<PAGE>
- BT INSTITUTIONAL FUNDS -
----------------------------------
INSTITUTIONAL
LIQUID ASSETS FUND
----------------------------------
SEMI-ANNUAL REPORT
----------------------------------
JUNE-1997
<PAGE>
- --------------------------------------------------------------------------------
INSTITUTIONAL LIQUID ASSETS FUND
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS. . . . . . . . . . . . . . . . . . . . . . . .3
INSTITUTIONAL LIQUID ASSETS FUND
Statement of Assets and Liabilities. . . . . . . . . . . . . . . .4
Statement of Operations. . . . . . . . . . . . . . . . . . . . . .4
Statement of Changes in Net Assets . . . . . . . . . . . . . . . .5
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . .5
Notes to Financial Statements. . . . . . . . . . . . . . . . . . .6
LIQUID ASSETS PORTFOLIO
Schedule of Portfolio Investments. . . . . . . . . . . . . . . . .7
Statement of Assets and Liabilities. . . . . . . . . . . . . . . 10
Statement of Operations. . . . . . . . . . . . . . . . . . . . . 10
Statement of Changes in Net Assets . . . . . . . . . . . . . . . 11
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . 11
Notes to Financial Statements. . . . . . . . . . . . . . . . . . 12
2
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INSTITUTIONAL LIQUID ASSETS 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 Liquid Assets Fund (the "Fund") were able to
produce competitive yields. In fact, the Fund's annualized 7-day effective
yield of 5.71% as of June 30, 1997 was higher than the 5.49% yield of the IBC
First Tier-Institutional Only Money Funds average.* The 7-day current yield was
5.56% as of June 30, 1997.
MARKET ACTIVITY
This semi-annual period was much more volatile in comparison to the previous
period. On March 25, 1997, the Federal Reserve Board increased the fed funds
rate from 5.25% to 5.50%-the first increase in over two years. Economic
strength, as evidenced by first quarter GDP growth of 5.80%, strong consumer
spending and home-building, and increased manufacturing inventories, prompted
the official and widely expected move. Interestingly, this above-trend economic
growth did not result in a rise in the reported inflation rate.
-------------------------------------------------------
OBJECTIVE
Seeks high level of current income to the extent
consistent with liquidity and preservation of capital.
-------------------------------------------------------
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.
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.
-------------------------------------------------------
INVESTMENT INSTRUMENTS
Bank obligations, commercial paper, U.S. treasury
obligations and repurchase agreements.
-------------------------------------------------------
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.
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF JUNE 30, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
Euro Certificates of Deposit 9%
Floating Rate Notes 13%
Yankee Certificates of Deposit 18%
Certificates of Deposit 2%
Commercial Paper 29%
Euro Time Deposits 29%
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.
-------------------------------------------------------
STATUS AT JUNE 30, 1997
Seven day effective yield: 5.71%
Average maturity: 36 days
Net Assets: $2,485 million
-------------------------------------------------------
As always, we appreciate your ongoing support of the BT Institutional Liquid
Assets 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
LIQUID ASSETS 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 do so. SHARES OF THE FUND ARE NOT DEPOSITS
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 LIQUID ASSETS FUND
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investment in Liquid Assets Portfolio, at Value . . . . . . $ 2,495,200,869
Deferred Organizational Expenses. . . . . . . . . . . . . . 6,887
Prepaid Expenses. . . . . . . . . . . . . . . . . . . . . . 12,953
---------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . 2,495,220,709
---------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . 81,591
Dividends Payable . . . . . . . . . . . . . . . . . . . . . 10,047,053
Accrued Expenses and Other. . . . . . . . . . . . . . . . . 40,979
---------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . 10,169,623
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,485,051,086
---------------
---------------
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares of beneficial interest
authorized) . . . . . . . . . . . . . . . . . . . . . . . . . 2,484,997,630
---------------
---------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE (net assets divided by shares outstanding). . . . . $ 1.00
---------------
---------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . $ 2,484,997,606
Undistributed Net Realized Gain from
Investment Transactions. . . . . . . . . . . . . . . . . . 53,480
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,485,051,086
---------------
---------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Income Allocated from Liquid Assets Portfolio, net. . . . . $ 59,575,328
---------------
EXPENSES
Administration and Services Fees. . . . . . . . . . . . . . 546,185
Printing and Shareholder Reports. . . . . . . . . . . . . . 7,273
