December 31, 1999
(GRAPHIC APPEARS HERE)
BT Mutual Funds
Institutional
Daily Assets Fund
Semi-Annual Report
Trust: BT Institutional Funds
Investment Advisor: Bankers Trust Company
<PAGE>
Institutional Daily Assets Fund
Table of Contents
Letter to Shareholders 3
Institutional Daily Assets Fund
Schedule of Investments 5
Statement of Assets and Liabilities 10
Statement of Operations 10
Statements of Changes in Net Assets 11
Financial Highlights 12
Notes to Financial Statements 13
Proxy Results 14
-------------------
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 Daily Assets Fund
Letter to Shareholders
We are pleased to present you with this semi-annual report for the BT
Institutional Daily 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
The major factors impacting the money markets over the second half of 1999 were
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.
The Federal Reserve Board followed up its June 30 interest rate hike by raising
rates two more times during the second half of 1999.
o The June 30th 0.25% increase in the targeted federal funds rate reversed the
trend of monetary policy easing through a series of cuts in the second half of
1998. The Federal Reserve Board simultaneously changed its bias to neutral,
which helped the U.S. fixed income markets stage a small rally on the last day
of June.
o Arguing that the pace of the economy could not be indefinitely supported by
labor force growth and productivity and thus may rekindle inflation, the
Federal Reserve Board raised interest rates again by 0.25% each on August 24
and November 16.
o By year end, the targeted federal funds rate stood at 5.50%.
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 Issuers flooded the market with paper early in the fourth quarter, hoping to
secure their year-end financing. Approximately 85% of this financing was
completed by November 1, with much of the issuance taking place in the
asset-backed commercial paper market.
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 The Standby Financing Facility was unique, as it allowed dealers to purchase
options on repurchase agreements. On October 20, the Fed conducted its first
of seven auctions of options to purchase overnight repurchase agreements
during three weekly periods surrounding year end. These options provided
insurance of backup financing to dealers over the anticipated sensitive
year-end periods.
o As with most other secular Y2K fears, the money markets' liquidity concerns
also turned out to be for naught. The Fed had done its job in providing
liquidity to the markets, and none of the dealers needed to exercise any of
the liquidity options they had purchased from the Fed.
INVESTMENT REVIEW
By staying disciplined to the purchase of high quality instruments and actively
adjusting duration as market conditions changed, we were able to produce
competitive yields in the Institutional Daily Assets Fund.
Our purchases for the Fund during the second half of the year continued to be in
high quality, liquid instruments. Given our nature as a securities lending
portfolio, we were particularly astute during this semi-annual period monitoring
liquidity in the markets as well as in the Fund. To position accordingly in
preparation for potential Y2K concerns, we "barbelled" the Portfolio with an
abundance of overnight liquidity and with issues maturing past the year end. In
tandem with artificially high Libor levels, floating rate notes also offered
attractive relative value. We were able to effectively lock in comparatively
higher yields through these notes. The result was a slightly
longer-than-benchmark weighted average maturity through much of the semi-annual
period.
<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 Daily Assets Fund(1)
(inception 11/13/96) 5.22% 17.38% 18.23% 5.22% 5.49% 5.50% 5.66% 5.82%
IBC First Tier-Institutional
Money Funds Average 4.96% 16.54% 17.05% 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 Daily Assets Fund
Letter to Shareholders
Portfolio Diversification
By Asset Type as of December 31, 1999
(percentages are based on net assets)
(PIE CHART APPEARS HERE)
Eurodollar Time Eurodollar Certificates
Deposits 21% of Deposit 9%
Floating Rate Commercial
Notes 21% Paper 33%
Yankee
Certificates of Cash &
Deposit 11% Other Assets 5%
MANAGER OUTLOOK
Looking ahead to the year 2000, we anticipate inflation drifting up modestly.
Early signs of inflation include consumer confidence currently at a 31-year
high, falling jobless claims, rising manufacturing, rebounded oil prices, and a
stabilized dollar overseas. All of this suggests that the Federal Reserve Board
will likely continue to tighten monetary policy in the coming year.
In addition, 2000 being a presidential election year, we believe the financial
markets may remain focused on the party forerunners and their views toward
Social Security and budget reform. The Treasury market, in particular, may be
impacted one way or the other once the campaigns gain momentum following the
early February New Hampshire primary.
