o BT PYRAMID MUTUAL FUNDS o
INVESTMENT
MONEY MARKET FUND
ANNUAL REPORT
-------------
DECEMBER o 1998
<PAGE>
- --------------------------------------------------------------------------------
Investment Money Market Fund
Table of Contents
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS ........................................ 3
INVESTMENT MONEY MARKET FUND
Statement of Assets and Liabilities.......................... 5
Statement of Operations ..................................... 6
Statements of Changes in Net Assets.......................... 6
Financial Highlights ........................................ 7
Notes to Financial Statements ............................... 8
Report of Independent Accountants............................ 9
CASH MANAGEMENT PORTFOLIO
Statement of Net Assets ..................................... 10
Statements of Operations .................................... 15
Statements of Changes in Net Assets.......................... 16
Financial Highlights ........................................ 16
Notes to Financial Statements ............................... 17
Report of Independent Accountants ........................... 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>
- --------------------------------------------------------------------------------
Investment Money Market Fund
Letter to Shareholders
- --------------------------------------------------------------------------------
We are pleased to present you with this annual report for the BT Investment
Money Market 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 MONEY MARKETS WERE DOMINATED THROUGHOUT 1998 BY THE GLOBAL FINANCIAL CRISIS,
WHICH BEGAN IN SOUTHEAST ASIA AND SPREAD TO COUNTRIES AROUND THE WORLD.
o During the first half of the year, the hangover effects of the Southeast
Asian financial crisis spread to Hong Kong and Japan. This both focused the
U.S. markets on that region and also supported a flight to quality and, in
turn, a U.S. Treasury rally.
o In the second half of 1998, Russia devalued its currency and defaulted on
its domestic debt, despite an International Monetary Fund (IMF) bailout
attempt; weak commodity prices dampened the economic outlook for Latin
America in general and Brazil in particular; and economic instability in Asia
was ongoing. All of this buoyed the U.S. Treasury rally.
CONCERNS OVER THE IMPACT OF FOREIGN TURMOIL ON U.S. ECONOMIC GROWTH DID NOT
SURFACE UNTIL THE SECOND HALF OF THE YEAR.
o Interest rates in the first six months remained relatively stable. The
combination of a strong economy--especially in the service sector--and low
inflation allowed the Federal Reserve Board to keep interest rates unchanged
at 5.5%.
o During the third quarter, investors began to focus more heavily on the
Asian contagion and on the political problems in the Clinton administration.
In addition, a major leveraged hedge fund went bankrupt, requiring a bailout
by a consortium of Wall Street firms. The announcement of this
Fed-orchestrated bailout package forced corporate credit spreads to widen
significantly and liquidity to decrease. This led, in turn, to a further
rally in U.S. Treasuries plus significant buying of high quality domestic
paper.
RATINGS
S&P: AAAm
Moody's: AAA
CITING BOTH GLOBAL AND U.S. DEVELOPMENTS AND THEIR PROSPECTS ON THE U.S.
ECONOMY, THE FEDERAL RESERVE BOARD EFFECTIVELY BATTLED INVESTORS' GROWING RISK
AVERSION AND ESCALATING ILLIQUIDITY WITH THREE RAPID CUTS OF INTEREST RATES IN
THE SECOND HALF OF THE YEAR. These easing moves of 0.25% each--on September 29,
October 15, and November 17--restored the financial markets to a more peaceful
state and allowed the money markets, in particular, to finish out the year on a
relatively calm note.
MONEY MARKETS ALSO BENEFITED FROM VOLATILITY IN THE EQUITY MARKETS. This
volatility buoyed a rally in the U.S. fixed income market in general and strong
cash inflows into the money markets in particular. Investors moved assets from
equity funds, both domestic and foreign, seeking both the greater liquidity and
the perceived safety of the money markets. Also fueling positive fixed income
market sentiment toward the end of the year was a plunge in oil prices and other
commodities to their lowest level in decades.
STATUS AT DECEMBER 31, 1998
Seven day effective yield: 5.01%
Average maturity: 36 days
Net assets: $436.6 million
INVESTMENT REVIEW
By staying disciplined to the purchase of high quality instruments and actively
adjusting sector allocation as market conditions changed, we were able to
produce highly competitive yields in the BT Investment Money Market Fund.
ANNUALIZED 7 DAY ANNUALIZED 7 DAY
PERIOD ENDED DEC. 31, 1998 CURRENT YIELD EFFECTIVE YIELD
- --------------------------------------------------------------------------------
BT Investment
Money Market Fund 4.89% 5.01%
- --------------------------------------------------------------------------------
IBC First Tier Money
Funds Average 4.52% 4.63%
We maintained a neutral, close-to-the benchmark weighted average maturity
position through most of the first half of the year. This strategy was based on
the uncertainty surrounding the impact of the Asian financial turmoil on the
U.S. financial markets as well as on the Federal Reserve Board's decision to
keep interest rates on hold. Also, the flat yield curve gave us few
opportunities to extend maturities to increase yield. Instead, we sought to add
value by increasing the Fund's holdings in floating rate securities, which
proved to be effective in producing competitive Fund returns. In anticipation of
Federal Reserve Board interest rate cuts, we began extending the Fund's average
maturity in the third quarter. We were careful to add exposure to high quality
counterparties, while limiting exposure to those we felt might experience
difficulties in the worsening Asian crisis.