Registration Fees . . . . . . . . . . . . . . . . . . . . . 8,557
Professional Fees . . . . . . . . . . . . . . . . . . . . . 4,533
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . 3,630
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . 15,147
---------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . 585,325
Less: Expenses Absorbed by Bankers Trust . . . . . . . . . (39,140)
---------------
Net Expenses. . . . . . . . . . . . . . . . . . . . . . . 546,185
---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . 59,029,143
---------------
NET REALIZED LOSS FROM INVESTMENT TRANSACTIONS . . . . . . . . (4,907)
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . $ 59,024,236
---------------
---------------
See Notes to Financial Statements on Page 6
4
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INSTITUTIONAL LIQUID ASSETS FUND
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 59,029,143 $ 98,808,817
Net Realized Gain (Loss) from Investment Transactions . . . . . . . . . . . . . . . . . (4,907) 41,704
--------------- ----------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . . . . 59,024,236 98,850,521
--------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (59,029,143) (98,808,817)
--------------- ----------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at net asset value of $1.00
per share)
Proceeds from Sales of Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,684,151,914 4,756,221,475
Cost of Shares Redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,142,119,563) (4,290,640,665)
--------------- ----------------
Net Increase from Capital Transactions in Shares of Beneficial Interest. . . . . . . . . . 542,032,351 465,580,810
--------------- ----------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 542,027,444 465,622,514
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,943,023,642 1,477,401,128
--------------- ----------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,485,051,086 $ 1,943,023,642
--------------- ----------------
--------------- ----------------
</TABLE>
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INSTITUTIONAL LIQUID ASSETS 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 Liquid Assets Fund.
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 11, 1995
FOR THE FOR THE (COMMENCEMENT OF
SIX MONTHS ENDED YEAR ENDED OPERATIONS) TO
JUNE 30, 1997+ DECEMBER 31, 1996 DECEMBER 31, 1995
------------------ ----------------- -----------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . 0.03 0.05 0.00++
Net Realized Gain from Investment Transactions. . . . . . . . . . . 0.00++ 0.00++ 0.00++
----------- ----------- -----------
Total from Investment Operations . . . . . . . . . . . . . . . . . . . 0.03 0.05 0.00++
----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . (0.03) (0.05) (0.00)++
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00
----------- ----------- -----------
----------- ----------- -----------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . . . . . . . . . 2.71% 5.45% 5.88%*
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . . . . . . . $ 2,485,051 $ 1,943,024 $ 1,477,401
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . 5.40%* 5.32% 5.50%*
Expenses, Including Expenses of the Liquid Assets Portfolio . . . 0.16%* 0.04% 0.01%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust . . . . . . . . . . . . . . . . . . 0.09%* 0.22% 0.97%*
</TABLE>
- -------------------
+ Unaudited
++ Less than $0.01 per share
* Annualized
See Notes to Financial Statements on Page 6
5
<PAGE>
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INSTITUTIONAL LIQUID ASSETS FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Institutional Funds ("the Trust") is registered under the Investment Company
Act of 1940 ("the Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Institutional Liquid Assets 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 December 11, 1995. The Fund invests
substantially all of its assets in the Liquid Assets 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 99.99%
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. ORGANIZATIONAL EXPENSES
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
D. DIVIDENDS
It is the Fund's policy to declare dividends daily and pay monthly to
shareholders from net investment income. Dividends payable to shareholders are
recorded by the Fund on the ex-dividend date, which is the same as the
declaration date. Distributions of net realized short-term and long-term capital
gains, if any, earned by the Fund will be made annually to the extent they are
not offset by any capital loss carryforwards.
E. 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.
F. 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 $546,185.
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 the Fund's average daily net assets, for
expenses incurred in connection with any activities primarily intended to result
in the sale of the Fund's shares. For the six months ended June 30, 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
0.16 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended June 30, 1997, expenses of the Fund have
been reduced by $39,140.
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.
