<PAGE>
- BT INSTITUTIONAL FUNDS -
---------------------
INSTITUTIONAL
CASH MANAGEMENT FUND
---------------------
ANNUAL REPORT
----------------
DECEMBER-1996
<PAGE>
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INSTITUTIONAL CASH MANAGEMENT FUND
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
INSTITUTIONAL CASH MANAGEMENT FUND
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . . 4
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . . 4
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . . . 5
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . 7
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . . 8
CASH MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments . . . . . . . . . . . . . . . . . . . . 9
Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . .13
Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . .13
Statement of Changes in Net Assets. . . . . . . . . . . . . . . . . . . .14
Financial Highlights. . . . . . . . . . . . . . . . . . . . . . . . . . .14
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . .15
Report of Independent Accountants . . . . . . . . . . . . . . . . . . . .16
2
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INSTITUTIONAL CASH MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
The money markets were dominated virtually throughout the twelve months ending
December 31, 1996 by extreme volatility in short-term interest rates. By
staying disciplined to the purchase of high quality instruments and actively
adjusting maturities as market conditions changed, the manager of the
Institutional Cash Management Fund ("the Fund") was able to produce competitive
yields. In fact, the Fund's annualized 7-day effective yield of 5.45% as of
December 31, 1996 was higher than the 5.30% effective yield of the IBC First
Tier-Institutional Only Money Funds average.*
MARKET ACTIVITY
The Federal Reserve Board acted only once in 1996, cutting the Federal Funds
rate from 5.50% to 5.25% in January, in response to a weaker economy. The
markets expected a near-term recession to drive interest rates even lower.
However, once February economic data indicated stronger than anticipated growth,
most notably through very strong non-farm payroll numbers, market sentiment
changed completely and quickly, and interest rates rose sharply. The economy
remained strong through July, leading market participants, in general, to fear
that the Fed would raise interest rates officially.
INVESTMENT INSTRUMENTS
Bank obligations, commercial paper, U.S. Treasury obligations and repurchase
agreements collateralized by U.S. Treasury obligations.
Instead, the Federal Reserve Board held monetary policy neutral for the rest of
1996. Rates continued to fluctuate, rising on positive economic news and
dipping on the news that the Fed remained on the sidelines each time they met.
Nevertheless, in contrast to the effects of dramatic increases in interest rates
during the first half of the year, moderate economic activity in the second half
proved much more favorable for the financial markets.
OBJECTIVE
Seeks high current income consistent with liquidity in preservation of capital.
Growth slowed in the third quarter, and inflation data continued to display an
absence of any real pressure. Much of the slowdown appeared in the consumer
sector, even though employment gains remained strong. Total real GDP growth
tapered from an unsustainable 4.7% increase in the second quarter to 2.1% in the
third.
There was no deterioration of economic growth in the final three months of the
year. Consumer spending perked up in response to a high degree of confidence
and a still-favorable job market, and business investment continued to expand
rapidly. These conditions proved favorable for the money markets, as short-term
interest rates remained steady while longer-term rates drifted lower.
RATINGS
S&P: AAAm
Moody's: AAA
INVESTMENT REVIEW
In contrast to the short to neutral maturity strategy held for most of the first
half of the year, we began extending the Fund's average maturity in the third
quarter. Although we believed that the next move in interest rates would be
higher, we also anticipated that the Federal Reserve Board would want a clearer
picture of higher inflation and increased economic activity before making an
official move. Thus, as general market expectations of higher rates led to a
steeper short-term yield curve, we were able to extend the Fund's average
maturity position with very little risk.
This strategy proved to be quite effective in adding value to the Fund through
the remainder of the year, and we expect to maintain the current investment
strategy until inflation pressures begin to surface.
MANAGER OUTLOOK
We expect continued slow to moderate economic growth and modest inflation in the
months to come. Given that, we believe that the Federal Reserve Board will
remain on hold for the near future, with the money markets trading in a narrow
range. Stronger-than-expected economic news may cause some volatility ahead,
however any dips in the market may be opportunities to extend the Fund's average
maturity out along the yield curve and lock in some higher rates. Overall, we
will remain opportunistic, buying when valuations are attractive, and waiting
for the market to take a more definite direction.