Given this view, we intend to replace maturing commercial paper with
longer-dated maturities to balance the portfolio's overnight cash position as
opportunities present themselves in the coming months. In our opinion, the money
market yield curve is already pricing in a 0.25% move by the Federal Reserve
Board at its February meeting. We also intend to continue adding floating rate
note paper to the portfolio over the near term.
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.
We appreciate your support of the Institutional Daily Assets Fund and look
forward to continuing to serve your investment needs for many years ahead.
/s/ Christine Struble
Christine Struble
Portfolio Manager of the Daily Assets Fund
December 31, 1999
See Notes to Financial Statements.
4
<PAGE>
Institutional Daily Assets Fund
Schedule of Investments December 31, 1999 (unaudited)
Principal
Amount Description Value
--------- ----------- -----
Eurodollar Certificates
of Deposit - 8.7%
$ 18,000,000 Abbey National
Treasury Services,
5.44%, 3/13/00 $ 18,000,000
25,000,000 Bank of Austria,
5.01%, 1/10/00 24,995,985
50,000,000 Bank of Scotland:
6.11%, 1/31/00 50,006,245
15,000,000 6.09%, 2/28/00 15,002,367
25,000,000 Banque Bruxelles Lambert:
6.10%, 2/7/00 25,000,254
25,000,000 5.90%, 3/22/00 25,000,000
36,000,000 Barclays Bank,
5.16%, 3/31/00 35,915,941
Bayerische Hypotheka
Vereinsbank,
20,000,000 5.02%, 1/12/00 19,995,936
15,000,000 Bayerische Landesbank
Girozentrale,
4.99%, 1/7/00 14,998,511
15,000,000 Commerzbank:
5.21%, 2/18/00 14,995,224
50,000,000 5.97%, 3/31/00 50,007,485
55,000,000 Halifax PLC:
5.50%, 1/10/00 55,000,000
45,000,000 5.48%, 1/14/00 45,000,158
25,000,000 6.00%, 1/18/00 25,000,000
36,000,000 6.08%, 2/3/00 36,000,000
31,000,000 5.91%, 5/10/00 31,000,000
50,000,000 Landesbank Baden
Wurttemberg:
5.97%, 2/22/00 50,000,711
25,000,000 6.04%, 3/6/00 25,000,445
5,000,000 Rabobank Nederland,
5.14%, 3/20/00 4,999,583
25,000,000 Societe Generale,
6.00%, 2/1/00 25,000,638
----------------
Total Eurodollar Certificates of Deposit
(Amortized Cost $590,919,483) 590,919,483
----------------
Yankee Certificates
of Deposit - 11.0%
25,000,000 Banco Bilbao Vizcaya,
6.30%, 1/11/00 25,000,000
20,000,000 Bank of Austria,
5.21%, 5/11/00 19,996,546
Principal
Amount Description Value
--------- ----------- -----
$ 30,000,000 Bank of Nova Scotia,
6.00%, 1/26/00 $ 30,000,000
71,000,000 Bayerische Hypotheka
Vereinsbank:
5.10%, 4/12/00 70,843,044
5,000,000 5.15%, 4/28/00 4,999,377
24,000,000 Canadian Imperial Bank of
Commerce,
5.27%, 3/3/00 23,996,472
30,000,000 Cariplo Bank,
6.08%, 2/2/00 30,001,548
11,000,000 Commerzbank:
5.01%, 1/10/00 10,999,974
10,000,000 4.99%, 2/2/00 9,998,323
25,000,000 5.16%, 2/25/00 24,998,549
25,000,000 5.20%, 3/15/00 24,999,475
20,000,000 Credit Agricole Indosuez,
5.285%, 3/1/00 20,002,604
30,000,000 Credit Suisse First Boston, Inc.,
5.575%, 1/19/00 30,000,073
45,000,000 Dresdner Bank,
5.56%, 1/18/00 45,000,000
10,000,000 National Westminster Bank,
5.50%, 1/14/00 10,000,000
10,000,000 Norddeutsche Landesbank,
5.35%, 5/24/00 9,997,726
25,000,000 Paribas SA:
6.13%, 1/18/00 25,000,116
50,000,000 6.03%, 2/8/00 50,000,000
20,000,000 Royal Bank of Canada,
5.70%, 7/3/00 19,995,173
25,000,000 Svenska Handelsbanken,
6.30%, 1/10/00 25,000,000
20,000,000 Toronto Dominion Bank:
5.10%, 2/22/00 19,998,764
25,000,000 5.14%, 4/26/00 24,995,409
25,000,000 Union Bank of Switzerland:
5.155%, 2/25/00 24,998,549
20,000,000 5.18%, 3/15/00 19,996,878
25,000,000 5.08%, 4/12/00 24,930,191
50,000,000 Westdeutsche Landesbank
Girozentrale:
6.04%, 1/24/00 50,000,000
50,000,000 6.03%, 1/25/00 50,000,000
25,000,000 6.08%, 2/7/00 25,000,000
----------------
Total Yankee Certificates of Deposit
(Amortized Cost $750,748,791) 750,748,791
----------------
See Notes to Financial Statements.
