JUNE 30, 1999
[LOGO]
BT Mutual Funds
Institutional
Cash Reserves Fund
Semi-Annual Report
Trust: BT Institutional Funds
Investment Advisor: Bankers Trust Company
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Table of Contents
- --------------------------------------------------------------------------------
Letter to Shareholders ................................................. 3
Institutional Cash Reserves 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
Cash Management Portfolio
Statement of Net Assets .............................................. 10
Statement of Operations .............................................. 16
Statements of Changes in Net Assets .................................. 17
Financial Highlights ................................................. 17
Notes to Financial Statements ........................................ 18
----------------
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.
-----------------
2
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Letter to Shareholders
- --------------------------------------------------------------------------------
We are pleased to present you with this semi-annual report for the Institutional
Cash Reserves 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
In many ways, the semi-annual period ended June 30, 1999 was an after-shock from
the global financial crisis that had dominated the money markets throughout
1998.
o As the financial markets began to settle down in the first quarter of 1999 and
foreign economies, such as Japan, stabilized and showed signs of recovery,
market participants shifted their focus to the strength in the U.S. economy.
Although the economic numbers continued to support the strong economy/low
inflation scenario, such indicators as robust job growth, low unemployment,
and healthy retail sales were perceived as negative for the markets.
o The economy in the second quarter remained very strong. The Federal Reserve
Board continued to monitor economic indicators but still did not act, though
on May 18th it adopted a policy bias tilted toward higher interest rates.
Market expectations of Fed tightening, consumer optimism and spending,
above-trend economic growth, and reduced concerns over international turmoil
combined to push yields on short-term money market securities significantly
higher.
o Over the semi-annual period, the money market yield curve steepened.
The only real relief to the pressures put on the money markets came in March, as
developments in Kosovo, Treasury paydowns and softer data supported the short
end of the market.
o Market participants exhibited steady demand for short-term U.S. securities as
the crisis in Kosovo continued to escalate.
o The budget surplus and expectations of strong April tax receipts also pushed
short-end yields lower.
o Strong performance from oil and other commodities kept market participants
from buying long-term securities, as inflation fears began to heighten.
As generally expected, at its June 30 meeting, the Federal Reserve Board
voted to raise the targeted federal funds rate by 0.25% to 5.00%, on concerns
that a strong economy would rekindle inflation.
Ratings(2)
S&P: AAAm
Moody's: AAA
o This action reversed the trend of monetary policy easing through a series of
cuts in the second half of 1998.
o While there is still little evidence of inflation, this monetary policy
tightening was intended to make sure the economy does not get derailed by a
spiral of rising wages and prices.
o The Federal Reserve Board changed its bias to neutral, which helped the U.S.
fixed income markets stage a small rally on the last day of June.
Status at June 30, 1999
Seven day effective yield: 4.98%
Average maturity: 46 days
Net assets: $2.82 billion
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 Cash Reserves Fund.
Six months ended Annualized 7 Day Annualized 7 Day
June 30, 1999 Current Yield Effective Yield
- -------------------------------------------------------------------------------
Institutional
Cash Reserves Fund(1) 4.87% 4.98%
- -------------------------------------------------------------------------------
IBC First Tier-Institutional
Only Money Funds
Average 4.62% 4.73%
- -------------------------------------------------------------------------------
For most of the semi-annual period, we maintained a slightly long to the
benchmark weighted average maturity position, taking advantage of the steeper
yield curve and neutral Federal Reserve Board. Since the money markets had
already priced in at least one interest rate hike by the time the Fed actually
raised rates at the end of June, we were able to take advantage of the higher
rates and extend the portfolio at that time.
We also began to implement our strategy for year-end 1999 by taking advantage of
the steep yield curve caused by issuers extending their maturities into next
year to avoid potential Y2K problems.
MANAGER OUTLOOK
Looking ahead for the near term, the U.S. economy looks very healthy indeed.
However, while inflation appears to remain dormant, we should recognize that
there have been numerous indicators released that are frequently considered
harbingers of future inflation. For example:
o unemployment remains at a thirty-year low
o economic growth has been inordinately robust in historical terms
o oil prices are rebounding, and
o troubled Pacific Rim and other emerging market economies appear to have
recovered from recent turmoil.
- -------------
(1) 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.
(2) Ratings are subject to change and do not remove market risks.
3
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Letter to Shareholders
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Asset Type as of June 30, 1999
(percentages are based on net assets)
In the printed version of the document, a pie chart appears which
depicts the following plot points:
Floating Rate Notes 16%
Commercial Paper 43%
Eurodollar
Certificates
of Deposit 11%
Funding Agreements 2%
Certificates of Deposit 1%
Yankee
Certificates of Deposit 11%
Eurodollar Time Deposits 16%
The Federal Reserve Board itself has suggested that its outlook on interest
rates has changed from a bias toward higher rates to neutral. Of course, given
the tight labor market and this other economic and price data, the policy makers
also said they must "be especially alert." Thus, we believe, as do many
analysts, that there may be further interest rate increases on the horizon.