6
<PAGE>
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LIQUID ASSETS PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- ----------- ----------- ---------------
CERTIFICATE OF DEPOSIT - 1.88%
47,000,000 Bank of America,
5.69%, 8/01/97
(Amortized Cost $46,999,601). . . . . . . . . $ 46,999,601
---------------
COMMERCIAL PAPER - 28.28%*
ABN Amro,
3,000,000 5.685%, 10/15/97. . . . . . . . . . . . . . . 2,949,783
5,304,000 5.73%, 10/15/97 . . . . . . . . . . . . . . . 5,214,513
20,000,000 Abbey National Bank,
5.40%, 7/11/97. . . . . . . . . . . . . . . . 19,970,000
Asset Securitization Cooperative Corp.,
10,000,000 5.65%, 8/05/97. . . . . . . . . . . . . . . . 9,945,069
25,000,000 5.61%, 9/08/97. . . . . . . . . . . . . . . . 24,731,188
BTR Dunlop Finance, Inc.,
11,000,000 5.68%, 11/18/97 . . . . . . . . . . . . . . . 10,757,022
14,000,000 5.67%, 11/18/97 . . . . . . . . . . . . . . . 13,691,300
Berliner Handels Frankfurt,
25,000,000 5.63%, 10/06/97 . . . . . . . . . . . . . . . 24,620,757
10,000,000 5.70%, 12/01/97 . . . . . . . . . . . . . . . 9,757,750
6,000,000 C.S. First Boston,
5.63%, 8/05/97. . . . . . . . . . . . . . . . 5,967,158
Caterpillar Financial Services,
2,000,000 5.705%, 11/14/97. . . . . . . . . . . . . . . 1,956,896
15,000,000 5.71%, 11/14/97 . . . . . . . . . . . . . . . 14,676,433
2,000,000 Credit Suisse,
5.65%, 8/05/97. . . . . . . . . . . . . . . . 1,989,014
Daimler Benz North American,
11,300,000 5.28%, 7/28/97. . . . . . . . . . . . . . . . 11,255,252
14,000,000 5.73%, 9/08/97. . . . . . . . . . . . . . . . 13,846,245
17,000,000 Delaware Funding Corp.,
5.65%, 7/25/97. . . . . . . . . . . . . . . . 16,935,967
19,000,000 Elf Aquitaine Financial Services,
5.80%, 10/27/97 . . . . . . . . . . . . . . . 18,638,789
General Electric Capital Corporation,
25,000,000 5.42%, 7/14/97. . . . . . . . . . . . . . . . 24,951,069
5,000,000 5.65%, 7/28/97. . . . . . . . . . . . . . . . 4,978,813
10,000,000 5.50%, 8/07/97. . . . . . . . . . . . . . . . 9,942,958
19,000,000 Generale Bank,
5.57%, 9/16/97. . . . . . . . . . . . . . . . 18,773,641
Glaxo Wellcome,
10,000,000 5.59%, 9/11/97. . . . . . . . . . . . . . . . 9,888,200
15,000,000 5.56%, 9/19/97. . . . . . . . . . . . . . . . 14,814,667
Goldman Sachs,
20,000,000 5.56%, 7/28/97. . . . . . . . . . . . . . . . 19,916,600
50,000,000 5.62%, 9/02/97. . . . . . . . . . . . . . . . 49,508,250
5,000,000 Hitachi America Ltd.,
5.33%, 7/16/97. . . . . . . . . . . . . . . . $ 4,988,896
24,000,000 International Nederlanden Funding,
5.54%, 7/14/97. . . . . . . . . . . . . . . . 23,951,987
Kingdom of Sweden,
17,000,000 5.345%, 8/18/97 . . . . . . . . . . . . . . . 16,878,847
1,000,000 5.625%, 8/18/97 . . . . . . . . . . . . . . . 992,500
4,000,000 MCI Communications Corporation,
5.645%, 9/08/97 . . . . . . . . . . . . . . . 3,956,722
Merrill Lynch & Co.,
5,000,000 5.58%, 7/09/97. . . . . . . . . . . . . . . . 4,993,800
12,000,000 5.65%, 7/21/97. . . . . . . . . . . . . . . . 11,962,333