5
<PAGE>
Institutional Daily Assets Fund
Schedule of Investments December 31, 1999 (unaudited)
Principal
Amount Description Value
--------- ----------- -----
Certificates of
Deposit - 0.1%
$ 10,000,000 Wachovia Bank,
4.90%, 1/10/00 $ 9,999,676
----------------
Total Certificates of Deposit
(Amortized Cost $9,999,676) 9,999,676
----------------
Floating Rate
Notes - 21.1%
American Express
Centurion Bank:
Monthly Variable Rate,
10,000,000 6.493%, 2/14/00 10,000,686
20,000,000 6.423%, 3/15/00 20,000,000
Asset Securitization
Cooperative Corp.:
Quarterly Variable Rate,
35,000,000 6.085%, 3/6/00 35,000,000
40,000,000 6.12%, 3/10/00 39,999,254
40,000,000 AT & T Corp.:
Quarterly Variable Rate,
6.136%, 7/13/00 39,991,519
10,750,000 6.83%, 12/1/00 10,813,257
50,000,000 Bank of Austria:
Monthly Variable Rate,
6.363%, 3/15/00 49,992,999
50,000,000 Bank of Montreal:
Daily Variable Rate,
5.28%, 1/28/00 50,002,273
13,000,000 Bank of Scotland:
Monthly Variable Rate,
6.379%, 5/10/00 12,996,812
50,000,000 6.371%, 5/11/00 49,989,375
50,000,000 Bayerische Hypotheka Vereinsbank:
Monthly Variable Rate,
6.381%, 4/13/00 49,990,150
25,000,000 6.383%, 4/20/00 24,995,923
50,000,000 6.401%, 4/25/00 49,975,583
35,000,000 6.383%, 5/15/00 34,991,207
50,000,000 Bayerische Landesbank:
Monthly Variable Rate,
6.359%, 4/10/00 49,990,463
50,000,000 6.388%, 12/15/00 49,954,706
20,000,000 Chase Manhattan Bank:
Quarterly Variable Rate,
6.306%, 2/28/00 20,007,905
16,000,000 6.281%, 5/19/00 16,009,630
Principal
Amount Description Value
--------- ----------- -----
$ 20,000,000 Citigroup Inc.:
Quarterly Variable Rate,
6.261%, 2/3/00 $ 20,001,759
20,000,000 Comerica Bank:
Monthly Variable Rate,
6.496%, 9/1/00 19,990,631
20,000,000 Corporate Receivable:
Quarterly Variable Rate,
6.031%, 2/16/00 20,000,000
20,000,000 Credit Agricole Indosuez:
Monthly Variable Rate,
6.362%, 3/16/00 19,997,162
25,000,000 First Union Bank:
Daily Variable Rate,
4.80%, 11/15/00 25,000,000
38,000,000 General Electric Capital Corp.:
Quarterly Variable Rate,
6.014%, 5/12/00 38,000,000
5,000,000 General Motors Acceptance Corp.:
Quarterly Variable Rate,
6.404%, 11/20/00 5,009,573
25,000,000 6.031%, 12/14/00 24,979,130
25,000,000 Goldman Sachs, Inc.:
Daily Variable Rate,
4.85%, 8/21/00 25,000,000
50,000,000 4.87%, 9/18/00 50,000,000
50,000,000 Monthly Variable Rate,
6.276%, 11/28/00 49,998,030
16,500,000 Quarterly Variable Rate,
6.205%, 3/23/00 16,496,242
16,000,000 6.601%, 5/23/00 16,021,408
17,000,000 6.271%, 7/31/00 16,999,468
J.P. Morgan, Inc.:
Daily Variable Rate,
40,000,000 5.10%, 6/23/00 40,000,000
20,000,000 Quarterly Variable Rate,
6.065%, 3/2/00 20,000,191
Key Bank:
Monthly Variable Rate,
50,000,000 6.49%, 4/18/00 50,000,000
25,000,000 6.421%, 6/26/00 24,992,851
15,000,000 Quarterly Variable Rate,
6.084%, 2/18/00 14,999,354
30,000,000 6.166%, 4/17/00 30,000,000
10,000,000 PNC Bank:
Monthly Variable Rate,
6.411%, 1/31/00 9,999,675
25,000,000 6.411%, 7/12/00 24,994,791
See Notes to Financial Statements.
