December 31, 1999
(GRAPHIC APPEARS HERE)
BT Mutual Funds
Institutional
Liquid Assets Fund
Annual Report
Trust: BT Institutional Funds
Investment Advisor: Bankers Trust Company
<PAGE>
Institutional Liquid Assets Fund
Table of Contents
Letter to Shareholders 3
Institutional Liquid Assets 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
Liquid Assets Portfolio
Schedule of Portfolio Investments 10
Statement of Assets and Liabilities 14
Statement of Operations 14
Statements of Changes in Net Assets 15
Financial Highlights 15
Notes to Financial Statements 16
Report of Independent Accountants 17
Proxy Results 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 Liquid Assets Fund
Letter to Shareholders
We are pleased to present you with this annual report for the Institutional
Liquid Assets 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.
Status at December 31, 1999
Seven day effective yield: 5.94%
Average maturity: 38 days
Net assets: $3.3 billion
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 Liquid Assets 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.
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.
<TABLE>
<CAPTION>
Cumulative Total Returns Average Annual Total Returns Annualized
7 day 7 day
Past 1 Past 3 Since Past 1 Past 3 Since current effective
Periods ended December 31, 1999 year years inception year years inception yield yield
<S><C>
Institutional Liquid Assets Fund(1)
(inception 12/11/95) 5.17% 17.28% 24.06% 5.17% 5.46% 5.46% 5.77% 5.94%
IBC First Tier-Institutional
Money Funds Average 4.96% 16.54% 22.73% 4.96% 5.22% 5.22% 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.
3
<PAGE>
Institutional Liquid Assets Fund
Letter to Shareholders
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(GRAPHIC APPEARS HERE)
Certificates of Commercial
Deposit 1% Paper 37%
Floating Rate Eurodollar
Notes 18% Time Deposits
20%
Yankee
Certificates of
Deposit 11%
Eurodollar Certificates Funding
of Deposit 10% Agreements 3%
We took
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 Liquid Assets 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 Liquid
Assets 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 Liquid Assets Portfolio
December 31, 1999
4
<PAGE>
Institutional Liquid Assets Fund
Statement of Assets and Liabilities December 31, 1999
<TABLE>
<S><C>
Assets
Investment in Liquid Assets Portfolio, at Value $ 3,335,922,349
Prepaid Expenses 21,708
---------------
Total Assets 3,335,944,057
---------------
Liabilities
Due to Bankers Trust 197,134
Dividends Payable 16,147,124
Accrued Expenses 22,140
---------------
Total Liabilities 16,366,398
---------------
Net Assets $ 3,319,577,659
===============
Composition of Net Assets
Paid-in Capital $ 3,319,407,393
Undistributed Net Investment Income 152,650
Accumulated Net Realized Gain from Investment Transactions 17,616
---------------
Net Assets $ 3,319,577,659
===============
Shares Outstanding ($0.001 par value per share, unlimited number of shares
of beneficial interest authorized) 3,319,407,393
===============
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 Liquid Assets Portfolio, net $ 177,563,801
---------------
Expenses
Administration and Services Fees 1,726,694
Registration Fees 14,455
Professional Fees 13,723
Printing and Shareholder Reports 9,300
Trustees Fees 6,289
Miscellaneous 50,258
---------------
Total Expenses 1,820,719
Less: Fee Waivers or Expense Reimbursements (94,025)
---------------
Net Expenses 1,726,694
---------------
Net Investment Income 175,837,107
Net Realized Gain from Investment Transactions 17,616
---------------
Net Increase in Net Assets from Operations $ 175,854,723
---------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Institutional Liquid Assets 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 (Decrease) in Net Assets from:
Operations
Net Investment Income $ 175,837,107 $ 180,146,965
Net Realized Gain from Investment Transactions 17,616 105,907
-------------- --------------
Net Increase in Net Assets from Operations 175,854,723 180,252,872
-------------- --------------
Distributions to Shareholders
Net Investment Income (175,837,107) (180,146,965)
-------------- --------------
Capital Transactions in Shares of Beneficial Interest
(at net asset value of $1.00 per share)
Proceeds from Sales of Shares 11,904,284,284 9,993,553,949
Cost of Shares Redeemed (11,958,883,917) (9,936,314,862)
-------------- --------------
Net Increase (Decrease) from Capital Transactions in Shares of
Beneficial Interest (54,599,633) 57,239,087
-------------- --------------
Total Increase (Decrease) in Net Assets (54,582,017) 57,344,994
Net Assets
Beginning of Year 3,374,159,676 3,316,814,682
-------------- --------------
End of Year $3,319,577,659 $3,374,159,676
============== ==============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Institutional Liquid Assets 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 Liquid Assets Fund.
