December 31, 1999
(GRAPHIC APPEARS HERE)
BT Mutual Funds
Institutional
Cash Management Fund
Annual Report
Trust: BT Institutional Funds
Investment Advisor: Bankers Trust Company
<PAGE>
Institutional Cash Management Fund
Table of Contents
Letter to Shareholders 3
Institutional Cash Management 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
Tax Information 9
Cash Management Portfolio
Schedule of Portfolio Investments 10
Statement of Assets and Liabilities 15
Statement of Operations 15
Statements of Changes in Net Assets 16
Financial Highlights 16
Notes to Financial Statements 17
Report of Independent Accountants 18
Proxy Results 19
---------------
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 Management Fund
Letter to Shareholders
We are pleased to present you with this annual report for the Institutional Cash
Management 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
Three major factors impacted the money markets over the annual period ended
December 31, 1999 -- the ongoing extraordinary performance of the U.S. economy,
the actions of the Federal Reserve Board, and the liquidity concerns surrounding
Y2K. These factors combined to push yields on short-term money market securities
significantly higher.
Rapid U.S. economic growth, benign inflation, the lowest unemployment rate in a
generation, and a spectacular runup in the U.S. equity market gave consumers the
confidence necessary to utilize their purchasing power.
o Housing, retail sales, and auto sales were all at historic levels.
o Subdued wage demands, competitive pressures, productivity improvements and
global overcapacity combined to keep prices in check.
o Simultaneously, foreign economies around the world showed clear signs of
recovery, with growth rates in Europe and Asia, in particular, increasing
throughout the year.
The Federal Reserve Board raised interest rates three times during 1999.
o The Federal Reserve Board argued that the pace of the economy could not be
indefinitely supported by labor force growth and productivity and thus may
rekindle inflation.
o Consequently, on June 30, August 24, and November 16, the Federal Reserve
Board raised interest rates by 0.25% each time, leaving the targeted federal
funds rate at 5.50% at the end of the year.
Ratings(2)
S&P: AAA
Moody's: AAA
Money market investors and issuers alike believed liquidity would be scarce over
year-end, as anticipation of Y2K grew increasingly uncertain over the last
quarter of 1999.
o Both corporate and asset-backed issuers flooded the market with paper early in
the fourth quarter, hoping to secure their year-end financing.
o To calm the markets, the Fed announced in October that it would provide the
market with several liquidity programs, including a repurchase agreement
facility with expanded collateral guidelines and a Standby Financing Facility.
o As with most other secular Y2K fears, the money markets' liquidity concerns
also turned out to be for naught.
INVESTMENT REVIEW
By staying disciplined to the purchase of high quality instruments and
actively adjusting sector allocation and the duration of the Portfolio as
market conditions changed, we were able to produce highly competitive yields
in the Institutional Cash Management Fund.
Through most of the first half of the year, 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 for the first time at the end of June, we were able to take
advantage of the higher rates and extend the portfolio at that time.
Status at December 31, 1999
Seven day effective yield: 5.90%
Average maturity: 39 days
Net assets: $3.0 billion
During the second half of the year, money market issuers were very aggressive,
seeking to extend their maturities into the year 2000 to avoid potential Y2K
problems. This excessive issuance caused both an abnormally steep yield curve in
fixed rate securities and wide yield spreads on floating rate notes. We took
<TABLE>
<CAPTION>
Cumulative Total Returns Average Annual Total Returns Annualized
7 day 7 day
Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since current effective
Periods ended December 31, 1999 year years years inception year years years inception yield yield
- ----------------------------------------------------------------------------------------------------------------------------------
<S><C>
Institutional Cash
Management Fund(1)
(inception 7/25/90) 5.11% 16.98% 30.52% 59.61% 5.11% 5.37% 5.47% 5.08% 5.73% 5.90%
IBC First Tier-
Institutional
Money Funds Average 4.96% 16.54% 29.83% 57.65% 4.96% 5.22% 5.33% 4.96% 5.49% 5.64%
</TABLE>
- ----------
(1) Past performance is not indicative of future results. Yields will vary.
Yields quoted for money market funds most closely reflect the fund's current
earnings. An investment in a money market fund is not insured or guaranteed
by the Federal Deposit Insurance Corporation or any other government agency.
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.
(2) Ratings are subject to change and do not remove market risks.
