5.37%, 7/22/96......... 30,000,174
Deutsche Bank:
18,000,000 5.37%, 7/11/96........... 18,000,101
20,000,000 5.05%, 8/27/96........... 20,000,000
24,000,000 5.52%, 10/25/96.......... 24,000,747
National Westminster
Bank:
13,500,000 5.36%, 7/10/96........... 13,500,067
25,000,000 5.40%, 8/21/96........... 25,000,000
12,000,000 5.39%, 9/10/96........... 11,997,860
21,500,000 NBD Bank,
5.42%, 8/19/96......... 21,500,580
35,000,000 Rabobank,
5.37%, 8/05/96......... 35,000,337
Sanwa Bank:
10,000,000 5.42%, 7/08/96........... 9,999,958
25,000,000 5.46%, 7/08/96........... 25,000,048
20,000,000 5.49%, 7/29/96........... 20,000,155
Societe Generale:
35,000,000 5.33%, 7/02/96........... 34,999,998
30,000,000 5.36%, 7/09/96........... 30,000,000
20,000,000 5.35%, 7/15/96........... 20,000,117
20,500,000 5.47%, 9/05/96........... 20,500,742
Sumitomo Bank:
22,000,000 5.42%, 7/02/96........... 22,000,000
9,000,000 5.44%, 7/03/96........... 8,999,979
12,000,000 5.48%, 7/24/96........... 12,000,076
25,000,000 Union Bank of
Switzerland,
5.30%, 10/16/96........ 25,002,800
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------- --------------
<C> <S> <C>
$ 50,000,000 Wachovia Bank,
5.33%, 7/18/96......... $ 49,999,239
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost - $868,003,731).... $ 868,003,731
--------------
*COMMERCIAL PAPER - 48.45%
40,000,000 Abbey National Bank of
North America,
5.31%, 8/09/96......... 39,769,900
50,000,000 Abbot Laboratories,
5.29%, 7/19/96......... 49,867,750
25,000,000 ABN Amro Bank,
5.05%, 10/11/96........ 24,642,291
Asset Securitization
Cooperative Corp.:
20,000,000 5.28%, 7/31/96........... 19,912,000
25,000,000 5.37%, 8/09/96........... 24,854,562
18,000,000 Associates Corp.,
5.40%, 7/26/96......... 17,932,500
25,000,000 Banco Bilbao Vizcaya,
5.30%, 8/05/96......... 24,871,180
10,000,000 Bank of America,
5.19%, 7/08/96......... 9,989,908
19,500,000 Barclays,
5.28%, 8/22/96......... 19,351,280
20,000,000 B.A.T. Capital Corp.,
5.35%, 7/15/96......... 19,958,389
25,000,000 BHF Finance Delaware
Inc.,
5.32%, 7/05/96......... 24,985,222
BTR Dunlop:
27,460,000 5.27%, 7/08/96........... 27,431,861
25,000,000 5.33%, 8/06/96........... 24,866,750
25,000,000 5.41%, 9/04/96........... 24,755,798
18,000,000 5.42%, 9/04/96........... 17,823,850
30,000,000 Corporate Asset Funding
Co., Inc.,
5.31%, 8/09/96......... 29,827,425
25,000,000 Caisse des Amortissement
de La Dette Sociale,
5.37%, 8/21/96......... 24,809,812
Caisse des Depots et
Consignations:
23,000,000 5.30%, 7/08/96........... 22,976,297
20,000,000 5.35%, 7/23/96........... 19,934,611
30,000,000 5.34%, 7/26/96........... 29,888,750
25,000,000 5.30%, 8/02/96........... 24,882,222
60,000,000 Commerzbank,
5.27%, 7/01/96......... 60,000,000
Daimler Benz North
America Corp.:
23,500,000 5.28%, 7/09/96........... 23,472,426
20,000,000 5.26%, 8/16/96........... 19,865,577
10,207,000 5.47%, 11/07/96.......... 10,006,934
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 13
8
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------- --------------
<C> <S> <C>
$ 10,000,000 Delaware Funding Corp.,
5.37%, 7/15/96......... $ 9,979,116
Dupont:
38,000,000 5.32%, 7/12/96........... 37,938,229
17,115,000 5.34%, 7/24/96........... 17,056,609
12,200,000 Eksportfinans,
5.30%, 9/18/96......... 12,058,107
20,000,000 European Investment Bank,
5.30%, 7/29/96......... 19,917,555
11,150,000 Ford Motor Credit Co.,
5.42%, 8/22/96......... 11,062,708
19,000,000 Gannett Inc.,
5.33%, 7/19/96......... 18,949,365
General Electric Capital
Corporation:
20,000,000 5.27%, 7/16/96........... 19,956,083
25,000,000 5.27%, 8/26/96........... 24,795,055
2,000,000 5.39%, 8/27/96........... 1,982,931
General Electric Capital
Services:
20,000,000 5.32%, 7/09/96........... 19,976,355
25,000,000 4.92%, 7/10/96........... 24,969,250
20,000,000 General Electric Company,
5.34%, 7/16/96......... 19,955,500
Goldman Sachs Group L.P.:
40,000,000 5.33%, 7/11/96........... 39,940,777
25,000,000 5.33%, 8/05/96........... 24,870,451
