BT INSTITUTIONAL FUNDS, N-30D, 1996-08-23

BT INSTITUTIONAL FUNDS
N-30D, 1996-08-23

Previous: BT INSTITUTIONAL FUNDS, N-30D, 1996-08-23

Next: BT INSTITUTIONAL FUNDS, N-30D, 1996-08-23

<PAGE>
- BT INSTITUTIONAL FUNDS -

INSTITUTIONAL TREASURY MONEY FUND

SEMI-ANNUAL REPORT
-------------------------------------------------------------
JUNE-1996
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL TREASURY MONEY FUND

TABLE OF CONTENTS
- ----------------------------------------------------------------------

<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS.................................................... 3

INSTITUTIONAL TREASURY MONEY 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

TREASURY MONEY PORTFOLIO

Schedule of Portfolio Investments..................................... 8

Statement of Assets and Liabilities................................... 10

Statement of Operations............................................... 10

Statements of Changes in Net Assets................................... 11

Financial Highlights.................................................. 11

Notes to Financial Statements......................................... 12
</TABLE>

2
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL TREASURY MONEY FUND

LETTER TO SHAREHOLDERS
- ----------------------------------------------------------------------

We are pleased to present you with this newly-designed semi-annual report
for the BT Institutional Treasury Money 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 Treasury Money 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 5.16% as of June 25, 1996, was
higher than the 5.03% yield of the IBC Government
Only-Institutional Only Money Funds average.
- --------------------------------------------
INVESTMENT
INSTRUMENTS
Direct obligations
of U.S. Treasury
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.

- --------------------------------------------
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>
U.S. Treasury Notes 20.87%
Repurchase Agreements 61.41%
U.S. Teasury Bills 17.72%
</TABLE>

3
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL TREASURY MONEY FUND

- --------------------------------------------------------------------------------

In addition to general market and yield curve conditions,
we also maintained a short average maturity for much of the
time because short-term U.S. Treasury securities remained
technically expensive throughout much of the semi-annual
period. We also maintained a large core repurchase agreement
position. In combination, this strategy allowed us to
maximize yield while minimizing risk in a potentially
increasing rate environment.
- --------------------------------------------
STATUS AT
JUNE 30, 1996
(UNAUDITED)
Seven day effective
yield: 5.20%
Average maturity:
35 days
Net Assets:
$1,110.4 million
- --------------------------------------------

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 Treasury Money Fund
and look forward to continuing to serve your investment needs in the years
ahead.

[SIG]
John Burgess
PORTFOLIO MANAGER OF THE
TREASURY MONEY PORTFOLIO
June 30, 1996

4
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL TREASURY MONEY FUND

STATEMENT OF ASSETS AND LIABILITIES JUNE, 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investment in Treasury Money Portfolio, at Value................................... $1,110,673,808
Receivable for Shares of Beneficial Interest Subscribed............................ 74,000
Prepaid Expenses................................................................... 2,485
--------------
Total Assets........................................................................... 1,110,750,293
--------------
LIABILITIES
Due to Bankers Trust............................................................... 101,419
Payable for Shares of Beneficial Interest Redeemed................................. 19,175
Dividends Payable.................................................................. 215,128
--------------
Total Liabilities...................................................................... 335,722
--------------
NET ASSETS ($0.001 Par Value Per Share, Unlimited Number of Shares of Beneficial
Interest Authorized)................................................................. $1,110,414,571
--------------
--------------
SHARES OUTSTANDING..................................................................... 1,110,307,053
--------------
--------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE......................................... $ 1.00
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital.................................................................... $1,110,307,053
Distributions in Excess of Net Investment Income................................... (1,187)
Undistributed Net Realized Gain from Investment Transactions....................... 108,705
--------------
NET ASSETS, JUNE 30, 1996.............................................................. $1,110,414,571
--------------
--------------
</TABLE>

STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Treasury Money Portfolio, net................................ $ 32,380,978
--------------
EXPENSES
Administration and Services........................................................ 314,938
Shareholders Reports............................................................... 8,500
Registration....................................................................... 856
Professional....................................................................... 3,858
Trustees........................................................................... 3,169
Miscellaneous...................................................................... 5,506
--------------
Total Expenses..................................................................... 336,827
Less: Expenses Absorbed by Bankers Trust........................................... (21,889)
--------------
Net Expenses..................................................................... 314,938
--------------
NET INVESTMENT INCOME.................................................................. 32,066,040
--------------
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS......................................... 96,928
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS............................................. $ 32,162,968
--------------
--------------
</TABLE>

SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 7

5
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL TREASURY MONEY 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..................................................... $ 32,066,040 $ 30,333,904
Net Realized Gain from Investment Transactions............................ 96,928 74,117
-------------- -----------------
Net Increase in Net Assets from Operations.................................... 32,162,968 30,408,021
-------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income..................................................... (32,066,040) (30,333,904)
In Excess of Net Investment Income........................................ (1,187) --
Net Realized Gain from Investment Transactions............................ -- (39,668)
-------------- -----------------
Total Distributions........................................................... (32,067,227) (30,373,572)
-------------- -----------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase (Decrease) from Transactions in Shares of Beneficial
Interest................................................................ (214,750,453) 1,142,933,436
-------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....................................... (214,654,712) 1,142,967,885
NET ASSETS
Beginning of Period........................................................... 1,325,069,283 182,101,398
-------------- -----------------
End of Period................................................................. $1,110,414,571 $1,325,069,283
-------------- -----------------
-------------- -----------------
</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 Treasury Money Fund.

<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED DECEMBER 31,
JUNE 30, 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) on Investment
Transactions.................................... 0.00+ 0.00+ (0.00)+ 0.00+ 0.00+
------------- ---------- -------- -------- --------
Total from Investment Operations...................... 0.03 0.06 0.04 0.03 0.04
------------- ---------- -------- -------- --------
DISTRIBUTION TO SHAREHOLDERS
Net Investment Income............................. (0.03) (0.06) (0.04) (0.03) (0.04)
In Excess of Net Investment Income................ (0.00)+ -- -- -- --
Net Realized Gain from Investment Transactions.... -- (0.00)+ -- (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............................... 2.56% 5.71% 3.92% 2.94% 3.56%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's omitted)......... $1,110,415 $1,325,069 $182,101 $143,966 $102,182
Ratios to Average Net Assets
Net Investment Income........................... 5.09%* 5.53% 3.97% 2.88% 3.47%
Expenses, 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....... 0.00%*++ 0.07% 0.04% 0.03% 0.04%
</TABLE>

- ------------------
* Annualized
+ Less than $.01 per share
++ Less than 0.01% per share

SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 7

6
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL TREASURY MONEY 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 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 assets in the Treasury Money Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At June 30, 1996, 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 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 $314,938.

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
0.25 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 $21,889.

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.

Certain trustees and officers of the Fund are also directors, officers and/or
employees of Signature. None of the trustees so affiliated received compensation
for services as trustee of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At June 30, 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
MONTHS ENDED FOR THE YEAR
JUNE 30, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
--------------- -----------------
<S> <C> <C>
Sold..................... $ 5,724,399,087 $ 5,234,318,300
Reinvested............... 13,928,112 16,232,391
Redeemed................. (5,953,077,652) (4,107,617,255)
--------------- -----------------
Net Increase
(Decrease).............. $ (214,750,453) $ 1,142,933,436
--------------- -----------------
--------------- -----------------
</TABLE>

