<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
COMMERCIAL PAPER -- 58.2%
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Automotive -- 1.8%
- ----------------------------------------------------------------------------
$ 1,500 Ford Motor Credit Co., 4.95%, 7/21/99 $ 1,495,875
1,500 General Motors Acceptance Corp., 5.06%,
8/2/99 1,493,253
- ----------------------------------------------------------------------------
$ 2,989,128
- ----------------------------------------------------------------------------
Banking and Finance -- 16.1%
- ----------------------------------------------------------------------------
$ 1,300 American Express Credit Corp., 4.78%,
7/6/99 $ 1,299,137
523 American Express Credit Corp., 4.78%,
7/7/99 522,634
2,420 Ameritech Capital Funding Corp., 5.12%,
8/9/99(1)(2) 2,406,577
1,075 Asset Securitization Coop. Corp., 4.91%,
7/28/99(1) 1,071,041
3,000 Asset Securitization Coop. Corp., 4.90%,
7/29/99(1) 2,988,567
355 Associates Corp. of North America,
4.78%, 7/8/99 354,670
1,385 Associates Corp. of North America,
4.79%, 7/8/99 1,383,710
2,000 Associates Corp. of North America,
4.86%, 8/9/99 1,989,470
1,400 BTR Dunlop Finance, Inc., 4.89%, 7/13/99 1,397,718
3,700 CIESCO, 4.83%, 7/20/99 3,690,568
2,030 CIT Group Holdings, Inc., 4.84%, 7/15/99 2,026,179
3,000 Corporate Asset Funding Co., 5.02%,
8/11/99(1) 2,982,848
1,000 Corporate Receivables Corp., 4.85%,
7/14/99(1)(2) 998,249
1,990 Corporate Receivables Corp., 5.05%,
7/27/99(1)(2) 1,982,742
533 Delaware Funding Corp., 5.03%,
7/21/99(1)(2) 531,511
1,300 Delaware Funding Corp., 5.20%,
7/28/99(1)(2) 1,294,930
- ----------------------------------------------------------------------------
$ 26,920,551
- ----------------------------------------------------------------------------
Chemicals -- 1.8%
- ----------------------------------------------------------------------------
$ 3,000 E.I. Dupont de Nemours & Co., 4.85%,
8/3/99 $ 2,986,663
- ----------------------------------------------------------------------------
$ 2,986,663
- ----------------------------------------------------------------------------
Credit Unions -- 2.9%
- ----------------------------------------------------------------------------
$ 790 Mid-States Corp. Federal Credit Union,
4.98%, 7/15/99 $ 788,470
4,000 Mid-States Corp. Federal Credit Union,
5.03%, 7/15/99 3,992,176
- ----------------------------------------------------------------------------
$ 4,780,646
- ----------------------------------------------------------------------------
Electric Utilities -- 3.7%
- ----------------------------------------------------------------------------
$ 400 National Rural Utilities Coop., 4.88%,
7/19/99 $ 399,024
2,500 National Rural Utilities Coop., 4.79%,
8/10/99 2,486,694
1,645 TECO Finance, Inc., 4.87%, 7/7/99(1) 1,643,665
1,600 TECO Finance, Inc., 5.00%, 8/17/99(1) 1,589,556
- ----------------------------------------------------------------------------
$ 6,118,939
- ----------------------------------------------------------------------------
Electrical and Electronic Equipment -- 3.3%
- ----------------------------------------------------------------------------
$ 3,655 General Electric Capital Corp., 4.82%,
7/9/99 $ 3,651,085
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Electrical and Electronic Equipment (continued)
- ----------------------------------------------------------------------------
$ 455 General Electric Capital Corp., 4.81%,
7/12/99 $ 454,331
1,500 General Electric Capital Corp., 4.82%,
7/12/99 1,497,791
- ----------------------------------------------------------------------------
$ 5,603,207
- ----------------------------------------------------------------------------
Food and Beverages -- 3.0%
- ----------------------------------------------------------------------------
$ 1,386 Anheuser-Busch Cos., Inc., 4.90%, 7/6/99 $ 1,385,057
2,000 Coca-Cola Co., 4.80%, 7/22/99 1,994,400
1,670 Nestle Capital Corp., 4.91%, 7/26/99 1,664,306
- ----------------------------------------------------------------------------
$ 5,043,763
- ----------------------------------------------------------------------------
Gas Utilities -- 0.7%
- ----------------------------------------------------------------------------
$ 1,160 Consolidated Natural Gas Co., 4.95%,
7/12/99 $ 1,158,246