6
<PAGE>
Institutional Daily Assets Fund
Schedule of Investments December 31, 1999 (unaudited)
Principal
Amount Description Value
--------- ----------- -----
$ 50,000,000 Societe Generale:
Monthly Variable Rate,
6.409%, 3/3/00 $ 49,994,655
60,000,000 6.388%, 5/15/00 59,988,224
50,000,000 6.411%, 12/18/00 49,938,069
25,000,000 Toyota Motor Credit Corp.:
Quarterly Variable Rate,
6.05%, 1/12/01 24,979,953
17,000,000 US Bank NA:
Monthly Variable Rate,
6.463%, 6/21/00 16,997,608
25,000,000 Wells Fargo Bank:
Quarterly Variable Rate,
6.064%, 4/26/00 24,993,886
30,000,000 Westpac Capital Corp.:
Quarterly Variable Rate,
6.076%, 4/17/00 29,994,751
----------------
Total Floating Rate - Notes
(Amortized Cost $1,434,069,153) 1,434,069,153
----------------
Eurodollar Time
Deposits - 20.7%
25,000,000 Abbey National Treasury
Services,
13.00%, 1/3/00 25,000,000
50,000,000 Bayerische Hypotheka
Vereinsbank,
5.50%, 1/3/00 50,000,000
150,000,000 Chase Manhattan Bank,
4.50%, 1/3/00 150,000,000
50,000,000 Credit Agricole Indosuez,
5.93%, 5/19/00 50,000,000
25,000,000 Dresdner Bank,
6.11%, 3/14/00 25,000,000
30,000,000 Internationale Nederlander,
US Funding Corp.,
5.59%, 1/12/00 30,000,000
50,000,000 KBC Bank,
5.98%, 2/14/00 50,000,000
50,000,000 Landesbank Baden Wurttemberg,
6.00%, 2/28/00 50,000,000
50,000,000 5.969%, 4/4/00 50,000,000
25,000,000 6.08%, 6/5/00 25,000,000
150,000,000 National Australia Bank,
5.00%, 1/3/00 150,000,000
25,000,000 Norddeutsche Landesbank,
5.95%, 3/23/00 25,000,000
Principal
Amount Description Value
--------- ----------- -----
$176,474,192 Norwest Bank,
2.00%, 1/3/00 $ 176,474,192
25,000,000 Paribas SA,
5.969%, 4/4/00 25,000,000
50,000,000 Republic National Bank of
New York,
5.25%, 1/3/00 50,000,000
200,000,000 Suntrust Bank, Atlanta,
4.50%, 1/3/00 200,000,000
100,000,000 Union Bank of Switzerland,
3.50%, 1/3/00 100,000,000
50,000,000 Westdeutsche Landesbank
Girozentrale:
4.50%, 1/3/00 50,000,000
75,000,000 9.50%, 1/3/00 75,000,000
50,000,000 5.97%, 2/7/00 50,000,000
----------------
Total Eurodollar Time Deposits
(Amortized Cost $1,406,474,192) 1,406,474,192
----------------
Commercial Paper(1) - 32.7%
10,000,000 Aegon Funding Corp.,
5.39%, 2/15/00 9,932,625
25,500,000 Alcatel Alsthom, Inc.,
5.84%, 3/6/00 25,231,577
15,000,000 AlliedSignal, Inc.,
5.30%, 2/1/00 14,931,542
25,000,000 Asset Securitization
Cooperative Corp.,
5.96%, 1/18/00 24,929,639
50,000,000 Associates First Capital Corp.:
5.77%, 4/14/00 49,166,556
50,000,000 5.78%, 4/18/00 49,133,000
50,000,000 Barclays Bank PLC,
5.75%, 1/10/00 49,944,097
15,000,000 BBL North America, Inc.:
5.95%, 1/18/00 14,957,854
25,000,000 5.931%, 1/21/00 24,915,514
15,000,000 5.93%, 3/10/00 14,829,512
25,000,000 BCI Funding Corp.,
6.12%, 2/9/00 24,834,250
British Gas Capital Corp.:
40,000,000 5.38%, 1/25/00 39,856,533
35,265,000 6.35%, 2/18/00 34,966,423
69,650,000 British Telecommunications PLC,
5.88%, 3/2/00 68,961,350
13,000,000 Corporate Asset Funding Co., Inc.,
5.95%, 1/21/00 12,957,028
See Notes to Financial Statements.
