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- BT INSTITUTIONAL FUNDS -
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INSTITUTIONAL
CASH MANAGEMENT FUND
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SEMI-ANNUAL REPORT
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JUNE-1997
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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
CASH MANAGEMENT PORTFOLIO
Schedule of Portfolio Investments . . . . . . . . . . . . 8
Statement of Assets and Liabilities . . . . . . . . . . . 11
Statement of Operations . . . . . . . . . . . . . . . . . 11
Statement of Changes in Net Assets. . . . . . . . . . . . 12
Financial Highlights. . . . . . . . . . . . . . . . . . . 12
Notes to Financial Statements . . . . . . . . . . . . . . 13
2
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INSTITUTIONAL CASH MANAGEMENT FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
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 Cash Management Fund (the "Fund") were able to
produce competitive yields. In fact, the Fund's annualized 7-day effective
yield of 5.62% as of June 30, 1997 was higher than the 5.49% yield of the IBC
First Tier-Institutional Only Money Funds average.* The Fund's 7-day current
yield as of June 30, 1997, was 5.47%.
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 5.8%, 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.
------------------------------------------
INVESTMENT INSTRUMENTS
Bank obligations, commercial paper,
U.S. Treasury obligations and repurchase
agreements collateralized by U.S. Treasury
obligations.
------------------------------------------
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 current income consistent with
liquidity in preservation 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.
-------------
RATINGS
S&P: AAAm
Moody's: AAA
-------------
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: 5.62%
Average maturity: 30 days
Net assets: $1,857 million
---------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Floating Rate Notes 15%
Certificates of Deposit 18%
Euro Certificates of Deposit 9%
Commercial Paper 35%
Eurodollar Time Deposits 23%
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.
As always, we appreciate your ongoing support of the BT Institutional Cash
Management Fund, and we look forward to continuing to serve your investment
needs for many years ahead.
/s/ Darlene Rasel
Darlene Rasel
Portfolio Manager of the
CASH MANAGEMENT PORTFOLIO
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 CASH MANAGEMENT FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Cash Management Portfolio, at Value. . . . . . . $1,857,162,641
Receivable for Shares of Beneficial Interest Subscribed. . . . 776,436
Prepaid Expenses . . . . . . . . . . . . . . . . . . . . . . . 11,584
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . 1,857,950,661
--------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . . . 73,761
Dividends Payable. . . . . . . . . . . . . . . . . . . . . . . 615,388
Accrued Expenses and Other . . . . . . . . . . . . . . . . . . 81,033
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . 770,182
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $1,857,180,479
--------------
--------------
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares of beneficial
interest authorized). . . . . . . . . . . . . . . . . . . . . 1,857,751,350
--------------
--------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE (net assets divided by shares outstanding). . . . . $ 1.00
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . . $1,857,751,350
Accumulated Net Realized Loss from Investment Transactions . (570,871)
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $1,857,180,479
--------------
--------------
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STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income Allocated from Cash Management Portfolio, net . . . . $ 47,377,510
--------------
EXPENSES
Administration and Services Fees . . . . . . . . . . . . . . 440,176
Printing and Shareholder Reports . . . . . . . . . . . . . . 10,462
Registration Fees. . . . . . . . . . . . . . . . . . . . . . 44,177
Professional Fees. . . . . . . . . . . . . . . . . . . . . . 4,788
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . . 4,055
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . . 12,032
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . . 515,690
Less: Expenses Absorbed by Bankers Trust. . . . . . . . . . (75,514)
--------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . 440,176
--------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . 46,937,334
NET REALIZED LOSS FROM INVESTMENT TRANSACTIONS . . . . . . . . (9,045)
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . $ 46,928,289
--------------
--------------
See Notes to Financial Statements on Page 7
4
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INSTITUTIONAL CASH MANAGEMENT FUND
STATEMENT OF CHANGES IN NET ASSETS
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<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1997+ December 31, 1996
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 46,937,334 $ 65,172,498
Net Realized Gain (Loss) from Investment Transactions. . . . . . . . . . . . . . . . . . (9,045) 39,523
---------------- ----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . . . 46,928,289 65,212,021
---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (46,937,334) (65,172,498)
---------------- ----------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at net asset value of $1.00
per share)
Proceeds from Sales of Shares. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,865,902,572 21,940,719,239
Dividend Reinvestments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,853,826 57,995,451
Cost of Shares Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (14,489,112,557) (21,571,176,052)
---------------- ----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . . . . 418,643,841 427,538,638
---------------- ----------------
CONTRIBUTION OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -- 93,110
---------------- ----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418,634,796 427,671,271
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,438,545,683 1,010,874,412
---------------- ----------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,857,180,479 $ 1,438,545,683
---------------- ----------------
---------------- ----------------
</TABLE>
- -------------------------
+ Unaudited
See Notes to Financial Statements on Page 7
5
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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
periods indicated for the Institutional Cash Management Fund.