- ----------------------------------------------------------------------------
$ 1,158,246
- ----------------------------------------------------------------------------
Household Products -- 5.9%
- ----------------------------------------------------------------------------
$ 2,500 Procter and Gamble Co., 4.87%, 7/12/99 $ 2,496,280
2,445 Procter and Gamble Co., 5.15%, 9/8/99 2,420,866
5,070 Unilever Capital Corp., 4.98%, 9/7/99(1) 5,022,308
- ----------------------------------------------------------------------------
$ 9,939,454
- ----------------------------------------------------------------------------
Insurance -- 7.5%
- ----------------------------------------------------------------------------
$ 2,740 AI Credit Corp., 4.83%, 8/6/99 $ 2,726,766
1,505 American General Corp., 5.02%, 8/20/99 1,494,507
2,215 MetLife Funding, Inc., 4.86%, 7/8/99 2,212,907
1,700 Prudential Funding Corp., 5.01%, 7/23/99 1,694,795
2,000 USAA Capital Corp., 4.87%, 7/19/99 1,995,130
1,375 USAA Capital Corp., 4.88%, 8/4/99 1,368,663
1,000 USAA Capital Corp., 4.79%, 8/9/99 994,811
- ----------------------------------------------------------------------------
$ 12,487,579
- ----------------------------------------------------------------------------
Oil -- 5.4%
- ----------------------------------------------------------------------------
$ 1,253 BP America, Inc., 4.91%, 8/20/99 $ 1,244,455
3,000 Chevron USA, Inc., 4.80%, 7/1/99 3,000,000
2,000 Chevron USA, Inc., 4.80%, 7/2/99 1,999,733
2,500 Cortez Capital Corp., 4.85%, 7/30/99(1) 2,490,233
375 Exxon Imperial U.S., Inc., 4.80%,
7/7/99(1) 374,700
- ----------------------------------------------------------------------------
$ 9,109,121
- ----------------------------------------------------------------------------
Pharmaceutical -- 2.5%
- ----------------------------------------------------------------------------
$ 2,795 Schering Corp., 4.86%, 7/27/99 $ 2,785,190
1,500 Schering Corp., 4.88%, 8/17/99 1,490,443
- ----------------------------------------------------------------------------
$ 4,275,633
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------------------
<C> <S> <C>
Telecommunications -- 3.6%
- ----------------------------------------------------------------------------
$ 1,010 AT&T Corp., 4.79%, 8/13/99 $ 1,004,222
1,500 AT&T Corp., 4.82%, 8/13/99 1,491,364
3,500 Bellsouth Telecommunications, Inc.,
4.82%, 7/20/99 3,491,096
- ----------------------------------------------------------------------------
$ 5,986,682
- ----------------------------------------------------------------------------
Total Commercial Paper, at value
(identified cost $97,399,611) $ 97,399,612
- ----------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 41.8%
<CAPTION>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
$ 2,000 FHLB Discount Notes,
4.76%, 7/14/99 $ 1,996,562
2,000 FHLB Discount Notes,
4.76%, 7/16/99 1,996,033
5,945 FHLMC Discount Notes,
4.735%, 7/13/99 5,935,616
200 FHLMC Discount Notes,
4.74%, 8/2/99 199,157
2,655 FHLMC Discount Notes,
4.83%, 8/2/99 2,643,601
4,980 FHLMC Discount Notes,
4.80%, 8/5/99 4,956,760
3,000 FHLMC Discount Notes,
4.79%, 8/16/99 2,981,638
4,080 FHLMC Discount Notes,
4.79%, 8/18/99 4,053,943
3,186 FHLMC Discount Notes,
4.795%, 8/19/99 3,165,207
30,500 FNMA Discount Notes,
5.02%, 8/6/99 30,346,889
1,780 FNMA Discount Notes,
4.74%, 8/12/99 1,770,156
666 FNMA Discount Notes,
4.74%, 8/13/99 662,229
3,650 FNMA Discount Notes,
4.79%, 8/24/99 3,623,775
5,583 FNMA Discount Notes,
4.80%, 8/27/99 5,540,568
- ----------------------------------------------------------------------------
Total U.S. Government Obligations, at value
(identified cost $69,872,135) $ 69,872,134
- ----------------------------------------------------------------------------
<CAPTION>
VALUE
<C> <S> <C>
- ----------------------------------------------------------------------------
Total Investments -- 100.0%
(identified cost $167,271,746) $167,271,746(3)
- ----------------------------------------------------------------------------
Other Assets, Less Liabilities -- 0% $ (25,141)
- ----------------------------------------------------------------------------
Net Assets -- 100% $ 167,246,605
- ----------------------------------------------------------------------------
</TABLE>
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation (Freddie Mac)