7
<PAGE>
Institutional Daily Assets Fund
Schedule of Investments December 31, 1999 (unaudited)
Principal
Amount Description Value
--------- ----------- -----
$ 50,000,000 Commonwealth Bank of Australia,
5.74%, 5/22/00 $ 48,867,944
37,000,000 Corporate Receivables Corp.,
5.93%, 1/25/00 36,853,727
15,000,000 Credit Suisse First Boston,
5.79%, 2/14/00 14,893,850
70,022,000 Delaware Funding Corp.:
5.89%, 1/18/00 69,826,179
39,721,000 5.93%, 1/19/00 39,603,227
25,000,000 5.78%, 2/24/00 24,783,250
50,000,000 Den Danske Corp., Inc.,
5.97%, 1/26/00 49,792,708
25,000,000 Diageo Capital,
5.795%, 1/31/00 24,879,271
20,000,000 Elf Aquitaine Finance,
5.95%, 3/2/00 19,798,361
25,000,000 Fortis Bank:
5.74%, 5/19/00 24,445,931
50,000,000 5.74%, 5/24/00 48,852,000
General Electric Capital Corp.:
22,000,000 5.43%, 1/31/00 21,900,450
30,000,000 6.40%, 2/2/00 29,816,867
33,000,000 4.95%, 2/7/00 32,832,113
30,000,000 5.36%, 2/11/00 29,829,333
25,000,000 5.92%, 2/17/00 24,806,778
10,000,000 5.88%, 4/6/00 9,843,200
23,000,000 5.80%, 4/7/00 22,640,561
10,000,000 General Electric Capital Corp.,
International Fund:
5.33%, 1/26/00 9,962,986
40,000,000 5.31%, 2/15/00 39,734,500
25,000,000 5.78%, 5/5/00 24,498,264
20,000,000 General Motors Acceptance Corp.,
5.22%, 1/31/00 19,913,000
10,000,000 Generale Bank Inc.,
5.25%, 1/14/00 9,981,042
10,000,000 H. J. Heinz Co.,
5.33%, 1/21/00 9,970,389
50,000,000 Invensys PLC:
5.86%, 2/11/00 49,666,306
50,800,000 5.85%, 3/13/00 50,205,640
35,000,000 National Australia Bank,
5.96%, 2/4/00 34,802,989
50,000,000 Oesterreichische Kontrollbank AG,
5.78%, 4/25/00 49,076,806
Principal
Amount Description Value
--------- ----------- -----
Quincy Capital Corp.:
$ 15,000,000 5.88%, 1/13/00 $ 14,970,600
22,297,000 7.00%, 1/14/00 22,240,638
15,750,000 5.89%, 1/21/00 15,698,463
91,500,000 6.05%, 1/28/00 91,086,829
50,000,000 5.88%, 2/25/00 49,550,833
Receivables Capital Corp.:
5,000,000 6.28%, 1/10/00 4,992,150
55,000,000 5.94%, 1/13/00 54,891,100
50,000,000 6.03%, 1/20/00 49,840,875
25,000,000 5.86%, 2/25/00 24,776,181
25,000,000 Riverwoods Funding Corp.:
6.03%, 1/26/00 24,895,313
10,000,000 6.06%, 2/9/00 9,934,350
15,000,000 6.01%, 2/15/00 14,887,313
40,000,000 Salomon Smith Barney, Inc.:
5.43%, 1/28/00 39,837,100
25,000,000 5.76%, 2/9/00 24,844,000
50,000,000 San Paolo US Financial Co.,
5.85%, 2/22/00 49,577,500
Santander Finance:
25,000,000 5.97%, 2/15/00 24,804,333
25,000,000 5.87%, 2/18/00 24,813,438
15,000,000 Unifunding, Inc.:
5.94%, 1/26/00 14,938,125
50,000,000 5.87%, 2/25/00 49,551,597
25,000,000 Vodafone Airtechnology,
5.78%, 2/9/00 24,843,458
9,675,000 Windmill Funding Corp.:
7.10%, 1/6/00 9,665,459
7,000,000 6.08%, 1/7/00 6,992,907