MANAGER OUTLOOK
Economic and financial market performance have run on virtually parallel tracks
in 1998, and that pattern seems likely to persist into 1999. Looking ahead for
the near term, we believe the money markets should remain fairly positive,
though largely range-bound, without the dramatic rally of the year 1998.
o Strong momentum in the U.S. economy--in terms of consumer spending,
employment, housing, and business investment--should carry into early 1999,
before weakening later in the year.
o The global economic crisis continues to loom and we anticipate GDP growth
of around 2.5% in 1999--a positive backdrop for inflation to stay low and for
the safe haven status of U.S. Treasuries to continue.
- ---------------
*Past performance is not indicative of future results. Yields will vary. Yield
quotes for money market funds most closely reflect the fund's current earnings.
Although money market funds seek to maintain a share value of $1.00 per share,
it is possible to lose money by investing in the Fund. "Current yield" refers to
the income generated by an investment in the Fund over a 7-day period. This
income is then "annualized." The "effective yield" is calculated similarly but,
when annualized, the income earned by an investment in the Fund is assumed to be
reinvested. The "effective yield" will be slightly higher than the "current
yield" because of the compounding effect of this assumed reinvestment. MUTUAL
FUNDS ARE NOT BANK DEPOSITS OR OBLIGATIONS OF ANY BANK, ARE NOT GUARANTEED BY
ANY BANK, AND ARE NOT INSURED OR GUARANTEED BY THE U.S. GOVERNMENT, THE FEDERAL
DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY OTHER GOVERNMENT
AGENCY. INVESTMENT IN MUTUAL FUNDS INVOLVES INVESTMENT RISK, INCLUDING POSSIBLE
LOSS OF PRINCIPAL.
3
<PAGE>
- --------------------------------------------------------------------------------
Investment Money Market Fund
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Asset Type as of December 31, 1998
(percentages are based on net assets)
U.S. Treasury Securities 1%
Floating Rate Notes 21%
Eurodollar Time Deposits 16%
Funding Agreement 1%
Yankee Certificates of Deposit 8%
Commercial Paper 42%
Certificates of Deposit 3%
Eurodollar Certificates of Deposit 8%
o We believe Federal Reserve Board monetary policy is likely on hold, not
changing interest rates for the foreseeable future in the face of solid
economic growth, healthy financial markets, and the recent softening of the
dollar.
Given this scenario and the slightly positive yield curve, we intend to stay
slightly longer than our benchmark for the near term. At the same time, we will
look to take advantage of any spike in yields or any issue-specific attractive
value opportunities when they arise.
We will, 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 BT Investment Money Market
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, 1998
4
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Investment Money Market Fund
Statement of Assets and Liabilities December 31, 1998
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investment in Cash Management Portfolio, at Value ........................................................ $ 436,932,802
Prepaid Expenses ......................................................................................... 12,234
-------------
Total Assets ................................................................................................ 436,945,036
-------------
LIABILITIES
Due to Bankers Trust ..................................................................................... 43,567
Payable for Shares of Beneficial Interest Redeemed ....................................................... 100,000
Dividends Payable ........................................................................................ 172,937
Accrued Expenses ......................................................................................... 24,204
-------------
Total Liabilities ........................................................................................... 340,708
-------------
NET ASSETS .................................................................................................. $ 436,604,328
=============
Shares Outstanding ($0.001 par value per share, unlimited number of shares of beneficial interest
authorized)............................................................................................... $ 436,941,285
=============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (net assets divided by shares outstanding) ......... $ 1.00
=============
COMPOSITION OF NET ASSETS
Paid-in Capital .......................................................................................... $ 436,941,285
Accumulated Net Realized Loss from Investment Transactions ............................................... (336,957)
-------------
NET ASSETS, DECEMBER 31, 1998 ............................................................................... $ 436,604,328
=============
</TABLE>
See Notes to Financial Statements
5
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT MONEY MARKET FUND
STATEMENT OF OPERATIONS For the year ended December 31, 1998
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Income allocated from Cash Management Portfolio, net ..................................................... $ 23,114,798
-------------
EXPENSES
Administration and Services Fees ......................................................................... 1,295,091
Professional Fees ........................................................................................ 22,248
Registration Fees ........................................................................................ 19,035
Printing and Shareholder Reports ......................................................................... 14,179
Trustees Fees ............................................................................................ 6,997
Miscellaneous ............................................................................................ 23,602
-------------
Total Expenses ........................................................................................... 1,381,152
Less: Expenses absorbed by Bankers Trust ................................................................. (651,978)
-------------
Net Expenses .......................................................................................... 729,174
-------------
NET INVESTMENT INCOME ....................................................................................... 22,385,624
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS .............................................................. 24,609
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................................................................. $ 22,410,233
=============
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------ ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ..................................................... $ 22,385,624 $ 23,100,969
Net Realized Gain (Loss) from Investment Transactions ..................... 24,609 (4,211)
--------------- ---------------
Net Increase in Net Assets from Operations ................................... 22,410,233 23,096,758
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ..................................................... (22,385,624) (23,100,969)
--------------- ---------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(at Net Asset Value of $1.00 per share)
Proceeds from Sales of Shares ............................................. 4,379,538,319 4,018,367,047
Dividend Reinvestments .................................................... 18,701,619 19,778,676
Cost of Shares Redeemed ................................................... (4,388,043,612) (4,027,919,343)
--------------- ---------------
Net Increase from Capital Transactions in Shares of Beneficial Interest ...... 10,196,326 10,226,380
--------------- ---------------
TOTAL INCREASE IN NET ASSETS ................................................. 10,220,935 10,222,169
NET ASSETS
Beginning of Year ............................................................ 426,383,393 416,161,224
--------------- ---------------
End of Year .................................................................. $ 436,604,328 $ 426,383,393
=============== ===============
</TABLE>
See Notes to Financial Statements
6
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Investment Money Market 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 BT Investment Money Market Fund.