15,000,000 5.60%, 8/19/97. . . . . . . . . . . . . . . . 14,885,667
40,000,000 5.72%, 11/19/97 . . . . . . . . . . . . . . . 39,103,867
15,000,000 Morgan Stanley Group, Inc.,
5.58%, 7/21/97. . . . . . . . . . . . . . . . 14,953,500
New South Wales Treasury,
25,000,000 5.61%, 8/11/97. . . . . . . . . . . . . . . . 24,840,271
4,000,000 5.625%, 8/11/97 . . . . . . . . . . . . . . . 3,974,375
NYNEX Corp.,
24,000,000 5.53%, 7/14/97. . . . . . . . . . . . . . . . 23,952,073
25,000,000 5.535%, 7/28/97 . . . . . . . . . . . . . . . 24,896,219
25,000,000 Pepsico, Inc.,
6.00%, 7/01/97. . . . . . . . . . . . . . . . 25,000,000
Receivables Capital Corporation,
8,000,000 5.565%, 7/02/97 . . . . . . . . . . . . . . . 7,998,763
15,000,000 5.57%, 8/13/97. . . . . . . . . . . . . . . . 14,900,204
Repsol International,
10,000,000 5.555%, 7/15/97 . . . . . . . . . . . . . . . 9,978,397
15,000,000 5.63%, 7/29/97. . . . . . . . . . . . . . . . 14,934,317
12,000,000 5.75%, 10/27/97 . . . . . . . . . . . . . . . 11,773,833
25,000,000 Socal Edison Co.,
5.63%, 7/11/97. . . . . . . . . . . . . . . . 24,960,903
22,000,000 Warner Lambert Co.,
5.52%, 7/11/97. . . . . . . . . . . . . . . . 21,966,267
---------------
TOTAL COMMERCIAL PAPER (Amortized Cost $705,521,075) . . . . . 705,521,075
---------------
COMMERCIAL PAPER (INTEREST BEARING) - 0.48%
12,000,000 General Electric Co.,
6.15%, 7/01/97
(Amortized Cost $12,000,000). . . . . . . . . 12,000,000
---------------
EURODOLLAR CERTIFICATES OF DEPOSIT - 8.38%
Abbey National Bank,
20,000,000 5.71%, 8/14/97. . . . . . . . . . . . . . . . 20,000,241
16,000,000 5.43%, 8/25/97. . . . . . . . . . . . . . . . 15,999,481
10,000,000 5.65%, 9/25/97. . . . . . . . . . . . . . . . 10,000,000
See Notes to Financial Statements on Page 12
7
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- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- ----------- ----------- ---------------
22,000,000 Australia and New Zealand Bank,
5.67%, 9/30/97. . . . . . . . . . . . . . . . $ 22,000,548
15,000,000 Banco Bilbao Vizcaya,
5.74%, 7/21/97. . . . . . . . . . . . . . . . 15,000,082
9,000,000 Banco Santander,
5.57%, 7/14/97. . . . . . . . . . . . . . . . 9,000,032
20,000,000 Bank of Tokyo-Mitsubishi,
5.66%, 7/09/97. . . . . . . . . . . . . . . . 20,000,044
Bayerische Hypotheka,
15,000,000 5.60%, 8/26/97. . . . . . . . . . . . . . . . 14,998,994
3,000,000 5.76%, 2/09/98. . . . . . . . . . . . . . . . 3,000,783
10,000,000 Commerz Bank,
5.80%, 9/17/97. . . . . . . . . . . . . . . . 10,000,806
25,000,000 Credit Agricole,
5.79%, 12/16/97 . . . . . . . . . . . . . . . 25,002,267
1,000,000 Credit Suisse,
5.62%, 9/18/97. . . . . . . . . . . . . . . . 999,585
10,000,000 Rabobank,
5.52%, 9/19/97. . . . . . . . . . . . . . . . 10,000,665
33,000,000 Toronto Dominion Bank,
5.71%, 9/25/97. . . . . . . . . . . . . . . . 33,000,000
---------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost $209,003,528). . . . . . . . . . . . . . . . 209,003,528
---------------
EURODOLLAR TIME DEPOSITS - 28.61%