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE DECEMBER 31,
SIX MONTHS ENDED ------------------------------------------------------
JUNE 30, 1997+ 1996 1995 1994 1993
---------------- ---------- ---------- ---------- ----------
<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 0.05 0.06 0.04 0.03
Net Realized Gain (Loss) from
Investment Transactions. 0.00++ 0.00++ 0.00++ (0.01) 0.00++
---------- ---------- ---------- ---------- ----------
Total from Investment Operations . . . . . . . . . . . . . 0.03 0.05 0.06 0.03 0.03
---------- ---------- ---------- ---------- ----------
CONTRIBUTIONS OF CAPITAL . . . . . . . . . . . . . . . . . -- 0.00++ -- 0.01 --
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . (0.03) (0.05) (0.06) (0.04) (0.03)
Net Realized Gain from Investment Transactions . . . . -- -- -- -- (0.00)++
---------- ---------- ---------- ---------- ----------
Total Distributions. . . . . . . . . . . . . . . . . . . . 0.03 (0.05) (0.06) (0.04) (0.03)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . 2.67% 5.36%* 5.89% 4.18%* 3.05%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . $1,857,180 $1,438,546 $1,010,874 $664,149 $1,850,222
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . . 5.33%** 5.24% 5.72% 3.98% 3.01%
Expenses, including expenses of the
Cash Management Portfolio. . . . . . . . . . . . . . 0.23%** 0.23% 0.23% 0.23% 0.25%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . . . . 0.03%** 0.04% 0.04% 0.03% 0.02%
</TABLE>
- ----------------------------
+ Unaudited
++ 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.
** Annualized
See Notes to Financial Statements on Page 7
6
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INSTITUTIONAL CASH MANAGEMENT FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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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 June 30, 1997, 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 substantially all of 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 six months ended June 30, 1997, this fee aggregated $440,176.
Under the Distribution Agreement with the Trust, pursuant to Rule 12b-1 of the
Act, Edgewood Services, Inc. ("Edgewood") 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 six months 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 0.05 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 June 30, 1997, expenses of the Fund have been
reduced by $75,514.
Certain trustees and officers of the Fund are also directors, officers and/or
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.