FNMA - Federal National Mortgage Association (Fannie Mae)
(1) A security which has been issued under section 4(2) of the Securities Act
of 1933 and is generally regarded as restricted and illiquid. This security
may be resold in transactions exempt from registration or to the public if
the security is registered. All such securities held have been deemed by
the Portfolio's Trustees to be liquid and were purchased with the
expectation that resale would not be necessary. At June 30, 1999, the value
of these securities amounted to $25,376,926 or 15.2% of the Portfolio's net
assets.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. It is the
Portfolio's intention to hold the security until maturity. At June 30,
1999, the value of these securities amounted to $7,214,009 or 4.3% of the
Portfolio's net assets.
(3) Cost for Federal income tax purposes is the same.
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF JUNE 30, 1999
<S> <C>
Assets
- -------------------------------------------------------
Investments, at value $ 167,271,746
Cash 4,371
- -------------------------------------------------------
TOTAL ASSETS $ 167,276,117
- -------------------------------------------------------
Liabilities
- -------------------------------------------------------
Other accrued expenses $ 29,512
- -------------------------------------------------------
TOTAL LIABILITIES $ 29,512
- -------------------------------------------------------
NET ASSETS (REPRESENTING
PAID-IN-CAPITAL) $ 167,246,605
- -------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $ 167,246,605
- -------------------------------------------------------
TOTAL $ 167,246,605
- -------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
JUNE 30, 1999
<S> <C>
Investment Income
- -----------------------------------------------------
Interest $ 3,368,231
- -----------------------------------------------------
Expenses
- -----------------------------------------------------
Investment adviser fee $ 343,762
Trustees fees and expenses 5,539
Custodian fee 47,763
Legal and accounting services 15,159
Amortization of organization expenses 907
Miscellaneous 452
- -----------------------------------------------------
TOTAL EXPENSES $ 413,582
- -----------------------------------------------------
NET INVESTMENT INCOME $ 2,954,649
- -----------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
Increase (Decrease) JUNE 30, 1999 YEAR ENDED
in Net Assets (UNAUDITED) DECEMBER 31, 1998
<S> <C> <C>
- --------------------------------------------------------------------------------
From operations --
Net investment income $ 2,954,649 $ 6,761,310
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $ 295,612,155 $ 610,798,591
Withdrawals (271,662,620) (660,957,683)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL TRANSACTIONS $ 23,949,535 $ (50,159,092)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS $ 26,904,184 $ (43,397,782)
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $ 140,342,421 $ 183,740,203
- --------------------------------------------------------------------------------
AT END OF PERIOD $ 167,246,605 $ 140,342,421
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
1999 ---------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994(1)
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ---------------------------------------------------------------------------------------------------------------------------------
Expenses 0.61%(2) 0.61% 0.59% 0.59% 0.60% 0.58%(2)
Net investment income 4.33%(2) 4.90% 4.96% 4.83% 5.36% 4.22%(2)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the period from the start of business, May 2, 1994, to December 31,
1994.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 Significant Accounting Policies
- -------------------------------------------
Cash Management Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a diversified, open-end management investment company
which was organized as a trust under the laws of the State of New York on May
1, 1992. The Declaration of Trust permits the Trustees to issue interests in
the Portfolio. The following is a summary of significant accounting policies
of the Portfolio. The policies are in conformity with generally accepted
accounting principles.