Clearly, the degree of tightening and the timing of the Federal Reserve Board's
next moves, if any, will be key to U.S. money market performance during the
second half of 1999; however, supply and demand factors will likely be even more
significant.
For example, we believe issuance of short-term paper may be quite light in the
latter part of December and early January. Thus, we intend to continue to
implement a barbell strategy within the Portfolio by purchasing fixed and
floating rate securities maturing in the first quarter of 2000 as opportunities
present themselves.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
As always, we appreciate your ongoing support of the Institutional Cash Reserves
Fund, and we look forward to continuing to serve your investment needs for many
years ahead.
/s/ Darlene M. Rasel
-------------------------
Darlene M. Rasel
Portfolio Manager of the
Cash Management Portfolio
June 30, 1999
4
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Statement of Assets and Liabilities June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Assets
Investment in Cash Management Portfolio, at Value ........ $2,829,688,886
Prepaid Expenses ......................................... 26,699
--------------
Total Assets ................................................ 2,829,715,585
--------------
Liabilities
Dividends Payable ........................................ 12,698,809
Due to Banker's Trust .................................... 189,181
Accrued Expenses ......................................... 164,841
--------------
Total Liabilities ........................................... 13,052,831
--------------
Net Assets .................................................. $2,816,662,754
==============
Shares Outstanding ($0.001 par value per share, unlimited
number of shares of beneficial interest authorized) ...... 2,816,856,632
==============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) ............... $ 1.00
==============
Composition of Net Assets
Paid-in Capital .......................................... $2,816,856,631
Accumulated Net Realized Loss from
Investment Transactions ............................... (193,877)
--------------
Net Assets, June 30, 1999 ................................... $2,816,662,754
==============
- --------------------------------------------------------------------------------
Statement of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Investment Income
Income allocated from Cash Management Portfolio, net ..... $ 73,227,869
------------
Expenses
Administration and Services Fees ......................... 772,823
Registration Fees ........................................ 146,773
Printing and Shareholder Report Expenses ................. 9,292
Professional Fees ........................................ 6,666
Trustees Fees ............................................ 4,462
Miscellaneous Expenses ................................... 19,681
------------
Total Expenses ........................................... 959,697
------------
Less: Expenses Reimbursed and Fees Waived by Bankers Trust (959,697)
------------
Net Expenses .......................................... (0)
------------
Net Investment Income ....................................... 73,227,869
Net Realized Gain from Investment Transactions .............. 140,777
------------
Net Increase in Assets from Operation ....................... $ 73,368,646
============
See Notes to Financial Statements.
5
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
---------------- -----------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ............................ $ 73,227,869 $ 130,414,445
Net Realized Gain from Investment Transactions ... 140,777 144,205
---------------- ----------------
Net Increase in Net Assets from Operations .......... 73,368,646 130,558,650
---------------- ----------------
Distributions to Shareholders
Net Investment Income ............................ (73,227,868) (130,414,445)
---------------- ----------------
Capital Transactions in Shares of Beneficial Interest
(at Net Asset Value of $1.00 per share)
Proceeds from Sales of Shares .................... 21,816,679,141 39,677,902,986
Dividend Reinvestments ........................... 54,523,370 119,228,918
Cost of Shares Redeemed .......................... (21,422,457,486) (38,978,363,653)
---------------- ----------------
Net Increase from Capital Transactions in Shares of
Beneficial Interest .............................. 448,745,025 818,768,251
---------------- ----------------
Total Increase in Net Assets ........................ 448,885,803 818,912,456
Net Assets
Beginning of Period ................................. 2,367,776,951 1,548,864,495
---------------- ----------------
End of Period ....................................... $ 2,816,662,754 $ 2,367,776,951
================ ================
</TABLE>
- ------------
(1) Unaudited.
See Notes to Financial Statements.
6
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Financial Highlights
- --------------------------------------------------------------------------------
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 Reserves Fund.
<TABLE>
<CAPTION>
For the six For the period
months ended For the years ended December 31, Jan. 25, 1994(2)
June 30, ---------------------------------------- to
1999(1) 1998 1997 1996 1995 Dec. 31, 1994
---------- ---------- ---------- ---------- -------- -------------
<S> <C> <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 $ 1.00
---------- ---------- ---------- ---------- -------- --------
Income from Investment Operations
Net Investment Income .................. 0.02 0.05 0.05 0.05 0.06 0.04
Net Realized Gain (Loss)
from Investment Transactions ......... 0.00(3) 0.00(3) 0.00(3) 0.00(3) 0.00(3) (0.01)
---------- ------- ---------- ---------- -------- --------
Total from Investment Operations .......... 0.02 0.05 0.05 0.05 0.06 0.03
---------- ---------- ---------- ---------- -------- --------
Contributions of Capital .................. -- -- -- -- -- 0.01
---------- ---------- ---------- ---------- -------- --------
Distributions to Shareholders
Net Investment Income .................. (0.02) (0.05) (0.05) (0.05) (0.06) (0.04)
---------- ---------- ---------- ---------- -------- --------
Net Asset Value, End of Period ............ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ======== ========
Total Investment Return ................... 2.41% 5.53% 5.58% 5.42%(4) 5.94% 4.32%(4,5)
Supplemental Data and Ratios:
Net Assets, End of Period
(000s omitted) ....................... $2,816,663 $2,367,777 $1,548,864 $1,286,737 $820,973 $920,722
Ratios to Average Net Assets:
Net Investment Income ............... 4.80%(5) 5.38% 5.45% 5.28% 5.80% 4.32%(5)
Expenses, Including Expenses of
the Cash Management Portfolio ..... 0.18%(5) 0.18% 0.18% 0.18% 0.18% 0.18%(5)
Decrease Reflected in Above
Expense Ratios Due to Expenses
Reimbursed and/or Fees Waived
by Bankers Trust .................. 0.08%(5) 0.08% 0.08% 0.08% 0.07% 0.08%(5)
</TABLE>
- --------------
(1) Unaudited.