7
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CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- --------- ----------- --------------
CERTIFICATES OF DEPOSIT - 17.46%
$ 10,000,000 Australia and New Zealand Banking Group,
5.41%, 7/28/97. . . . . . . . . . . . . $ 10,000,073
44,000,000 Bank of America,
5.70%, 8/01/97. . . . . . . . . . . . . 44,000,000
70,000,000 Bank of Montreal,
5.57%, 7/07/97. . . . . . . . . . . . . 70,000,000
50,000,000 Bank of Nova Scotia,
5.56%, 7/02/97. . . . . . . . . . . . . 49,999,916
15,000,000 Bank of Tokyo-Mitsubishi Limited,
5.75%, 9/17/97. . . . . . . . . . . . . 14,999,971
10,000,000 Banque National de Paris,
5.72%, 7/10/97. . . . . . . . . . . . . 10,000,025
45,000,000 Bayerische Landesbank,
5.61%, 7/22/97. . . . . . . . . . . . . 45,000,852
50,000,000 Canadian Imperial Bank of Commerce,
5.68%, 8/21/97. . . . . . . . . . . . . 50,000,000
58,000,000 Nordeutsche,
5.57%, 7/21/97. . . . . . . . . . . . . 58,000,641
Sanwa Bank:
20,000,000 5.68%, 7/02/97. . . . . . . . . . . . . 20,000,010
22,000,000 5.68%, 7/10/97. . . . . . . . . . . . . 22,000,055
Societe Generale:
89,000,000 5.47%, 7/11/97. . . . . . . . . . . . . 89,001,103
15,000,000 6.00%, 7/28/97. . . . . . . . . . . . . 15,002,375
12,000,000 5.72%, 8/12/97. . . . . . . . . . . . . 12,000,552
25,000,000 5.54%, 9/03/97. . . . . . . . . . . . . 25,000,000
35,000,000 5.90%, 11/06/97 . . . . . . . . . . . . 35,000,000
15,000,000 Sumitomo Bank,
5.71%, 7/03/97. . . . . . . . . . . . . 15,000,023
33,000,000 Swiss Bank Corp.,
5.49%, 7/10/97. . . . . . . . . . . . . 33,000,000
Westdeutsche Landesbank:
75,000,000 5.57%, 7/01/97. . . . . . . . . . . . . 75,000,000
10,000,000 5.75%, 8/20/97. . . . . . . . . . . . . 10,000,000
30,000,000 5.69%, 8/21/97. . . . . . . . . . . . . 30,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost - $733,005,596) . . . . . . . . . . . 733,005,596
--------------
COMMERCIAL PAPER* - 34.36%
20,000,000 Abbey National North America,
5.40%, 7/11/97. . . . . . . . . . . . . 19,970,000
65,000,000 Alcatel Alsthom,
5.55%, 9/24/97. . . . . . . . . . . . . 64,148,229
Asset Securitization Cooperative Corp.:
$ 70,000,000 5.57%, 7/09/97. . . . . . . . . . . . . $ 69,913,355
10,000,000 5.65%, 8/05/97. . . . . . . . . . . . . 9,945,069
34,000,000 5.61%, 9/08/97. . . . . . . . . . . . . 33,634,415
20,000,000 Bank of Nova Scotia,
5.57%, 9/19/97. . . . . . . . . . . . . 19,752,267
BTR Dunlop:
22,000,000 5.67%, 11/18/97 . . . . . . . . . . . . 21,514,900
13,000,000 5.68%, 11/18/97 . . . . . . . . . . . . 12,712,844
15,000,000 Caterpillar Financial,
5.71%, 11/14/97 . . . . . . . . . . . . 14,676,433
Daimler Benz:
30,000,000 5.28%, 7/28/97. . . . . . . . . . . . . 29,881,200
10,000,000 5.28%, 8/05/97. . . . . . . . . . . . . 9,948,667
Delaware Funding Corp.:
20,000,000 5.65%, 7/08/97. . . . . . . . . . . . . 19,978,028
74,000,000 5.56%, 7/15/97. . . . . . . . . . . . . 73,839,995
40,000,000 5.58%, 7/15/97. . . . . . . . . . . . . 39,913,200
19,146,000 Elf Aquitaine Financial Services,
5.80%, 10/27/97 . . . . . . . . . . . . 18,782,013
4,370,000 Eksportfinans,
5.61%, 7/07/97. . . . . . . . . . . . . 4,365,914
First Boston:
15,000,000 5.63%, 8/05/97. . . . . . . . . . . . . 14,917,896
10,000,000 5.68%, 11/21/97 . . . . . . . . . . . . 9,774,378
General Electric Capital Corp.:
10,000,000 6.15%, 7/01/97. . . . . . . . . . . . . 10,000,000
25,000,000 5.42%, 7/14/97. . . . . . . . . . . . . 24,951,069
45,000,000 5.65%, 7/28/97. . . . . . . . . . . . . 44,809,312
25,000,000 5.55%, 8/07/97. . . . . . . . . . . . . 24,857,396
30,000,000 5.55%, 8/19/97. . . . . . . . . . . . . 29,773,375
Glaxo Wellcome:
15,000,000 5.59%, 9/11/97. . . . . . . . . . . . . 14,832,300
15,000,000 5.56%, 9/19/97. . . . . . . . . . . . . 14,814,667
Goldman Sachs:
30,000,000 5.55%, 7/07/97. . . . . . . . . . . . . 29,972,250
50,000,000 5.56%, 7/07/97. . . . . . . . . . . . . 49,953,667
30,000,000 5.56%, 7/28/97. . . . . . . . . . . . . 29,874,900
80,000,000 5.62%, 9/02/97. . . . . . . . . . . . . 79,213,200
12,000,000 Halifax Building Society,
5.73%, 10/14/97 . . . . . . . . . . . . 11,799,450
34,000,000 International Lease Finance,
5.63%, 8/14/97. . . . . . . . . . . . . 33,766,042
43,000,000 International Nederlanden (U.S.)
Funding Corp.,
5.54%, 7/14/97. . . . . . . . . . . . . 42,913,976
See Notes to Financial Statements on Page 13
8
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CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- --------- ----------- --------------
Kingdom of Sweden:
$ 8,000,000 5.63%, 7/11/97. . . . . . . . . . . . . $ 7,987,489
17,000,000 5.35%, 8/18/97. . . . . . . . . . . . . 16,878,847
30,000,000 5.34%, 8/26/97. . . . . . . . . . . . . 29,750,800
Merrill Lynch & Co.:
25,000,000 5.56%, 7/07/97. . . . . . . . . . . . . 24,976,833
13,000,000 5.58%, 7/09/97. . . . . . . . . . . . . 12,983,880
20,000,000 5.65%, 7/21/97. . . . . . . . . . . . . 19,937,222
30,000,000 5.60%, 8/19/97. . . . . . . . . . . . . 29,771,333
40,000,000 5.72%, 11/19/97 . . . . . . . . . . . . 39,103,867
Morgan Stanley Group Inc.:
25,000,000 5.57%, 7/21/97. . . . . . . . . . . . . 24,922,639
30,000,000 5.58%, 7/21/97. . . . . . . . . . . . . 29,907,000
National Rural Utility Cooperative
Financial Corp.:
4,700,000 5.55%, 7/03/97. . . . . . . . . . . . . 4,698,551
18,000,000 5.54%. 8/26/97. . . . . . . . . . . . . 17,844,880
25,000,000 New South Wales Treasury Corp.,
5.61%, 8/11/97. . . . . . . . . . . . . 24,840,271
62,800,000 Pacific Bell,
5.65%, 7/11/97. . . . . . . . . . . . . 62,701,439
Receivables Capital Corp.:
30,000,000 5.57%, 7/02/97. . . . . . . . . . . . . 29,995,363