A Security Valuation -- The Portfolio values investment securities utilizing
the amortized cost valuation technique permitted by Rule 2a-7 of the
Investment Company Act of 1940, pursuant to which the Portfolio must comply
with certain conditions. This technique involves initially valuing a
portfolio security at its cost and thereafter assuming a constant
amortization to maturity of any discount or premium. It is the normal
practice of the Portfolio to hold portfolio securities to maturity and
realize par value unless such sale or other disposition is mandated by
withdrawal requests or other extraordinary circumstances.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or accretion of discount when required
for federal income tax purposes.
C Income Taxes -- The Portfolio has elected to be treated as a partnership for
federal tax purposes. No provision is made by the Portfolio for federal or
state taxes on any taxable income of the Portfolio because each investor in
the Portfolio is ultimately responsible for the payment of any taxes. Since
some of the Portfolio's investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolio, the
Portfolio normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code), in order for
its investors to satisfy them. The Portfolio will allocate at least annually
among its investors each investor's distributive share of the Portfolio's net
investment income, net realized capital gains, and any other items of income,
gain, loss, deduction or credit.
D Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of income and expense during the reporting period. Actual results could
differ from those estimates.
F Other -- Investment transactions are accounted for on a trade date basis.
G Interim Financial Statements -- The interim financial statements relating to
June 30, 1999 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolio's management, reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions
with Affiliates
- -------------------------------------------
The investment adviser fee is earned by Boston Management and Research (BMR),
a wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation
for management and investment advisory services rendered to the Portfolio.
The fee is computed at the rate of 1/2 of 1% per annum of the Portfolio's
average daily net assets and amounted to $343,762 for the six months ended
June 30, 1999. Except as to Trustees of the Portfolio who are not members of
EVM's or BMR's organization, officers and Trustees receive remuneration for
their services to the Portfolio out of such investment adviser fee.
Certain officers and Trustees of the Portfolio are officers of the above
organizations.
3 Line of Credit
- -------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR or
EVM and its affiliates in a $130 million unsecured line of credit agreement
with a group of banks. The Portfolio may temporarily borrow from the line of
credit to satisfy redemption requests or settle investment transactions.
Interest is charged to each participating portfolio or fund based on its
borrowings at an amount above the Eurodollar rate or federal funds rate. In
addition, a fee computed at an annual rate of 0.10% on the daily unused
portion of the line of credit is allocated
18
<PAGE>
CASH MANAGEMENT PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
among the participating portfolios and funds at the end of each quarter. The
Portfolio did not have any significant borrowings or allocated fees during
the period.
4 Investments
- -------------------------------------------
Purchases and sales (including maturities) of investments, during the six
months ended June 30, 1999, exclusive of U.S. Government securities,
aggregated $353,377,137 and $348,709,793, respectively. Purchases and sales
(including maturities) of U.S. Government Agency securities aggregated
$298,366,831 and $275,786,560, respectively.
19
<PAGE>
CASH MANAGEMENT PORTFOLIO
Officers
James B. Hawkes
President and Trustee
Michael B. Terry
Vice President and
Portfolio Manager
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
Jack L. Treynor
Investment Adviser and Consultant
20