(2) The Fund's inception date.
(3) Less than $0.01 per share.
(4) Increased by approximately 0.03% and 0.81% due to Contributions of Capital
for the years ended December 31, 1996 and 1994, respectively.
(5) Annualized.
See Notes to Financial Statements.
7
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves 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 Cash Reserves Fund (the "Fund") is one of the institutional funds
offered to "accredited investors" as defined under the Securities Act of 1933.
The Fund began operations and offering shares of beneficial interest January 25,
1994. 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 value of the Fund's investment in the
Portfolio reflects its proportionate interest in the net assets of the
Portfolio. At June 30, 1999, the Fund's investment was approximately 40% 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 the
Fund's financial statements.
B. Security 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 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 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 the Fund are charged to that Fund, while
expenses that 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. Actual results could
differ from those estimates.
Investment transactions are accounted for on a trade date basis. Realized gains
and losses are determined on a trade date basis.
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 0.18% 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.
The Portfolio in which the Fund invests is a participant with other affiliated
entities in a revolving credit facility in the amount of $100,000,000, which
expires April 29, 2000. A commitment fee of .10% 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
facility will bear interest at a rate per annum equal to the Federal Funds Rate
plus .50%. No amounts were drawn down or outstanding under the credit facility
as of and for the six months ended June 30, 1999.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest,
pursuant to a put agreement, and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Fund's Financial Highlights for the period
January 25, 1994 (commencement of operations) to December 31, 1994 reflect its
pro rata share of the Portfolio's realized loss on the sale of these securities
and a capital contribution in the amount of $5,865,995. In 1996, Bankers Trust
contributed capital in the amount of $348,087 to reimburse the Fund for capital
losses incurred in prior years.
8
<PAGE>
- --------------------------------------------------------------------------------
Institutional Cash Reserves Fund
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
Notes 3--Capital Loss Carryforwards
At June 30, 1999, capital loss carryforwards available as a reduction against
future net realized capital gains consisted of $316,876 which will expire in
2002, and $17,779 which will expire in 2005.
9
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
EURODOLLAR CERTIFICATES OF DEPOSIT - 10.9%
Abbey National PLC:
$50,000,000 4.92%, 7/15/99 ............................... $ 50,000,000
25,000,000 4.93%, 10/26/99 .............................. 25,000,000
22,000,000 5.44%, 3/13/00 ............................... 22,000,000
ABN Amro,
25,000,000 4.95%, 10/12/99 .............................. 25,000,224
Bank of Austria,
12,000,000 4.88%, 7/22/99 ............................... 12,000,042
Bank of Scotland:
20,000,000 4.93%, 8/03/99 ............................... 19,999,086
30,000,000 4.95%, 8/25/99 ............................... 30,000,000
Barclays Bank PLC,
35,000,000 4.875%, 8/16/99 .............................. 35,000,221
Cariplo,
50,000,000 4.89%, 7/12/99 ............................... 50,000,000
Commerzbank,
10,000,000 5.21%, 2/18/00 ............................... 9,984,609
Credit Agricole,
20,000,000 4.95%, 10/12/99 .............................. 20,000,558
Dresdner Bank,
25,000,000 4.96%, 9/30/99 ............................... 25,000,940
Internationale Nederlanden
U.S. Funding Corp.:
30,000,000 5.219%, 7/30/99 .............................. 30,000,000
20,000,000 4.94%, 8/16/99 ............................... 19,999,649
25,000,000 4.965%, 8/23/99 .............................. 25,000,359
35,000,000 4.975%, 9/17/99 .............................. 35,000,689
35,000,000 4.975%, 9/22/99 .............................. 34,999,444
20,000,000 4.975%, 11/10/99 ............................. 20,001,073
20,000,000 5.155%, 2/22/00 .............................. 19,955,245
Morgan Guaranty,
65,000,000 4.95%, 11/10/99 .............................. 64,997,517
National Australia Bank,
20,000,000 4.96%, 11/12/99 .............................. 20,000,000
Norddeutsche Landesbank,
25,000,000 5.01%, 9/08/99 ............................... 25,000,473
Paribas SA,
35,000,000 4.90%, 8/11/99 ............................... 34,995,324
Principal
Amount Description Value
------ ----------- -----
Rabobank Nederland, N.V.,