STATUS AT DECEMBER 31, 1996
Seven day effective yield : 5.45%
Average maturity: 36 days
Net assets: $1,439 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Type as of December 31, 1996
(PERCENTAGES ARE BASED ON MARKET VALUE)
Certificates of Deposit 28%
Repurchase Agreements 6%
Floating Rate Notes 8%
Commercial Paper 42%
Eurodollar Time Deposits 16%
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.
As always, we appreciate your ongoing support of the Institutional Cash
Management Fund, and we look forward to continuing to serve your investment
needs for many years ahead.
/s/ Darlene M. Rasel
Darlene Rasel
Portfolio Manager of the
Cash Management Portfolio
December 31, 1996
- ----------------------
* 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. An investment in the Fund is neither
insured nor guaranteed by the U.S. government.
3
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<TABLE>
<CAPTION>
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INSTITUTIONAL CASH MANAGEMENT FUND
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1996
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<S> <C>
ASSETS
Investment in Cash Management Portfolio, at Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,439,154,327
Prepaid Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,481
-----------------
Total Assets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,439,182,808
-----------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,924
Dividends Payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416,073
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 170,128
-----------------
Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 637,125
-----------------
NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,438,545,683
-----------------
-----------------
SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares of beneficial interest authorized). 1,439,107,510
-----------------
-----------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding) . . . . . . $ 1.00
-----------------
-----------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,439,107,510
Accumulated Net Realized Loss from Investment Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . (561,827)
-----------------
NET ASSETS, DECEMBER 31, 1996 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,438,545,683
-----------------
-----------------
</TABLE>
<TABLE>
<CAPTION>
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STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Income Allocated from Cash Management Portfolio, net . . . . . . . . . . . . . . . . . . . . . . . . . $ 65,794,674
-----------------
EXPENSES
Administration and Services Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 622,176
Printing and Shareholder Reports. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,807
Registration Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 230,620
Professional Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,840
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,351
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,528
-----------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 902,322
Less: Expenses Absorbed by Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (280,146)
-----------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 622,176
-----------------
NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,172,498
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39,523
-----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 65,212,021
-----------------
-----------------
</TABLE>
See Notes to Financial Statements on Page 7
4
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<TABLE>
<CAPTION>
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INSTITUTIONAL CASH MANAGEMENT FUND
STATEMENT OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
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<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 65,172,498 $ 37,475,722
Net Realized Gain from Investment Transactions . . . . . . . . . . . . . . . 39,523 69,289
----------------- -----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . 65,212,021 37,545,011
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . (65,172,498) (37,475,722)
----------------- -----------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at Net Asset Value of
$1.00 per share)
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . 21,940,719,239 9,449,379,844
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,995,451 29,013,898
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . (21,571,176,052) (9,131,737,120)
----------------- -----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . 427,538,638 346,656,622
----------------- -----------------
CONTRIBUTION OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93,110 --
----------------- -----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . 427,671,271 346,725,911
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,010,874,412 664,148,501
----------------- -----------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,438,545,683 $ 1,010,874,412
----------------- -----------------
----------------- -----------------
</TABLE>
See Notes to Financial Statements on Page 7
5
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<TABLE>
<CAPTION>
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INSTITUTIONAL CASH MANAGEMENT FUND
FINANCIAL HIGHLIGHTS
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Contained below are selected data for a share outstanding, total investment return, ratios to average net assets and other
supplemental data for each of the years indicated for the Institutional Cash Management Fund.