For the years ended December 31,
------------------------------------------------------------------------------
1998 1997 1996 1995 1994
------------- ----------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ----------- ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ............................... 0.05 0.05 0.05 0.06 0.04
Net Realized Gain (Loss) from Investment Transactions 0.001 (0.00)1 0.001 0.001 (0.01)
------------ ----------- ------------ ------------ ------------
Total from Investment Operations ....................... 0.05 0.05 0.05 0.06 0.03
------------ ----------- ------------ ------------ ------------
CONTRIBUTIONS OF CAPITAL ............................... -- -- 0.001 -- 0.01
------------ ----------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ............................... (0.05) (0.05) (0.05) (0.06) (0.04)
------------ ----------- ------------ ------------ ------------
Total Distributions .................................... (0.05) (0.05) (0.05) (0.06) (0.04)
------------ ----------- ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD ......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
============ =========== ============ ============ ============
TOTAL INVESTMENT RETURN ................................ 5.35% 5.40% 5.24%2 5.76% 4.05%2
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ............ $436,604 $ 426,383 $ 416,161 $ 645,910 $ 976,472
Ratios to Average Net Assets:
Net Investment Income ............................ 5.22% 5.27% 5.12% 5.62% 4.24%
Expenses, Including Expenses of the
Cash Management Portfolio ..................... 0.35% 0.35% 0.35% 0.35% 0.35%
Decrease Reflected in Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust .... 0.17% 0.17% 0.16% 0.16% 0.21%
</TABLE>
- ------------
1 Less than $0.01 per share.
2 Increased by approximately 0.10% and 0.81% due to contributions of capital for
the years ended December 31, 1996 and 1994, respectively.
See Notes to Financial Statements.
7
<PAGE>
- --------------------------------------------------------------------------------
Investment Money Market Fund
Notes to Financial Statements
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Pyramid Mutual 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 February 28, 1992, as an unincorporated
business trust under the laws of the Commonwealth of Massachusetts. The BT
Investment Money Market Fund (the "Fund") is one of the investment funds offered
to investors by the Trust. The Fund commenced operations and began offering
shares of beneficial interest on July 15, 1992. 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 such investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. At December 31, 1998, the Fund's
investment was approximately 8% 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
Funds 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 monthly to
shareholders from net investment income. Dividends and distributions payable to
shareholders are recorded by the Fund on the ex-dividend date. Distribution of
net realized short-term and long-term capital gains, if any, earned by the Fund
will be made annually to the extent they exceed capital loss carryforwards.
E. FEDERAL INCOME TAXES
It is the Fund's policy to continue to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and
distribute its taxable income to shareholders. Therefore, no federal income tax
provision is required.
F. OTHER
The Trust accounts separately for assets, liabilities, and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses that are attributable to all of the Trusts Funds are allocated among
them. Investment transactions are accounted on a trade date basis. Realized
gains and losses are determined on a trade date basis.
The preparation of financial statements in conformity with generally accepted
accounting principles require management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of .30% of the Fund's average daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Fund, to the extent necessary, to limit all expenses to .17% of
the average daily net assets of the Fund, excluding expenses of the Portfolio
and .35% of the average daily net assets of the Fund, including expenses of the
Portfolio.
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund. For the year ended December 31, 1998, there
were no reimbursable expenses incurred under this agreement.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Fund's Financial Highlights for the year ended
December 31, 1994 reflect its pro rata share of the Portfolio's realized loss on
the sale of these securities and a capital contribution in the amount of
$6,337,496. In 1996, Bankers Trust contributed capital in the amount of $562,004
to reimburse the Fund for capital losses incurred in prior years.
The Portfolio, in which the Fund invests in, is a participant with other
affiliated entities in a revolving credit facility and a discretionary demand
line of credit facility (collectively the "credit facilities") in the amounts of
$50,000,000 and $100,000,000, respectively, which expire March 15, 1999. A
commitment fee of .07% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facilities will bear interest at
a rate per annum equal to the Federal Funds Rate plus .45%. No amounts were
drawn down or outstanding under the credit facilities as of and for the year
ended December 31, 1998.
NOTE 3--CAPITAL LOSS CARRYFORWARD
At December 31, 1998, capital loss carryforward available as a reduction against
future net realized capital gains consisted of $332,746 which will expire in
2002 and $4,211, which will expire in 2005.