50,000,000 5.97%, 1/11/00 49,917,083
30,000,000 6.20%, 1/11/00 29,948,333
15,000,000 5.93%, 1/12/00 14,972,821
14,000,000 6.68%, 1/13/00 13,968,827
25,000,000 5.42%, 1/14/00 24,951,069
45,000,000 5.44%, 1/18/00 44,879,796
30,000,000 5.44%, 1/21/00 29,909,333
28,010,000 5.94%, 1/27/00 27,889,837
12,000,000 5.80%, 2/4/00 11,934,266
----------------
Total Commercial Paper
(Amortized Cost $2,227,629,099) 2,227,629,099
----------------
Funding Agreements - 1.8%
First Allmerica Financial Life
Insurance Co.:
Monthly Variable Rate,
45,000,000 4.956%, 4/17/002 45,000,000
See Notes to Financial Statements.
8
<PAGE>
Institutional Daily Assets Fund
Schedule of Investments December 31, 1999 (unaudited)
Principal
Amount Description Value
--------- ----------- -----
$ 25,000,000 General Electric Life & Annuity:
Monthly Variable Rate,
4.968%, 6/1/00(2) $ 25,000,000
25,000,000 Transamerica Life:
Daily Variable Rate,
5.28%, 3/2/00 25,000,000
30,000,000 Travelers Insurance:
Monthly Variable Rate,
4.978%, 2/23/00(2) 30,000,000
----------------
Total Funding Agreements
(Amortized Cost $125,000,000) 125,000,000
----------------
Synthetic Trust
Structure - 0.4%
29,766,054 Steers Synthetic Trust Structure:
Monthly Variable Rate,
4.939%, 3/27/00(2) 29,766,054
----------------
Total Synthetic Trust Structure
(Amortized Cost $29,766,054) 29,766,054
----------------
Repurchase Agreements - 5.2%
200,000,000 Open Tri-Party Repurchase
Agreement with Bear
Stearns, dated 12/01/99,
5.595% daily variable rate,
principal amount of
$200,000,000, interest
amount varies dependent on
rate, due 1/7/00
(Collateralized by Freddie
Mac Gold Bonds, par value of
$209,317,499, coupon rates
of 6.00% to 8.00%, due from
4/1/09 to 12/1/29, value of
$190,128,658 ; and Freddie Mac
Bonds, par value of $22,887,123,
coupon rates of 6.814% to
7.056%, due from 10/1/19 to
9/1/29, value of
$13,886,405) 200,000,000
Principal
Amount Description Value
--------- ----------- -----
$100,000,000 Open Tri-Party Repurchase
Agreement with Bear
Stearns, dated 12/31/99,
4.97% daily variable rate,
principal amount of
$100,000,000, interest
amount varies dependent on
rate, due 1/3/00
(Collateralized by Ginnie
Mae Bonds, par value of
$60,096,797, coupon rates
of 5.50% to 8.50%, due
from 1/15/29 to 12/20/29,
value of $55,653,130;
Freddie Mac Gold Bonds,
par value of $9,904,602,
coupon rates of 6.00% to
6.50% due from 3/1/29 to
4/1/29, value of $9,094,159;
Fannie Mae Bonds, par
value of $45,374,233,
coupon rates of 6.50% to
8.01%, due from 11/1/09 to
12/1/29, value of
$42,173,091) $ 100,000,000
52,397,886 Tri-Party Repurchase
Agreement with Merrill
Lynch, dated 12/31/99, 3.30%,
principal and interest in the
amount of $52,412,295
(Collateralized by U.S.