<TABLE>
<CAPTION>
For the period
For the years ended December 31, Dec. 11, 1995(1)
-------------------------------------------------- to
1999 1998 1997 1996 Dec. 31, 1995
-------- -------- -------- -------- --------------
<S><C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- -------
Income from Investment Operations
Net Investment Income 0.05 0.05 0.05 0.05 0.002
Net Realized Gain (Loss) from
Investment Transactions 0.00(2) 0.00(2) (0.00)(2) 0.00(2) 0.00(2)
------- ------- ------- ------- -------
Total from Investment Operations 0.05 0.05 0.05 0.05 0.00(2)
------- ------- ------- ------- -------
Distributions to Shareholders
Net Investment Income (0.05) (0.05) (0.05) (0.05) (0.00)(2)
------- ------- ------- ------- -------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= =======
Total Investment Return 5.17% 5.57% 5.63% 5.45% 5.88%
Supplemental Data and Ratios:
Net Assets, End of Period
(000s omitted) $3,319,578 $3,374,160 $3,316,815 $1,943,024 $1,477,401
Ratios to Average Net Assets:
Net Investment Income 5.09% 5.43% 5.48% 5.32% 5.50%(3)
Expenses After Waivers, Including Expenses
of the Liquid Assets Portfolio 0.16% 0.16% 0.16% 0.04% 0.01%(3)
Expenses Before Waivers, Including Expenses
of the Liquid Assets Portfolio 0.25% 0.26% 0.25% 0.26% 0.98%(3)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.09% 0.10% 0.09% 0.22% 0.97%(3)
</TABLE>
- ----------
(1) The Fund's inception date.
(2) Less than $0.01 per share.
(3) Annualized.
See Notes to Financial Statements.
7
<PAGE>
Institutional Liquid Assets 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 Liquid Assets 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 December 11, 1995. The Fund invests substantially all
of its assets in the Liquid Assets Portfolio (the "Portfolio"). The Portfolio is
an open-end management investment company registered under the Act. The value of
the Fund's investment in the Portfolio reflects its proportionate interest in
the net assets of the Portfolio. At December 31, 1999, the Fund's investment was
approximately 100% 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, if any. 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 .16 % of the average daily net assets of the Fund,
including expenses of the Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
8
<PAGE>
Institutional Liquid Assets Fund
Report of Independent Accountants
To the Trustees of BT Institutional Funds and Shareholders
of Institutional Liquid Assets Fund
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Institutional Liquid Assets 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
9
<PAGE>
Liquid Assets Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Commercial Paper(1) - 37.3%
Aegon Funding Corp.:
$ 10,000,000 5.39%, 2/15/00 $ 9,932,625
22,000,000 5.81%, 3/17/00 21,730,158
15,000,000 5.75%, 3/22/00 14,805,938
Alcatel Alsthom, Inc.:
10,000,000 5.84%, 3/06/00 9,894,556
11,000,000 5.82%, 3/15/00 10,868,403
Allied-Signal, Inc.,
20,000,000 5.30%, 2/01/00 19,908,722
Asset Securitization Cooperative
Corp.,
40,000,000 6.00%, 1/18/00 39,886,667
Bankamerica Corp.:
22,000,000 5.85%, 2/18/00 21,828,400
40,000,000 5.81%, 3/10/00 39,554,567
Barclays Bank,
50,000,000 5.75%, 1/10/00 49,944,097