International Lease
Finance:
15,000,000 5.31%, 8/05/96........... 14,922,562
30,000,000 5.31%, 8/08/96........... 29,831,850
6,600,000 KFW International Finance
Inc.,
5.27%, 7/24/96......... 6,577,778
Kingdom of Sweden:
35,000,000 4.97%, 7/01/96........... 35,000,000
1,431,000 5.31%, 8/22/96........... 1,420,024
30,000,000 5.00%, 8/30/96........... 29,750,000
10,500,000 5.27%, 10/18/96.......... 10,332,457
10,000,000 5.46%, 11/27/96.......... 9,775,533
30,000,000 5.47%, 11/27/96.......... 29,320,808
McKenna Triangle National
Corp.:
22,000,000 5.31%, 8/06/96........... 21,883,180
25,000,000 5.32%, 8/16/96........... 24,830,056
Merill Lynch:
20,000,000 5.30%, 7/11/96........... 19,970,555
43,500,000 5.28%, 7/26/96........... 43,340,500
Monte dei Pashi di Siena:
20,000,000 5.32%, 7/11/96........... 19,970,444
8,000,000 5.40%, 8/16/96........... 7,944,800
Morgan Stanley Group
Inc.:
25,000,000 5.29%, 7/10/96........... 24,966,937
40,000,000 5.32%, 7/12/96........... 39,934,977
12,000,000 5.33%, 7/12/96........... 11,980,456
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------- --------------
<C> <S> <C>
$ 10,000,000 5.29%, 7/16/96........... $ 9,977,958
35,000,000 5.06%, 8/02/96........... 34,842,577
National Rural Utility
Cooperative Financial
Corp.:
20,000,000 5.29%, 7/19/96........... 19,947,100
10,000,000 5.30%, 7/26/96........... 9,963,194
25,000,000 NationsBank of North
Carolina,
5.31%, 8/05/96......... 24,870,937
17,150,000 Norfolk Southern Corp.,
5.35%, 8/20/96......... 17,022,565
Norwest Corp.:
25,000,000 5.30%, 8/05/96........... 24,871,180
20,000,000 5.37%, 8/19/96........... 19,853,816
40,000,000 5.35%, 8/20/96........... 39,702,778
Pacific Dunlop Holdings
Inc.:
13,500,000 5.35%, 7/09/96........... 13,483,950
10,000,000 5.40%, 7/30/96........... 9,956,500
5,500,000 Pitney Bowes Credit
Corp.,
5.05%, 10/11/96........ 5,421,304
20,000,000 Province de Quebec,
5.18%, 7/12/96......... 19,968,344
24,000,000 Prudential Funding Corp,
5.33%, 7/08/96......... 23,975,127
Receivables Capital
Corp.:
10,045,000 5.33%, 7/03/96........... 10,042,026
2,000,000 5.40%, 8/12/96........... 1,987,400
12,000,000 5.38%, 8/16/96........... 11,917,507
14,000,000 Riverwoods Funding Corp,
5.28%, 7/12/96......... 13,977,413
14,000,000 TDK USA Corp.,
5.35%, 7/22/96......... 13,956,308
30,000,000 USAA Capital Corp.,
5.30%, 8/08/96......... 29,832,167
12,313,000 USL Captial,
5.35%, 7/16/96......... 12,285,552
1,000,000 Weyerhauser Mortgage Co.,
5.40%, 9/06/96......... 989,950
--------------
TOTAL COMMERCIAL PAPER
(Amortized Cost -
$1,690,683,956)...................... $1,690,683,956
--------------
EURODOLLAR TIME DEPOSIT - 19.94%
100,000,000 Abbey National,
5.563%, 7/01/96........ 100,000,000
ABN Amro Bank:
25,000,000 5.39%, 7/01/96........... 25,000,000
20,000,000 5.25%, 7/29/96........... 20,000,000
25,000,000 Banco Bilbao Vizcaya,
5.375%, 8/27/96........ 25,000,000
40,000,000 Bank of America Corp.,
5.40%, 9/03/96......... 40,000,000
15,000,000 Bank of Scotland,
5.438%, 9/03/96........ 15,000,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 13
9
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------- --------------
<C> <S> <C>
$ 45,000,000 Bank of Nova Scotia,
5.50%, 7/02/96......... $ 45,000,000
Bank of Tokyo-Mitsubishi
Limited:
25,000,000 5.48%, 7/17/96........... 25,000,000
25,000,000 5.50%, 7/31/96........... 25,000,000
24,000,000 5.594%, 9/20/96.......... 24,000,000
15,000,000 Banque Bruxelles Lambert,
5.1562%, 8/30/96....... 15,000,000
100,737,198 Canadian Imperial Bank,
5.375%, 7/01/96........ 100,737,198
20,000,000 Dresdner Bank,
5.50%, 9/18/96......... 20,000,000
30,000,000 Generale Bank,
5.375%, 7/03/96........ 30,000,000
22,000,000 J. P. Morgan & Company,
5.01%, 8/19/96......... 21,985,603
30,000,000 Rabobank,
5.375%, 7/02/96........ 30,000,000
25,000,000 Sanwa Bank,
5.48%, 7/24/96......... 25,000,000
109,000,000 Suntrust,
5.375%, 7/01/96........ 109,000,000
--------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost - $695,722,801).... $ 695,722,801