FOR THE YEAR ENDED
DECEMBER 31,
--------------------------------------------------------------------
1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF YEAR . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . 0.05 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 . . . . . . . . . . . 0.05 0.06 0.03 0.03 0.04
-------- -------- -------- -------- --------
CONTRIBUTIONS OF CAPITAL . . . . . . . . . . . . . . . 0.00+ -- 0.01 -- --
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . (0.05) (0.06) (0.04) (0.03) (0.04)
Net Realized Gain from Investment Transactions . . . -- -- -- (0.00)+ (0.00)+
-------- -------- -------- -------- --------
Total Distributions. . . . . . . . . . . . . . . . . . (0.05) (0.06) (0.04) (0.03) (0.04)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . 5.36%++ 5.89% 4.18%++ 3.05% 3.58%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . $ 1,438,546 $ 1,010,874 $ 664,149 $ 1,850,222 $ 1,334,517
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 5.24% 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 . . . 0.04% 0.04% 0.03% 0.02% 0.04%
</TABLE>
- ----------------------------
+ Less than $0.01 per share
++ Increased by approximately 0.01% and 0.91% due to Contributions of Capital
for the years ended December 31, 1996 and 1994, respectively.
See Notes to Financial Statements on Page 7
6
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INSTITUTIONAL CASH MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS
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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 Cash Management 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 Cash Management Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At December 31, 1996, the Fund's investment was
approximately 44% 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. 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 and distribute its income to shareholders. Therefore, no federal income tax
provision is required.
E. OTHER
The Trust accounts separately for the assets, liabilities, and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.05 of 1% of the Fund's average daily net assets.
For the year ended December 31, 1996, this fee aggregated $622,176.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor. Under
the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the 1940
Act, Edgewood, and previously Signature, may seek reimbursement at an annual
rate not exceeding 0.10 of 1% of each Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the year ended December 31, 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 year ended December 31, 1996, expenses of the Fund have
been reduced by $280,146.
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 is 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 1996, Bankers Trust contributed capital in the amount of $93,110 to reimburse
the Fund from long term capital losses incurred in prior years.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood and Signature. 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.
NOTE 3--CAPITAL LOSS CARRYFORWARD
At December 31, 1996, accumulated net realized capital loss carryforward
available as a reduction against future net realized capital gains aggregated
$577,344, which will expire in 2002.
7
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INSTITUTIONAL CASH MANAGEMENT FUND
REPORT OF INDEPENDENT ACCOUNTANTS