8
<PAGE>
- --------------------------------------------------------------------------------
Investment Money Market Fund
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees of BT Pyramid Mutual Fund and Shareholders of BT Investment
Money Market 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
BT Investment Money Market Fund (one of the funds comprising BT Pyramid Mutual
Funds, hereafter referred to as the "Fund") at December 31, 1998, and the
results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the transfer agent, provide a reasonable basis for the
opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
9
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
EURODOLLAR CERTIFICATES OF DEPOSIT - 8.5%
Abbey National:
$17,000,000 5.20%, 2/9/99....................................... $17,000,000
30,000,000 4.92%, 3/23/99...................................... 30,000,000
17,000,000 4.85%, 4/20/99...................................... 17,000,000
Barclays Bank:
25,000,000 5.37%, 2/24/99...................................... 25,000,704
41,000,000 4.88%, 4/27/99...................................... 40,997,421
Bayerische Hypotheka Vereinbank:
20,000,000 5.36%, 2/22/99...................................... 20,004,907
22,000,000 5.17%, 2/26/99...................................... 22,000,338
Cariplo,
30,000,000 5.61%, 1/29/99...................................... 30,000,232
Halifax Building Society:
15,000,000 5.16%, 2/5/99....................................... 15,000,112
25,000,000 5.60%, 2/22/99...................................... 25,000,000
25,000,000 5.27%, 2/26/99...................................... 25,004,540
50,000,000 5.12%, 3/2/99....................................... 50,001,219
International Nederlander Bank:
20,000,000 5.13%, 3/5/99....................................... 20,001,028
50,000,000 4.90%, 4/28/99...................................... 50,000,000
KBC Bank,
25,000,000 5.53%, 1/15/99...................................... 25,000,097
Rabobank,
50,000,000 5.53%, 1/4/99....................................... 50,000,000
-------------
TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT
(Amortized Cost $462,010,598)..................................... 462,010,598
-------------
YANKEE CERTIFICATES OF DEPOSIT - 7.9%
Bank of Montreal:
30,000,000 5.25%, 1/29/99...................................... 30,000,000
25,000,000 5.32%, 1/29/99...................................... 25,000,000
10,000,000 5.53%, 2/17/99...................................... 10,002,119
10,000,000 5.57%, 2/26/99...................................... 10,000,000
Banque Nationale de Paris,
50,000,000 5.54%, 1/4/99....................................... 50,000,000
Barclays Bank,
14,000,000 5.70%, 3/30/99...................................... 13,997,703
Bayerische Hypotheka Vereinbank,
20,000,000 5.55%, 1/4/99....................................... 20,000,017
Canadian Imperial Bank,
10,000,000 4.87%, 4/21/99...................................... 9,998,389
Principal
Amount Description Value
------ ----------- -----
Credit Agricole,
$ 2,000,000 5.70%, 1/7/99....................................... $ 1,999,980
Cregem,
12,000,000 5.51%, 1/11/99...................................... 12,000,033
Deutsche Bank,
2,000,000 5.705%, 4/16/99..................................... 1,999,461
Hessen Thuringer,
30,000,000 5.265%, 1/29/99...................................... 30,001,016
KBC Bank,
2,000,000 5.69%, 3/29/99...................................... 2,000,242
Lloyds Bank,
25,000,000 4.875%, 4/23/99..................................... 25,000,378
National Westminster Bank,
40,000,000 5.485%, 1/19/99..................................... 40,000,100
Nordeutsche Landesbank,
8,000,000 5.66%, 7/27/99...................................... 8,025,322
Rabobank:
25,000,000 5.71%, 1/6/99....................................... 25,000,668
17,000,000 5.60%, 3/17/99...................................... 16,998,967
2,000,000 5.70%, 4/20/99...................................... 2,000,602
25,000,000 5.65%, 6/16/99...................................... 25,059,022
Royal Bank of Canada,
10,000,000 5.56%, 2/26/99....................................... 9,999,265
Toronto Dominion Bank,
22,000,000 5.16%, 2/23/99...................................... 22,000,000
Union Bank of Switzerland,
8,000,000 5.74%, 6/11/99...................................... 8,021,281
West Deutsche Landesbank:
15,000,000 5.54%, 1/13/99...................................... 15,000,000
15,000,000 5.51%, 2/19/99...................................... 14,999,556
-------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Amortized Cost $429,104,121)..................................... 429,104,121
-------------
CERTIFICATES OF DEPOSIT - 3.4%
American Express Centurion Bank,
13,000,000 5.47%, 1/14/99...................................... 13,000,000
Chase Manhattan Bank,
20,000,000 4.875%, 4/21/99..................................... 20,000,000
First Union,
2,000,000 5.65%, 4/12/99...................................... 2,000,699
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Mellon Bank:
$20,000,000 4.87%, 4/29/99..................................... $ 20,000,000
15,000,000 5.05%, 5/3/99...................................... 15,000,000
