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- BT INSTITUTIONAL FUNDS -
----------------------------------------
INSTITUTIONAL
DAILY ASSETS FUND
----------------------------------------
ANNUAL REPORT
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JUNE - 1997
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INSTITUTIONAL DAILY ASSETS FUND
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
Letter to Shareholders . . . . . . . . . . . . . . . . . . . . . . . . 3
Institutional Daily Assets Fund
Schedule of Portfolio Investments. . . . . . . . . . . . . . . . . . 4
Statement of Assets and Liabilities. . . . . . . . . . . . . . . . . 7
Statement of Operations. . . . . . . . . . . . . . . . . . . . . . . 7
Statement of Changes in Net Assets . . . . . . . . . . . . . . . . . 8
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . 8
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . 9
Report of Independent Accountants. . . . . . . . . . . . . . . . . . 10
2
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INSTITUTIONAL DAILY ASSETS FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
The Institutional Daily Assets Fund's inception date is November 13, 1996 and
thus, it has not been in operation for a full year. Given this and the fact
that you received a semi-annual report for the period through December 1996,
please note that the following annual review will primarily focus on activities
for the first half of the calendar year.
Similar to the environment of the preceding nine months or so, the money markets
were dominated virtually throughout the six months ended June 30, 1997 by
ongoing concerns about inflation pressures, an overly strong economy, and an
official move in interest rates by the Federal Reserve Board. The difference
was that during this period, there actually was action by the Federal Reserve
Board.
By staying disciplined to the purchase of high quality instruments and actively
adjusting duration and sector allocation as market conditions changed, the
managers of the Institutional Daily Assets Fund (the "Fund") were able to
produce competitive yields. In fact, the Fund's annualized 7-day effective
yield of 5.76% as of June 30, 1997 was notably higher than the 5.49% yield of
the IBC First Tier-Institutional Only Money Funds average.* The Fund's 7-day
current yield was 5.60% as of June 30, 1997.
-------------------------------------------------
INVESTMENT INSTRUMENTS
Commercial paper, certificates of deposit,
floating rate notes and repurchase agreements.
-------------------------------------------------
MARKET ACTIVITY
This semi-annual period was much more volatile in comparison to the previous
period. On March 25, 1997, the Federal Reserve Board increased the fed funds
rate from 5.25% to 5.50%-the first increase in over two years. Economic
strength, as evidenced by first quarter GDP growth of 5.80%, strong consumer
spending and home-building, and increased manufacturing inventories, prompted
the official and widely expected move. Interestingly, this above-trend economic
growth did not result in a rise in the reported inflation rate.
This low inflationary pressure, along with signs that the economy was slowing in
the second quarter, was likely the major reason the Federal Reserve Board chose
not to raise interest rates again when it met on May 20th, surprising many
industry analysts and investors who had anticipated that they would.
----------------------------------------------
OBJECTIVE
Seeks high levels of current income
consistent with liquidity and perservation of
capital.
----------------------------------------------
The period following this meeting was quiet, punctuated by continuous growth,
high consumer confidence, and a strong equity market. While nonfarm payroll
gains were weak, unemployment stayed low and inflation remained scarce. GDP
growth for the second quarter was only 1.75%. This type of economic activity,
together with the absence of an official move in interest rates, led to very
little price volatility on the money market curve in June.
INVESTMENT REVIEW
After lengthening the Fund's average maturity in the second half of 1996, we
moved to a somewhat defensive, shorter-than-benchmark position throughout the
first quarter of 1997, in anticipation of the late March rate hike. Once the
Federal Reserve Board raised rates and economic growth waned, we moved to a more
neutral stance in the portfolio. We did not extend the portfolio's maturity,
because we saw no value in the flat yield curve. This strategy, along with
strong sector allocation, proved to be quite effective in adding value to the
Fund through the semi-annual period.
MANAGER OUTLOOK
We expect to stay in a slightly defensive position for the near term for several
reasons. First, we view the money market curve as very expensive right now. We
believe the money markets have essentially priced out any possibility of higher
interest rates over the next year. In addition, with continued low
unemployment, record high consumer confidence, the wealth effect of the equity
markets, and a much lower interest rate structure than existed earlier this
year, we feel that the risks are still asymmetric for a resumption in economic
growth for the second half of the year.