Treasury Bonds, par value of
$44,844,000, coupon rates of
7.875% to 10.625%, due
from 11/15/12 to 2/15/21,
value of $53,446,999) 52,397,886
----------------
Total Repurchase Agreements
(Amortized Cost $352,397,886) 352,397,886
----------------
Total Investments
(Amortized Cost $6,927,004,334) 101.7% $ 6,927,004,334
----------------
Liabilities in Excess of
Other Assets (1.7) (116,694,070)
----- ----------------
Net Assets 100.0% $ 6,810,310,264
===== ================
- ----------
(1) Interest rates for commercial paper represent discount rates at the time of
purchase.
(2) Illiquid securities.
See Notes to Financial Statements.
9
<PAGE>
Institutional Daily Assets Fund
Statement of Assets and Liabilities December 31, 1999 (unaudited)
<TABLE>
<S><C>
Assets
Investments at Value (Amortized Cost $6,927,004,334) $ 6,927,004,334
Interest Receivable 40,644,029
Cash 270,692
Prepaid Expenses and Other 49,363
------------------
Total Assets 6,967,968,418
------------------
Liabilities
Payable for Securities Purchased 124,944,097
Dividends Payable 32,040,439
Due to Bankers Trust 648,479
Accrued Expenses and Other 25,139
------------------
Total Liabilities 157,658,154
Net Assets $ 6,810,310,264
==================
Composition of Net Assets
Paid-in Capital $ 6,810,226,946
Accumulated Net Realized Gain from Investment Transactions 83,318
------------------
Net Assets $ 6,810,310,264
==================
Shares Outstanding ($0.001 par value per share, unlimited number
of shares of beneficial interest authorized) 6,810,226,946
==================
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares outstanding) $ 1.00
==================
</TABLE>
Statement of Operations For the six months ended December 31, 1999 (unaudited)
<TABLE>
<S><C>
Investment Income
Interest Income $ 182,470,015
------------------
Expenses
Advisory Fees 3,353,760
Administration and Service Fees 590,996
Professional Fees 23,266
Printing and Shareholder Reports 8,116
Trustees Fees 2,129
Miscellaneous 100,472
------------------
Total Expenses 4,078,739
------------------
Net Investment Income 178,391,276
Net Realized Loss from Investment Transactions (15,741)
------------------
Net Increase in Net Assets from Operations $ 178,375,535
------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Institutional Daily Assets Fund
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the six For the
months ended year ended
December 31, 1999(1) June 30, 1999
------------------ ---------------
<S><C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income $ 178,391,276 $ 325,159,826
Net Realized Gain (Loss) from Investment Transactions (15,741) 59,458
----------------- ---------------
Net Increase in Net Assets from Operations 178,375,535 325,219,284
----------------- ---------------
Distributions to Shareholders
Net Investment Income (178,435,149) (325,115,954)
----------------- ---------------
Capital Transactions in Shares of Beneficial Interest
(at net asset value of $1.00 per share)
Proceeds from Sales of Shares 9,853,089,269 17,445,099,092
Cost of Shares Redeemed (10,847,294,273) (15,369,894,813)
----------------- ---------------
Net Increase (Decrease) from Capital Transactions in Shares of
Beneficial Interest (994,205,004) 2,075,204,279
----------------- ---------------
Total Increase (Decrease) in Net Assets (994,264,618) 2,075,307,609
Net Assets
Beginning of Period 7,804,574,882 5,729,267,273
----------------- ---------------
End of Period $ 6,810,310,264 $ 7,804,574,882
================= ===============
</TABLE>
- ----------
(1) Unaudited.
See Notes to Financial Statements.
11
<PAGE>
Institutional Daily 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 the periods
indicated for the Institutional Daily Assets Fund.
<TABLE>
<CAPTION>
For the six For the period
months ended For the For the November 13, 1996(1)
December 31, year ended year ended to
1999(4) June 30,1999 June 30, 1998 June 30, 1997
---------------- -------------- --------------- ------------------
<S><C>
Per Share Operating Performance:
Net Asset Value,Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00
---------- ---------- ---------- ----------
Income from Investment Operations
Net Investment Income 0.03 0.05 0.06 0.03
Net Realized Gain
from Investment Transactions 0.00(2) 0.00(2) 0.00(2) 0.00(2)
---------- ---------- ---------- ----------
Total from Investment Operations 0.03 0.05 0.06 0.03
---------- ---------- ---------- ----------
Distributions to Shareholders
Net Investment Income (0.03) (0.05) (0.06) (0.03)
---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ==========
Total Investment Return 2.71% 5.25% 5.71% 3.46%
Supplemental Data and Ratios:
Net Assets, End of Period (000's omitted) $6,810,310 $7,804,575 $5,729,267 $2,748,056
Ratios to Average Net Assets:
Net Investment Income 5.31%(3) 5.11% 5.55% 5.43%(3)
Expenses After Waivers 0.12%(3) 0.12% 0.12% 0.12%(3)
Expenses Before Waivers 0.12%(3) 0.122% 0.122% 0.13%(3)
Decrease Reflected in Above Expense
Ratios Due to Fee Waivers or Expense
Reimbursements 0.00%(3) 0.002% 0.002% 0.01%(3)
</TABLE>
- ----------
(1) Commencement of operations.