$20,000,000 4.87%, 7/26/99 ............................... $ 20,000,135
Westdeutsche Landesbank:
45,000,000 4.895%, 7/08/99 .............................. 45,000,000
8,000,000 4.88%, 7/26/99 ............................... 8,000,048
37,000,000 4.885%, 8/16/99 .............................. 37,000,000
12,000,000 4.96%, 8/25/99 ............................... 12,000,000
-------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $775,935,636) .............................. 775,935,636
-------------
YANKEE CERTIFICATES
OF DEPOSIT - 10.5%
Bank of Austria,
15,000,000 5.68%, 8/03/99 ............................... 15,007,915
Banque Nationale de Paris:
6,000,000 4.87%, 7/02/99 ............................... 5,999,997
75,000,000 4.88%, 7/02/99 ............................... 74,999,990
Barclays Bank PLC,
75,000,000 4.875%, 7/06/99 .............................. 75,000,052
Bayerische Hypotheka
Vereinsbank:
25,000,000 4.91%, 7/08/99 ............................... 25,000,000
12,000,000 5.15%, 4/20/00 ............................... 11,999,313
Bayerische Landesbank,
91,900,000 4.88%, 7/26/99 ............................... 91,895,584
Commerzbank:
25,000,000 5.15%, 9/17/99 ............................... 25,008,053
5,000,000 5.01%, 1/10/00 ............................... 4,988,355
20,000,000 4.99%, 2/02/00 ............................... 19,976,825
20,000,000 5.16%, 2/25/00 ............................... 19,994,955
25,000,000 5.20%, 3/15/00 ............................... 24,998,170
20,000,000 5.185%, 3/30/00 .............................. 19,992,800
Credit Agricole,
20,000,000 5.285%, 3/01/00 .............................. 20,010,589
Credit Commercial de France,
25,000,000 4.85%, 7/12/99 ............................... 25,000,000
Landesbank Hessen Thuringen,
3,000,000 5.215%, 2/29/00 .............................. 2,999,120
Lloyds Bank PLC,
38,000,000 4.94%, 7/12/99 ............................... 38,000,000
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Norddeutsche Landesbank:
$ 8,000,000 5.66%, 7/27/99 ............................... $ 8,003,180
10,000,000 5.35%, 5/24/00 ............................... 9,994,821
Paribas SA:
22,000,000 4.91%, 7/08/99 ............................... 22,000,000
25,000,000 4.95%, 8/24/99 ............................... 25,000,000
Rabobank Nederland, N.V.:
20,000,000 5.02%, 1/12/00 ............................... 19,952,177
14,000,000 5.14%, 3/20/00 ............................... 13,975,107
Royal Bank of Canada:
13,000,000 5.035%, 2/08/00 .............................. 12,963,073
15,000,000 5.235%, 3/09/00 .............................. 14,999,338
5,000,000 5.70%, 7/03/00 ............................... 4,997,586
Toronto Dominion Bank:
20,000,000 5.10%, 2/22/00 ............................... 19,994,393
25,000,000 5.14%, 4/26/00 ............................... 24,988,128
Union Bank of Switzerland,
15,000,000 5.155%, 2/25/00 .............................. 14,996,216
Westdeutsche Landesbank,
60,000,000 4.87%, 7/06/99 ............................... 60,000,000
------------
Total Yankee Certificates of Deposit
(Amortized Cost $752,735,737) .............................. 752,735,737
------------
CERTIFICATES
OF DEPOSIT - 0.9%
First Chicago,
18,000,000 4.87%, 7/08/99 ............................... 17,999,836
First Union Corp.,
25,000,000 4.93%, 10/20/99 .............................. 25,000,000
NationsBank,
7,000,000 4.99%, 1/11/00 ............................... 6,982,804
Wachovia Bank,
10,000,000 4.90%, 1/10/00 ............................... 9,993,056
-----------
Total Certificates of Deposit
(Amortized Cost $59,975,696) .............................. 59,975,696
-----------
EURODOLLAR TIME
DEPOSITS - 15.7%
ABN Amro:
25,000,000 5.10%, 7/14/99 ............................... 25,000,000
50,000,000 4.98%, 11/12/99 .............................. 50,000,000
Principal
Amount Description Value
------ ----------- -----
Banque Bruxelles Lambert:
$35,000,000 5.00%, 10/06/99 .............................. $ 35,000,000
25,000,000 4.98%, 11/10/99 .............................. 25,000,000
Bayerische Landesbank:
25,000,000 4.96%, 10/12/99 .............................. 25,000,000
40,000,000 4.95%, 10/29/99 .............................. 40,000,000
Commerzbank,
50,000,000 4.92%, 7/08/99 ............................... 50,000,000
Den Danske Bank,
40,000,000 4.955%, 8/27/99 .............................. 40,000,000
National Australia,
200,000,000 5.75%, 7/01/99 ............................... 200,000,000
National City Cleveland,
349,448,130 4.875%, 7/01/99 .............................. 349,448,130
National Westminster,
75,000,000 5.15%, 9/23/99 ............................... 75,000,000
Norddeutsche Landesbank,
25,000,000 4.938%, 9/30/99 .............................. 25,000,000
Toronto Dominion Bank,
50,000,000 5.75%, 7/01/99 ............................... 50,000,000
Westdeutsche Landesbank:
100,000,000 5.875%, 7/01/99 .............................. 100,000,000