3
<PAGE>
Institutional Cash Management Fund
Letter to Shareholders
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(GRAPHIC APPEARS HERE)
Yankee Certificates Commercial
of Deposit 14% Paper 36%
Cash and Other
Assets 3%
Eurodollar
Certificates
of Deposit 15%
Eurodollar Time
Floating Rate Deposits 12%
Notes 20%
advantage of both - as well as the two Fed rate increases in the second half -
by "barbelling" the portfolio with fixed securities and floating rate
instruments. This strategy proved to be effective for the Portfolio. We also
successfully maintained the liquidity necessary for potential Y2K problems by
purchasing Treasury bills and other very liquid instruments during the last
quarter of 1999.
MANAGER OUTLOOK
We now know that the concerns and fears surrounding Y2K turned out to be a
non-event. The world at large and the financial markets in particular continued
to hum along without interruption. Looking ahead for the near term, we believe
the U.S. economy still has substantial momentum, and the financial fundamentals
for both households and businesses remain strong. Thus, we also feel that it
will take somewhat higher interest rates to tone down the economy. The Federal
Reserve Board could, in our view, continue to increase rates in the first half
of the year 2000, as it seeks to slow real economic growth to a more sustainable
pace.
Clearly, then, the degree of tightening and the timing of the Federal Reserve
Board's next moves will be key to U.S. money market performance in the months
ahead. So, too, will supply and demand factors.
We will likely manage the Institutional Cash Management Fund with a shorter
duration than we did in 1999. We also intend to maintain a significant position
in floating rate securities in this Fund to take advantage of any further
increases in interest rates.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high current income
consistent with liquidity and capital preservation.
As always, we appreciate your ongoing support of the Institutional Cash
Management Fund, and we look forward to continuing to serve your investment
needs for many years ahead.
/s/ Darlene M. Rasel
Darlene M. Rasel
Portfolio Manager of the Cash Management Portfolio
December 31, 1999
4
<PAGE>
Institutional Cash Management Fund
Statement of Assets and Liabilities December 31, 1999
<TABLE>
<S><C>
Assets
Investment in Cash Management Portfolio, at Value $ 2,964,767,032
Prepaid Expenses 14,871
----------------
Total Assets 2,964,781,903
----------------
Liabilities
Dividends Payable 2,927,786
Due to Bankers Trust 155,249
Accrued Expenses 136,408
----------------
Total Liabilities 3,219,443
Net Assets $ 2,961,562,460
================
Composition of Net Assets
Paid-in Capital $ 2,961,805,313
Accumulated Net Realized Loss from Investment Transactions (242,853)
----------------
Net Assets $ 2,961,562,460
================
Shares Outstanding ($0.001 par value per share, unlimited number
of shares of beneficial interest authorized) 2,961,805,313
================
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares outstanding) $ 1.00
================
</TABLE>
Statement of Operations For the year ended December 31, 1999
<TABLE>
<S><C>
Investment Income
Income allocated from Cash Management Portfolio, net $ 147,707,004
----------------
Expenses
Administration and Services Fees 1,459,248
Registration Fees 148,433
Professional Fees 18,439
Printing and Shareholder Reports 15,823
Trustees Fees 9,101
Miscellaneous 31,284
----------------
Total Expenses 1,682,328
Less: Fee Waivers or Expense Reimbursements (223,080)
----------------
Net Expenses 1,459,248
----------------
Net Investment Income 146,247,756
Net Realized Gain from Investment Transactions 196,611
----------------
Net Increase in Net Assets from Operations $ 146,444,367
================
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Institutional Cash Management Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
year ended year ended
December 31, 1999 December 31, 1998
------------------- ------------------
<S><C>
Increase in Net Assets from:
Operations
Net Investment Income $ 146,247,756 $ 121,983,949
Net Realized Gain from Investment Transactions 196,611 140,279
--------------- ---------------
Net Increase in Net Assets from Operations 146,444,367 122,124,228
--------------- ---------------
Distributions to Shareholders
Net Investment Income (146,247,756) (121,983,949)
--------------- ---------------
Capital Transactions in Shares of Beneficial Interest
(at net asset value of $1.00 per share)
Proceeds from Sales of Shares 45,740,774,232 38,329,659,039
Dividend Reinvestments 109,818,942 109,800,828
Cost of Shares Redeemed (45,236,368,850) (38,014,384,008)
--------------- ---------------
Net Increase from Capital Transactions in Shares of Beneficial Interest 614,224,324 425,075,859
--------------- ---------------
Total Increase in Net Assets 614,420,935 425,216,138
Net Assets
Beginning of Year 2,347,141,525 1,921,925,387
--------------- ---------------
End of Year $ 2,961,562,460 $ 2,347,141,525
=============== ===============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Institutional Cash Management 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
years indicated for the Institutional Cash Management Fund.