(2) Less than $0.01 per share.
(3) Annualized.
(4) Unaudited.
See Notes to Financial Statements.
12
<PAGE>
Institutional Daily Assets Fund
Notes to Financial Statements (unaudited)
Note 1--Organization and Significant Accounting Policies
A. Organization
BT Institutional Funds (the "Trust") is registered under the Investment Company
Act of 1940 (the "Act"), as amended, as an open-end management investment
company. The Trust was organized on March 26, 1990, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The
Institutional Daily Assets Fund (the "Fund") is one of the institutional funds
offered to "accredited investors" as defined under the Securities Act of 1933
and to institutional investors by the Trust. The Declaration of Trust permits
the Board of Trustees (the "Trustees") to issue beneficial interests in the
Fund. The Fund began offering shares of beneficial interest on November 13,
1996. The following summarizes the significant accounting policies of the Fund:
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
Fund'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.
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. Repurchase Agreements
The Fund may enter into repurchase agreements with financial institutions deemed
to be creditworthy by the Fund'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
Fund'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 security
falls below the value of the repurchase price plus accrued 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 Fund maintains the right to sell the
underlying securities at market value and may claim any resulting loss against
the seller. However, in the event of default or bankruptcy by the seller,
realization and/or retention of the collateral may be subject to legal
proceedings.
The Fund may enter into tri-party repurchase agreements with broker-dealers and
domestic banks. The third party, which is the broker's custodial bank, holds the
collateral in a separate account until the repurchase agreement matures. The
agreement ensures that the collateral's market value, including any accrued
interest, is adequate to cover the agreement if the broker defaults.
F. 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.
G. 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 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 .02% of the Fund's average
daily net assets.
The Fund has entered into an Advisory Agreement with Bankers Trust. Under this
agreement, the Fund pays Bankers Trust a fee computed daily and paid monthly at
an annual rate of .10% of 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 .12% of the average daily net assets of the Fund.
At December 31, 1999, the Fund 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.
Note 3--Fund Reorganization
The Board of Trustees approved on December 8, 1999 a resolution to convert the
Fund from a stand alone fund to a master-feeder fund. If approved by the Fund's
shareholders the conversion will occur in the first half of 2000.
13
<PAGE>
Institutional Daily 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 4,083,998,669 356,458,079
Mr. S. Leland Dill 4,083,998,669 356,458,079
Mr. Richard T. Hale 4,083,998,669 356,458,079
Mr. Bruce E. Langton 4,083,998,669 356,458,079
Mr. Philip Saunders, Jr. 4,083,998,669 356,458,079
Mr. Harry Van Benschoten 4,083,998,669 356,458,079
Dr. Martin J. Gruber 4,083,998,669 356,458,079
Dr. Richard J. Herring 4,083,998,669 356,458,079
2. To approve the New Investment Advisory Agreement with Bankers Trust Company.
For Against Abstain
-------- ------- --------
4,432,288,536 8,168,212 --
3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc.
For Against Abstain
-------- ------- --------
4,083,998,669 356,458,079 --
4. To approve the New Investment Sub-advisory Agreement with Bankers Trust
Company.
For Against Abstain
-------- ------- --------
4,075,830,457 364,626,291 --
5. To ratify the selection of PricewaterhouseCoopers LLP as the independent
accountants of the Fund and its corresponding Portfolio.
For Against Abstain
-------- ------- --------
4,440,456,748 -- --
14
<PAGE>
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<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 Daily Assets Fund CUSIP 055924781
BT Institutional Funds 814SA (12/99)
Distributed by:
ICC Distributors, Inc.
