o BT INSTITUTIONAL FUNDS o
INSTITUTIONAL
TREASURY MONEY FUND
ANNUAL REPORT
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DECEMBER o 1998
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INSTITUTIONAL TREASURY MONEY FUND
TABLE OF CONTENTS
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LETTER TO SHAREHOLDERS .................................. 3
INSTITUTIONAL TREASURY MONEY FUND
Statement of Assets and Liabilities .................. 5
Statement of Operations .............................. 5
Statements of Changes in Net Assets .................. 6
Financial Highlights ................................. 7
Notes to Financial Statements ........................ 8
Report of Independent Accountants .................... 9
TREASURY MONEY PORTFOLIO
Statement of Net Assets ............................... 10
Statement of Operations ............................... 12
Statements of Changes in Net Assets ................... 13
Financial Highlights .................................. 13
Notes to Financial Statements ......................... 14
Report of Independent Accountants ..................... 15
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The Fund is not insured by the FDIC and is not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
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2
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INSTITUTIONAL TREASURY MONEY FUND
LETTER TO SHAREHOLDERS
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We are pleased to present you with this annual report for the BT Institutional
Treasury Money Fund (the "Fund"), providing a detailed review of the market, the
Portfolio, and our outlook. Included are a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.
MARKET ACTIVITY
THE TREASURY MARKET WAS DOMINATED THROUGHOUT 1998 BY THE GLOBAL FINANCIAL
CRISIS, WHICH BEGAN IN SOUTHEAST ASIA AND SPREAD TO COUNTRIES AROUND THE WORLD.
o During the first half of the year, the hangover effects of the Southeast Asian
financial crisis spread to Hong Kong and Japan. This both focused the U.S.
markets on that region and also supported a flight to quality and, in turn, a
U.S. Treasury rally.
o In the second half of 1998, Russia devalued its currency and defaulted on its
domestic debt, despite an International Monetary Fund (IMF) bailout attempt;
weak commodity prices dampened the economic outlook for Latin America in
general and Brazil in particular; and economic instability in Asia was
ongoing. All of this buoyed the U.S. Treasury rally.
CONCERNS OVER THE IMPACT OF FOREIGN TURMOIL ON U.S. ECONOMIC GROWTH DID NOT
SURFACE UNTIL THE SECOND HALF OF THE YEAR.
o Interest rates in the first six months remained relatively stable. The
combination of a strong economy--especially in the service sector--and low
inflation allowed the Federal Reserve Board to keep interest rates unchanged
at 5.5%.
o During the third quarter, investors began to focus more heavily on the Asian
contagion and on the political problems in the Clinton administration. In
addition, a major leveraged hedge fund went bankrupt, requiring a bailout by a
consortium of Wall Street firms. The announcement of this Fed-orchestrated
bailout package forced corporate credit spreads to widen significantly and
liquidity to decrease. This led, in turn, to a further rally in U.S.
Treasuries plus significant buying of high quality domestic paper.
CITING BOTH GLOBAL AND U.S. DEVELOPMENTS AND THEIR PROSPECTS ON THE U.S.
ECONOMY, THE FEDERAL RESERVE BOARD EFFECTIVELY BATTLED INVESTORS' GROWING RISK
AVERSION AND ESCALATING ILLIQUIDITY WITH THREE RAPID CUTS OF INTEREST RATES IN
THE SECOND HALF OF THE YEAR. These easing moves of 0.25% each--on September 29,
October 15, and November 17--restored the financial markets to a more peaceful
state and allowed the short-term fixed income markets, in particular, to finish
out the year on a relatively calm note.
RATINGS
S&P: AAAm
Moody's: AAA
THE TREASURY MARKET ALSO BENEFITED FROM VOLATILITY IN THE EQUITY MARKETS. This
volatility buoyed a rally in the U.S. fixed income market in general and strong
cash inflows into the Treasury market in particular. Investors moved assets from
equity funds, both domestic and foreign, seeking both the greater liquidity and
the perceived safety of the Treasury market. Also fueling positive fixed income
market sentiment toward the end of the year was a plunge in oil prices and other
commodities to their lowest level in decades.