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To the Trustees and Shareholders of BT Institutional Funds:
We have audited the accompanying statement of assets and liabilities of the
Institutional Cash Management Fund (one of the Funds comprising BT Institutional
Funds) as of December 31, 1996, and the related statement of operations for the
year then ended, the statement of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Institutional Cash Management Fund of BT Institutional Funds as of December 31,
1996, the results of its operations, the changes in its net assets and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 12, 1997
8
<PAGE>
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CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
CERTIFICATES OF DEPOSIT - 28.50%
$ 15,000,000 ABN Amro Bank,
5.40%, 4/03/97 . . . . . . . . . . . $ 15,000,376
Abbey National North America:
35,000,000 5.47%, 3/27/97 . . . . . . . . . . . 35,000,000
25,000,000 5.51%, 4/08/97 . . . . . . . . . . . 25,000,490
5,000,000 Australian and New Zealand
Banking Group,
5.50%, 4/23/97 . . . . . . . . . . . 5,000,983
20,000,000 Banco Bilbao Vizcaya,
5.40%, 3/05/97 . . . . . . . . . . . 20,000,345
35,000,000 Bank of Montreal,
5.50%, 1/02/97 . . . . . . . . . . . 35,000,000
50,000,000 Bank of Nova Scotia,
5.47%, 3/19/97 . . . . . . . . . . . 50,000,000
Bank of Tokyo-Mitsubishi Limited:
10,000,000 5.46%, 2/18/97 . . . . . . . . . . . 9,999,252
30,000,000 5.46%, 2/21/97 . . . . . . . . . . . 29,997,829
20,000,000 5.52%, 3/06/97 . . . . . . . . . . . 20,000,000
10,000,000 Barclays,
5.40%, 1/27/97 . . . . . . . . . . . 10,000,048
5,000,000 Bayerische Landesbank,
5.38%, 2/03/97 . . . . . . . . . . . 4,999,983
10,000,000 Bayerische Vereinsbank,
5.44%, 3/17/97 . . . . . . . . . . . 9,999,777
Canadian Imperial Bank of Commerce:
50,000,000 5.42%, 1/07/97 . . . . . . . . . . . 50,000,164
30,000,000 5.37%, 1/21/97 . . . . . . . . . . . 30,000,000
2,000,000 5.41%, 1/21/97 . . . . . . . . . . . 2,000,015
25,000,000 5.39%, 1/31/97 . . . . . . . . . . . 25,000,000
25,000,000 5.44%, 3/18/97 . . . . . . . . . . . 25,000,521
Deutsche Bank:
25,000,000 5.13%, 3/05/97. . . . . . . . . . . 24,964,695
16,000,000 5.59%, 3/26/97. . . . . . . . . . . 16,003,602
2,000,000 First Union National Bank,
5.36%, 2/14/97 . . . . . . . . . . . 1,999,727
40,000,000 Industrial Bank of Japan,
5.48%, 1/08/97 . . . . . . . . . . . 40,000,065
27,000,000 Internationale Nederlanden Bank,
5.39%, 1/21/97 . . . . . . . . . . . 27,000,297
$ 25,000,000 J. P. Morgan & Company,
5.61%, 3/27/97 . . . . . . . . . . . $ 25,006,943
3,000,000 Lloyds Bank,
5.50%, 1/03/97 . . . . . . . . . . . 3,000,012
8,000,000 Morgan Guaranty Bank & Trust,
5.41%, 1/02/97 . . . . . . . . . . . 8,000,002
National Westminster Bank:
12,000,000 5.51%, 2/24/97 . . . . . . . . . . . 11,995,261
55,000,000 5.40%, 4/02/97 . . . . . . . . . . . 55,000,352
Rabobank:
11,000,000 5.52%, 1/02/97 . . . . . . . . . . . 11,000,034
25,000,000 5.46%, 3/19/97 . . . . . . . . . . . 25,000,528
3,500,000 5.50%, 4/28/97 . . . . . . . . . . . 3,500,392
Sanwa Bank:
75,000,000 5.50%, 1/09/97. . . . . . . . . . . 75,000,290
15,000,000 5.50%, 1/21/97. . . . . . . . . . . 15,000,165
17,000,000 5.53%, 1/21/97. . . . . . . . . . . 17,000,192
15,000,000 5.57%, 2/14/97. . . . . . . . . . . 14,996,981
Societe Generale:
20,000,000 5.52%, 1/09/97 . . . . . . . . . . . 20,000,000
25,000,000 5.38%, 2/14/97 . . . . . . . . . . . 24,998,013
5,000,000 5.62%, 4/01/97 . . . . . . . . . . . 4,999,339