7
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO

SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------- --------------
<C> <S> <C>
U.S. TREASURY SECURITIES -- 38.45%
*U.S. TREASURY BILLS - 17.65%
$125,000,000 4.976%, 9/5/96(a)......... $ 123,859,667
50,000,000 5.00%, 9/12/96............ 49,481,396
117,000,000 5.097%, 9/19/96(a)........ 115,671,233
--------------
289,012,296
--------------
U.S. TREASURY NOTES -- 20.80%
125,000,000 6.125%, 7/31/96........... 125,085,449
65,000,000 6.50%, 9/30/96............ 65,226,854
150,000,000 6.812%, 11/15/96.......... 150,150,103
--------------
340,462,406
--------------
TOTAL U.S. TREASURY
SECURITIES
(Amortized Cost
$629,474,702)........... $ 629,474,702
--------------
REPURCHASE AGREEMENTS - 61.20%
50,000,000 Repurchase Agreement with
Bear Stearns, dated
6/28/96, 5.35%,
principal and interest
in the amount of
$50,022,292, due 7/1/96
(Collateralized by U.S.
Treasury Bills, par
value of $50,000,000,
due 12/5/96, value of
$48,885,000; par value
of $2,285,000, due
6/26/97, value of
$2,162,296)............. 50,000,000
52,000,000 Tri-Party Repurchase
Agreement with Chase
Manhattan Bank Corp.,
dated 6/28/96, 5.10%,
principal and interest
in the amount of
$52,022,100, due 7/1/96,
(Collateralized by U.S.
Treasury Note, par value
of $12,335,000, 6.00%,
due 8/31/97, value of
$12,584,042; U.S.
Treasury Note, par value
of $39,465,000, 7.375%,
due 11/15/97, value of
$40,527,301)............ 52,000,000
175,000,000 Open Tri-Party Repurchase
Agreement with Chase
Manhattan Bank Corp.,
dated 6/28/96, Coupon
Rate from 5.38% to
5.51%, due, 7/4/96,
value of $175,185,452,
(Collateralized by U.S.
Treasury Note, par value
of $81,485,000, 7.375%,
due 11/15/97, value of
$82,961,916; U.S.
Treasury Note, par value
of $93,685,000, 5.875%,
due 8/15/98, value of
$95,178,320)............ 175,000,000

<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- -------------------------------------- --------------
<C> <S> <C>
$ 70,000,000 Tri-Party Repurchase
Agreement with Goldman
Sachs & Co., dated
6/28/96, 5.70%,
principal & interest in
the amount of
$70,033,250, due 7/1/96,
(Collateralized by U.S.
Treasury Note, par value
of $71,720,000, 5.375%,
due 11/30/97, par value
of $71,441,057)......... $ 70,000,000
200,000,000 Open Tri-Party Repurchase
Agreement with HSBC,
dated 6/27/96, 5.15% to
5.50%, due 7/4/96, value
of $200,240,833,
(Collateralized by U.S.
Treasury Bonds, par
value $120,153,000,
6.00% to 9.125%, due
from 8/15/17 to 2/15/26,
value of $138,931,732,
U.S. Treasury Notes, par
value of $41,129,000,
6.25% to 8.00%, due from
5/15/01 to 2/15/03,
value of $43,483,014;
U.S. Treasury Strips,
par value of
$107,037,000, due from
8/15/11 to 8/15/25,
value of $21,585,588)... 200,000,000
70,000,000 Repurchase Agreement with
J.P. Morgan, dated
6/28/96, 5.42%,
principal and interest
in the amount of
$70,031,617, due 7/1/96
(Collateralized by U.S.
Treasury Notes, par
value of $66,342,000,
7.875%, due 11/15/04
value of $71,921,579)... 70,000,000
70,000,000 Repurchase Agreement with
Sanwa Bank, Ltd., dated
6/28/96, 5.35%,
principal and interest
in the amount
$70,031,208, due 7/1/96
(Collateralized by U.S.
Treasury Notes, par
value of $66,090,000
7.75%, due 12/31/99,
value of $71,410,988)... 70,000,000
</TABLE>

SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12

8
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO

$ 70,000,000 Repurchase Agreement with
Union Bank of
Switzerland, dated
6/28/96, 5.45%,
principal and interest
in the amount
$70,031,792, due 7/1/96
(Collateralized by U.S.
Treasury Notes, par
value of $40,000,000,
5.125%, due 3/31/98,
value of $39,885,989,
par value of
$29,977,000, 7.25% due
2/15/98, value of
$31,308,710)............ $ 70,000,000
--------------
TOTAL REPURCHASE
AGREEMENTS
(Amortized Cost
$1,001,890,346)......... $1,001,890,346
--------------
</TABLE>