<TABLE>
<CAPTION>
For the years ended December 31,
----------------------------------------------------------------
1999 1998 1997 1996 1995
------------------------------------ ------------ ------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------
Income from Investment Operations
Net Investment Income 0.05 0.05 0.05 0.05 0.06
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 0.05 0.06
------- ------- ------- ------- ------
Contributions of Capital -- -- -- 0.00(1) --
------- ------- ------- ------- ------
Distributions to Shareholders
Net Investment Income (0.05) (0.05) (0.05) (0.05) (0.06)
------- ------- ------- ------- ------
Total Distributions (0.05) (0.05) (0.05) (0.05) (0.06)
------- ------- ------- ------- ------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======
Total Investment Return 5.11% 5.47% 5.52% 5.36%(2) 5.89%
Supplemental Data and Ratios:
Net Assets, End of Year
(000s omitted) $2,961,562 $2,347,142 $1,921,925 $1,438,546 $1,010,874
Ratios to Average Net Assets:
Net Investment Income 5.01% 5.34% 5.40% 5.24% 5.72%
Expenses After Waivers, Including Expenses
of the Cash Management Portfolio 0.23% 0.23% 0.23% 0.23% 0.23%
Expenses Before Waivers, Including Expenses
of the Cash Management Portfolio 0.26% 0.26% 0.26% 0.27% 0.27%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.03% 0.03% 0.03% 0.04% 0.04%
</TABLE>
- ----------
(1) Less than $0.01 per share.
(2) Increased by approximately 0.10% due to contribution of capital for the year
ended December 31, 1996.
See Notes to Financial Statements.
7
<PAGE>
Institutional Cash Management Fund
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Institutional Cash Management Fund (the "Fund") is one of the institutional
funds offered to investors by the Trust. The Fund began operations and offering
shares of beneficial interest on July 25, 1990. The Fund invests substantially
all of its assets in the Cash Management Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the Act.
The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio. At December 31, 1999,
the Fund's investment was approximately 49% 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 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 comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and distribute 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
each of its funds. 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.
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"), an indirect wholly owned subsidiary of Deutsche
Bank AG. Under this 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 contractually agreed to waive its fees through April 30, 2000
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 .23% of the average daily net assets of the Fund, including
expenses of the Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
In 1996, Bankers Trust contributed capital in the amount of $93,110 to reimburse
the Fund for capital losses incurred in prior years. The Fund's 1996 Financial
Highlights reflect this information.
Note 3--Capital Loss Carryforwards
At December 31, 1999, capital loss carryforwards available as a reduction
against future net realized capital gains consisted of $240,454 which will
expire in 2002, and $17,916 which will expire in 2005.
8
<PAGE>
Institutional Cash Management Fund
Report of Independent Accountants
To the Trustees of BT Institutional Funds and Shareholders
of Institutional Cash Management 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 Cash Management Fund (one of the funds comprising BT Institutional Funds,
hereafter referred to as the "Fund") at December 31, 1999, 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 accounting principles
generally accepted in the United States. 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 auditing standards
generally accepted in the United States, 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, 1999 by correspondence with the transfer agent, provide a reasonable basis
for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
Tax Information (Unaudited) For the Tax Year ended December 31, 1999
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial reporting requirements.
Of the ordinary distributions made during the fiscal year ended December
31,1999, 2.06% has been derived from investments in U.S. Government and Agency
Obligations. All or a portion of the distributions from this income may be
exempt from taxation at the state level. Consult your tax advisor for state
specific information.