BBL North America, Inc.:
60,000,000 5.931%, 1/21/00 59,802,269
11,000,000 5.78%, 1/31/00 10,947,017
British Gas Capital Corp.,
10,000,000 5.67%, 02/25/00 9,913,375
British Telecommunications PLC,
25,000,000 5.88%, 3/02/00 24,749,222
Corporate Asset Funding Co.,
20,000,000 5.95%, 1/26/00 19,917,361
Coca Cola Co.,
15,000,000 5.27%, 1/20/00 14,958,279
Corporate Receivables Corp.:
20,000,000 6.07%, 2/08/00 19,869,556
20,000,000 5.87%, 2/10/00 19,871,856
Credit Suisse First Boston, Inc.,
20,000,000 5.79%, 2/07/00 19,880,983
10,000,000 5.79%, 2/14/00 9,929,233
Cregem North America, Inc.,
35,000,000 5.92%, 2/02/00 34,815,822
Delaware Funding Corp.,
30,000,000 5.83%, 2/22/00 29,747,367
Diageo Capital PLC,
10,000,000 5.39%, 1/28/00 9,959,575
Principal
Amount Description Value
--------- ----------- -----
Elf Aquitaine Finance,
$ 30,000,000 5.95%, 3/02/00 $ 29,697,542
Fortis Funding:
22,000,000 5.73%, 3/09/00 21,761,887
25,000,000 5.892%, 3/14/00 24,701,280
20,000,000 5.89%, 4/17/00 19,649,846
25,000,000 5.90%, 4/19/00 24,553,403
Gannett Co.,
25,000,000 5.97%, 1/28/00 24,888,063
General Electric Capital Corp.:
20,000,000 4.95%, 2/07/00 19,898,250
2,000,000 5.36%, 2/11/00 1,987,791
20,000,000 5.78%, 2/18/00 19,845,867
General Electric International
Capital Fund,
20,000,000 5.31%, 2/15/00 19,867,250
General Motors Acceptance Corp.,
20,000,000 5.22%, 1/31/00 19,913,000
Generale Bank, Inc.,
9,000,000 5.25%, 1/14/00 8,982,938
Glaxo Wellcome PLC,
24,000,000 5.90%, 2/25/00 23,783,667
H. J. Heinz Co.,
10,000,000 5.33%, 1/21/00 9,970,389
International Lease Finance Corp.:
6,450,000 4.50%, 1/06/00 6,445,969
8,000,000 4.94%, 2/04/00 7,962,676
Invensys PLC,
25,000,000 5.60%, 2/07/00 24,863,889
National Rural Utilities Corp.,
5,000,000 5.90%, 4/03/00 4,923,792
Quincy Capital Corp.:
14,148,000 6.10%, 1/27/00 14,085,670
10,419,000 5.88%, 2/25/00 10,325,403
Receivables Capital Corp.:
14,313,000 6.04%, 1/20/00 14,267,373
5,983,000 5.91%, 2/11/00 5,942,729
31,000,000 5.88%, 2/25/00 30,721,517
Rio Tinto America, Inc.,
10,000,000 5.91%, 3/03/00 9,898,217
See Notes to Financial Statements.
10
<PAGE>
Liquid Assets Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Riverwoods Funding Corp.:
$ 10,000,000 5.97%, 1/20/00 $ 9,934,350
15,000,000 6.05%, 1/28/00 14,931,938
10,000,000 6.06%, 2/09/00 9,968,492
17,000,000 6.02%, 2/15/00 16,872,075
Santander Finance:
10,000,000 6.25%, 1/10/00 9,984,375
10,000,000 5.97%, 2/15/00 9,925,375
40,000,000 5.76%, 4/10/00 39,360,000
Unifunding, Inc.,
20,000,000 5.98%, 2/17/00 19,843,856
Vodafone Airtechnology,
22,000,000 5.75%, 2/25/00 21,806,736
Wachovia Bank,
10,000,000 5.18%, 2/15/00 9,935,250
Wells Fargo Bank,
40,000,000 5.95%, 3/17/00 39,497,556
Windmill Funding Corp.:
12,000,000 5.42%, 1/14/00 11,976,513
10,000,000 5.44%, 1/18/00 9,974,311
28,000,000 5.44%, 1/21/00 27,909,978
25,000,000 5.87%, 1/25/00 24,665,313
22,902,000 5.88%, 2/25/00 22,696,264
25,000,000 5.95%, 3/22/00 24,902,167
--------------
Total Commercial Paper
(Amortized Cost $1,245,839,005) 1,245,839,005
--------------
Eurodollar Time
Deposits - 20.4%
Bank of Austria,
40,000,000 6.187%, 1/19/00 40,000,000
Caisse Nationale de Credit
Agricole,
26,000,000 6.187%, 1/18/00 26,000,000