30,000,000 ABN Amro,
5.75%, 7/07/97. . . . . . . . . . . . . . . . 30,000,000
30,000,000 Abbey National Bank,
5.73%, 7/07/97. . . . . . . . . . . . . . . . 30,000,000
50,000,000 Bank of Nova Scotia,
6.187%, 7/02/97 . . . . . . . . . . . . . . . 50,000,000
25,000,000 Banque Bruxelles,
5.75%, 7/08/97. . . . . . . . . . . . . . . . 25,000,000
10,000,000 Bayerische Landesbank,
5.55%, 9/03/97. . . . . . . . . . . . . . . . 10,000,000
40,000,000 Credit Agricole,
5.72%, 7/10/97. . . . . . . . . . . . . . . . 40,000,000
40,000,000 Nordeutsche,
5.73%, 8/13/97. . . . . . . . . . . . . . . . 40,000,000
13,855,994 Norwest Corp.,
6.50%, 7/01/97. . . . . . . . . . . . . . . . 13,855,994
100,000,000 Suntrust Bank,
6.25%, 7/01/97. . . . . . . . . . . . . . . . 100,000,000
100,000,000 Swiss Bank,
6.25%, 7/01/97. . . . . . . . . . . . . . . . $ 100,000,000
75,000,000 Toronto Dominion,
6.19%, 7/01/97. . . . . . . . . . . . . . . . 75,000,000
100,000,000 UBS,
6.25%, 7/01/97. . . . . . . . . . . . . . . . 100,000,000
100,000,000 West Deutsche Landesbank,
6.38%, 7/01/97. . . . . . . . . . . . . . . . 100,000,000
---------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $713,855,994). . . . . . . . . . . . . . . . . 713,855,994
---------------
FLOATING RATE NOTES - 13.22%
American Express Centurion Bank,
Variable Rate Monthly,
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
10,000,000 5.658%, 5/12/98 . . . . . . . . . . . . . . . 10,000,000
Avco Financial Services Inc.,
20,000,000 Variable Rate Quarterly,
5.773%, 11/17/97. . . . . . . . . . . . . . . 19,999,243
Bear Stearns Co.,
Variable Rate Monthly,
15,000,000 5.718%, 8/18/97 . . . . . . . . . . . . . . . 15,000,000
1,000,000 5.674%, 2/17/98 . . . . . . . . . . . . . . . 1,000,519
8,000,000 5.838%, 4/28/98 . . . . . . . . . . . . . . . 8,010,338
Beneficial Corporation,
Variable Rate Quarterly,
4,000,000 5.853%, 8/05/97 . . . . . . . . . . . . . . . 4,000,251
1,000,000 5.587%, 8/05/97 . . . . . . . . . . . . . . . 999,915
Berliner Handels Frankfurt,
30,000,000 Variable Rate Monthly,
5.67%, 6/26/98. . . . . . . . . . . . . . . . 29,982,838
Corestates Bank,
20,000,000 Variable Rate Monthly,
5.648%, 2/02/98 . . . . . . . . . . . . . . . 20,000,000
General Electric Capital Corporation,
Variable Rate Quarterly,
30,000,000 5.75%, 7/08/97. . . . . . . . . . . . . . . . 30,000,000
10,000,000 5.746%, 1/05/98 . . . . . . . . . . . . . . . 10,000,000
15,000,000 5.782%, 1/23/98 . . . . . . . . . . . . . . . 15,000,000
Merrill Lynch & Co.,
25,000,000 Variable Rate Quarterly,
5.743%, 2/06/98 . . . . . . . . . . . . . . . 24,997,065
Mellon Bank,
15,000,000 Variable Rate,
5.753%, 6/16/98 . . . . . . . . . . . . . . . 15,000,000
See Notes to Financial Statements on Page 12
8
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- ----------- ----------- ---------------
Morgan Stanley,
20,000,000 Variable Rate Monthly,
5.648%, 1/30/98 . . . . . . . . . . . . . . . $ 20,000,000
20,000,000 Variable Rate Quarterly,
5.763%, 5/18/98 . . . . . . . . . . . . . . . 20,000,000