9
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Eurodollar Certificates of
Deposit - 15.1%
Abbey National Treasury
Services PLC:
$ 22,000,000 5.44%, 3/13/00 $ 22,000,000
50,000,000 6.14%, 3/21/00 50,026,326
Bank of Austria,
65,000,000 5.93%, 2/14/00 64,986,881
Bank of Nova Scotia,
100,000,000 6.39%, 1/06/00 100,000,138
Bank of Scotland,
35,000,000 6.025%, 4/06/00 35,000,457
Banque Bruxelles Lambert:
50,000,000 6.30%, 1/18/00 50,000,234
60,000,000 6.10%, 2/07/00 60,000,610
Bayerische Hypotheka
Vereinsbank:
30,000,000 5.57%, 1/20/00 30,000,282
10,000,000 5.58%, 1/21/00 9,997,985
Bayerische Landesbank,
30,000,000 6.02%, 6/05/00 30,001,261
Cariplo Bank,
50,000,000 6.39%, 1/06/00 50,000,069
Commerzbank:
26,000,000 6.10%, 1/18/00 25,984,503
10,000,000 5.21%, 2/18/00 9,996,816
Halifax PLC,
55,000,000 5.50%, 1/10/00 55,000,000
International Nederlander Bank:
20,000,000 5.155%, 2/22/00 19,990,139
30,000,000 5.95%, 2/23/00 29,994,986
Landesbank Baden Wurttemberg:
60,000,000 5.95%, 2/17/00 60,000,000
35,000,000 5.97%, 2/22/00 35,000,498
40,000,000 5.92%, 2/23/00 40,000,000
35,000,000 6.01%, 2/29/00 34,998,813
50,000,000 6.05%, 3/09/00 50,000,930
Landesbank Hessen Thuringen,
10,000,000 5.06%, 2/11/00 9,985,375
Principal
Amount Description Value
--------- ----------- -----
Norddeutsche Landesbank,
$ 50,000,000 6.30%, 1/18/00 $ 50,000,000
--------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $922,966,303) 922,966,303
--------------
Yankee Certificates
of Deposit - 14.2%
Bayerische Hypotheka Vereinsbank:
60,000,000 5.10%, 4/12/00 59,835,823
12,000,000 5.15%, 4/20/00 11,999,743
Cariplo Bank,
30,000,000 5.96%, 2/24/00 30,001,554
Commerzbank:
5,000,000 5.01%, 1/10/00 4,999,457
20,000,000 4.99%, 2/02/00 19,998,839
20,000,000 5.16%, 2/25/00 19,996,567
25,000,000 5.20%, 3/15/00 24,999,475
20,000,000 5.185%, 3/30/00 19,997,653
Credit Suisse First Boston, Inc.:
10,000,000 5.56%, 1/18/00 9,999,756
25,000,000 5.575%, 1/19/00 25,000,061
Credit Agricole Indosuez,
20,000,000 5.285%, 3/01/00 20,002,604
Credit Communal De Belgique,
50,000,000 5.88%, 2/15/00 50,000,000
Dresdner Bank:
10,000,000 5.56%, 1/07/00 9,999,347
40,000,000 5.56%, 1/18/00 40,000,000
Landesbank Hessen Thuringer,
3,000,000 5.215%, 2/29/00 2,999,787
National Westminster Bank,
40,000,000 5.50%, 1/14/00 40,000,000
Norddeutsche Landesbank,
10,000,000 5.35%, 5/24/00 9,997,726
Paribas SA:
65,000,000 6.03%, 2/08/00 65,000,000
40,000,000 5.95%, 2/14/00 39,991,483
Rabobank Nederland NV:
20,000,000 5.02%, 1/12/00 19,997,302
14,000,000 5.14%, 3/20/00 13,992,523
See Notes to Financial Statements.
10
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Royal Bank of Canada:
$ 13,000,000 5.035%, 2/08/00 $ 12,993,679
15,000,000 5.235%, 3/09/00 14,999,821
5,000,000 5.70%, 7/03/00 4,998,793
Svenska Handelsbanken,
60,000,000 6.30%, 1/10/00 60,000,000
Toronto Dominion Bank:
20,000,000 5.10%, 2/22/00 19,998,764
25,000,000 5.14%, 4/26/00 24,995,410
Union Bank of Switzerland,
15,000,000 5.155%, 2/25/00 14,999,130
Westdeutsche Landesbank
Girozentrale:
50,000,000 6.04%, 1/24/00 50,000,000
60,000,000 6.08%, 2/07/00 60,000,000
35,000,000 6.04%, 3/10/00 35,000,000
30,000,000 6.04%, 6/02/00 30,000,000
--------------
Total Yankee Certificates of Deposit
(Amortized Cost $866,795,297) 866,795,297
--------------
Certificates of Deposit - 1.7%
American Express Centurion