35,000,000 4.93%, 7/22/99 ............................... 35,000,000
------------
Total Eurodollar Time Deposits
(Amortized Cost $1,124,448,130) 1,124,448,130
-------------
FLOATING RATE
NOTES - 16.2%
American Express Centurion Bank:
Monthly Variable Rate,
30,000,000 4.994%, 2/14/00 .............................. 30,010,665
20,000,000 4.948%, 3/15/00 .............................. 20,000,000
25,000,000 4.903%, 4/03/00 .............................. 25,000,267
Asset Securitization:
Quarterly Variable Rate,
40,000,000 5.06%, 3/06/00 ............................... 40,000,000
30,000,000 5.095%, 3/10/00 .............................. 29,997,948
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Bank of America:
Monthly Variable Rate,
$15,000,000 4.985%, 8/18/99 .............................. $14,999,632
10,000,000 5.05%, 4/18/00 ............................... 10,006,319
Bank of Austria:
Monthly Variable Rate,
50,000,000 4.888%, 3/15/00 .............................. 49,975,592
Quarterly Variable Rate,
25,000,000 4.855%, 7/27/99 .............................. 24,998,951
Bank of Scotland:
Monthly Variable Rate,
25,000,000 4.898%, 3/15/00 .............................. 24,989,559
25,000,000 4.811%, 5/10/00 .............................. 24,985,190
Banque Nationale de Paris:
Monthly Variable Rate,
40,000,000 4.688%, 7/29/99 .............................. 39,998,182
Bayerische Hypotheka Vereinsbank:
Monthly Variable Rate,
100,000,000 4.869%, 4/13/00 .............................. 99,945,109
25,000,000 4.908%, 4/25/00 .............................. 24,989,925
25,000,000 4.898%, 5/15/00 .............................. 24,984,830
10,000,000 4.908%, 5/15/00 .............................. 9,994,394
Bayerische Landesbank:
Monthly Variable Rate,
100,000,000 4.843%, 4/10/00 .............................. 99,945,831
Chase Manhattan Bank:
Quarterly Variable Rate,
10,000,000 5.00%, 1/12/00 ............................... 10,002,893
6,000,000 5.243%, 2/28/00 .............................. 6,008,965
15,000,000 5.20%, 4/20/00 ............................... 15,028,864
Corporate Receivables Corp.:
Quarterly Variable Rate,
30,000,000 5.003%, 2/16/00 .............................. 30,000,000
Credit Agricole:
Monthly Variable Rate,
30,000,000 4.90%, 3/16/00 ............................... 29,985,298
First Union Corp.:
Quarterly Variable Rate,
10,000,000 5.02%, 10/20/99 .............................. 10,000,000
Principal
Amount Description Value
------ ----------- -----
General Electric Capital Corp.:
Quarterly Variable Rate,
$20,000,000 5.058%, 9/08/99 .............................. $ 20,000,000
50,000,000 4.95%, 4/12/00 ............................... 50,000,000
35,000,000 4.95%, 5/12/00 ............................... 35,000,000
General Motors Acceptance Corp.:
Quarterly Variable Rate,
7,500,000 5.018%, 2/24/00 .............................. 7,499,991
20,000,000 5.018%, 2/25/00 .............................. 20,001,307
J.P. Morgan Securities Inc.:
Daily Variable Rate,
20,000,000 5.016%, 3/02/00 .............................. 20,000,768
Quarterly Variable Rate,
14,000,000 4.999%, 2/23/00 .............................. 13,999,496
7,820,000 4.95%, 4/06/00 ............................... 7,819,994
35,000,000 5.13%, 6/23/00 ............................... 35,000,000
Key Bank:
Monthly Variable Rate,
25,000,000 5.033%, 6/26/00 .............................. 24,985,420
National Westminster:
Quarterly Variable Rate,
25,000,000 4.87%, 8/20/99 ............................... 24,997,311
NationsBank:
Daily Variable Rate,
25,000,000 5.05%, 2/04/00 ............................... 24,993,577
National Rural Utility Corp.:
Quarterly Variable Rate,
20,000,000 5.006%, 11/23/99 ............................. 20,000,000
12,000,000 5.178%, 6/26/00 .............................. 11,998,820
Norwest Corp.:
Quarterly Variable Rate,
30,000,000 5.016%, 10/28/99 ............................. 29,999,017
PNC Bank:
Monthly Variable Rate,
25,000,000 5.098%, 1/31/00 .............................. 24,994,213
Societe Generale:
Monthly Variable Rate,
35,000,000 4.913%, 5/15/00 .............................. 34,981,747
25,000,000 4.913%, 5/15/00 .............................. 24,990,428
Wells Fargo Bank:
Quarterly Variable Rate,
23,000,000 5.208%, 4/26/00 .............................. 22,985,454
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Westpac Capital Corp.:
Quarterly Variable Rate,
$10,000,000 4.816%, 4/17/00 .............................. $ 9,995,243
--------------
Total Floating Rate Notes
(Amortized Cost $1,160,091,200) ............................ 1,160,091,200
--------------
COMMERCIAL PAPER - 43.3%
Abbey National PLC,
15,000,000 4.82%, 7/08/99 ............................... 14,985,942
AlliedSignal,
15,000,000 5.30%, 2/01/00 ............................... 14,525,208
American General Finance,
15,000,000 4.83%, 7/26/99 ............................... 14,949,687
American Home Products,