Canadian Imperial Bank of
Commerce,
45,000,000 7.00%, 1/03/00 45,000,000
Internationale Nederlander
U.S. Funding Corp.,
30,000,000 5.59%, 1/12/00 30,000,000
National Australia Bank,
75,000,000 5.00%, 1/03/00 75,000,000
Norddeutsche Landesbank:
20,000,000 5.95%, 3/23/00 20,000,000
30,000,000 6.00%, 4/10/00 30,000,000
Principal
Amount Description Value
--------- ----------- -----
Paribas SA,
$ 100,000,000 5.00%, 1/03/00 $ 100,000,000
Republic Bank of New York,
150,000,000 5.25%, 1/03/00 150,000,000
Union Bank of Switzerland AG,
106,314,808 5.00%, 1/03/00 106,314,808
Westdeutsche Landesbank
Girozentrale,
58,420,959 4.50%, 1/03/00 58,420,959
--------------
Total Eurodollar Time Deposits
(Amortized Cost $680,735,767) 680,735,767
--------------
Certificates of
Deposit - 0.9%
American Express Centurion
Bank,
25,000,000 6.00%, 3/07/00 25,000,000
Wachovia Bank,
5,000,000 4.90%, 1/10/00 4,999,838
--------------
Total Certificates of Deposit
(Amortized Cost $29,999,838) 29,999,838
--------------
Eurodollar Certificates
of Deposit - 10.5%
Abbey National Treasury Services
PLC:
10,000,000 5.44%, 3/13/00 10,000,000
30,000,000 6.14%, 3/21/00 30,015,795
Bank of Nova Scotia,
35,000,000 6.39%, 1/06/00 35,000,048
Bank of Scotland,
25,000,000 6.025%, 4/06/00 25,000,327
Banque Bruxelles Lambert,
30,000,000 6.10%, 2/07/00 30,000,305
Barclays Bank,
15,000,000 5.03%, 1/06/00 14,998,836
Bayerische Hypo Vereinsbank,
10,000,000 5.57%, 1/20/00 10,000,094
Halifax PLC:
30,000,000 5.50%, 1/10/00 30,000,000
30,000,000 5.48%, 1/14/00 30,000,105
See Notes to Financial Statements.
11
<PAGE>
Liquid Assets Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
International Nederlander
US Funding Corp.,
$ 13,000,000 5.95%, 2/17/00 $ 12,997,112
Landesbank Baden Wurttemberg:
40,000,000 5.95%, 2/17/00 40,000,000
25,000,000 5.97%, 2/22/00 25,000,356
10,000,000 5.92%, 2/23/00 10,000,000
15,000,000 6.01%, 2/29/00 14,999,491
25,000,000 6.05%, 3/09/00 25,000,465
Rabobank Nederland,
5,500,000 5.14%, 3/20/00 5,495,685
--------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $348,508,619) 348,508,619
--------------
Yankee Certificates
of Deposit - 11.7%
Bank of Austria,
20,000,000 5.66%, 7/17/00 19,936,869
Bayerische Hypotheka
Vereinsbank:
15,000,000 5.15%, 3/20/00 14,998,437
35,000,000 5.10%, 4/12/00 34,904,230
10,000,000 5.10%, 4/12/00 9,997,706
22,000,000 5.15%, 4/28/00 21,997,260
Canadian Imperial Bank
of Commerce,
12,000,000 5.27%, 3/03/00 11,998,236
Cariplo Bank,
20,000,000 6.00%, 2/24/00 20,001,036
Commerzbank:
8,000,000 5.01%, 1/10/00 7,999,981
7,000,000 4.99%, 2/02/00 6,998,826
6,000,000 5.16%, 2/25/00 5,999,652
10,000,000 5.15%, 3/20/00 9,998,958
Credit Suisse First Boston, Inc.:
7,000,000 5.56%, 1/18/00 6,999,830
20,000,000 5.575%, 1/19/00 20,000,049
Credit Communal De Belique,
15,000,000 5.88%, 2/15/00 15,000,000
Dresdner Bank:
20,000,000 5.56%, 1/10/00 19,993,152
15,000,000 5.56%, 1/18/00 15,000,000
Norddeutsche Landesbank,
5,000,000 5.35%, 5/24/00 4,998,863
Principal
Amount Description Value
--------- ----------- -----
Paribas SA,
$ 20,000,000 6.03%, 2/08/00 $ 20,000,000
Rabobank Nederland,
10,000,000 5.02%, 1/12/00 9,998,651
Royal Bank of Canada,