Bank,
35,000,000 6.00%, 3/07/00 35,000,000
Bank One,
50,000,000 5.91%, 3/15/00 50,000,000
NationsBank,
7,000,000 4.99%, 1/11/00 6,999,114
Wachovia Corp.,
10,000,000 4.90%, 1/10/00 9,999,676
--------------
Total Certificates of Deposit
(Amortized Cost $101,998,790) 101,998,790
--------------
Eurodollar Time
Deposits - 11.8%
ABN Amro,
30,000,000 5.969%, 3/24/00 30,000,000
Bank of Austria,
60,000,000 6.188%, 1/19/00 60,000,000
Caisse Nationale de
Credit Agricole,
30,000,000 6.188%, 1/18/00 30,000,000
Chase Manhattan Bank,
200,000,000 5.50%, 1/03/00 200,000,000
Den Danske Bank,
30,000,000 6.125%, 2/25/00 30,000,000
International Nederlander Bank,
30,000,000 5.59%, 1/12/00 30,000,000
Principal
Amount Description Value
--------- ----------- -----
KBC Bank:
$ 31,000,000 6.135%, 1/10/00 $ 31,000,000
10,000,000 5.969%, 5/22/00 10,000,000
Landesbank Baden Wurttemberg,
25,000,000 6.08%, 6/05/00 25,000,000
National Australia Bank,
50,000,000 5.00%, 1/03/00 50,000,000
Norddeutsche Landesbank:
40,000,000 5.95%, 3/23/00 40,000,000
50,000,000 6.00%, 4/10/00 50,000,000
Union Bank of Switzerland,
137,372,154 5.00%, 1/03/00 137,372,154
--------------
Total Eurodollar Time Deposits
(Amortized Cost $723,372,154) 723,372,154
--------------
Floating Rate Notes - 19.9%
American Express Centurion
Bank,
Monthly Variable Rate:
20,000,000 6.423%, 3/15/00 20,000,000
25,000,000 6.439%, 4/03/00 25,000,090
Asset Securitization
Cooperative Corp.,
Quarterly Variable Rate:
40,000,000 6.163%, 3/06/00 40,000,000
30,000,000 6.121%, 3/10/00 29,999,440
AT & T Corp.,
Quarterly Variable Rate,
17,000,000 6.163%, 8/07/00 17,001,993
Bank of Austria,
Monthly Variable Rate,
50,000,000 6.363%, 3/15/00 49,992,999
Bank of Scotland,
Monthly Variable Rate:
25,000,000 6.373%, 3/15/00 24,997,005
25,000,000 6.379%, 5/10/00 24,993,868
Bayerische Hypotheka
Vereinsbank,
Monthly Variable Rate:
100,000,000 6.383%, 4/13/00 99,980,301
25,000,000 6.401%, 4/25/00 24,996,125
35,000,000 6.383%, 5/15/00 34,991,207
Bayerische Landesbank,
Monthly Variable Rate,
100,000,000 6.359%, 4/10/00 99,980,926
See Notes to Financial Statements.
11
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Chase Manhattan Bank,
Quarterly Variable Rate:
$ 10,000,000 6.176%, 1/12/00 $ 10,000,163
6,000,000 6.306%, 2/28/00 6,002,149
15,000,000 6.398%, 4/20/00 15,010,800
Citigroup, Inc.,
Quarterly Variable Rate,
10,000,000 6.261%, 2/03/00 10,000,879
Corporate Receivable Corp.,
Quarterly Variable Rate,
30,000,000 6.031%, 2/16/00 30,000,000
Credit Agricole Indosuez,
Monthly Variable Rate:
30,000,000 6.361%, 3/16/00 29,995,743
45,000,000 6.459%, 11/08/00 44,976,984
First Union Bank,
Daily Variable Rate,
35,000,000 4.85%, 10/27/00 35,000,000
Ford Motor Credit Corp.,
Quarterly Variable Rate:
15,000,000 6.174%, 10/02/00 14,993,017
10,000,000 5.566%, 11/27/00 10,006,001
General Electric Capital Corp.,
Quarterly Variable Rate:
50,000,000 6.126%, 4/12/00 50,000,000
25,000,000 6.014%, 5/12/00 25,000,000
General Motors Acceptance Corp.,
Quarterly Variable Rate:
7,500,000 6.072%, 2/24/00 7,499,998
20,000,000 6.061%, 2/25/00 20,000,301
J.P. Morgan, Inc.,
Quarterly Variable Rate:
14,000,000 6.051%, 2/23/00 13,999,887
20,000,000 6.065%, 3/02/00 20,000,191
7,820,000 6.074%, 4/06/00 7,819,998
35,000,000 5.10%, 6/23/00 35,000,000
Key Bank NA,
Monthly Variable Rate:
40,000,000 6.49%, 4/18/00 40,000,000