15,000,000 4.85%, 7/19/99 ............................... 14,963,625
Asset Securitization:
38,000,000 4.94%, 7/12/99 ............................... 37,942,641
20,000,000 5.05%, 8/16/99 ............................... 19,870,944
18,000,000 5.25%, 8/31/99 ............................... 17,839,875
Associates Corp.,
20,000,000 4.86%, 7/27/99 ............................... 19,929,800
AT&T Corp.:
35,000,000 4.82%, 7/16/99 ............................... 34,929,708
15,000,000 4.79%, 7/27/99 ............................... 14,948,108
Bank of America:
15,000,000 4.82%, 8/16/99 ............................... 14,907,617
10,000,000 4.84%, 11/17/99 .............................. 9,813,122
BBL North America:
18,000,000 4.84%, 7/09/99 ............................... 17,980,640
28,000,000 4.83%, 7/12/99 ............................... 27,958,677
Bellsouth Telecommunications,
45,000,000 4.85%, 7/12/99 ............................... 44,933,312
BP America,
100,000,000 5.80%, 7/01/99 ............................... 100,000,000
British Telecom,
6,500,000 4.91%, 7/21/99 ............................... 6,482,269
BTR Dunlop Finance,
22,476,000 5.04%, 7/15/99 ............................... 22,431,947
Principal
Amount Description Value
------ ----------- -----
Caterpillar Finance,
$27,000,000 5.30%, 7/14/99 ............................... $ 26,948,325
Chase Manhattan Bank,
22,000,000 4.83%, 9/08/99 ............................... 21,796,335
Coca Cola Co.,
15,000,000 5.27%, 1/20/00 ............................... 14,554,246
Corporate Assets Funding Co., Inc.:
60,000,000 4.82%, 7/15/99 ............................... 59,887,533
30,000,000 4.82%, 7/21/99 ............................... 29,919,667
70,000,000 5.05%, 8/16/99 ............................... 69,537,444
30,000,000 4.90%, 8/23/99 ............................... 29,783,583
Corporate Receivables Corp.:
80,000,000 4.82%, 7/15/99 ............................... 79,847,944
27,000,000 5.05%, 8/12/99 ............................... 26,840,925
30,000,000 5.05%, 8/13/99 ............................... 29,819,042
52,000,000 4.88%, 8/16/99 ............................... 51,658,578
25,000,000 5.24%, 8/17/99 ............................... 24,828,972
Credit Suisse First Boston,
30,000,000 4.82%, 8/06/99 ............................... 29,855,400
Cregem:
15,000,000 4.80%, 7/13/99 ............................... 14,976,000
50,000,000 4.83%, 7/30/99 ............................... 49,805,458
32,000,000 4.84%, 9/10/99 ............................... 31,694,542
DaimlerChrysler:
14,000,000 4.90%, 8/02/99 ............................... 13,939,022
Delaware Funding Corp.:
36,000,000 5.05%, 7/30/99 ............................... 35,853,550
30,000,000 4.93%, 8/05/99 ............................... 29,856,208
12,576,000 4.93%, 8/17/99 ............................... 12,495,056
Diageo Capital PLC:
30,000,000 4.85%, 7/06/99 ............................... 29,979,792
20,000,000 4.85%, 7/15/99 ............................... 19,962,278
15,000,000 4.81%, 8/16/99 ............................... 14,907,808
60,000,000 4.84%, 9/24/99 ............................... 59,315,278
DuPont de Nemours & Co.:
25,000,000 4.84%, 7/08/99 ............................... 24,976,472
30,000,000 4.87%, 7/19/99 ............................... 29,926,950
Emerson Electric,
25,000,000 5.27%, 1/31/00 ............................... 24,216,819
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Ford Motor Credit:
$50,000,000 5.65%, 7/01/99 ............................... $ 50,000,000
35,000,000 5.03%, 8/17/99 ............................... 34,770,157
General Electric Capital Corp.:
25,000,000 4.82%, 7/15/99 ............................... 24,953,139
15,000,000 4.89%, 7/22/99 ............................... 14,957,212
25,000,000 4.83%, 7/28/99 ............................... 24,909,437
18,000,000 4.78%, 8/02/99 ............................... 17,923,520
25,000,000 4.83%, 9/30/99 ............................... 24,694,771
23,000,000 5.20%, 2/02/00 ............................... 22,282,400
22,000,000 4.95%, 2/07/00 ............................... 21,331,475
General Electric Capital Corp.:
International Fund,
40,000,000 5.31%, 2/15/00 ............................... 38,648,900
Generale Fund:
13,163,000 4.88%, 7/14/99 ............................... 13,139,804
45,000,000 4.82%, 8/05/99 ............................... 44,789,125
15,000,000 5.23%, 9/13/99 ............................... 14,838,742
11,300,000 4.80%, 10/27/99 .............................. 11,122,213
General Motors Acceptance Corp.:
40,000,000 4.88%, 7/08/99 ............................... 39,962,044
23,000,000 4.97%, 7/16/99 ............................... 22,952,372
40,000,000 4.87%, 7/29/99 ............................... 39,848,489
12,000,000 4.87%, 8/04/99 ............................... 11,944,807
35,000,000 4.94%, 8/16/99 ............................... 34,779,072
15,000,000 5.22%, 1/31/00 ............................... 14,534,550