Morgan Guaranty:
21,000,000 5.15%, 3/15/99..................................... 21,000,000
42,000,000 4.95%, 3/16/99..................................... 42,000,000
NationsBank,
55,000,000 5.20%, 2/5/99...................................... 55,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $188,000,699).................................... 188,000,699
--------------
EURO TIME DEPOSITS - 16.0%
Abbey National,
50,000,000 5.48%, 2/10/99..................................... 50,000,000
Bank of America,
25,000,000 5.45%, 2/11/99..................................... 25,000,000
Bank of Austria,
50,000,000 5.15%, 1/20/99..................................... 50,000,000
Bank of Montreal,
115,000,000 5.35%, 2/9/99...................................... 115,000,000
Bank of Nova Scotia,
25,000,000 5.594%, 1/8/99..................................... 25,000,000
Bayerische Landesbank,
40,000,000 4.938%, 4/28/99.................................... 40,000,000
Caisse de Depots,
200,000,000 5.25%, 1/4/99...................................... 200,000,000
Canadian Imperial Bank,
50,000,000 5.25%, 1/4/99...................................... 50,000,000
International Nederlander,
40,000,000 5.60%, 2/26/99..................................... 40,000,000
KBC Bank,
29,000,000 5.16%, 1/22/99..................................... 29,000,000
Nordeutsche Landesbank:
25,000,000 5.67%, 1/19/99..................................... 25,000,000
35,000,000 5.25%, 3/29/99..................................... 35,000,000
Union Bank of Switzerland,
144,257,257 4.25%, 1/4/99...................................... 144,257,257
Principal
Amount Description Value
------ ----------- -----
West Deutsche Landesbank,
$50,000,000 5.25%, 1/4/99...................................... $ 50,000,000
-------------
TOTAL EURO TIME DEPOSITS
(Amortized Cost $878,257,257).................................... 878,257,257
-------------
FLOATING RATE - NOTES - 20.6%
Associates Corp:
Daily Variable Rate,
25,000,000 5.65%, 1/4/99..................................... 24,999,901
25,000,000 5.51%, 4/23/99.................................... 24,992,492
20,000,000 5.52%, 6/29/99.................................... 19,992,341
Bank of Austria:
Quarterly Variable Rate,
25,000,000 5.548%, 7/27/99................................... 24,991,652
Bank of Nova Scotia:
Monthly Variable Rate,
35,000,000 5.512%, 6/10/99................................... 34,988,376
Banque Nationale de Paris:
Monthly Variable Rate,
40,000,000 5.525%, 6/1/99.................................... 39,990,071
40,000,000 5.541%, 7/29/99................................... 39,986,429
Bayerische Hypotheka Vereinbank:
Monthly Variable Rate,
40,000,000 5.505%, 5/28/99................................... 39,987,303
Bayerische Landesbank:
Daily Variable Rate,
35,000,000 5.00%, 2/12/99.................................... 35,000,400
Monthly Variable Rate,
20,000,000 5.495%, 2/25/99................................... 19,998,255
25,000,000 5.521%, 6/29/99................................... 24,990,962
Bear Stearns:
Monthly Variable Rate,
10,000,000 5.626%, 6/4/99.................................... 10,000,000
Commerz Bank:
Monthly Variable Rate,
30,000,000 5.505%, 5/28/99................................... 29,990,478
CoreStates Bank:
Monthly Variable Rate,
30,000,000 5.607%, 3/5/99.................................... 30,000,000
Creditanstalt Bankverein:
Monthly Variable Rate,
20,000,000 5.515%, 6/3/99.................................... 19,994,231
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Credit Suisse First Boston:
Daily Variable Rate,
$ 30,000,000 5.50%, 2/9/99.................................... $ 30,000,000
Deutsche Bank:
Quarterly Variable Rate,
40,000,000 5.528%, 6/1/99................................... 39,987,010
15,000,000 5.53%, 8/16/99................................... 14,993,593
First Union:
Quarterly Variable Rate,
10,000,000 5.208%, 10/20/99................................. 10,000,000
20,000,000 5.422%, 11/16/99................................. 20,000,000
General Electric Corp.:
Quarterly Variable Rate,
15,000,000 5.607%, 1/15/99.................................. 15,000,000
20,000,000 5.554%, 9/8/99................................... 20,000,000
IBM Credit:
Quarterly Variable Rate,
13,000,000 5.22%, 11/2/99................................... 12,997,828
J.P. Morgan:
Monthly Variable Rate,
55,000,000 5.50%, 2/24/99................................... 54,994,038
Key Bank New York:
Daily Variable Rate,
10,000,000 5.54%, 1/29/99................................... 9,999,592
Kreditbank:
Quarterly Variable Rate,
25,000,000 5.537%, 6/1/99................................... 24,992,896
Merrill Lynch & Co.:
Daily Variable Rate,
35,000,000 5.625%, 2/17/99.................................. 34,999,331
12,000,000 5.29%, 4/7/99.................................... 12,002,342
Monthly Variable Rate,
20,000,000 5.606%, 4/13/99.................................. 19,999,442
Morgan Guaranty:
Monthly Variable Rate,
40,000,000 5.22%, 11/29/99.................................. 39,982,935
National City Bank of Cleveland:
Monthly Variable Rate,
15,000,000 5.578%, 3/5/99................................... 14,998,988
Principal
Amount Description Value
------ ----------- -----