---------------------------------
STATUS AT JUNE 30, 1997
Seven day effective yield: 5.76%
Average maturity: 30 days
Net assets: $2,748 million
---------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Euro Time Deposits 20%
Euro Certificates of Deposit 9%
Floating Rate Notes 22%
Certificates of Deposit 15%
Commercial Paper 34%
In short, current data supports the notion that the Federal Reserve Board is on
hold and that the economy is enjoying the best of all possible worlds. However,
while we are currently in a period of "fixed income nirvana," the future risks
for the acceleration of economic activity and for ultimately higher short-term
yields seems evident.
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 appreciate your support of the BT Institutional Daily Assets Fund and look
forward to continuing to serve your investment needs for many years ahead.
/s/ Darlene M Rasel
Darlene Rasel
Portfolio Manager of the
INSTITUTIONAL DAILY ASSETS FUND
June 30, 1997
- --------------------------
* Past performance is not indicative of future results. Yields will vary.
Although money market funds seek to maintain a share value of $1.00, there is no
guarantee that they will be able to do so. Shares of the Fund are not deposits
or obligations of, or guaranteed by Bankers Trust Company, and the shares are
not federally-insured by the Federal Depository Insurance Corporation, the
Federal Reserve Board or any other agency.
3
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INSTITUTIONAL DAILY ASSETS FUND
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- -------------- ----------- ----------------
COMMERCIAL PAPER* - 33.84%
$ 19,000,000 Abbey National North American Corp.,
5.40%, 7/11/97. . . . . . . . . . . . . $ 18,971,500
Asset Securitization Cooperative Corp.:
17,000,000 5.55%, 7/16/97. . . . . . . . . . . . . 16,960,688
38,000,000 5.61%, 9/08/97. . . . . . . . . . . . . 37,591,405
55,000,000 Associates Corp. of North America,
6.15%, 7/01/97. . . . . . . . . . . . . 55,000,000
BHF Finance:
40,000,000 5.59%, 9/10/97. . . . . . . . . . . . . 39,559,406
15,000,000 5.63%, 10/06/97 . . . . . . . . . . . . 14,772,454
BTR Dunlop:
14,000,000 5.67%, 11/18/97 . . . . . . . . . . . . 13,691,300
11,000,000 5.68%, 11/18/97 . . . . . . . . . . . . 10,757,022
18,460,000 Bass Finance,
5.61%, 7/14/97. . . . . . . . . . . . . 18,422,636
C.S. First Boston:
15,000,000 5.63%, 8/05/97. . . . . . . . . . . . . 14,917,896
10,000,000 5.68%, 11/21/97 . . . . . . . . . . . . 9,774,378
10,000,000 Cafco,
5.59%, 9/09/97. . . . . . . . . . . . . 9,891,306
10,000,000 Commonwealth Bank of Australia,
5.37%, 9/03/97. . . . . . . . . . . . . 9,904,533
15,000,000 Daimler Benz North America Corp.,
5.73%, 9/08/97. . . . . . . . . . . . . 14,835,263
Eksportfinans:
8,755,000 5.64%, 7/07/97. . . . . . . . . . . . . 8,746,770
2,650,000 5.65%, 9/02/97. . . . . . . . . . . . . 2,623,798
General Electric Capital Corp.:
13,000,000 6.15%, 7/01/97. . . . . . . . . . . . . 13,000,000
12,000,000 5.65%, 7/28/97. . . . . . . . . . . . . 11,949,150