6,000,000 5.60%, 7/02/97. . . . . . . . . . . . . 5,999,067
43,700,000 Repsol International,
5.56%, 7/15/97. . . . . . . . . . . . . 43,605,596
45,000,000 Schering Plough,
6.00%, 7/01/97. . . . . . . . . . . . . 45,000,000
17,100,000 Walt Disney,
6.10%, 7/01/97. . . . . . . . . . . . . 17,100,000
25,000,000 Warner Lambert,
5.52%, 7/11/97. . . . . . . . . . . . . 24,961,667
--------------
TOTAL COMMERCIAL PAPER
(Amortized Cost - $1,442,167,151) . . . . . . . . . . 1,442,167,151
--------------
EURODOLLAR CERTIFICATES OF
DEPOSIT - 8.41%
Abbey National North America:
40,000,000 5.71%, 8/14/97. . . . . . . . . . . . . 40,000,482
12,000,000 5.43%, 8/25/97. . . . . . . . . . . . . 12,000,000
25,000,000 5.65%, 9/25/97. . . . . . . . . . . . . 25,000,000
28,000,000 Australia and New Zealand Banking Group,
5.67%, 9/30/97. . . . . . . . . . . . . 28,000,698
Banco Bilbao Vizcaya:
18,000,000 5.74%, 7/17/97. . . . . . . . . . . . . 18,000,079
15,000,000 5.67%, 9/17/97. . . . . . . . . . . . . 15,000,320
28,000,000 Banco Santander,
5.57%, 7/14/97. . . . . . . . . . . . . 28,000,101
$ 20,000,000 Bank of Tokyo-Mitsubishi Limited,
5.66%, 7/09/97. . . . . . . . . . . . . $ 20,000,044
20,000,000 Banque National de Paris,
5.71%, 8/19/97. . . . . . . . . . . . . 20,000,134
Berliner Handels Frankfurt:
10,000,000 5.73%, 7/07/97. . . . . . . . . . . . . 9,999,982
35,000,000 5.70%, 7/21/97. . . . . . . . . . . . . 35,000,192
35,000,000 Commerzbank,
5.58%, 7/01/97. . . . . . . . . . . . . 35,000,000
10,000,000 Credit Agricole,
5.79%, 12/16/97 . . . . . . . . . . . . 10,000,907
12,000,000 Rabobank,
5.63%, 9/17/97. . . . . . . . . . . . . 12,004,355
Toronto Dominion Bank:
20,000,000 5.71%, 7/08/97. . . . . . . . . . . . . 20,000,000
25,000,000 5.71%, 9/25/97. . . . . . . . . . . . . 25,000,000
--------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost - $353,007,294) . . . . . . . . . . . 353,007,294
--------------
EURODOLLAR TIME DEPOSITS - 22.09%
Abbey National North America:
30,000,000 5.72%, 7/10/97. . . . . . . . . . . . . 30,000,000
25,000,000 5.75%, 8/01/97. . . . . . . . . . . . . 25,000,000
ABN Amro Bank:
50,000,000 5.73%, 7/07/97. . . . . . . . . . . . . 50,000,000
30,000,000 5.74%, 8/13/97. . . . . . . . . . . . . 30,000,000
20,000,000 6.00%, 10/31/97 . . . . . . . . . . . . 20,000,000
25,000,000 Bank Austria AG,
5.97%, 10/17/97 . . . . . . . . . . . . 25,000,000
80,000,000 Bank of Nova Scotia,
6.19%, 7/02/97. . . . . . . . . . . . . 80,000,000
25,000,000 Banque Bruxelles Lambert,
5.75%, 7/08/97. . . . . . . . . . . . . 25,000,000
40,000,000 Credit Agricole,
5.72%, 7/10/97. . . . . . . . . . . . . 40,000,000
Generale Bank:
30,000,000 5.56%, 9/03/97. . . . . . . . . . . . . 30,000,000
25,000,000 5.70%, 9/04/97. . . . . . . . . . . . . 25,000,000
30,000,000 Internationale Nederlanden (U.S.)