National Rural Utility Cooperative:
Quarterly Variable Rate,
$20,000,000 5.219%, 11/23/99................................. $ 20,000,000
National Westminster:
Quarterly Variable Rate,
25,000,000 5.538%, 8/20/99................................. 24,987,580
NationsBank Corp.:
Daily Variable Rate,
25,000,000 5.70%, 3/18/99.................................. 25,004,536
Nordeutsche Landesbank:
Monthly Variable Rate,
17,000,000 5.525%, 2/2/99.................................. 16,999,281
20,000,000 5.505%, 2/25/99................................. 19,998,527
Norwest Corp.:
Quarterly Variable Rate,
30,000,000 5.242%, 10/28/99................................ 29,997,520
Societe Generale:
Daily Variable Rate,
40,000,000 5.59%, 2/9/99................................... 39,997,693
10,000,000 5.58%, 3/2/99................................... 9,999,198
Monthly Variable Rate,
25,000,000 5.567%, 5/7/99.................................. 24,994,469
10,000,000 5.555%, 6/1/99.................................. 9,996,788
Svenska Handelsbanken:
Monthly Variable Rate,
20,000,000 5.53%, 6/2/99................................... 19,993,807
US Bank:
Monthly Variable Rate,
15,000,000 5.567%, 8/18/99................................. 14,998,242
Wachovia Bank:
Monthly Variable Rate,
28,000,000 5.505%, 2/9/99.................................. 27,998,450
21,000,000 5.512%, 5/12/99................................. 20,994,800
Walt Disney Co.:
Quarterly Variable Rate,
20,000,000 5.455%, 2/26/99................................. 19,997,392
Westpac Capitol Corp.:
Quarterly Variable Rate,
5,000,000 5.544%, 4/9/99.................................. 4,999,342
----------------
TOTAL FLOATING RATE - NOTES
(Amortized Cost $1,125,808,511)............................... 1,125,808,511
----------------
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
U.S. TREASURY SECURITIES - 0.5%
U.S.Treasury Note
$ 25,000,000 5.87%, 8/31/99............................... $ 25,181,973
----------------
TOTAL U.S. TREASURY SECURITIES
(Amortized Cost $25,181,973)............................... 25,181,973
----------------
FUNDING AGREEMENT - 0.5%
First Allmerica Financial
30,000,000 4.75%, 12/23/99.............................. 30,000,000
----------------
Total Funding Agreement
(Amortized Cost $30,000,000)............................... 30,000,000
----------------
COMMERCIAL PAPER - 42.6%*
ABB Treasury Center,
35,000,000 5.20%, 2/18/99............................... 34,757,333
Alcatel Alsthom,
22,000,000 5.08%, 2/22/99............................... 21,838,569
Asset Securitization:
25,000,000 5.40%, 1/22/99............................... 24,921,250
35,000,000 5.45%, 1/27/99............................... 34,862,236
35,000,000 5.40%, 1/29/99............................... 34,853,000
30,000,000 5.18%, 2/18/99............................... 29,792,800
45,000,000 5.27%, 2/19/99............................... 44,677,213
Associates Corp.:
37,000,000 5.04%, 2/3/99................................ 36,829,060
25,000,000 5.25%, 2/5/99................................ 24,872,396
12,000,000 5.25%, 2/26/99............................... 11,902,000
Bank of Scotland,
25,000,000 4.89%, 6/4/99................................ 24,477,041
Barclays Bank,
40,000,000 5.90%, 1/4/99................................ 39,980,333
BBL North America:
23,000,000 5.52%, 1/12/99............................... 22,960,095
30,000,000 5.50%, 1/15/99............................... 29,935,833
35,000,000 5.14%, 1/25/99............................... 34,880,066
13,000,000 5.50%, 1/26/99............................... 12,950,348
British Columbia Province,
5,370,000 4.805%, 3/8/99............................... 5,322,695
CAFCO:
1,000,000 5.55%, 1/19/99............................... 997,226
16,000,000 5.40%, 1/20/99............................... 15,954,400
24,000,000 5.33%, 1/29/99............................... 23,900,507
40,000,000 5.30%, 2/3/99................................ 39,805,666
30,000,000 5.29%, 2/9/99................................ 29,828,075
15,000,000 5.20%, 2/18/99............................... 14,896,000
Principal
Amount Description Value
------ ----------- -----
Carnival PLC UK,
$17,000,000 5.25%, 2/5/99................................ $ 16,913,230
Chase Manhattan Bank,
25,000,000 4.80%, 3/23/99............................... 24,730,000
Ciesco,
5,000,000 5.35%, 1/22/99............................... 4,984,396
Commonwealth Bank of Australia,
40,000,000 5.75%, 1/11/99............................... 39,936,111
Corporate Receivables:
20,000,000 5.40%, 1/15/99............................... 19,958,000
14,000,000 5.55%, 1/15/99............................... 13,969,783
30,000,000 5.40%, 1/19/99............................... 29,919,000
50,000,000 5.43%, 1/25/99............................... 49,819,000
25,000,000 5.42%, 1/27/99............................... 24,902,139
20,000,000 5.18%, 2/11/99............................... 19,882,011
30,000,000 5.25%, 2/16/99............................... 29,798,750
15,000,000 5.375%, 2/18/99.............................. 14,892,500
8,000,000 5.375%, 2/19/99.............................. 7,941,473
Credit Suisse First Boston:
15,000,000 5.29%, 1/7/99................................ 14,986,776