25,000,000 6.421%, 6/26/00 24,992,851
Quarterly Variable Rate,
30,000,000 6.166%, 4/17/00 30,000,000
Principal
Amount Description Value
--------- ----------- -----
National Rural Utility Corp.,
Quarterly Variable Rate,
$ 12,000,000 6.141%, 6/26/00 $ 11,999,421
NationsBank,
Daily Variable Rate,
25,000,000 5.02%, 2/04/00 24,998,998
Norwest Corp.,
Monthly Variable Rate,
25,000,000 6.499%, 9/07/00 24,989,921
PNC Bank,
Monthly Variable Rate:
25,000,000 6.411%, 1/31/00 24,994,791
25,000,000 6.411%, 7/12/00 24,999,189
Societe Generale,
Monthly Variable Rate,
60,000,000 6.393%, 5/15/00 59,988,224
Toyota Motor Credit Corp.,
Quarterly Variable Rate,
17,000,000 6.373%, 10/25/00 17,019,412
US Bank NA,
Monthly Variable Rate:
10,000,000 6.513%, 4/18/00 10,002,337
8,000,000 6.531%, 4/26/00 8,000,457
Wells Fargo Bank,
Quarterly Variable Rate,
23,000,000 6.064%, 4/26/00 22,994,375
Westpac Capital Corp.,
Quarterly Variable Rate,
10,000,000 6.076%, 4/17/00 9,998,251
--------------
Total Floating Rate Notes
(Amortized Cost $1,212,218,292) 1,212,218,292
--------------
Commercial Paper - 35.6%
Aegon Funding Corp.:
60,000,000 5.39%, 2/15/00 59,585,250
10,500,000 5.92%, 3/06/00 10,387,767
28,000,000 5.81%, 3/17/00 27,656,564
35,000,000 5.75%, 3/22/00 34,547,188
Albertson's, Inc.,
50,000,000 5.85%, 1/24/00 49,813,125
See Notes to Financial Statements.
12
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Alcatel Alsthom, Inc.:
$ 15,000,000 5.84%, 3/06/00 $ 14,841,833
11,000,000 5.82%, 3/15/00 10,868,403
AlliedSignal, Inc.:
15,000,000 5.30%, 2/01/00 14,931,542
22,000,000 5.90%, 2/15/00 21,837,750
Asset Securitization
Cooperative Corp.,
30,000,000 6.00%, 1/18/00 29,915,000
BankAmerica Corp.,
28,000,000 5.85%, 2/18/00 27,781,600
Barclays Bank PLC,
00,000,000 5.75%, 1/10/00 99,888,194
BBL North America, Inc.:
15,000,000 5.932%, 1/21/00 14,950,571
40,000,000 5.765%, 1/31/00 39,807,833
BellSouth Corp.,
12,000,000 5.62%, 2/07/00 11,930,687
British Gas Capital Corp.,
20,000,000 5.67%, 2/25/00 19,826,750
British Telecommunications
PLC:
55,000,000 5.92%, 3/02/00 54,448,289
50,000,000 5.87%, 3/13/00 49,413,000
Corporate Asset Funding Co.,
Inc.:
50,000,000 5.93%, 1/18/00 49,859,986
65,000,000 5.95%, 2/18/00 64,484,333
Coca Cola Co.,
15,000,000 5.27%, 1/20/00 14,958,279
Corporate Receivables Corp.:
15,000,000 5.89%, 1/27/00 14,936,192
25,000,000 6.07%, 2/08/00 24,839,819
20,000,000 5.87%, 2/10/00 19,869,556
50,000,000 5.945%, 3/15/00 49,388,986
Credit Suisse First Boston, Inc.:
35,000,000 5.79%, 2/07/00 34,791,721
25,000,000 5.79%, 2/14/00 24,823,083
Principal
Amount Description Value
--------- ----------- -----
Cregem NorthAmerican,
$ 65,000,000 5.92%, 2/02/00 $ 64,657,956
Delaware Funding Corp.,
30,000,000 5.83%, 2/22/00 29,747,367
Diageo Capital PLC,
40,000,000 5.39%, 1/28/00 39,838,300
Elf Aquitaine Finance,
45,000,000 5.95%, 3/02/00 44,546,313
Emerson Electric Co.,
25,000,000 5.27%, 1/31/00 24,890,208
Fortis Bank:
50,000,000 5.893%, 3/14/00 49,402,561
25,000,000 5.91%, 3/15/00 24,696,292
25,000,000 5.89%, 4/03/00 24,619,604
30,000,000 5.735%, 5/09/00 29,383,488
Gannett Co., Inc.,
30,000,000 5.97%, 1/28/00 29,865,675
General Electric Capital Corp.:
23,000,000 5.20%, 2/02/00 22,893,689
22,000,000 4.95%, 2/07/00 21,888,075
30,000,000 5.36%, 2/11/00 29,816,867
18,000,000 5.78%, 2/18/00 17,861,280
General Electric Capital Corp.