15,000,000 5.65%, 4/01/97 . . . . . . . . . . . 14,999,520
Sumitomo Bank:
28,000,000 5.64%, 1/06/97 . . . . . . . . . . . 28,000,039
15,000,000 5.69%, 1/14/97 . . . . . . . . . . . 15,000,108
20,000,000 Swiss Bank Corp.,
5.75%, 3/04/97 . . . . . . . . . . . 20,000,000
25,000,000 Westpac Banking Corp.,
5.48%, 3/25/97 . . . . . . . . . . . 25,000,000
---------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost - $929,466,340). . . . . . . . . . . . . $ 929,466,340
---------------
COMMERCIAL PAPER* - 41.66%
Ameritech Capital Funding Corp.:
35,000,000 5.29%, 2/05/97 . . . . . . . . . . . $ 34,819,823
16,000,000 5.31%, 3/06/97 . . . . . . . . . . . 15,848,960
Asset Securitization Cooperative Corp.:
30,000,000 5.31%, 1/29/97 . . . . . . . . . . . 29,876,100
30,000,000 5.30%, 2/07/97 . . . . . . . . . . . 29,836,583
30,000,000 5.38%, 2/26/97 . . . . . . . . . . . 29,748,933
15,000,000 5.37%, 3/18/97 . . . . . . . . . . . 14,829,950
See Notes to Financial Statements on Page 15
9
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$ 23,000,000 Australia Wheat Board,
5.40%, 1/13/97 . . . . . . . . . . . $ 22,958,600
50,000,000 Bank of Nova Scotia,
5.32%, 3/04/97 . . . . . . . . . . . 49,542,035
20,000,000 BBL North America, Inc.,
5.32%, 1/07/97 . . . . . . . . . . . 19,982,267
Caisse Des Amortissement
De La Dette Sociale:
25,000,000 5.32%, 1/21/97 . . . . . . . . . . . 24,926,111
3,600,000 5.30%, 2/21/97 . . . . . . . . . . . 3,572,970
20,000,000 5.31%, 3/10/97 . . . . . . . . . . . 19,799,400
25,000,000 5.33%, 3/10/97 . . . . . . . . . . . 24,748,306
12,000,000 Caisse des Depots et Consignations,
5.30%, 2/14/97 . . . . . . . . . . . 11,922,267
17,500,000 Coca Cola Enterprises, Inc.,
5.42%, 1/24/97 . . . . . . . . . . . 17,439,401
50,000,000 Commerzbank,
5.54%, 1/07/97 . . . . . . . . . . . 49,953,833
Commonwealth Bank of Australia:
35,000,000 5.29%, 2/25/97 . . . . . . . . . . . 34,717,132
21,000,000 5.40%, 3/20/97 . . . . . . . . . . . 20,754,300
Delaware Funding Corp.:
35,000,000 5.30%, 2/20/97 . . . . . . . . . . . 34,742,361
18,348,000 5.40%, 2/20/97 . . . . . . . . . . . 18,210,390
35,000,000 Finnish Export Credit Ltd.,
5.45%, 1/14/97 . . . . . . . . . . . 34,931,118
40,000,000 First Boston,
5.33%, 1/09/97 . . . . . . . . . . . 39,952,622
General Electric Capital Corp.:
5,000,000 5.41%, 1/10/97 . . . . . . . . . . . 4,993,238
25,000,000 5.30%, 2/21/97 . . . . . . . . . . . 24,812,292
31,000,000 5.38%, 3/17/97 . . . . . . . . . . . 30,652,542
10,000,000 5.34%, 4/29/97 . . . . . . . . . . . 9,824,967
15,000,000 5.70%, 5/30/97 . . . . . . . . . . . 14,646,125
6,500,000 Hitachi American Ltd.,
5.40%, 3/25/97 . . . . . . . . . . . 6,419,075
Heinz (H.J.) Co.:
17,500,000 5.40%, 1/10/97 . . . . . . . . . . . 17,476,375
18,000,000 5.40%, 1/13/97 . . . . . . . . . . . 17,967,600
22,000,000 5.37%, 1/16/97 . . . . . . . . . . . 21,950,775
$ 26,335,000 International Lease Finance,
5.32%, 1/06/97 . . . . . . . . . . . $ 26,315,541
14,000,000 Internationale Nederlanden (U.S.)
Funding Corp.,
5.35%, 4/14/97 . . . . . . . . . . . 13,785,703
30,800,000 Kingdom of Spain,
5.50%, 3/06/97 . . . . . . . . . . . 30,498,844
Kingdom of Sweden:
20,000,000 5.38%, 1/28/97 . . . . . . . . . . . 19,919,300
2,169,000 5.60%, 2/14/97 . . . . . . . . . . . 2,154,154
48,000,000 5.29%, 2/20/97 . . . . . . . . . . . 47,647,333
40,000,000 5.29%, 2/24/97 . . . . . . . . . . . 39,682,600
5,000,000 MCI Communications Corp.,