10,000,000 5.15%, 1/22/99............................... 9,969,958
10,000,000 5.18%, 1/25/99............................... 9,965,466
30,000,000 5.18%, 1/26/99............................... 29,892,083
Cregem,
30,000,000 4.99%, 4/1/99................................ 29,625,750
Daimler Benz North America:
12,000,000 5.03%, 1/29/99............................... 11,953,053
25,000,000 5.22%, 2/23/99............................... 24,807,875
18,000,000 5.03%, 4/15/99............................... 17,738,440
Delaware Funding Corp.:
50,000,000 5.35%, 1/22/99............................... 49,843,958
13,432,000 5.42%, 1/26/99............................... 13,381,443
20,000,000 5.19%, 2/18/99............................... 19,861,600
Diageo Capital:
45,000,000 5.35%, 1/4/99................................ 44,979,938
25,000,000 5.23%, 2/12/99............................... 24,847,458
22,000,000 5.26%, 2/17/99............................... 21,848,921
13,000,000 5.10%, 3/5/99................................ 12,883,975
Ford Motor Credit,
35,000,000 5.10%, 1/28/99............................... 34,866,125
Gannett,
25,000,000 5.20%, 1/14/99............................... 24,953,056
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Net Assets December 31, 1998
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
General Electric Capital:
$20,000,000 5.04%, 2/8/99............................... $ 19,893,600
10,000,000 5.24%, 2/9/99............................... 9,943,233
20,000,000 5.33%, 2/17/99.............................. 19,860,828
45,000,000 4.95%, 2/19/99.............................. 44,696,813
40,000,000 5.37%, 2/26/99.............................. 39,672,867
25,000,000 4.93%, 3/15/99.............................. 24,750,076
13,000,000 4.98%, 3/24/99.............................. 12,852,537
General Electric Corp.,
30,000,000 5.05%, 1/15/99.............................. 29,941,083
General Motors Accept Corp.:
30,000,000 5.10%, 1/22/99.............................. 29,910,750
52,000,000 5.06%, 1/29/99.............................. 51,795,351
30,000,000 5.24%, 2/5/99............................... 29,847,167
38,000,000 5.08%, 2/10/99.............................. 37,785,511
Glaxo Wellcome:
10,000,000 5.17%, 2/8/99............................... 9,945,428
15,300,000 5.17%, 2/9/99............................... 15,214,307
Goldman Sachs,
10,000,000 5.55%, 1/19/99.............................. 9,972,250
KFW International Finance:
30,000,000 5.00%, 1/14/99.............................. 29,945,833
15,000,000 4.87%, 2/19/99.............................. 14,900,571
Metropolitan Life,
20,000,000 5.22%, 1/28/99.............................. 19,921,700
National Rural Utility Financial
Cooperative:
7,000,000 4.90%, 2/22/99.............................. 6,950,456
10,000,000 5.08%, 3/5/99............................... 9,911,100
20,000,000 4.97%, 4/26/99.............................. 19,682,473
Norwest Corp.:
15,000,000 5.14%, 1/22/99.............................. 14,955,025
25,000,000 5.10%, 2/5/99............................... 24,876,042
Oesterreichische,
21,000,000 5.16%, 1/25/99.............................. 20,927,760
Panasonic Finance,
17,000,000 5.35%, 1/4/99............................... 16,992,421
Principal
Amount Description Value
------ ----------- -----
Pitney Bowes Credit,
$50,000,000 5.15%, 1/4/99............................... $ 49,978,542
Province of Quebec:
40,000,000 5.14%, 2/8/99............................... 39,782,978
16,400,000 4.95%, 2/16/99.............................. 16,296,270
Quincy Capital Corp.:
18,136,000 5.50%, 1/15/99.............................. 18,097,209
28,492,000 5.48%, 1/27/99.............................. 28,379,235
15,000,000 5.41%, 1/28/99.............................. 14,939,138
Receivables Capital Corp.:
9,246,000 5.27%, 1/25/99.............................. 9,213,515
8,940,000 5.35%, 1/26/99.............................. 8,906,785
21,398,000 5.29%, 1/28/99.............................. 21,313,103
54,575,000 5.42%, 2/5/99............................... 54,287,420
Repsol International Finance:
28,000,000 5.16%, 2/11/99.............................. 27,835,453
2,000,000 5.00%, 2/16/99.............................. 1,987,222
20,000,000 4.92%, 3/15/99.............................. 19,800,467
8,000,000 4.85%, 6/28/99.............................. 7,808,156
Swedish Export Credit,
25,000,000 5.02%, 2/24/99.............................. 24,811,750
Union Bank of Switzerland:
40,000,000 5.26%, 1/5/99............................... 39,976,622
40,000,000 5.219%, 1/15/99............................. 39,918,814
Walt Disney Co.,
2,600,000 5.05%, 2/5/99............................... 2,587,234
Wells Fargo Bank,
20,000,000 5.25%, 1/29/99.............................. 19,918,332
----------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $2,300,229,837)........................... 2,300,229,837
----------------
TOTAL INVESTMENTS
(Amoritzed Cost $5,438,592,996)...........................99.5% $5,438,592,996
OTHER ASSETS IN EXCESS OF LIABILITIES...................... 0.5% 25,659,993
------- ----------------
NET ASSETS 100.0% $5,464,252,989
======= ================
- -----------
* Interest rates for commercial paper represent discount rates at the time of
purchase.