30,000,000 5.55%, 8/19/97. . . . . . . . . . . . . 29,773,375
15,000,000 5.64%, 9/08/97. . . . . . . . . . . . . 14,837,850
15,000,000 General Electric Capital Services,
5.55%, 8/07/97. . . . . . . . . . . . . 14,914,438
Goldman Sachs:
20,000,000 5.55%, 7/07/97. . . . . . . . . . . . . 19,981,500
25,000,000 5.56%, 7/07/97. . . . . . . . . . . . . 24,976,833
40,000,000 5.56%, 7/28/97. . . . . . . . . . . . . 39,833,200
17,000,000 5.62%, 9/02/97. . . . . . . . . . . . . 16,832,805
8,000,000 Halifax Building Society,
5.73%, 10/14/97 . . . . . . . . . . . . 7,866,300
International Lease Finance Corp.:
25,000,000 5.63%, 8/14/97. . . . . . . . . . . . . 24,827,972
5,000,000 5.66%, 8/18/97. . . . . . . . . . . . . 4,962,267
32,000,000 International Nederlanden Funding,
5.54%, 7/14/97. . . . . . . . . . . . . 31,935,982
4,000,000 Kingdom of Sweden,
5.34%, 8/26/97. . . . . . . . . . . . . 3,966,773
Merrill Lynch & Co.:
15,000,000 5.56%, 7/07/97. . . . . . . . . . . . . 14,986,100
13,000,000 5.58%, 7/09/97. . . . . . . . . . . . . 12,983,880
13,000,000 5.65%, 7/21/97. . . . . . . . . . . . . 12,959,194
20,000,000 5.60%, 8/19/97. . . . . . . . . . . . . 19,847,556
18,000,000 5.58%, 9/24/97. . . . . . . . . . . . . 17,762,850
25,000,000 5.72%, 11/19/97 . . . . . . . . . . . . 24,439,917
5,000,000 Morgan Stanley Group, Inc.,
5.58%, 7/21/97. . . . . . . . . . . . . 4,984,500
21,000,000 New South Wales Treasury Corp.,
5.61%, 8/11/97. . . . . . . . . . . . . 20,865,828
NYNEX:
24,000,000 5.53%, 7/14/97. . . . . . . . . . . . . 23,952,073
30,000,000 5.54%, 7/28/97. . . . . . . . . . . . . 29,875,463
18,000,000 Pacific Dunlop Holdings, Inc.,
5.63%, 8/21/97. . . . . . . . . . . . . 17,856,435
25,000,000 Pepsi,
6.00%, 7/01/97. . . . . . . . . . . . . 25,000,000
Receivables Capital Corp.:
12,000,000 5.60%, 7/02/97. . . . . . . . . . . . . 11,998,133
15,000,000 5.57%, 7/02/97. . . . . . . . . . . . . 14,997,681
10,000,000 5.57%, 8/13/97. . . . . . . . . . . . . 9,933,469
Repsol International Finance:
20,000,000 5.56%, 7/15/97. . . . . . . . . . . . . 19,956,794
15,000,000 5.63%, 7/29/97. . . . . . . . . . . . . 14,934,317
12,000,000 5.75%, 10/27/97 . . . . . . . . . . . . 11,773,833
20,000,000 Royal Bank of Canada,
5.32%, 8/26/97. . . . . . . . . . . . . 19,834,489
25,000,000 Smith Barney,
5.55%, 7/11/97. . . . . . . . . . . . . 24,961,458
20,000,000 Sony Capital Corp.,
5.57%, 7/08/97. . . . . . . . . . . . . 19,978,339
------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $929,961,109). . . . . . . . . . . . . . . 929,961,109
------------
EURODOLLAR CERTIFICATES OF
DEPOSIT - 8.84%
Abbey National PLC:
25,000,000 5.71%, 8/14/97. . . . . . . . . . . . . 25,000,301
20,000,000 5.65%, 9/25/97. . . . . . . . . . . . . 20,000,000
23,000,000 Australia and New Zealand Bank Group,
5.67%, 9/30/97. . . . . . . . . . . . . 23,000,573
See Notes to Financial Statements on Page 9
4
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INSTITUTIONAL DAILY ASSETS FUND
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- -------------- ----------- --------------