Gillette Co.,
15,000,000 5.70%, 7/01/99 ............................... 15,000,000
Glaxo Wellcome PLC:
25,300,000 4.80%, 7/29/99 ............................... 25,205,547
25,000,000 4.82%, 8/10/99 ............................... 24,866,111
Hydro-Quebec,
27,000,000 4.80%, 8/12/99 ............................... 26,848,800
Internationale Nederlanden
U.S. Funding Corp.,
25,000,000 4.84%, 7/06/99 ............................... 24,983,194
J.P. Morgan, Inc.:
45,000,000 4.82%, 7/06/99 ............................... 44,969,875
42,000,000 5.03%, 8/16/99 ............................... 41,730,057
22,000,000 4.90%, 9/15/99 ............................... 21,772,422
Principal
Amount Description Value
------ ----------- -----
Mellon Financial Co.,
$30,000,000 5.03%, 8/16/99 ............................... $29,807,183
MetLife Funding, Inc.,
52,772,000 4.86%, 7/06/99 ............................... 52,736,344
Motorola, Inc.,
20,000,000 5.20%, 8/05/99 ............................... 19,898,889
National Rural Utilities CFC:
22,000,000 4.84%, 7/16/99 ............................... 21,955,633
20,000,000 5.04%, 9/17/99 ............................... 19,781,600
Panasonic Finance, Inc.,
40,000,000 5.80%, 7/01/99 ............................... 40,000,000
Pfizer, Inc.:
15,349,000 5.80%, 7/01/99 ............................... 15,349,000
34,900,000 4.95%, 7/15/99 ............................... 34,832,818
40,500,000 4.98%, 7/19/99 ............................... 40,399,155
30,000,000 4.98%, 7/22/99 ............................... 29,912,850
Province of Quebec:
16,220,000 4.77%, 7/13/99 ............................... 16,194,210
15,305,000 4.80%, 7/15/99 ............................... 15,276,432
Quincy Capital Corp.:
14,035,000 4.87%, 7/06/99 ............................... 14,025,508
34,145,000 4.87%, 7/07/99 ............................... 34,117,287
35,000,000 4.86%, 7/13/99 ............................... 34,943,300
28,493,000 5.05%, 8/03/99 ............................... 28,361,100
25,000,000 5.05%, 8/13/99 ............................... 24,849,201
16,000,000 5.08%, 8/17/99 ............................... 15,893,884
Receivables Capital Corp.:
27,000,000 4.91%, 7/06/99 ............................... 26,981,588
10,000,000 5.34%, 7/06/99 ............................... 9,992,584
15,000,000 4.82%, 7/09/99 ............................... 14,983,933
45,654,000 4.87%, 7/14/99 ............................... 45,573,712
Repsol International Finance B.U.:
34,870,000 4.87%, 7/07/99 ............................... 34,841,830
25,000,000 4.87%, 7/15/99 ............................... 24,952,654
Rio Tinto America, Inc.,
30,000,000 5.04%, 8/16/99 ............................... 29,806,800
Riverwoods Funding Corp.,
25,000,000 4.84%, 7/09/99 ............................... 24,973,111
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Shell Oil Co.,
$17,000,000 4.97%, 7/15/99 ............................... $ 16,967,144
Union Bank of Switzerland,
100,000,000 5.75%, 7/01/99 ............................... 100,000,000
USAA Capital Corp.,
5,000,000 4.83%, 7/15/99 ............................... 4,990,608
Wachovia Bank:
8,000,000 4.93%, 2/07/00 ............................... 7,757,883
25,000,000 5.18%, 2/15/00 ............................... 24,176,236
Windmill Funding Corp.:
53,000,000 4.88%, 7/12/99 ............................... 52,920,583
27,000,000 4.93%, 7/13/99 ............................... 26,955,630
6,125,000 4.91%, 7/26/99 ............................... 6,104,115
25,000,000 4.93%, 8/02/99 ............................... 24,890,444
13,000,000 4.94%, 8/02/99 ............................... 12,942,916
13,450,000 4.94%, 8/06/99 ............................... 13,383,557
15,000,000 4.94%, 8/09/99 ............................... 14,919,725
-------------
Total Commercial Paper
(Amortized Cost $3,090,784,031) ............................ 3,090,784,031
--------------
Principal
Amount Description Value
------ ----------- -----
FUNDING AGREEMENTS - 2.2%
First Allmerica Financial
Life Insurance Co.:
Monthly Variable Rate,
$55,000,000 4.90%, 4/17/00(1) ............................ $ 55,000,000
Transamerica Life:
Monthly Variable Rate,
35,000,000 4.951%, 6/13/00(1) ........................... 35,000,000
Travelers Insurance Co.:
Monthly Variable Rate,
40,000,000 4.984%, 2/23/00(1) ........................... 40,000,000
30,000,000 4.97%, 4/03/00(1) ............................ 30,000,000
--------------
Total Funding Agreements
(Amortized Cost $160,000,000) .............................. 160,000,000
--------------
Total Investments
(Amortized Cost $7,123,970,430). ................... 99.7% 7,123,970,430
Other Assets in Excess of
Liabilities ........................................ 0.3% 22,449,437
----- -------------
Net Assets - 100.0% .................................. 100.0% $7,146,419,867
===== ==============
- ---------------------
(1) Illiquid security.