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Cash Management Portfolio
Statement of Operations For the year ended December 31, 1998
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest ..................................................... $ 296,596,871
-------------
EXPENSES
ADVISORY FEES ................................................... 8,019,093
Administration and Services Fees ............................. 2,673,031
Professional Fees ............................................ 53,971
Trustees Fees ................................................ 3,285
Miscellaneous ................................................ 11,980
-------------
Total Expenses ............................................... 10,761,360
Less: Expenses absorbed by Bankers Trust ..................... (1,151,727)
-------------
Net Expenses .............................................. 9,609,633
-------------
NET INVESTMENT INCOME ........................................... 286,987,238
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS................... 320,470
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...................... $ 287,307,708
=============
See Notes to Financial Statements.
15
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
Cash Management Portfolio
Statements of Changes in Net Assets
- -----------------------------------------------------------------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------ -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ................................. $ 286,987,238 $ 237,022,519
Net Realized Gain (Loss) from Investment Transactions.. 320,470 (41,207)
---------------- ----------------
Net Increase in Net Assets from Operations ............... 287,307,708 236,981,312
---------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ........................ 85,829,057,272 25,687,643,529
Value of Capital Withdrawn ............................ (84,691,836,966) (25,146,809,558)
---------------- ----------------
Net Increase in Net Assets from Capital Transactions ..... 1,137,220,306 540,833,971
---------------- ----------------
TOTAL INCREASE IN NET ASSETS ............................. 1,424,528,013 777,815,283
Net Assets
Beginning of Year ........................................ 4,039,724,975 3,261,909,692
---------------- ----------------
End of Year .............................................. $ 5,464,252,989 $ 4,039,724,975
================ ================
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
Financial Highlights
- -----------------------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Cash Management Portfolio.
FOR THE YEARS ENDED DECEMBER 31,
-----------------------------------------------------------------------
1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) $5,464,253 $ 4,039,725 $ 3,261,910 $ 2,615,932 $ 2,735,025
Ratios to Average Net Assets:
Net Investment Income ........................ 5.37% 5.43% 5.27% 5.77% 4.24%
Expenses ..................................... 0.18% 0.18% 0.18% 0.18% 0.18%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses
by Bankers Trust ........................... 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 commenced operations on
July 23, 1990. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
Investments are valued at amortized cost, which is in accordance with Rule 2a-7
of the Investment Company Act of 1940 and represents the fair value of the
Portfolio's investments.
C. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
accretion of discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's' Investment Advisor, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase must have
an aggregate market value greater than or equal to the repurchase price plus
accrued interest at all times. If the value of the underlying securities falls
below the value of the repurchase price plus accrued interest, the Portfolio
will require the seller to deposit additional collateral by the next business
day. If the request for additional collateral is not met, or the seller defaults
on its repurchase obligation, the Portfolio maintains the right to sell the
underlying securities at market value and may claim any resulting loss against
the seller. However, in the event of a default or bankruptcy by the seller,
realization and/or retention of the collateral may be subject to legal
proceedings.
E. FEDERAL INCOME TAXES
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
F. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of .05% of the Portfolio's average daily net
assets. For the year ended December 31, 1998, administrative and service fees
amounted to $2,673,031, of which $249,048 was payable at the end of the period.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of .15% of the Portfolio's
average daily net assets. For the year ended December 31, 1998, advisory fees
amounted to $8,019,093, of which $747,145 was payable at the end of the period.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
.18% of the average daily net assets of the Portfolio.
In 1994, the Portfolio sold certain structured notes carried at par to an
unrelated third party financial institution at par plus accrued interest
pursuant to a put agreement and that third party financial institution
immediately resold such security to Bankers Trust New York Corporation, the
parent of the Advisor, at the same price, also pursuant to a put agreement. As a
result of these transactions the Portfolio's Financial Highlights for the year
ended December 31, 1994, reflects the Portfolio's realized loss on the sale of
these securities and a capital contribution in the amount of $18,718,663. In
1996, Bankers Trust contributed capital in the amount of $1,113,488 to reimburse
the Cash Management Portfolio for capital losses incurred in prior years.
The Cash Management Portfolio is a participant with other affiliated entities in
a revolving credit facility and a discretionary demand line of credit facility
(collectively the "credit facilities") in the amounts of $50,000,000 and
$100,000,000, respectively, which expire March 15, 1999. A commitment fee of
.07% per annum on the average daily amount of the available commitment is
payable on a quarterly basis and apportioned equally among all participants.
Amounts borrowed under the credit facilities will bear interest at a rate per
annum equal to the Federal Funds Rate plus .45%. No amounts were drawn down or
outstanding under the credit facilities as of and for the year ended December
31, 1998.
NOTE 3--NET ASSETS
At December 31, 1998 net assets consisted of:
Paid-in-Capital $5,464,252,989
=============
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 net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Cash Management Portfolio (the "Portfolio") at December 31, 1998, and the
results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
February 5, 1999
18
<PAGE>
This page intentionally left blank.
<PAGE>
BT PYRAMID MUTUAL FUNDS
INVESTMENT MONEY MARKET FUND
INVESTMENT ADVISOR AND ADMINISTRATOR OF THE PORTFOLIO
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
ICC DISTRIBUTORS, INC.
P.O. Box 7558
Portland, ME 04112-9892
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
COUNSEL
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
---------------------
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or the BT
Mutual Fund Service Center at (800) 730-1313. This report must be preceded or
accompanied by the Fund's current prospectus.
---------------------
Cusip#055847206
STA460200 (12/98)