National City Cleveland,
10,000,000 Variable Rate Monthly,
5.578%, 2/18/98 . . . . . . . . . . . . . . . 9,995,394
PNC Bank Corp,
Variable Rate Monthly,
15,000,000 5.588%, 5/27/98 . . . . . . . . . . . . . . . 14,992,085
20,000,000 5.578%, 6/16/98 . . . . . . . . . . . . . . . 19,986,976
SLMA,
1,000,000 Variable Rate,
5.47%, 8/20/97. . . . . . . . . . . . . . . . 999,662
---------------
TOTAL FLOATING RATE NOTES (Amortized Cost $329,964,286). . . . 329,964,286
---------------
YANKEE CERTIFICATES OF DEPOSIT - 17.51%
15,000,000 Australia and New Zealand Bank,
5.41%, 7/28/97. . . . . . . . . . . . . . . . 15,000,110
3,000,000 Bank of America,
5.70%, 8/01/97. . . . . . . . . . . . . . . . 2,999,955
25,000,000 Bank of Montreal,
5.57%, 7/07/97. . . . . . . . . . . . . . . . 25,000,000
Banque National de Paris,
10,000,000 5.72%, 7/10/97. . . . . . . . . . . . . . . . 10,000,025
25,000,000 5.51%, 8/04/97. . . . . . . . . . . . . . . . 24,999,533
20,000,000 5.73%, 8/14/97. . . . . . . . . . . . . . . . 20,000,460
15,000,000 Bank of Tokyo-Mitsubishi,
5.750%, 9/17/97 . . . . . . . . . . . . . . . 14,999,971
20,000,000 Canadian Imperial Bank of Commerce,
5.68%, 8/21/97. . . . . . . . . . . . . . . . 20,000,000
3,000,000 Commerz Bank,
5.665%, 9/18/97 . . . . . . . . . . . . . . . 2,998,981
Industrial Bank of Japan,
13,000,000 5.67%, 7/11/97. . . . . . . . . . . . . . . . $ 13,000,017
25,000,000 5.70%, 7/23/97. . . . . . . . . . . . . . . . 25,000,000
18,000,000 National Westminster Bank,
5.68%, 3/02/98. . . . . . . . . . . . . . . . 17,990,781
20,000,000 Nordeutsche Landesbank,
5.57%, 7/21/97. . . . . . . . . . . . . . . . 20,000,221
10,000,000 Rabobank,
5.78%, 12/08/97 . . . . . . . . . . . . . . . 10,001,017
Sanwa Bank,
10,000,000 5.68%, 7/02/97. . . . . . . . . . . . . . . . 10,000,005
50,000,000 5.68%, 7/10/97. . . . . . . . . . . . . . . . 50,000,124
15,000,000 5.69%, 7/10/97. . . . . . . . . . . . . . . . 15,000,071
Societe Generale,
66,000,000 5.47%, 7/11/97. . . . . . . . . . . . . . . . 66,000,484
15,000,000 6.00%, 7/28/97. . . . . . . . . . . . . . . . 15,002,375
1,000,000 5.84%, 10/06/97 . . . . . . . . . . . . . . . 999,497
17,000,000 5.90%, 11/06/97 . . . . . . . . . . . . . . . 17,000,000
9,000,000 Sumitomo Bank,
5.71%, 7/03/97. . . . . . . . . . . . . . . . 9,000,014
22,000,000 Swiss Bank,
5.49%, 7/10/97. . . . . . . . . . . . . . . . 21,999,907
10,000,000 West Deutsche Landesbank,
5.75%, 8/20/97. . . . . . . . . . . . . . . . 10,000,000
---------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Amortized Cost $436,993,548) . . . . . . . . . . . . . . . . 436,993,548
---------------
TOTAL INVESTMENTS
(Amortized Cost $2,454,338,032) . . . . . . 98.36% 2,454,338,032
Other Assets Less Liabilities. . . . . . . . 1.64% 40,862,997
------- ---------------
Net Assets . . . . . . . . . . . . . . . . . 100.00% $ 2,495,201,029
------- ---------------
------- ---------------
- -------------------
*Interest rate represents discount rate at time of purchase.