STATUS AT DECEMBER 31, 1998
Seven day effective yield: 4.71%
Average maturity: 46 days
Net Assets: $1,728.8 million
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
By Asset Type as of December 31, 1998
(PERCENTAGES ARE BASED ON NET ASSETS)
[PIE CHART]
Repurchase Agreements 69%
U.S. Treasury Bills 10%
U.S. Treasury Notes 21%
INVESTMENT REVIEW
By staying disciplined to the purchase of high quality instruments and actively
adjusting sector allocation as market conditions changed, we were able to
produce highly competitive yields in the Institutional Treasury Money Fund.
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PERIOD ENDED ANNUALIZED 7 DAY ANNUALIZED 7 DAY
DECEMBER 31, 1998 CURRENT YIELD EFFECTIVE YIELD
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BT Institutional
Treasury Money Fund* 4.61% 4.71%
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IBC U.S. Treasury and Repo
Money Funds Average 4.20% 4.29%
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We maintained a neutral, close-to-the benchmark weighted average maturity
position through most of the first half of the year and began to extend in the
third quarter. The uncertainty surrounding the Asian financial crisis caused a
"flight to quality" trade, whereby investors bought a large amount of U.S.
Treasury securities. This demand factor, combined with the smaller issuance of
securities by the Treasury, forced the interest rate spread between short-term
U.S. Treasury securities and repurchase agreements to become extremely wide.
Thus, we decided to extend the portfolio through term repurchase agreements with
high quality dealers in order to maintain portfolio yield while adding very
little risk. This strategy proved to be effective in producing competitive Fund
returns.
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* Past performance is not indicative of future results. Yields will vary. Yield
quotes for money market funds most closely reflect the fund's current earnings.
Although money market funds seek to maintain a share value of $1.00 per share,
it is possible to lose money by investing in the Fund. "Current yield" refers to
the income generated by an investment in the Fund over a 7-day period. This
income is then "annualized." The "effective yield" is calculated similarly but,
when annualized, the income earned by an investment in the Fund is assumed to be
reinvested. The "effective yield" will be slightly higher than the "current
yield" because of the compounding effect of this assumed reinvestment. MUTUAL
FUNDS ARE NOT BANK DEPOSITS OR OBLIGATIONS OF ANY BANK, ARE NOT GUARANTEED BY
ANY BANK, AND ARE NOT INSURED OR GUARANTEED BY THE U.S. GOVERNMENT, THE FEDERAL
DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY OTHER GOVERNMENT
AGENCY. INVESTMENT IN MUTUAL FUNDS INVOLVES INVESTMENT RISK, INCLUDING POSSIBLE
LOSS OF PRINCIPAL.
3
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INSTITUTIONAL TREASURY MONEY FUND
LETTER TO SHAREHOLDERS
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MANAGER OUTLOOK
Economic and financial market performance have run on virtually parallel tracks
in 1998, and that pattern seems likely to persist into 1999. Looking ahead for
the near term, we believe the Treasury markets should remain fairly positive,
though largely range-bound, without the dramatic rally of the year 1998.
o Strong momentum in the U.S. economy--in terms of consumer spending,
employment, housing, and business investment--should carry into early 1999,
before weakening later in the year.
o The global economic crisis continues to loom and we anticipate GDP growth of
around 2.5% in 1999--a positive backdrop for inflation to stay low and for the
safe haven status of U.S. Treasuries to continue.
o We believe Federal Reserve Board monetary policy is likely on hold, not
changing interest rates for the foreseeable future in the face of solid
economic growth, healthy financial markets, and the recent softening of the
dollar.