5.47%, 4/30/97 . . . . . . . . . . . 4,909,593
Merrill Lynch & Co.:
20,000,000 5.45%, 1/23/97 . . . . . . . . . . . 19,933,389
40,000,000 5.30%, 1/24/97 . . . . . . . . . . . 39,863,789
30,000,000 5.34%, 1/27/97 . . . . . . . . . . . 29,884,300
35,000,000 5.32%, 2/03/97 . . . . . . . . . . . 34,829,317
Morgan Stanley Group, Inc.:
31,500,000 5.32%, 2/10/97 . . . . . . . . . . . 31,313,800
45,000,000 5.32%, 2/14/97 . . . . . . . . . . . 44,707,400
50,000,000 National Australia Funding (DE), Inc.,
5.41%, 1/06/97 . . . . . . . . . . . 49,962,431
8,000,000 National Rural Utility Cooperative
Financial Corp.,
5.30%, 3/11/97 . . . . . . . . . . . 7,918,733
8,000,000 Pacific Dunlop Holdings, Inc.,
5.32%, 1/31/97 . . . . . . . . . . . 7,964,533
35,000,000 Pfizer, Inc.,
5.28%, 3/19/97 . . . . . . . . . . . 34,604,733
Receivables Capital Corp.:
15,000,000 5.50%, 1/03/97 . . . . . . . . . . . 14,995,417
6,200,000 5.43%, 1/31/97 . . . . . . . . . . . 6,171,945
25,000,000 Royal Bank of Canada,
5.32%, 1/31/97 . . . . . . . . . . . 24,889,167
Sheffield Receivables Corp.:
20,000,000 5.68%, 1/23/97 . . . . . . . . . . . 19,930,578
13,000,000 5.35%, 2/03/97 . . . . . . . . . . . 12,936,246
9,300,000 5.35%, 2/04/97 . . . . . . . . . . . 9,253,009
See Notes to Financial Statements on Page 15
10
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$ 8,100,000 TransAmerica Finance Corp.,
5.42%, 1/06/97 . . . . . . . . . . . $ 8,093,903
25,000,000 Xerox Corp.,
5.37%, 1/13/97 . . . . . . . . . . . 24,955,250
20,000,000 Wool International,
5.30%, 1/16/97 . . . . . . . . . . . 19,955,833
----------------
TOTAL COMMERICAL PAPER
(Amortized Cost - $1,358,933,292). . . . . . . . . . . . $ 1,358,933,292
----------------
EURODOLLAR TIME DEPOSITS - 15.67%
140,000,000 Banco Bilbao Vizcaya,
7.00%, 1/02/97 . . . . . . . . . . . $ 140,000,000
10,000,000 Bank of America,
5.50%, 4/24/97. . . . . . . . . . . 10,000,000
55,000,000 Bank Austria AG,
5.48%, 3/12/97 . . . . . . . . . . . 55,000,000
25,000,000 Bank of Nova Scotia,
5.75%, 1/06/97 . . . . . . . . . . . 25,000,000
Bank of Tokyo-Mitsubishi Limited:
25,000,000 5.532%, 1/09/97. . . . . . . . . . . 25,000,000
28,000,000 5.50%, 2/14/97 . . . . . . . . . . . 28,000,000
138,247,384 Chase Manhattan Bank Corp.,
7.00%, 1/02/97 . . . . . . . . . . . 138,247,384
40,000,000 International Nederlanden,
5.81%, 3/06/97 . . . . . . . . . . . 40,000,000
20,000,000 Rabobank,
5.50%, 4/30/97 . . . . . . . . . . . 20,000,000
30,000,000 Toronto Dominion Bank,
5.42%, 1/23/97 . . . . . . . . . . . 30,000,000
----------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost - $511,247,384). . . . . . . . . . . . . $ 511,247,384
----------------
FLOATING RATE NOTES - 7.66%
American Express Centurion Bank:
Monthly Variable Rate,
$ 10,000,000 5.634%, 10/28/97 . . . . . . . . . . $ 10,000,000
10,000,000 5.587%, 11/18/97 . . . . . . . . . . 10,000,000
25,000,000 Avco Financial Services, Inc.
Monthly Variable Rate,
5.46%, 11/17/97. . . . . . . . . . . 24,997,820
25,000,000 Bayerische Landesbank
Monthly Variable Rate,
5.475%, 1/15/97. . . . . . . . . . . 24,999,310
10,000,000 Bear Stearns Company, Inc.
Monthly Variable Rate,
5.867%, 7/17/97. . . . . . . . . . . 10,013,725
25,000,000 CoreStates Bank
Monthly Variable Rate,
5.533%, 11/07/97 . . . . . . . . . . 25,000,000
40,000,000 General Electric Capital Corp.
Quarterly Variable Rate,
5.469%, 7/08/97. . . . . . . . . . . 40,000,000
10,000,000 Merrill Lynch & Co.