--------------
FLOATING RATE NOTES - 3.73%
American Express
Centurion Bank:
20,000,000 Variable Rate Monthly,
5.427%, 6/10/97........ 20,000,000
Bayerische Landesbank:
25,000,000 Variable Rate Monthly,
5.366%, 1/15/97........ 24,990,250
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------------------------------- --------------
<C> <S> <C>
General Electric Capital
Corporation:
$ 15,000,000 Variable Rate Quarterly,
5.50%, 12/17/96........ $ 15,000,000
Student Loan Marketing
Association:
25,000,000 Variable Rate Weekly,
5.43%, 9/28/98......... 24,994,393
Wachovia Bank of North
Carolina:
20,000,000 Variable Rate Monthly,
5.332%, 3/03/97........ 20,000,000
25,000,000 Variable Rate Monthly,
5.355%, 4/25/97........ 24,981,091
--------------
TOTAL FLOATING RATE NOTES
(Amortized Cost - $129,965,734).... $ 129,965,734
--------------
REPURCHASE AGREEMENTS -
5.73%
200,000,000 Tri-Party Repurchase
Agreement with Chase
Securities, Dated
6/28/96, 5.43%,
Principal and Interest
in the amount of
$200,090,500 due 7/1/98
(Collateralized by
Federal National
Mortgage Association
Obligations, Par Value
of $217,443,920, 6.50%
to 11.00% maturing
12/1/97 to 8/1/26,
Value of $204,003,818)
(Amortized Cost -
$200,000,000).......... $ 200,000,000
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Amortized Cost -
$3,584,376,222).......... 102.73% $3,584,376,222
Liabilities in Excess of
Other Assets............. (2.73)% (95,120,542)
------- --------------
NET ASSETS................. 100.00% $3,489,255,680
------- --------------
------- --------------
</TABLE>
- ------------------
* Discount Rate
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 13
10
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value............................................................... $3,584,376,222
Interest Receivable................................................................. 8,397,876
Prepaid Expenses and Other.......................................................... 12,238
--------------
Total Assets............................................................................ 3,592,786,336
--------------
LIABILITIES
Due to Bankers Trust................................................................ 398,314
Payable for Securities Purchased.................................................... 103,101,008
Accrued Expenses and Other.......................................................... 31,334
--------------
Total Liabilities....................................................................... 103,530,656
--------------
NET ASSETS.............................................................................. $3,489,255,680
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital..................................................................... $3,489,255,680
--------------
NET ASSETS, JUNE 30, 1996............................................................... $3,489,255,680
--------------
--------------
</TABLE>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest............................................................................ $ 85,822,636
--------------
EXPENSES
Advisory............................................................................ 2,364,512
Administration and Services......................................................... 788,171
Professional........................................................................ 14,958
Trustees............................................................................ 1,405
Shareholders Reports................................................................ 650
Miscellaneous....................................................................... 29,551
--------------
Total Expenses...................................................................... 3,199,247
Less: Expenses Absorbed by Bankers Trust............................................ (361,832)
--------------
Net Expenses...................................................................... 2,837,415