International Funding:
40,000,000 5.31%, 2/15/00 39,734,500
25,000,000 5.77%, 2/22/00 24,791,639
20,000,000 5.77%, 3/08/00 19,785,228
General Motors Acceptance
Corp.,
15,000,000 5.22%, 1/31/00 14,934,750
Glaxo Wellcome PLC,
46,000,000 5.90%, 2/25/00 45,585,361
Invensys PLC:
25,000,000 5.92%, 1/14/00 24,946,556
13,000,000 5.60%, 2/07/00 12,929,222
J. P. Morgan, Inc.:
10,000,000 6.60%, 1/18/00 9,968,833
20,000,000 5.78%, 3/14/00 19,765,589
See Notes to Financial Statements.
13
<PAGE>
Cash Management Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
National Rural Utility Corp.,
$ 32,000,000 5.88%, 3/13/00 $ 31,623,680
Quincy Capital Corp.:
49,867,000 6.04%, 1/21/00 49,699,669
40,000,000 6.10%, 1/27/00 39,823,778
35,470,000 6.09%, 1/31/00 35,289,990
Receivables Capital Corp.:
11,480,000 5.85%, 1/14/00 11,455,749
30,000,000 5.88%, 2/15/00 29,779,500
40,000,000 5.88%, 2/25/00 39,640,667
Rio Tinto America, Inc.,
20,678,000 5.91%, 3/03/00 20,467,532
Riverwoods Funding Corp.,
15,000,000 6.03%, 1/26/00 14,937,188
Salomon Smith Barney, Inc.:
6,000,000 5.43%, 1/28/00 5,975,565
50,000,000 5.76%, 2/09/00 49,688,000
Santander Finance BV,
30,000,000 5.97%, 2/15/00 29,776,125
SBC Communications, Inc.:
12,500,000 5.84%, 2/10/00 12,418,889
10,000,000 5.70%, 2/22/00 9,917,667
Unifunding, Inc.,
50,000,000 5.98%, 2/17/00 49,609,639
Wachovia Corp.:
8,000,000 4.93%, 2/07/00 7,959,464
25,000,000 5.18%, 2/15/00 24,838,125
Windmill Funding Corp.:
25,000,000 5.98%, 1/13/00 24,950,167
20,000,000 5.44%, 1/18/00 19,948,622
57,000,000 5.44%, 1/21/00 56,818,133
25,000,000 5.87%, 1/25/00 24,902,166
25,000,000 5.88%, 2/15/00 24,816,250
--------------
Total Commercial Paper
(Amortized Cost $2,171,269,219) 2,171,269,219
--------------
Principal
Amount Description Value
--------- ----------- -----
Funding Agreements - 3.3%
First Allmerica Financial
Life Insurance Co.,
Monthly Variable Rate,
$ 55,000,000 4.956%, 4/17/00(1) $ 55,000,000
GE Life and Annuity Assurance Co.,
Monthly Variable Rate,
40,000,000 5.289%, 9/01/00(1) 40,000,000
Transamerica Life,
Monthly Variable Rate,
35,000,000 4.951%, 6/13/00(2) 35,000,000
Travelers Insurance Co,
Monthly Variable Rate:
40,000,000 4.978%, 2/23/00(1) 40,000,000
30,000,000 4.967%, 4/03/00(1) 30,000,000
--------------
Total Funding Agreements
(Amortized Cost $200,000,000) 200,000,000
--------------
Deposit Note - 0.3%
Bayerische Landesbank,
20,000,000 5.80%, 5/22/00 19,974,166
--------------
Total Deposit Note
(Amortized Cost $19,974,166) 19,974,166
--------------
Total Investments
(Amortized Cost
$6,218,594,221) 101.9% $6,218,594,221
Liabilities in Excess of
Other Assets (1.9) (117,876,855)
----- --------------
Net Assets 100.0% $6,100,717,366
===== ==============
- ----------
(1) Illiquid Security.
(2) Funding agreement subject to a seven day demand feature.
See Notes to Financial Statements.