5,000,000 5.70%, 7/03/00 4,998,793
Svenska Handelsbanken,
25,000,000 6.30%, 1/10/00 25,000,000
Toronto Dominion Bank,
10,000,000 5.10%, 2/22/00 9,999,382
Union Bank of Switzerland,
14,000,000 5.18%, 3/15/00 13,997,815
Westdeutsche Landesbank
Girozentrale:
40,000,000 6.04%, 1/24/00 40,000,000
20,000,000 6.04%, 6/02/00 20,000,000
--------------
Total Yankee Certificates of Deposit
(Amortized Cost $390,817,726) 390,817,726
--------------
Floating Rate
Notes - 18.0%
AT&T Corp.,
Quarterly Variable Rate,
20,000,000 6.136%, 7/13/00 19,995,760
American Express Centurion Bank,
Monthly Variable Rate:
10,000,000 6.492%, 2/14/00 10,000,686
10,000,000 6.422%, 3/15/00 10,000,000
Asset Securitization
Cooperative Corp.,
Quarterly Variable Rate:
25,000,000 6.085%, 3/06/00 25,000,000
15,000,000 6.091%, 3/10/00 14,999,720
Bank of Scotland,
Monthly Variable Rate,
25,000,000 6.372%, 3/15/00 24,997,005
Quarterly Variable Rate,
12,000,000 6.378%, 5/10/00 11,997,057
Bayerische Hypotheka Vereinsbank,
Monthly Variable Rate:
25,000,000 6.401%, 4/25/00 24,996,125
10,000,000 6.382%, 5/15/00 9,997,432
5,000,000 6.382%, 5/15/00 4,998,814
See Notes to Financial Statements.
12
<PAGE>
Liquid Assets Portfolio
Schedule of Portfolio Investments December 31, 1999
Principal
Amount Description Value
--------- ----------- -----
Comerica Bank,
Monthly Variable Rate,
$ 30,000,000 6.531%, 9/25/00 $ 29,984,880
Corporate Receivables Corp,
Quarterly Variable Rate,
20,000,000 5.45%, 2/16/00 20,000,000
Credit Agricole Indosuez,
Monthly Variable Rate,
30,000,000 6.458%, 11/08/00 29,984,656
Diageo Capital,
Quarterly Variable Rate,
30,000,000 5.718%, 8/24/00 30,000,655
First Union Bank,
Daily Variable Rate,
40,000,000 4.85%, 10/27/00 40,000,000
Ford Motor Credit Corp.,
Quarterly Variable Rate:
30,000,000 6.173%, 10/02/00 29,986,033
15,000,000 6.176%, 11/27/00 15,009,002
General Electric Capital Corp.,
Quarterly Variable Rate:
25,000,000 6.126%, 4/12/00 25,000,000
15,000,000 6.014%, 5/12/00 15,000,000
J.P. Morgan, Inc.,
Daily Variable Rate,
15,000,000 5.10%, 6/23/00 15,000,000
Quarterly Variable Rate,
10,000,000 6.065%, 3/02/00 10,000,096
Key Bank,
Monthly Variable Rate:
20,000,000 6.501%, 4/18/00 19,994,281
20,000,000 6.421%, 6/26/00 20,000,000
National Rural Utility Corp.,
Quarterly Variable Rate,
9,000,000 6.141%, 6/26/00 8,999,566
PNC Bank,
Monthly Variable Rate:
15,000,000 6.411%, 1/31/00 14,999,513
10,000,000 6.426%, 6/01/00 9,993,733
7,000,000 6.411%, 7/12/00 6,994,472
Societe Generale,
Monthly Variable Rate:
35,000,000 6.408%, 3/03/00 34,996,243
25,000,000 6.387%, 5/15/00 24,994,482
Principal
Amount Description Value
--------- ----------- -----
Toyota Motor Credit Corp.,
Quarterly Variable Rate,
$ 8,000,000 6.372%, 10/25/00 $ 8,009,135
U.S. Bank AG,
Monthly Variable Rate,
8,000,000 6.531%, 4/26/00 8,000,457
Wells Fargo Bank,
Quarterly Variable Rate,
17,000,000 6.063%, 4/26/00 16,995,843
Westpac Capital Corp.,
Quarterly Variable Rate,
10,000,000 6.076%, 4/17/00 9,998,251
--------------
Total Floating Rate Notes
(Amortized Cost $600,923,897) 600,923,897
--------------
Funding Agreements - 3.3%
General Electric Life & Annuity(2),
Monthly Variable Rate:
25,000,000 6.526%, 6/01/00 25,000,000