Banco Bilbao Vizcaya:
$ 15,000,000 5.74%, 7/21/97. . . . . . . . . . . . . $ 15,000,082
15,000,000 5.67%, 9/17/97. . . . . . . . . . . . . 15,000,320
13,000,000 Banco Santander,
5.57%, 7/14/97. . . . . . . . . . . . . 13,000,047
Banque National de Paris:
25,000,000 5.75%, 7/17/97. . . . . . . . . . . . . 25,000,329
15,000,000 5.71%, 8/19/97. . . . . . . . . . . . . 15,000,101
8,000,000 Bank of Tokyo Mitsubishi,
5.66%, 7/09/97. . . . . . . . . . . . . 8,000,018
30,000,000 CommerzBank AG,
5.58%, 7/01/97. . . . . . . . . . . . . 30,000,000
14,000,000 Credit Agricole,
5.79%, 12/16/97 . . . . . . . . . . . . 14,001,269
2,000,000 Morgan Guaranty,
5.86%, 10/03/97 . . . . . . . . . . . . 2,000,345
13,000,000 Svenska Handelsbank,
5.70%, 9/12/97. . . . . . . . . . . . . 13,000,236
25,000,000 Toronto Dominion Bank,
5.52%, 7/07/97. . . . . . . . . . . . . 25,000,000
------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost $243,003,621). . . . . . . . . . . . . . . 243,003,621
------------
EURODOLLAR TIME DEPOSITS - 19.64%
ABN Amro Bank:
40,000,000 5.73%, 7/07/97. . . . . . . . . . . . . 40,000,000
20,000,000 5.74%, 8/13/97. . . . . . . . . . . . . 20,000,000
25,000,000 Bank of Austria AG,
5.97%, 10/17/97 . . . . . . . . . . . . 25,000,000
40,000,000 Bank of Nova Scotia,
6.187%, 7/02/97 . . . . . . . . . . . . 40,000,000
15,000,000 Banco Bilbao Vizcaya,
5.66%, 9/23/97. . . . . . . . . . . . . 15,000,345
59,665,246 BHF Bank AG,
8.00%, 7/01/97. . . . . . . . . . . . . 59,665,246
50,000,000 Canadian Imperial Bank of Commerce,
6.38%, 7/01/97. . . . . . . . . . . . . 50,000,000
40,000,000 Credit Agricole,
5.72%, 7/10/97. . . . . . . . . . . . . 40,000,000
50,000,000 Deutsche Bank,
6.25%, 7/01/97. . . . . . . . . . . . . 50,000,000
25,000,000 Generale Bank,
5.70%, 9/04/97. . . . . . . . . . . . . 25,000,000
25,000,000 International Nederlanden Funding,
5.73%, 7/08/97. . . . . . . . . . . . . 25,000,000
UBS:
75,000,000 6.25%, 7/01/97. . . . . . . . . . . . . 75,000,000
50,000,000 6.50%, 7/01/97. . . . . . . . . . . . . 50,000,000
25,000,000 West Deutsche Landesbank,
6.38%, 7/01/97. . . . . . . . . . . . . 25,000,000
------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $539,665,591). . . . . . . . . . . . . . . 539,665,591
------------
FLOATING RATE NOTES - 22.15%
ABN Amro Bank
15,000,000 Daily Variable Rate,
5.615%, 5/13/98 . . . . . . . . . . . . 14,996,847
American Express Centurion Bank
10,000,000 Monthly Variable Rate,
5.658%, 5/12/98 . . . . . . . . . . . . 10,000,000
Avco Financial Services Inc.
7,000,000 Quarterly Variable Rate,
5.456%, 11/17/97. . . . . . . . . . . . 6,999,971
Banc One Columbus
25,000,000 Daily Variable Rate,
5.705%, 1/09/98 . . . . . . . . . . . . 25,007,717
Bank One Dayton
35,000,000 Weekly Variable Rate,
5.69%, 2/05/98. . . . . . . . . . . . . 34,987,041
Bayerische Landesbank
25,000,000 Monthly Variable Rate,
5.558%, 6/26/98 . . . . . . . . . . . . 24,980,767
Bear Stearns Companies, Inc.
9,000,000 Monthly Variable Rate,
5.875%, 4/28/98 . . . . . . . . . . . . 9,011,631
Caterpillar Financial Services Corp.