Funding Corp.,
5.73%, 7/08/97. . . . . . . . . . . . . 30,000,000
25,000,000 Nordeutsche Landesbank,
5.73%, 8/13/97. . . . . . . . . . . . . 25,000,000
97,256,680 Norwest,
6.50%, 7/01/97. . . . . . . . . . . . . 97,256,680
See Notes to Financial Statements on Page 13
9
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- --------- ----------- --------------
$ 20,000,000 Societe Generale,
5.55%, 9/03/97 . . . . . . . . . . . . . $ 20,000,000
125,000,000 Toronto Dominion Bank,
6.19%, 7/01/97. . . . . . . . . . . . . 125,000,000
175,000,000 Union Bank of Switzerland,
6.25%, 7/01/97. . . . . . . . . . . . . 175,000,000
75,000,000 Westdeutsche Landesbank,
6.38%, 7/01/97. . . . . . . . . . . . . 75,000,000
--------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost - $927,256,680) . . . . . . . . . . . 927,256,680
--------------
FLOATING RATE NOTES - 14.13%
American Express Centurion Bank:
Monthly Variable Rate,
10,000,000 5.658% 10/28/97. . . . . . . . . . . . 10,000,000
10,000,000 5.658%, 11/18/97. . . . . . . . . . . . 10,000,000
20,000,000 5.658%, 3/06/98 . . . . . . . . . . . . 20,000,000
Avco Financial Services Inc.
25,000,000 Quarterly Variable Rate,
5.773%, 11/17/97. . . . . . . . . . . . 24,999,053
Bayerische Landesbank
50,000,000 Monthly Variable Rate,
5.550%, 6/26/98 . . . . . . . . . . . . 49,961,633
Bear Stearns Company, Inc.:
Monthly Variable Rate,
10,000,000 5.938%, 7/17/97 . . . . . . . . . . . . 10,001,115
8,000,000 5.838%, 4/28/98 . . . . . . . . . . . . 8,010,338
BHF Finance
20,000,000 Quarterly Variable Rate,
5.670%, 6/26/98 . . . . . . . . . . . . 19,988,559
Comerica
35,000,000 Monthly Variable Rate,
5.588%, 2/05/98 . . . . . . . . . . . . 34,985,798
CoreStates Bank:
Monthly Variable Rate,
25,000,000 5.658%, 11/07/97. . . . . . . . . . . . 25,000,000
20,000,000 5.648%, 2/02/98 . . . . . . . . . . . . 20,000,000
General Electric Capital Corp.:
Quarterly Variable Rate,
40,000,000 5.750%, 7/08/97 . . . . . . . . . . . . 40,000,000
20,000,000 5.782%, 1/23/98 . . . . . . . . . . . . 20,000,000
Key Bank
40,000,000 Monthly Variable Rate,
5.578%, 3/19/98 . . . . . . . . . . . . 39,978,988
Mellon Bank
10,000,000 Quarterly Variable Rate,
5.753%, 6/16/98 . . . . . . . . . . . . 10,000,000
Merrill Lynch & Co.:
Monthly Variable Rate,
$ 10,000,000 5.782%, 10/31/97. . . . . . . . . . . . $ 9,998,680
25,000,000 5.648%, 2/06/98 . . . . . . . . . . . . 24,997,051
Morgan Stanley:
Quarterly Variable Rate,
40,000,000 5.648%, 1/30/98 . . . . . . . . . . . . 40,000,000
10,000,000 5.763%, 5/18/98 . . . . . . . . . . . . 10,000,000
National City Cleveland
15,000,000 Monthly Variable Rate,
5.578%, 2/18/98 . . . . . . . . . . . . 14,993,092
Norwest
40,000,000 Quarterly Variable Rate,
5.913%, 12/09/97. . . . . . . . . . . . 40,031,417
PNC Bank Corp.:
Monthly Variable Rate,
25,000,000 5.588%, 11/25/97 . . . . . . . . . . . . 24,993,048
40,000,000 5.598%, 1/09/98. . . . . . . . . . . . . 39,987,674
20,000,000 5.588%, 5/27/98. . . . . . . . . . . . . 19,989,447
Student Loan Marketing Association
25,000,000 Weekly Variable Rate,
5.26%, 9/28/98 . . . . . . . . . . . . . 24,996,892
--------------
TOTAL FLOATING RATE NOTES
(Amortized Cost - $592,912,785) . . . . . . . . . . . 592,912,785
--------------
TOTAL INVESTMENTS
(Amortized Cost - $4,048,349,506) . . . . 96.45% 4,048,349,506
Other Assets Less Liabilities . . . . . . . 3.55% 148,808,626
------- --------------
Net Assets. . . . . . . . . . . . . . . . . 100.00% $ 4,197,158,132
------- --------------
------- --------------
- -----------------------
* Interest rates for Commercial Paper represent discount rates at the time of
purchase.