Given this scenario and the slightly positive yield curve, we intend to stay
slightly longer than our benchmark for the near term. At the same time, we will
look to take advantage of any spike in yields or any issue-specific attractive
value opportunities when they arise.
We will 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 Treasury
Money Fund, and we look forward to continuing to serve your investment needs for
many years ahead.
/s/ Darlene M. Rasel
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Darlene M. Rasel
Portfolio Manager of the Treasury Money Portfolio
December 31, 1998
4
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INSTITUTIONAL TREASURY MONEY FUND
STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 1998
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ASSETS
<S> <C>
Investment in Treasury Money Portfolio, at Value ............................................... $1,729,166,771
Prepaid Expenses ............................................................................... 39,745
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Total Assets ...................................................................................... 1,729,206,516
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LIABILITIES
Due to Bankers Trust ........................................................................... 46,526
Dividends Payable .............................................................................. 218,916
Accrued Expenses ............................................................................... 98,714
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Total Liabilities ................................................................................. 364,156
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NET ASSETS ........................................................................................ $1,728,842,360
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SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares of
beneficial interest authorized).................................................................... 1,728,477,540
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NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares
outstanding)....................................................................................... $ 1.00
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COMPOSITION OF NET ASSETS
Paid-in Capital ................................................................................ $1,728,477,540
Accumulated Net Realized Gain from Investment Transactions ..................................... 356,742
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NET ASSETS, DECEMBER 31, 1998 ..................................................................... $1,728,834,282
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STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1998
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<S> <C>
INVESTMENT INCOME
Income Allocated from Treasury Money Portfolio, net ...... $ 106,963,627
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EXPENSES
Administration and Services Fees ......................... 1,034,694
Registration Fees ........................................ 14,804
Professional Fees ........................................ 30,629
Printing and Shareholder Reports ......................... 11,000
Trustees Fees ............................................ 2,954
Miscellaneous ............................................ 39,603
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Total Expenses ........................................... 1,133,684
Less: Expenses Absorbed by Bankers Trust ................. (98,990)
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Net Expenses .......................................... 1,034,694
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NET INVESTMENT INCOME ....................................... 105,928,933
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS .............. 199,282
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NET INCREASE IN NET ASSETS FROM OPERATIONS .................. $ 106,128,215
=============
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See Notes to Financial Statements.
5
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INSTITUTIONAL TREASURY MONEY FUND
STATEMENTS OF CHANGES IN NET ASSETS
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FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1998 DECEMBER 31, 1997
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INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
<S> <C> <C>
Net Investment Income ......................................................... $ 105,928,933 $ 86,192,280
Net Realized Gain from Investment Transactions ................................ 199,282 7,796
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Net Increase in Net Assets from Operations ....................................... 106,128,215 86,200,076
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DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ......................................................... (105,937,011) (86,192,280)
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Total Distributions .............................................................. (105,937,011) (86,192,280)
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CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
Proceeds from Sales of Shares ................................................. 15,298,889,115 12,747,952,607
Dividend Reinvestments ........................................................ 73,703,414 50,201,504
Cost of Shares Sold ........................................................... (15,496,583,149) (12,369,833,138)
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Net Increase (Decrease) from Capital Transactions in Shares of Beneficial
Interest......................................................................... (123,990,620) 428,320,973
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TOTAL INCREASE (DECREASE) IN NET ASSETS .......................................... (123,799,416) 428,328,769
NET ASSETS
Beginning of Year ................................................................ 1,852,633,698 1,424,304,929
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End of Year ...................................................................... $ 1,728,834,282 $ 1,852,633,698
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See Notes to Financial Statements.
6
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INSTITUTIONAL TREASURY MONEY 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 Treasury Money Fund.