5,000,000 Monthly Variable Rate,
5.668%, 7/22/97 . . . . . . . . . . . . 5,000,039
Comerica
50,000,000 Daily Variable Rate,
5.575%, 3/06/98 . . . . . . . . . . . . 49,977,014
CoreStates MTN
50,000,000 Monthly Variable Rate,
5.658%, 9/03/97 . . . . . . . . . . . . 50,000,000
FNMA
5,000,000 Daily Variable Rate,
5.52%, 1/15/98. . . . . . . . . . . . . 4,998,674
First Union Bank North Carolina
3,000,000 Quarterly Variable Rate,
5.658%, 12/19/97. . . . . . . . . . . . 3,000,000
See Notes to Financial Statements on Page 9
5
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INSTITUTIONAL DAILY ASSETS FUND
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- -------------- -------------- ------------
General Electric Capital Corp.:
$ 7,000,000 Daily Variable Rate,
5.69%, 7/11/97. . . . . . . . . . . . . $ 7,000,000
Quarterly Variable Rate,
10,000,000 5.746%, 1/05/98 . . . . . . . . . . . . 10,000,000
18,000,000 5.746%, 1/23/98 . . . . . . . . . . . . 18,000,000
Key Bank:
Daily Variable Rate,
15,000,000 5.59%, 1/21/98. . . . . . . . . . . . . 14,995,164
25,000,000 5.60%, 3/05/98. . . . . . . . . . . . . 24,991,819
20,000,000 Monthly Variable Rate,
5.578%, 3/19/98 . . . . . . . . . . . . 19,989,494
Mellon Bank
15,000,000 Quarterly Variable Rate,
5.753%, 6/16/98 . . . . . . . . . . . . 15,000,000
Merrill Lynch & Co.
15,000,000 Quarterly Variable Rate,
5.782%, 10/31/97. . . . . . . . . . . . 14,998,019
Morgan Guaranty:
35,000,000 Daily Variable Rate,
5.625%, 2/19/98 . . . . . . . . . . . . 34,989,194
5,000,000 Quarterly Variable Rate,
5.688%, 11/14/97. . . . . . . . . . . . 4,998,642
Morgan Stanley Group, Inc.:
20,000,000 Monthly Variable Rate,
5.648%, 1/30/98 . . . . . . . . . . . . 20,000,000
10,000,000 Quarterly Variable Rate,
5.762%, 5/18/98 . . . . . . . . . . . . 10,000,000
PNC Bank N.A.:
Monthly Variable Rate,
25,000,000 5.588%, 10/27/97. . . . . . . . . . . . 24,994,373
25,000,000 5.588%, 11/25/97. . . . . . . . . . . . 24,993,048
15,000,000 5.588%, 5/27/98 . . . . . . . . . . . . 14,992,085
25,000,000 5.578%, 6/16/98 . . . . . . . . . . . . 24,983,720
Royal Bank of Canada
40,000,000 Daily Variable Rate,
5.55%, 11/14/97 . . . . . . . . . . . . 39,985,232
Societe Generale
45,000,000 Daily Variable Rate,
5.61%, 1/15/98. . . . . . . . . . . . . 44,990,369
------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $608,860,860). . . . . . . . . . . . . . . 608,860,860
------------
YANKEE CERTIFICATES OF DEPOSIT - 15.58%
75,000,000 Bank of America Corp.,
5.70%, 8/01/97. . . . . . . . . . . . . 75,000,000
20,000,000 Bank of Tokyo Mitsubishi,
5.75%, 9/17/97. . . . . . . . . . . . . 19,999,961
10,000,000 Banque National de Paris,
5.72%, 7/10/97. . . . . . . . . . . . . 10,000,025
25,000,000 Bayerische Landesbank,
5.61%, 7/22/97. . . . . . . . . . . . . 25,000,473
30,000,000 Industrial Bank of Japan,
5.70%, 7/23/97. . . . . . . . . . . . . 30,000,000
20,000,000 Nordeutsche Landesbank,
5.57%, 7/21/97. . . . . . . . . . . . . 20,000,221
10,000,000 RaboBank,
5.78%, 12/08/97 . . . . . . . . . . . . 10,001,017
Sanwa Bank:
11,000,000 5.68%, 7/02/97. . . . . . . . . . . . . 11,000,006
65,000,000 5.69%, 7/10/97. . . . . . . . . . . . . 65,000,196
Societe Generale:
10,000,000 6.00%, 7/28/97. . . . . . . . . . . . . 10,001,583
8,000,000 5.76%, 8/12/97. . . . . . . . . . . . . 8,000,368
24,000,000 5.58%, 9/03/97. . . . . . . . . . . . . 23,991,697
18,000,000 5.90%, 11/06/97 . . . . . . . . . . . . 18,000,000
9,000,000 Sumitomo Bank,
5.71%, 7/03/97. . . . . . . . . . . . . 9,000,014
Westdeutsche Bank:
45,000,000 5.57%, 7/01/97. . . . . . . . . . . . . 45,000,000
25,000,000 5.75%, 8/20/97. . . . . . . . . . . . . 25,000,000
23,000,000 5.69%, 8/21/97. . . . . . . . . . . . . 23,000,000
--------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Amortized Cost $427,995,561). . . . . . . . . . . . . . . 427,995,561
--------------
TOTAL INVESTMENTS
(Amortized Cost $2,749,486,742). . . . . . . . . . . 100.05% 2,749,486,742
Liabilities in Excess of Other Assets. . . . . . . . (0.05)% (1,430,471)
------ --------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . 100.00% $2,748,056,271
------ --------------
------ --------------
- -----------------
* Interest rates for Commercial Paper represent discount rates at the time of
purchase.