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Investment Income
Interest ................................................ $ 166,249,559
-------------
Expenses
Advisory Fees ........................................... 5,013,875
Administration and Services Fees ........................ 1,671,292
Professional Fees ....................................... 13,334
Trustees Fees ........................................... 1,935
Miscellaneous Expenses .................................. 796
-------------
Total Expenses .......................................... 6,701,232
Less: Fees Waived by Bankers Trust ...................... (684,734)
-------------
Net Expenses ......................................... 6,016,498
-------------
Net Investment Income ..................................... 160,233,061
Net Realized Gain from Investment Transactions ............ 325,021
-------------
Net Increase in Net Assets from Operations ................ $ 160,558,082
=============
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
----------------- -----------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................. $ 160,233,061 $ 286,987,238
Net Realized Gain from Investment Transactions ......................... 325,021 320,470
--------------- --------------
Net Increase in Net Assets Resulting from Operations ...................... 160,558,082 287,307,708
--------------- --------------
Capital Transactions
Proceeds from Capital Invested ......................................... 20,588,149,400 85,829,057,272
Value of Capital Withdrawn ............................................. (19,066,540,604) (84,691,836,966)
--------------- --------------
Net Increase in Net Assets from Capital Share Transactions ................ 1,521,608,796 1,137,220,306
--------------- --------------
Total Increase in Net Assets .............................................. 1,682,166,878 1,424,528,014
Net Assets
Beginning of Period ....................................................... 5,464,252,989 4,039,724,975
--------------- --------------
End of Period ............................................................. $ 7,146,419,867 $ 5,464,252,989
=============== ===============
</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
six months
ended For the years ended December 31,
June 30, --------------------------------------------------------------
1999(1) 1998 1997 1996 1995 1994
---------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted)..... $7,146,420 $5,464,253 $4,039,725 $3,261,910 $2,615,932 $2,735,025
Ratios to Average Net Assets:
Net Investment Income ................... 4.80%(2) 5.37% 5.43% 5.27% 5.77% 4.24%
Expenses ................................ 0.18%(2) 0.18% 0.18% 0.18% 0.18% 0.18%
Decrease Reflected in Above Expense ....
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust ... 0.02%(2) 0.02% 0.02% 0.02% 0.02% 0.02%
</TABLE>
- ------------------
(1) Unaudited.
(2) Annualized.
See Notes to Financial Statements.
17
<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 began 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 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. 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 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 a default or bankruptcy by the seller,
realization and/or retention of the collateral may be subject to legal
proceedings.
E. Federal Income Taxes
The Portfolio is considered 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 six months ended June 30, 1999, administrative and service fees
amounted to $1,671,292, of which $307,296 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 six months ended June 30, 1999, advisory fees
amounted to $5,013,875 of which $921,887 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
.18% of the average daily net assets of the Portfolio.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest,
pursuant to a put agreement, and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Portfolio's Financial Highlights for the year
ended December 31, 1994, reflect the Portfolio's realized loss on the sale of
these securities and a capital contribution in the amount of $18,718,663. In
1996, Bankers Trust contributed capital in the amount of $1,113,488 to reimburse
the Cash Management Portfolio for capital losses incurred in prior years.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $100,000,000, which expires April 29, 2000. A
commitment fee of .10% 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 facility will bear interest at a
rate per annum equal to the Federal Funds
18
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Rate plus .50%. No amounts were drawn down or outstanding under the credit
facility as of and for the six months ended June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation
("BT Corp."). In November 1998 BT Corp. and Deutsche Bank AG ("Deutsche Bank")
entered into an Agreement and Plan of Merger which was consummated on June 4,
1999. As a result of the transaction, BT Corp. became a wholly-owned subsidiary
of Deutsche Bank.
Note 3--Net Assets
At June 30, 1999 net assets consisted of:
Paid-in Capital $7,146,419,867
==============
19
<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
[GRAPHIC OMITTED]
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager
or write to us at: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-368-4031
This report must be preceded or accompanied by a current prospectus for the
Fund.
Institutional Cash Reserves CUSIP #055924872
BT Institutional Funds 487SA (6/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