See Notes to Financial Statements on Page 12
9
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments, at Value . . . . . . . . . . . . . . . . . . . $ 2,454,338,032
Cash. . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,815,823
Interest Receivable . . . . . . . . . . . . . . . . . . . . 11,250,399
Prepaid Expenses. . . . . . . . . . . . . . . . . . . . . . 3,621
---------------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . 2,495,407,875
---------------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . 196,218
Accrued Expenses and Other. . . . . . . . . . . . . . . . . 10,628
---------------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . 206,846
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,495,201,029
---------------
---------------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . $ 2,495,201,029
---------------
---------------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,495,201,029
---------------
---------------
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest. . . . . . . . . . . . . . . . . . . . . . . . . . $ 60,780,056
---------------
EXPENSES
Advisory Fees . . . . . . . . . . . . . . . . . . . . . . . 1,642,807
Administration and Services Fees. . . . . . . . . . . . . . 547,602
Professional Fees . . . . . . . . . . . . . . . . . . . . . 12,405
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . 1,026
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . 4,167
---------------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . 2,208,007
Less: Expenses Absorbed by Bankers Trust . . . . . . . . . (1,003,282)
---------------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . 1,204,725
---------------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . 59,575,331
---------------
NET REALIZED LOSS FROM INVESTMENT TRANSACTIONS . . . . . . . . (4,907)
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . $ 59,570,424
---------------
---------------
See Notes to Financial Statements on Page 12
10
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS 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 . . . . . . . . . . . . . . . . . . . $ 59,575,331 $ 99,083,413
Net Realized Gain (Loss) from Investment Transactions . . . (4,907) 41,704
--------------- ---------------
Net Increase in Net Assets from Operations . . . . . . . . . . . 59,570,424 99,125,117
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . . 2,907,144,436 4,756,221,475
Value of Capital Withdrawn. . . . . . . . . . . . . . . . . (2,423,599,312) (4,384,850,139)
--------------- ---------------
Net Increase in Net Assets from Capital Transactions . . . . . . 483,545,124 371,371,336
--------------- ---------------
TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . 543,115,548 470,496,453
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . 1,952,085,481 1,481,589,028
--------------- ---------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,495,201,029 $ 1,952,085,481
--------------- ---------------
--------------- ---------------
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Liquid Assets Portfolio.
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED JUNE 7, 1993
FOR THE DECEMBER 31, (COMMENCEMENT OF
SIX MONTHS ENDED ----------------------------------- OPERATIONS) TO
JUNE 30, 1997+ 1996 1995++ 1994 DECEMBER 31, 1993
---------------- ---- ------ ------ -----------------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . $ 2,495,201 $ 1,952,085 $ 1,481,589 $ 13,404 $ 8,137
Ratios to Average Net Assets:
Net Investment Income . . . . . . . . . . . 5.44%* 5.32% 7.28%* 4.28% 3.12%*
Expenses. . . . . . . . . . . . . . . . . . 0.11%* 0.03% 0.01%* 0.10% 0.10%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust. . . . . . . . . . . . . . . 0.09%* 0.17% 0.28%* 0.30% 0.57%*
</TABLE>
- -------------------
+ Unaudited
++ For the periods January 1, 1995 to September 14, 1995 and December 11, 1995
to December 31, 1995 (see Note 1A).
* Annualized
See Notes to Financial Statements on Page 12
11
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Liquid Assets 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 commenced operations on June 7, 1993, as an
unincorporated trust under the laws of New York. The Declaration of Trust
permits the Board of Trustees (the "Trustees") to issue beneficial interests in
the Portfolio.
On September 15, 1995, the Portfolio temporarily suspended its operations due to
a withdrawal of investments by BT Investment Liquid Assets Fund. On December 11,
1995, the Portfolio resumed its operations as a result of an investment made by
the Institutional Liquid Assets Fund.
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.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. 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 and the Portfolio's agreement to resell 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.
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 six months ended June 30, 1997, this fee aggregated
$547,602.
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 $1,642,807.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.11 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 $1,003,282.
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.
12
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13
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14
<PAGE>
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15
<PAGE>
BT INSTITUTIONAL FUNDS
INSTITUTIONAL LIQUID ASSETS 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 a current prospectus for the Fund.
-------------------------------------------------
Cusip #055924864
STA492100