See Notes to Financial Statements on Page 9
6
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INSTITUTIONAL DAILY ASSETS FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997
- --------------------------------------------------------------------------------
ASSETS
Investments, at Value . . . . . . . . . . . . . . . . . . . . $2,749,486,742
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,277
Interest Receivable . . . . . . . . . . . . . . . . . . . . . 10,806,088
Deferred Organization Expenses. . . . . . . . . . . . . . . . 115,439
Prepaid Expenses and Other. . . . . . . . . . . . . . . . . . 53,703
--------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . 2,760,463,249
--------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . 257,167
Dividends Payable . . . . . . . . . . . . . . . . . . . . . . 12,068,652
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . 81,159
--------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . 12,406,978
--------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . $2,748,056,271
--------------
--------------
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares of beneficial
interest authorized) . . . . . . . . . . . . . . . . . . . . . 2,748,057,080
--------------
--------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) . . . . . . . . . . $1.00
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . $2,748,057,080
Overdistributed Net Investment Income . . . . . . . . . . . . (809)
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $2,748,056,271
--------------
--------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
FOR THE PERIOD
NOVEMBER 13, 1996
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
--------------
INVESTMENT INCOME
Interest Income . . . . . . . . . . . . . . . . . . . . . . . $ 71,779,985
--------------
EXPENSES
Advisory Fees . . . . . . . . . . . . . . . . . . . . . . . . 1,293,002
Administration and Services Fees. . . . . . . . . . . . . . . 258,600
Printing and Shareholder Reports. . . . . . . . . . . . . . . 10,300
Professional Fees . . . . . . . . . . . . . . . . . . . . . . 24,760
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . . 15,534
Amortization of Organization Expenses . . . . . . . . . . . . 16,561
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . 12,657
--------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . 1,631,414
Less: Expenses Absorbed by Bankers Trust . . . . . . . . . . (79,812)
--------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . . 1,551,602
--------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . 70,228,383
REALIZED GAIN FROM INVESTMENT TRANSACTIONS . . . . . . . . . . 6,780
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . $ 70,235,163
--------------
--------------
See Notes to Financial Statements on Page 9
7
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL DAILY ASSETS FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE PERIOD
NOVEMBER 13, 1996
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
--------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . $ 70,228,383
Net Realized Gain from Investment Transactions. . . . . . . 6,780
--------------
Net Increase in Net Assets from Operations . . . . . . . . . 70,235,163
--------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . (70,235,972)
--------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at net asset value of $1.00 per share)
Proceeds from Sales of Shares . . . . . . . . . . . . . . . 6,414,724,407
Cost of Shares Redeemed . . . . . . . . . . . . . . . . . . (3,666,667,337)
--------------
Net Increase from Capital Transactions
in Shares of Beneficial Interest . . . . . . . . . . . . . . 2,748,057,070
--------------
TOTAL INCREASE IN NET ASSETS. . . . . . . . . . . . . . . . . 2,748,056,261
NET ASSETS
Beginning of Period . . . . . . . . . . . . . . . . . . . . . 10
--------------
End of Period (includes overdistributed net
investment income of $809) . . . . . . . . . . . . . . . . . $2,748,056,271
--------------
--------------
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
Contained below are selected data for a share of beneficial interest
outstanding, total investment return, ratios to average net assets and other
supplemental data for the period indicated for the Institutional Daily Assets
Fund.