<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(Amortized Cost
$1,631,365,048)........... 99.65% $1,631,365,048
Other Assets less
Liabilities............... 0.35% 5,641,967
------- --------------
NET ASSETS.................. 100.00% $1,637,007,015
------- --------------
------- --------------
</TABLE>

- ------------------
(a) Weighted Average Rate

* Discount Rate

SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12

9
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO

STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
ASSETS
Investments, at Value.............................................................. $1,631,365,048
Interest Receivable................................................................ 6,032,661
Prepaid Expenses................................................................... 6,335
--------------
Total Assets........................................................................... 1,637,404,044
--------------
LIABILITIES
Due to Bankers Trust............................................................... 368,525
Accrued Expenses and Other......................................................... 28,504
--------------
Total Liabilities...................................................................... 397,029
--------------
NET ASSETS............................................................................. $1,637,007,015
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital.................................................................... $1,637,007,015
--------------
NET ASSETS, JUNE 30, 1996.............................................................. $1,637,007,015
--------------
--------------
</TABLE>

STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<S> <C>
INVESTMENT INCOME
Interest........................................................................... $ 50,461,513
--------------
EXPENSES
Advisory........................................................................... 1,419,119
Administration and Services........................................................ 473,040
Professional....................................................................... 10,852
Trustees........................................................................... 1,246
Miscellaneous...................................................................... 14,384
--------------
Total Expenses..................................................................... 1,918,641
Less: Expenses Absorbed by Bankers Trust........................................... (26,482)
--------------
Net Expenses..................................................................... 1,892,159
--------------
NET INVESTMENT INCOME.................................................................. 48,569,354
--------------
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS......................................... 148,185
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS............................................. $ 48,717,539
--------------
--------------
</TABLE>

SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12

10
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY 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..................................................... $ 48,569,354 $ 65,712,157
Net Realized Gain from Investment Transactions............................ 148,185 244,290
-------------- -----------------
Net Increase in Net Assets from Operations.................................... 48,717,539 65,956,447
-------------- -----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............................................ 6,837,776,030 12,489,163,533
Value of Capital Withdrawn................................................ (7,190,567,150) (11,496,812,976)
-------------- -----------------
Net Increase (Decrease) in Net Assets from Capital Transactions............... (352,792,120) 992,350,557
-------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....................................... (304,074,581) 1,058,307,004
NET ASSETS
Beginning of Period........................................................... 1,941,081,596 882,774,592
-------------- -----------------
End of Period................................................................. $1,637,007,015 $ 1,941,081,596
-------------- -----------------
-------------- -----------------
</TABLE>

FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------

Contained below are selected ratios and supplemental data for each of the
periods indicated for the Treasury Money Portfolio.

<TABLE>
<CAPTION>
FOR THE 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)...... $1,637,007 $ 1,941,082 $ 882,775 $ 789,479 $ 1,408,114
Ratios to Average Net Assets
Net Investment Income........................ 5.13%* 5.58% 3.93% 2.93% 3.44%
Expenses..................................... 0.20%* 0.20% 0.20% 0.20% 0.22%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers
Trust...................................... 0.00%*+ 0.01% 0.01% 0.01% 0.01%
</TABLE>

- ----------------

* Annualized

+ Less than 0.01% per share

SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12

11
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

A. ORGANIZATION
The Treasury Money Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990, as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.

B. SECURITY VALUATION
Investments are 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 form 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
$473,040.

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 $1,419,119.

Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Portfolio. For the six months ended June 30,
1996, expenses of the Portfolio have been reduced by $26,482.

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.

12
<PAGE>
BT INSTITUTIONAL FUNDS
INSTITUTIONAL TREASURY MONEY 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 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