See Notes to Financial Statements on Page 13
10
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments, at Value . . . . . . . . . . . . . . . . . . $4,048,349,506
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . 472,565
Interest Receivable. . . . . . . . . . . . . . . . . . . . 149,003,266
Prepaid Expenses and Other . . . . . . . . . . . . . . . . 26,114
--------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . 4,197,851,451
--------------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . 654,943
Accrued Expenses . . . . . . . . . . . . . . . . . . . . . 38,376
--------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . 693,319
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $4,197,158,132
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . $4,197,158,132
--------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $4,197,158,132
--------------
--------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . $ 114,299,785
--------------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . . 3,090,456
Administration and Services Fees . . . . . . . . . . . . . 1,030,152
Professional Fees. . . . . . . . . . . . . . . . . . . . . 15,569
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . 1,046
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . 17,734
--------------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . 4,154,957
Less: Expenses Absorbed by Bankers Trust. . . . . . . . . (446,410)
--------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . 3,708,547
--------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . 110,591,238
NET REALIZED LOSS FROM INVESTMENT TRANSACTIONS . . . . . . . . (22,473)
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . $ 110,568,765
--------------
--------------
See Notes to Financial Statements on Page 13
11
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997+ DECEMBER 31, 1996
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . . . . . . . $ 110,591,238 $ 173,497,388
Net Realized Gain (Loss) from Investment Transactions. . . . . . (22,473) 102,443
--------------- ---------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . 110,568,765 173,599,831
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested . . . . . . . . . . . . . . . . . 12,633,606,938 20,303,004,962
Value of Capital Withdrawn . . . . . . . . . . . . . . . . . . . (11,808,927,263) (19,831,740,806)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions . . . . . . . . 824,679,675 471,264,156
CONTRIBUTION OF CAPITAL
Proceeds Contributed . . . . . . . . . . . . . . . . . . . . . . -- 1,113,488
--------------- ---------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . 935,248,440 645,977,475
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . 3,261,909,692 2,615,932,217
--------------- ---------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 4,197,158,132 $ 3,261,909,692
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Cash Management Portfolio.
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE SIX DECEMBER 31,
MONTHS ENDED ------------------------------------------------------
JUNE 30, 1997+ 1996 1995 1994 1993
------------- ---------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . .$4,197,158 $3,261,910 $2,615,932 $2,735,025 $1,930,075
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 5.37%* 5.27% 5.77% 4.24% 3.06%
Expenses . . . . . . . . . . . . . . . . . . . . . 0.18%* 0.18% 0.18% 0.18% 0.20%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust . . . 0.02%* 0.02% 0.02% 0.02% 0.00%++
</TABLE>
- ----------------------------
+ Unaudited
++ Less than 0.01%
* Annualized
See Notes to Financial Statements on Page 13
12
<PAGE>
- --------------------------------------------------------------------------------
CASH MANAGEMENT PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990, as
an unincorporated trust under the laws of New York, and commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's 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 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 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 AFFITIATES
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, 1997, this fee aggregated
$1,030,152.
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, 1997,
this fee aggregated $3,090,456.
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 six months ended June 30,
1997, expenses of the Portfolio have been reduced by $446,410.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood. 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.
13
<PAGE>
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14
<PAGE>
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15
<PAGE>
BT INSTITUTIONAL FUNDS
BT INSTITUTIONAL CASH MANAGEMENT FUND
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
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.
-----------------------------------------------------
Cusip #055924104
STA481100 (7/97)