14
<PAGE>
Cash Management Portfolio
Statement of Assets and Liabilities December 31, 1999
<TABLE>
<S><C>
Assets
Investments, at Value (Amortized Cost of $6,218,594,221) $ 6,218,594,221
Interest Receivable 43,756,797
Cash 2,473,605
----------------
Total Assets 6,264,824,623
----------------
Liabilities
Payable for Securities Purchased 163,014,298
Due to Bankers Trust 1,062,715
Accrued Expenses and Other 30,244
----------------
Total Liabilities 164,107,257
----------------
Net Assets $ 6,100,717,366
================
Composition of Net Assets
Paid-in Capital 6,100,717,366
----------------
Net Assets $ 6,100,717,366
================
</TABLE>
Statement of Operations For the year ended December 31, 1999
<TABLE>
<S><C>
Investment Income
Interest $ 369,010,216
----------------
Expenses
Advisory Fees 10,613,250
Administration and Services Fees 3,539,131
Professional Fees 22,160
Trustees Fees 5,190
Miscellaneous 1,625
----------------
Total Expenses 14,181,356
Less: Fee Waivers or Expense Reimbursements (1,445,608)
----------------
Net Expenses 12,735,748
----------------
Net Investment Income 356,274,468
Net Realized Gain from Investment Transactions 441,562
----------------
Net Increase in Net Assets from Operations $ 356,716,030
================
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
Cash Management Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
year ended year ended
December 31, 1999 December 31, 1998
------------------ ------------------
<S><C>
Increase in Net Assets from:
Operations
Net Investment Income $ 356,274,468 $ 286,987,238
Net Realized Gain from Investment Transactions 441,562 320,470
---------------- ---------------
Net Increase in Net Assets from Operations 356,716,030 287,307,708
---------------- ---------------
Capital Transactions
Proceeds from Capital Invested 39,802,568,271 85,829,057,272
Value of Capital Withdrawn (39,522,819,924) (84,691,836,966)
---------------- ---------------
Net Increase in Net Assets from Capital Transactions 279,748,347 1,137,220,306
---------------- ---------------
Total Increase in Net Assets 636,464,377 1,424,528,014
Net Assets
Beginning of Year 5,464,252,989 4,039,724,975
---------------- ---------------
End of Year $ 6,100,717,366 $ 5,464,252,989
================ ===============
</TABLE>
Financial Highlights
Contained below are selected ratios to average net assets and other supplemental
data for each of the years indicated for the Cash Management Portfolio.
<TABLE>
<CAPTION>
For the years ended December 31,
----------------------------------------------------------------
1999 1998 1997 1996 1995
----------- ------------ ------------ ------------ -----------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $6,100,717 $5,464,253 $4,039,725 $3,261,910 $2,615,932
Ratios to Average Net Assets:
Net Investment Income 5.04% 5.37% 5.43% 5.27% 5.77%
Expenses After Waivers 0.18% 0.18% 0.18% 0.18% 0.18%
Expenses Before Waivers 0.20% 0.20% 0.20% 0.20% 0.20%
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.02% 0.02% 0.02% 0.02% 0.02%
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
Cash Management Portfolio
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies.
A. Organization
The Cash Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on March 26, 1990, as
an unincorporated trust under the laws of New York, and 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 agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio requires 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"), an indirect wholly owned subsidiary of
Deutsche Bank AG. Under this 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.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .15% of the Portfolio's average daily net assets.
Bankers Trust has contractually agreed through April, 30, 2000 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 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.
At December 31, 1999, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, 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. No amounts were drawn down or
outstanding for this fund under the credit facility for the year ended December
31, 1999.
17
<PAGE>
Cash Management Portfolio
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest of
Cash Management Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, 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 Cash Management Portfolio
(hereafter referred to as the "Portfolio") at December 31, 1999, 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 accounting
principles generally accepted in the United States. 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 auditing
standards generally accepted in the United States, 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, 1999 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 11, 2000
18
<PAGE>
Institutional Cash Management Fund
Proxy Results (unaudited)
For the year ended December 31, 1999, the Bankers Trust Institutional Funds
shareholders voted on the following proposals at the annual meeting of
shareholders on October 8, 1999, or as adjourned. The description of each
proposal and number of shares voted are as follows:
1. To elect the Bankers Institutional Trust Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- ------------
Mr. Charles P. Biggar 1,399,757,503 --
Mr. S. Leland Dill 1,399,757,503 --
Mr. Richard T. Hale 1,399,757,503 --
Mr. Bruce E. Langton 1,399,757,503 --
Mr. Philip Saunders, Jr. 1,399,757,503 --
Mr. Harry Van Benschoten 1,399,757,503 --
Dr. Martin J. Gruber 1,399,757,503 --
Dr. Richard J. Herring 1,399,757,503 --
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
1,399,757,503 -- --
3. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
1,390,941,837 8,815,666 --
19
<PAGE>
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 219210
Kansas City, MO 64121-9210
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 Management Fund CUSIP #055924104
BT Institutional Funds 479ANN (12/99)
Distributed by:
ICC Distributors, Inc.