--------------
NET INVESTMENT INCOME................................................................... 82,985,221
--------------
NET REALIZED GAIN ON INVESTMENT TRANSACTIONS............................................ 49,300
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS.............................................. $ 83,034,521
--------------
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 13
11
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
JUNE 30, 1996 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
--------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net Investment Income.................................................. $ 82,985,221 $ 148,091,392
Net Realized Gain from Investment Transactions......................... 49,300 268,537
--------------- -----------------
Net Increase in Net Assets from Operations................................. 83,034,521 148,359,929
--------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested......................................... 9,736,277,619 35,062,532,338
Value of Capital Withdrawn............................................. (8,947,102,165) (35,329,985,394)
--------------- -----------------
Net Increase (Decrease) in Net Assets from Capital Transactions............ 789,175,454 (267,453,056)
--------------- -----------------
CONTRIBUTION OF CAPITAL
Proceeds Contributed................................................... 1,113,488 --
--------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................................... 873,323,463 (119,093,127)
NET ASSETS
Beginning of Period........................................................ 2,615,932,217 2,735,025,344
--------------- -----------------
End of Period.............................................................. $ 3,489,255,680 $ 2,615,932,217
--------------- -----------------
--------------- -----------------
</TABLE>
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Cash Management Portfolio.
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
JUNE 30, FOR THE YEAR ENDED DECEMBER 31,
1996 --------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992
------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted).................................. $3,489,256 $ 2,615,932 $ 2,735,025 $ 1,930,075 $ 1,438,688
Ratios to Average Net Assets
Net Investment Income.................... 5.26%* 5.77% 4.24% 3.06% 3.52%
Expenses................................. 0.18%* 0.18% 0.18% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses by Bankers
Trust................................... 0.02%* 0.02% 0.02% 0.00%+ 0.00%+
</TABLE>
- ----------------
* Annualized
+ Less than 0.01% per share
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 13
12
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990 as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investment.
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 Advisers, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value an 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 six months ended June 30, 1996, this fee aggregated
$788,171.
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 six months ended June 30, 1996,
this fee aggregated $2,364,512.
Bankers Trust has voluntarily undertaken to waive and reimbursement expenses of
the Portfolio, to the extent necessary, to limit all expenses to 0.18 of 1% of
the average daily net assets of the Portfolio. For the six months ended June 30,
1996, expenses of the Portfolio have been reduced by $361,832.
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 Statements of Changes in Net Assets
for the year ended December 31, 1994 and for the six months ended June 30, 1996
reflect a realized loss on the sale of these securities and a capital
contribution in the amount of $18,718,663 and $1,113,488, respectively.
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.
13
<PAGE>
BT INSTITUTIONAL FUNDS
INSTITUTIONAL CASH MANAGEMENT FUND
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