FOR THE YEARS ENDED DECEMBER 31,
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1998 1997 1996 1995 1994
---- ---- ---- ---- ----
PER SHARE OPERATING PERFORMANCE:
<S> <C> <C> <C> <C> <C>
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 0.05 0.05 0.06 0.04
Net Realized Gain (Loss) from Investment
Transactions ........................................ 0.00(1) 0.00(1) 0.00(1) 0.00(1) (0.00)(1)
----------- ----------- ----------- ----------- --------
Total from Investment Operations ....................... 0.05 0.05 0.05 0.06 0.04
----------- ----------- ----------- ----------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................... (0.05) (0.05) (0.05) (0.06) (0.04)
----------- ----------- ----------- ----------- --------
NET ASSET VALUE, END OF YEAR ........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========== =========== =========== =========== ========
TOTAL INVESTMENT RETURN ................................ 5.28% 5.42% 5.22% 5.71% 3.92%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) .............. $ 1,728,834 $ 1,852,634 $ 1,424,305 $ 1,325,069 $182,101
Ratios to Average Net Assets:
Net Investment Income ............................ 5.16% 5.26% 5.10% 5.53% 3.97%
Expenses, Including Expenses of the
Treasury Money Portfolio ....................... 0.25% 0.25% 0.25% 0.25% 0.25%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust ..... 0.01% 0.02% 0.01% 0.07% 0.04%
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1 Less than $0.01 per share.
See Notes to Financial Statements.
7
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INSTITUTIONAL TREASURY MONEY 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 Treasury Money Fund (the "Fund") is one of the institutional funds
offered to investors by the Trust. The Fund commenced operations and began
offering shares of beneficial interest on July 25, 1990. The Fund invests
substantially all of its assets in the Treasury Money Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The value of the Fund's investment in the Portfolio
reflects its proportionate interest in the net assets of the Portfolio. At
December 31, 1998, the Fund's investment was approximately 85% of the Portfolio.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with these
Financial Statements.
B. VALUATION
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. 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.
D. DISTRIBUTIONS
It is the Fund's policy to declare dividends daily and pay them monthly to
shareholders from net investment income. Dividends and distributions 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
are made annually to the extent they exceed capital loss carryforwards.
E. FEDERAL INCOME TAXES
It is the Fund's policy to continue to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and
distribute all of its taxable 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 a Fund are charged to that Fund, while
expenses that are attributable to all of the Trust's Funds are allocated among
them. Investment transactions are accounted for on a trade date basis. Realized
gains and losses are determined on a trade date basis.
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. Actual results could
differ from those estimates.
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 .05% of the Fund's average daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Fund, to the extent necessary, to limit all expenses to .05% of
the average daily net assets of the Fund, excluding expenses of the Portfolio
and .25% of the average daily net assets of the Fund, including expenses of the
Portfolio.
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund. For the year ended December 31, 1998, there
were no reimbursable expenses incurred under this agreement.
The Portfolio in which the Fund invests in is a participant with other
affiliated entities in a revolving credit facility and a discretionary demand
line of credit facility (collectively the "credit facilities") in the amounts of
$50,000,000 and $100,000,000, respectively, which expire March 15, 1999. A
commitment fee of .07% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally amongst all
participants. Amounts borrowed under the credit facilities will bear interest at
a rate per annum equal to the Federal Funds Rate plus .45%. No amounts were
drawn down or outstanding under the credit facilities as of and for the year
ended December 31, 1998.