20,000,000 6.556%, 9/01/00 20,000,000
Transamerica Life(3),
Monthly Variable Rate,
15,000,000 6.476%, 6/13/00 15,000,000
Travelers Insurance(2),
Monthly Variable Rate:
30,000,000 6.516%, 2/23/00 30,000,000
20,000,000 6.506%, 4/03/00 20,000,000
--------------
Total Funding Agreements
(Amortized Cost $110,000,000) 110,000,000
--------------
Deposit Notes - 0.4%
Bayerische Landesbank,
13,000,000 5.80%, 5/22/00
(Amortized Cost $12,983,208) 12,983,208
--------------
Total Investments
(Amortized Cost $3,419,808,060) 102.5% $3,419,808,060
Liabilities in Excess of
Other Assets (2.5) (83,885,633)
----- --------------
Net Assets 100.0% $3,335,922,427
===== ==============
- ----------
(1) Interest rates for commercial paper represent discount rates at the time of
purchase.
(2) Illiquid Securities
(3) Funding Agreement subject to seven day demand feature.
See Notes to Financial Statements.
13
<PAGE>
Liquid Assets Portfolio
Statement of Assets and Liabilities December 31, 1999
<TABLE>
<S><C>
Assets
Investments, at Value (Amortized Cost of $3,419,808,060) $ 3,419,808,060
Cash 263,219
Interest Receivable 21,115,916
-----------------
Total Assets 3,441,187,195
-----------------
Liabilities
Payable for Securities Purchased 104,926,115
Due to Bankers Trust 304,779
Accrued Expenses and Other 33,874
-----------------
Total Liabilities 105,264,768
-----------------
Net Assets $ 3,335,922,427
-----------------
Composition of Net Assets
Paid-in Capital $ 3,335,922,427
-----------------
Net Assets $ 3,335,922,427
=================
</TABLE>
Statement of Operations For the year ended December 31, 1999
<TABLE>
<S><C>
Investment Income
Interest $ 181,384,726
-----------------
Expenses
Advisory Fees 5,208,458
Administration and Service Fees 1,736,153
Professional Fees 43,219
Trustees Fees 5,445
Miscellaneous 3,386
-----------------
Total Expenses 6,996,661
Less: Fee Waivers or Expense Reimbursements (3,175,751)
-----------------
Net Expenses 3,820,910
-----------------
Net Investment Income 177,563,816
Net Realized Gain from Investment Transactions 17,616
-----------------
Net Increase in Net Assets from Operations $ 177,581,432
-----------------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
Liquid Assets 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 (Decrease) in Net Assets from:
Operations
Net Investment Income $ 177,563,816 $ 181,820,663
Net Realized Gain from Investment Transactions 17,616 105,907
-------------- --------------
Net Increase in Net Assets from Operations 177,581,432 181,926,570
-------------- --------------
Capital Transactions
Proceeds from Capital Invested 11,781,710,267 9,957,865,381
Value of Capital Withdrawn (12,013,078,419) (10,081,442,486)
-------------- --------------
Net Decrease in Net Assets from Capital Transactions (231,368,152) (123,577,105)
-------------- --------------
Total Increase (Decrease) in Net Assets (53,786,720) 58,349,465
Net Assets
Beginning of Year 3,389,709,147 3,331,359,682
-------------- --------------
End of Year $3,335,922,427 $3,389,709,147
============== ==============
</TABLE>
Financial Highlights
Contained below are selected ratios and supplemental data for each of the years
indicated for the Liquid Assets Portfolio.