Monthly Variable Rate,
5.461%, 10/31/97 . . . . . . . . . . 9,996,721
25,000,000 PNC Bank Corp.
Quarterly Variable Rate,
5.568%, 11/25/97 . . . . . . . . . . 24,984,487
Wachovia Bank of North Carolina:
Monthly Variable Rate,
20,000,000 5.437%, 3/03/97. . . . . . . . . . . 19,997,552
25,000,000 5.539%, 4/25/97. . . . . . . . . . . 24,992,767
25,000,000 Student Loan Marketing Association
Weekly Variable Rate,
5.24%, 9/28/98 . . . . . . . . . . . 24,995,653
----------------
TOTAL FLOATING RATE NOTES
(Amortized Cost - $249,978,035). . . . . . . . . . . . . $ 249,978,035
----------------
See Notes to Financial Statements on Page 15
11
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
REPURCHASE AGREEMENTS - 6.13%
$ 150,000,000 Tri-Party Repurchase Agreement
with Chase Securities,Inc., dated 12/31/96,
7.50%, principal and interest in the amount
of $150,062,500, due 1/02/97 (Collateralized
by Federal National Mortgage Association
Obligations, par value of $247,618,495,
5.50% to 11.00%, due 11/01/97 to
3/01/25, value of $153,000,496). . . . . . $ 150,000,000
$ 50,000,000 Tri-Party Repurchase Agreement
with NationsBank, dated 12/31/96, 7.375%,
principal and interest in the amount of
$50,020,486, due 1/02/97 (Collateralized
by U.S. Treasury Note, par value of
$2,703,000, 7.75%, due 1/31/00, value of
$2,924,761; U.S. Treasury Bills, par value
of $8,740,000, due 2/06/97 to 6/05/97,
value of $8,551,830; Federal National
Mortgage Association Obligations, par value
of $18,971,071, 6.50%, due 3/28/97 to 4/01/26,
value of $16,065,699; Tennessee Valley
Authority, par value of $300,000, due
10/01/99, value of $323,364; Federal Home
Loan Bank, par value of $13,110,000, 6.01%
to 6.91%, due 6/25/97 to 4/30/01, value of
$12,783,630; and Federal Mortgage Association
Corp., par value of $11,254,481, 7.00% to
8.00%, due 5/01/00 to 12/01/26, value of
$10,351,353).. . . . . . . . . . . . . . . $ 50,000,000
----------------
TOTAL REPURCHASE AGREEMENTS
(Amortized Cost - $200,000,000). . . . . . . . . . . . . $ 200,000,000
----------------
TOTAL INVESTMENTS
(Amortized Cost - $3,249,625,051). . 99.62% $ 3,249,625,051
Other Assets Less Liabilities. . . . . 0.38% 12,284,641
------ ----------------
NET ASSETS. . . . . . . . . . . . . . . 100% $ 3,261,909,692
------ ----------------
------ ----------------
- ----------------------------
* Interest rates for Commercial Paper represents discount rates at the time of
purchase.
See Notes to Financial Statements on Page 15
12
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1996
- --------------------------------------------------------------------------------
ASSETS
Investments, at Value. . . . . . . . . . . . . . . . . . $ 3,249,625,051
Interest Receivable. . . . . . . . . . . . . . . . . . . 12,803,264
Prepaid Expenses and Other . . . . . . . . . . . . . . . 14,044
----------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . 3,262,442,359
----------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . 494,489
Accrued Expenses and Other . . . . . . . . . . . . . . . 38,178
----------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . 532,667
----------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . $ 3,261,909,692
----------------
----------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . $ 3,261,909,692
----------------
NET ASSETS, DECEMBER 31, 1996. . . . . . . . . . . . . . . $ 3,261,909,692
----------------
----------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . $ 179,419,733
--------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . 4,935,288
Administration and Services Fees . . . . . . . . . . . . 1,645,096
Professional Fees. . . . . . . . . . . . . . . . . . . . 49,838
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . 2,365
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . 50,988
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . 6,683,575
Less: Expenses Absorbed by Bankers Trust. . . . . . . . (761,230)
--------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . 5,922,345
--------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . 173,497,388
--------------
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS . . . . . . 102,443
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . $ 173,599,831
--------------
--------------
See Notes to Financial Statements on Page 15
13
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1996 DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . $ 173,497,388 $ 148,091,392
Net Realized Gain from Investment Transactions . . . . . . . . . . 102,443 268,537
---------------- ----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . 173,599,831 148,359,929
---------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . . 20,303,004,962 35,062,532,338
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . . (19,831,740,806) (35,329,985,394)
---------------- ----------------
Net Increase (Decrease) in Net Assets from Capital Transactions. . . 471,264,156 (267,453,056)
---------------- ----------------
CONTRIBUTION OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . . . . . . . . . . . . 1,113,488 --
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . 645,977,475 (119,093,127)
NET ASSETS
Beginning of Year. . . . . . . . . . . . . . . . . . . . . . . . . . 2,615,932,217 2,735,025,344
---------------- ----------------
End of Year. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 3,261,909,692 $ 2,615,932,217
---------------- ----------------
---------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the years
indicated for the Cash Management Portfolio.