8
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INSTITUTIONAL TREASURY MONEY FUND
REPORT OF INDEPENDENT ACCOUNTANTS
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To the Trustees of BT Institutional Funds and Shareholders of
Institutional Treasury Money Fund:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Institutional Treasury Money Fund (one of the funds comprising BT
Institutional Funds, hereafter referred to as the "Fund") at December 31, 1998,
and the results of its operations, the changes in its net assets and the
financial highlights for each of the fiscal periods presented, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the transfer agent, provide a reasonable basis for the
opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
9
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TREASURY MONEY PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
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PRINCIPAL
AMOUNT DESCRIPTION VALUE
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U.S. TREASURY BILLS - 9.6%
<S> <C> <C>
$ 25,000,000 4.00%, 1/21/99 ................................................................................... $ 24,940,417
50,000,000 4.34%, 2/18/99 ................................................................................... 49,710,333
75,000,000 4.79%, 3/11/99 ................................................................................... 74,374,688
47,000,000 4.39%, 7/1/99 .................................................................................... 45,962,619
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TOTAL U.S. TREASURY BILLS (Amortized Cost $194,988,057) ......................................................... 194,988,057
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U.S. TREASURY NOTES - 20.9%
122,000,000 6.37%, 4/30/99 ................................................................................... 122,658,417
72,000,000 6.50%, 4/30/99 ................................................................................... 72,412,630
139,000,000 6.00%, 6/30/99 ................................................................................... 139,614,386
15,000,000 6.37%, 7/15/99 ................................................................................... 15,124,897
77,000,000 5.87%, 8/31/99 ................................................................................... 77,535,045
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TOTAL U.S. TREASURY NOTES (Amortized Cost $427,345,375) ......................................................... 427,345,375
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REPURCHASE AGREEMENTS - 69.4%
90,000,000 Tri-Party Repurchase Agreement with Canadian Imperial Bank, Dated
12/31/98, 4.70%, principal and interest in the amount of
$90,011,750 due 01/04/99 (Collateralized by U.S. Treasury
Bond, par value of $225,000 coupon rate of 10.375%, due
11/15/12, value of $356,139; U.S. Treasury Note, par value of
$77,975,000, coupon rate of 7.5%, due 02/15/05, value of $91,450,246) .......................... 90,000,000
90,000,000 Tri-Party Repurchase Agreement with Chase Manhattan Bank , Dated
12/31/98, 4.25%, principal and interest in the amount of
$90,010,625, due 01/04/99, (Collateralized by U.S. Treasury
Notes, par value $86,456,000, coupon rate of 6.12% to 6.62%,
due from 05/15/99 to 08/15/07, value of $91,803,780) ........................................... 90,000,000
90,000,000 Tri-Party Repurchase Agreement with Deutsche Bank, Dated 12/31/98,
4.9%, principal and interest in the amount of $90,012,250, due
01/04/99 (Collateralized by U.S. Treasury Notes, par value of
$87,466,000, coupon rate of 6.625% to 6.375%, due from
05/15/99 to 7/31/01, value of $91,800,519) ..................................................... 90,000,000
90,000,000 Open Tri-Party Repurchase Agreement with Credit Suisse First
Boston, Dated 12/31/98, 4.8%, daily variable rate, principal
amount of $90,000,000, interest amount varies dependent on
rate, due 12/31/99 (Collateralized by U.S. Treasury Note, par
value of $82,245,000, coupon rate of 7.25%, due 05/15/04, value
of $92,923,917) ................................................................................ 90,000,000
122,164,602 Tri-Party Repurchase Agreement with Goldman Sachs, Dated
12/31/98, 4.5%, principal and interest in the amount of
$122,179,873, due 01/04/99 (Collateralized by U.S. Treasury
Notes, par value of $39,316,978, coupon rate of 5.25% to 6.5%,
due 08/15/03 to 10/15/06, value of $39,904,649; U.S. Treasury
Bond, par value of $83,838,361, coupon rate of 10.375%, due
11/15/09, value of $84,703,739) ................................................................ 122,164,602
200,000,000 Tri-Party Repurchase Agreement with Greenwich Capital, Dated
11/25/98, 4.90% principal and interest in the amount of
$200,027,222, due 1/19/99, (Collateralized by U.S. Treasury
Strips, par value of $386,757,000, rate of 10%, due from
05/15/10 to 05/15/12, value of $204,001,049).................................................... 200,000,000
90,000,000 Tri-Party Repurchase Agreement with JP Morgan, Dated 12/31/98,
4.85%, principal and interest in the amount $90,012,125, due
01/04/99, (Collateralized by U.S. Treasury Notes $80,561,000,
coupon rate of 6.875%, due 05/15/06, value of $91,800,644)
90,000,000
90,000,000 Tri-Party Repurchase Agreement with Merrill Lynch, Dated 12/31/98,
4.75%, principal and interest in the amount of $90,011,875,
due 01/04/99 (Collateralized by U.S. Treasury Strips, par
value of $256,051,000, coupon rates of 8.75% to 8.87%, due
from 05/15/17 to 08/15/17, value of $91,801,576) ............................................... 90,000,000
See Notes to Financial Statements.