FOR THE PERIOD
NOVEMBER 13, 1996
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
--------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . $1.00
--------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . 0.03
Net Realized Gain from Investment Transactions . . . . . . . 0.00+
--------------
Total from Investment Operations . . . . . . . . . . . . . . . 0.03
--------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . (0.03)
--------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . $1.00
--------------
--------------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . . . 3.46%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . . . . . . $ 2,748,056
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . . . . . 5.43%*
Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . 0.12%*
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust. . . . . . . . . 0.01%*
- ---------------------------
* Annualized
+ Less than $0.01
See Notes to Financial Statements on Page 9
8
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL DAILY ASSETS FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Institutional Funds ("the Trust") is registered under the Investment Company
Act of 1940 ("the Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Institutional Daily Assets Fund (the "Fund") is one of the institutional funds
offered to "accredited investors" as defined under the Securities Act of 1933
and institutional investors by the Trust. The Fund commenced operations and
began offering shares of beneficial interest on November 13, 1996. The
Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Fund. The following summarizes the significant
accounting policies of the Fund:
B. SECURITY VALUATION
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Fund's investments.
C. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
discount on investments. Realized gains and losses from securities transactions
are recorded on the indentified cost basis.
D. ORGANIZATIONAL EXPENSES
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
E. DIVIDENDS
It is the Fund's policy to declare dividends daily and pay monthly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund will be made
annually.
F. REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with financial institutions deemed
to be creditworthy by the Fund's Investment Adviser, 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
Fund'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 all accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Fund 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 Fund maintains the right to sell the
underlying securities at market value and may claim any resulting loss against
the seller. However, in the event of default or bankruptcy by the seller,
realization and/or retention of the collateral may be subject to legal
proceedings.
G. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code and distribute substantially all of its income to shareholders. Therefore,
no federal income tax provision is required. 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. For the period ended June 30,
1997, $6,780 of accumulated net realized gain was reclassified to
overdistributed net investment income. The cost basis of investments was
substantially the same for book and tax purposes.
H. 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 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 0.02 of 1% of the Fund's average daily net assets.
For the period ended June 30, 1997, this fee aggregated $258,600.
The Fund has entered into an Advisory Agreement with Bankers Trust. Under this
Advisory Agreement, the Fund pays Bankers Trust an advisory fee computed daily
and paid monthly at an annual rate of 0.10 of 1% of average daily net assets.
For the period ended June 30, 1997, this fee aggregated $1,293,002.
The Trust has entered into a Distribution Agreement with Edgewood Services, Inc.
("Edgewood"). Under the Distribution Agreement with the Trust, pursuant to Rule
12b-1 of the Act, Edgewood 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 period ended June 30, 1997, 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 0.12 of 1% of the
average daily net assets of the Fund. For the period ended June 30, 1997,
expenses of the Fund have been reduced by $79,812.
Certain trustees and officers of the Fund are also directors, officers and
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustees of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.
9
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL DAILY ASSETS FUND
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Shareholders of BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Institutional Daily Assets Fund
(one of the Funds comprising BT Institutional Funds) as of June 30, 1997, and
the related statement of operations, the statement of changes in net assets and
the financial highlights for the period November 13, 1996 (commencement of
operations) to June 30, 1997. 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 June 30, 1997, by
correspondence with the custodian. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
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 Daily Assets Fund of BT Institutional Funds as of June 30, 1997,
the results of its operations, the changes in its net assets and the financial
highlights for the period November 13, 1996 (commencement of operations) to June
30, 1997, in conformity with generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
July 29, 1997
10
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11
<PAGE>
BT INSTITUTIONAL FUNDS
INSTITUTIONAL DAILY ASSETS FUND
INVESTMENT ADVISER AND ADMINISTRATOR OF THE FUND
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P.
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
------------------------------------------------
For information on how to invest, shareholder
account information and current price and yield
information, please contact your relationship
manager or the BT Mutual Fund Service Center at
(800) 368-4031. This report must be preceded or
accompanied by the Fund's current prospectus.
------------------------------------------------
STADAP200 (8/97)