<TABLE>
<CAPTION>
FOR THE YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
1996 1995 1994 1993 1992
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) . . . . . . . $ 3,261,910 $ 2,615,932 $ 2,735,025 $ 1,930,075 $ 1,438,688
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 5.27% 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>
+ Less than 0.01%.
See Notes to Financial Statements on Page 15
14
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990, as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
C. SECURITY TRANSACTIONS AND 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 identified cost basis.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to legal
proceedings.
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.
E. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the year ended December 31, 1996, this fee aggregated
$1,645,096.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the year ended December 31,1996, this
fee aggregated $4,935,288.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.18 of 1% of the
average daily net assets of the Portfolio. For the year ended December 31, 1996,
expenses of the Portfolio have been reduced by $761,230.
In 1996, Bankers Trust contributed capital in the amount of $1,113,488 to
reimburse the Cash Management Portfolio from long term capital losses incurred
in prior years.
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood and Signature. None of the trustees so affiliated
received compensation for services as trustees of the Portfolio. Similarly, none
of the Portfolio's officers received compensation from the Portfolio.
15
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of the Cash Management
Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of the Cash Management Portfolio as of
December 31, 1996, and the related statement of operations for the year then
ended, the statement of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Portfolio's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Cash Management Portfolio as of December 31, 1996, the results of its
operations, the changes in its net assets and the financial highlights for the
periods referred to above, in conformity with generally accepted accounting
principles.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
February 12, 1997
16
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17
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18
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19
<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 BT
Institutional Funds may be obtained by calling or writing to DST Systems, Inc.
or Edgewood Services, Inc., the primary Servicing Agent and Distributor,
respectively, of BT Institutional Funds:
BT INSTITUTIONAL FUNDS
DST Systems, Inc.
210 West 10th St.
Kansas City, MO 64105
BT INSTITUTIONAL FUNDS
Edgewood Services, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
You may write to the Institutional Cash Management Fund
at the following address:
BT INSTITUTIONAL FUNDS
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
A1. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of the
Institutional Cash Management Fund. The chart is divided into five
sections as follows: Repurchase Agreements, 6%; Floating Rate Notes, 8%;
Eurodollar Time Deposits, 16%; Certificates of Deposit, 28% and Commercial
Paper, 42%.
A2. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of Institutional
Cash Reserves. The chart is divided into five sections as follows:
Repurchase Agreements, 6%; Floating Rate Notes, 8%; Eurodollar Time
Deposits, 16%; Certificates of Deposit, 28% and Commercial Paper, 42%.
A3. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of the
Institutional Liquid Assets Fund. The chart is divided into five sections
as follows: Floating Rate Notes, 9%; Eurodollar Certificates of Deposit,
15%; Yankee Certificates of Deposit, 18%; Eurodollar Time Deposits, 22% and
Commercial Paper and U.S. Treasury Bill, 36%.
A4. The graphic presentation here displayed consists of a pie chart
indicating the diversification of portfolio investments of the
Institutional Treasury Money Fund. The chart is divided into two sections
as follows: U.S. Treasury Notes, 37% and Repurchase Agreements, 63%.