10
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TREASURY MONEY PORTFOLIO
STATEMENT OF NET ASSETS DECEMBER 31, 1998
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PRINCIPAL
AMOUNT DESCRIPTION VALUE
------ ----------- -----
$163,200,000 Tri-Party Repurchase Agreement with Swiss Bank Corp., Dated
12/31/98, 3.75%, principal and interest in the amount of
$163,217,000, due 01/04/99 (Collateralized by U.S. Treasury
Notes, par value of $71,505,000, coupon rates of 5.75% to
7.00%, due from 10/31/00 to 07/15/06, value of $79,421,437;
U.S. Treasury Bond, par value of $74,012,000, coupon rate of
8.75%, due 11/15/08, value of $87,090,275) ..................................................... $ 163,200,000
90,000,000 Tri-Party Repurchase Agreement with Swiss Bank Corp.,
Dated 12/04/98, 4.95%, principal and interest in the amount of
$90,012,375, due 01/04/99 (Collateralized by U.S. Treasury
Bond, par value of $1,356,000, coupon rate of 8.125%, due
05/15/21, value of $1,843,541; U.S. Treasury Strips, par value
of $273,470,000, coupon rates of 7.04% to 12.0%, due from
11/15/00 to 11/15/24, value of $91,138,338) .................................................... 90,000,000
300,000,000 Open Tri-Party Repurchase Agreement with West Deutsche Landesbank,
Dated 12/31/98, 4.89%, daily variable rate, principal amount
of $300,000,000, interest amount varies dependent on rate, due
12/31/99 (Collateralized by U.S. Treasury Notes, par value of
$290,931,000, coupon rates of 5.50% to 8.875%, due from
02/28/99 to 08/15/25, value of $306,018,620) ................................................... 300,000,000
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TOTAL REPURCHASE AGREEMENTS (Amortized Cost $1,415,364,602) ..................................................... 1,415,364,602
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TOTAL INVESTMENTS
(Amortized Cost $2,037,698,034) ............................................................................ 99.9% $2,037,698,034
OTHER ASSETS IN EXCESS OF LIABILITIES ...................................................................... 0.1% 948,395
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TOTAL NET ASSETS ........................................................................................... 100.0% $2,038,646,429
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See Notes to Financial Statements.
11
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TREASURY MONEY PORTFOLIO
STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1998
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INVESTMENT INCOME
Interest ............................................... $ 131,987,681
-------------
EXPENSES
Advisory Fees .......................................... 3,666,082
Administration and Service Fees ........................ 1,222,027
Professional Fees ...................................... 47,911
Trustees Fees .......................................... 1,738
Miscellaneous .......................................... 3,364
-------------
TOTAL EXPENSES ............................................ 4,941,122
Less: Expenses Absorbed by Bankers Trust ............... (52,678)
-------------
Net Expenses ........................................ 4,888,444
-------------
NET INVESTMENT INCOME ..................................... 127,099,237
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS ............ 236,294
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................ $ 127,335,531
=============
See Notes to Financial Statements.