<TABLE>
<CAPTION>
For the years ended December 31,
--------------------------------------------------------------------------------
1999 1998 1997 1996 1995(1)
------------- ------------- ------------ -------------- -------------
<S><C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) $3,335,922 $3,389,709 $3,331,360 $1,952,085 $1,481,589
Ratios to Average Net Assets:
Net Investment Income 5.11% 5.47% 5.52% 5.32% 7.28%(2)
Expenses After Waivers 0.11% 0.11% 0.11% 0.03% 0.01%(2)
Expenses Before Waivers 0.20% 0.20% 0.20% 0.20% 0.29%(2)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.09% 0.09% 0.09% 0.17% 0.28%(2)
</TABLE>
- ----------
(1) For the periods January 1, 1995 to September 14, 1995 and December 11, 1995
to December 31, 1995.
(2) Annualized.
See Notes to Financial Statements.
15
<PAGE>
Liquid Assets Portfolio
Notes to Financial Statements
Note 1--Organization and Significant Accounting Policies
A. Organization
The Liquid Assets Portfolio (the "Portfolio") is registered under the investment
Company Act of 1940 (the "Act"), as amended, as an open-end management
investment company. The Portfolio began operations on June 7, 1993, as an
unincorporated trust under the laws of New York. The Declaration of Trust
permits the Board of Trustees (the "Trustees") to issue beneficial interests in
the Portfolio.
On September 15, 1995, the Portfolio temporarily suspended its operations due to
a withdrawal of investments by BT Investment Liquid Assets Fund. On December 11,
1995, the Portfolio resumed its operations as a result of an investment made by
the Institutional Liquid Assets Fund.
B. Security Valuation
Investments are valued at amortized cost, which is in accordance with Rule 2a-7
of the Act and represents 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 and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and pursuant
to the terms of the repurchase agreement must have an aggregate market value
greater than or equal to the repurchase price plus accrued interest at all
times. If the value of the underlying securities falls below the value of the
repurchase price plus accured interest, the Fund will require the seller to
deposit additional collateral by the next business day. If the request for
additional collateral is not met, or the seller defaults on its repurchase
obligation, the Portfolio maintains the right to sell the underlying securities
at market value and may claim any resulting loss against the seller. However, in
the event of default or bankruptcy by the seller, realization and/or retention
of the collateral may be subject to legal proceedings.
E. Federal Income Taxes
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 .11% of the average daily net assets of the Portfolio.
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.
16
<PAGE>
Liquid Assets Portfolio
Report of Independent Accountants
To the Trustees and Holders of Beneficial Interest of
Liquid Assets 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 Liquid Assets 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
17
<PAGE>
Institutional Liquid Assets 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 Trust Institutional Funds Board of Trustees.
Shares Shares Voted
Voted Withheld
For Authority
---------- ------------
Mr. Charles P. Biggar 1,793,404,468 29,500,528
Mr. S. Leland Dill 1,793,404,468 29,500,528
Mr. Richard T. Hale 1,793,404,468 29,500,528
Mr. Bruce E. Langton 1,793,404,468 29,500,528
Mr. Philip Saunders, Jr. 1,793,404,468 29,500,528
Mr. Harry Van Benschoten 1,793,404,468 29,500,528
Dr. Martin J. Gruber 1,793,404,468 29,500,528
Dr. Richard J. Herring 1,793,404,468 29,500,528
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
1,793,404,468 -- 29,500,528
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
1,793,404,468 -- 29,500,528
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
1,793,404,468 -- 29,500,528
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
1,793,404,468 -- 29,500,528
18
<PAGE>
This page intentionally left blank.
<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 Liquid Assets Fund CUSIP #055924864
BT Institutional Funds 813ANN (12/99)
Distributed by:
ICC Distributors, Inc.