12
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
<S> <C> <C>
Net Investment Income ............................................. $ 127,099,237 $ 108,213,323
Net Realized Gain from Investment Transactions .................... 236,294 7,627
---------------- ----------------
Net Increase in Net Assets Resulting from Operations ................. 127,335,531 108,220,950
---------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested .................................... 23,769,168,473 12,977,569,030
Value of Capital Withdrawn ........................................ (23,977,157,512) (12,946,202,889)
---------------- ----------------
Net Increase (Decrease) in Net Assets from Capital Share Transactions. (207,989,039) 31,366,141
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS .............................. (80,653,508) 139,587,091
NET ASSETS
Beginning of Year .................................................... 2,119,299,937 1,979,712,846
---------------- ----------------
End of Year .......................................................... $ 2,038,646,429 $ 2,119,299,937
================ ================
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- ----------------------------------------------------------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Treasury Money Portfolio.
FOR THE YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA AND RATIOS:
<S> <C> <C> <C> <C> <C>
Net Assets, End of Year (000s omitted) .. $ 2,038,646 $ 2,119,300 $ 1,979,713 $ 1,941,082 $ 882,775
Ratios to Average Net Assets:
Net Investment Income ................ 5.23% 5.29% 5.14% 5.58% 3.93%
Expenses ............................. 0.20% 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses.
by Bankers Trust ................... 0.00%(1) 0.00%(1) 0.00%(1) 0.01% 0.01%
</TABLE>
- -------------------
1 Less than 0.01%.
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Treasury Money Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990, as
an unincorporated trust under the laws of New York, and commenced operation 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 is in accordance with Rule 2a-7
of the Investment Company Act of 1940 and represents the 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
accretion of discount on investments. Expenses are recorded as incurred.
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 Advisor, 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
agreements 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.
The Fund may enter into tri-party repurchase agreements with broker-dealers, and
domestic banks. A repurchase agreement is a short-term investment in which the
Fund buys a debt security that the broker agrees to purchase at a set time and
price. The third party, which is the brokers custodial bank, holds the
collateral in a separate account until the repurchase agreement matures. The
agreement ensures that the collateral's market value, including any accrued
interest, is sufficient if the broker defaults.
E. FEDERAL INCOME TAXES
The Portfolio is considered to be a partnership under 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. Actual results could
differ from those estimates.
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 .05% of the Portfolio's average daily net
assets. For the year ended December 31, 1998, administrative and service fees
amounted to $1,222,027, of which $89,172 was payable at the end of the period.
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 .15% of the Portfolio's
average daily net assets. For the year ended December 31, 1998, advisory fees
amounted to $3,666,082, of which $243,290 was payable at the end of the period.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
.20% of the average daily net assets of the Portfolio.
The BT Treasury Money Portfolio is a participant with other affiliated entities
in a revolving credit facility and a discretionary demand line of credit
facility (collectively the "credit facilities") in the amounts of $50,000,000
and $100,000,000, respectively, which expire March 15, 1999. A commitment fee of
.07% per annum on the average daily amount of the available commitment is
payable on a quarterly basis and apportioned equally among all participants.
Amounts borrowed under the credit facilities will bear interest at a rate per
annum equal to the Federal Funds Rate plus .45%. No amounts were drawn down or
outstanding under the credit facilities as of and for the year ended December
31, 1998.
NOTE 3--NET ASSETS
At December 31, 1998, net assets consisted of:
Paid-in-Capital $2,038,646,429
==============
14
<PAGE>
- --------------------------------------------------------------------------------
TREASURY MONEY PORTFOLIO
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Trustees and Holders of Beneficial Interest of
Treasury Money Portfolio:
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Treasury Money Portfolio (the "Portfolio") at December 31, 1998, and the
results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
15
<PAGE>
BT INSTITUTIONAL FUNDS
INSTITUTIONAL TREASURY MONEY FUND
INVESTMENT ADVISOR AND ADMINISTRATOR OF THE FUND
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
ICC DISTRIBUTORS, INC.
P.O. Box 7558
Portland, ME 04112-9892
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
PRICEWATERHOUSECOOPERSLLP
250 West Pratt Street
Baltimore, MD 21201
COUNSEL
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
-----------------------
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#055924203
STA480200 (12/98)
