-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GVaXndL/hjVkHJX5nSBebOfNkSlqot1tTeXFUcUzmhW2uwuSTTMM34lnYNlmCMnA 1LTMDTP+sL9Ufuh1TR3Bjw== 0000935069-00-000077.txt : 20000302 0000935069-00-000077.hdr.sgml : 20000302 ACCESSION NUMBER: 0000935069-00-000077 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BT INVESTMENT FUNDS CENTRAL INDEX KEY: 0000797657 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04760 FILM NUMBER: 556088 BUSINESS ADDRESS: STREET 1: FEDERATED INVESTORS TOWERS CITY: PITTSBURGH STATE: PA ZIP: 15222-3770 BUSINESS PHONE: 412881401 FORMER COMPANY: FORMER CONFORMED NAME: BT TAX FREE INVESTMENT TRUST DATE OF NAME CHANGE: 19880530 N-30D 1 ANNUAL REPORT December 31, 1999 (GRAPHIC APPEARS HERE) BT Mutual Funds Cash Management Fund Treasury Money Fund NY Tax Free Money Fund Tax Free Money Fund Annual Report Trust: BT Investment Funds Investment Advisor: Bankers Trust Company BT Investment Funds Table of Contents Letter to Shareholders 3 Investment Funds Statements of Assets and Liabilities 7 Statements of Operations 7 Statements of Changes in Net Assets 8 Financial Highlights 9 Notes to Financial Statements 11 Report of Independent Accountants 13 Tax Information 13 Portfolios Schedules of Portfolio Investments 14 Statements of Assets and Liabilities 30 Statements of Operations 30 Statements of Changes in Net Assets 31 Financial Highlights 32 Notes to Financial Statements 33 Report of Independent Accountants 35 Proxy Results 36 --------------- The Funds are not insured by the FDIC and are not a deposit, obligation of or guaranteed by Bankers Trust Company. The Funds are subject to investment risks, including possible loss of principal amounts invested. --------------- 2 BT Investment Funds Letter to Shareholders We are pleased to present you with this annual report for the Investment Funds, providing a detailed review of the markets, the Portfolios, and our outlook. Included are a complete financial summary of the Funds' operations and a listing of the Portfolios' holdings. MARKET ACTIVITY Three major factors impacted the money markets over the annual period ended December 31, 1999 -- the ongoing extraordinary performance of the U.S. economy, the actions of the Federal Reserve Board, and the liquidity concerns surrounding Y2K. These factors combined to push yields on short-term money market securities significantly higher. Rapid U.S. economic growth, benign inflation, the lowest unemployment rate in a generation, and a spectacular runup in the U.S. equity market gave consumers the confidence necessary to utilize their purchasing power. o Housing, retail sales, and auto sales were all at historic levels. o Subdued wage demands, competitive pressures, productivity improvements and global overcapacity combined to keep prices in check. o Simultaneously, foreign economies around the world showed clear signs of recovery, with growth rates in Europe and Asia, in particular, increasing throughout the year. The Federal Reserve Board raised interest rates three times during 1999. o The Federal Reserve Board argued that the pace of the economy could not be indefinitely supported by labor force growth and productivity and thus may rekindle inflation. o Consequently, on June 30, August 24, and November 16, the Federal Reserve Board raised interest rates by 0.25% each time, leaving the targeted federal funds rate at 5.50% at the end of the year. Money market investors and issuers alike believed liquidity would be scarce over year-end, as anticipation of Y2K grew increasingly uncertain over the last quarter of 1999. o Both corporate and asset-backed issuers flooded the market with paper early in the fourth quarter, hoping to secure their year-end financing. o To calm the markets, the Fed announced in October that it would provide the market with several liquidity programs, including a repurchase agreement facility with expanded collateral guidelines and a Standby Financing Facility. o As with most other secular Y2K fears, the money markets' liquidity concerns also turned out to be for naught. To a less dramatic degree, the municipal markets followed a similar trend as their taxable counterparts, with yields rising as ongoing U.S. economic strength, Fed tightening, and Y2K liquidity fears imposed pressure. o The yield on one-year municipal notes rose 0.85%, to 3.95% on December 31, 1999 from 3.10% on January 1, 1999. This compares with one-year Treasury bills rising 1.43%, to 5.96% on December 31, 1999 from 4.53% on January 1, 1999. o Supply, down approximately 20% over the first six months of the year compared to the same period in 1998, ended the twelve month period up approximately 6% over 1998, although most of that figure can be attributed to just a couple of issuers with unusually large note offerings. Overall, there remained a compelling lack of note issuance. o On the positive side, strong demand for municipal securities partially offset some of the negative pressures causing the increase in yields. o With the continued strength of the economy and tax coffers still healthy, credit quality continued to improve in the municipal market. For 1999, the ratio of upgrades to downgrades was 7:1, as compared to 5:1 in 1998. INVESTMENT REVIEW
Annualized 7 Day Annualized 7 Day Annualized 7 Day Effective Taxable Periods ended December 31, 1999 Current Yield Effective Yield Equivalent Yield Cash Management Fund(1) 5.21% 5.35% -- IBC First Tier Retail Money Funds Average 5.15% 5.29% -- - --------------------------------------------------------------------------------------------------------------------- NY Tax Free Money Fund(1) 3.49% 3.56% 6.60% IBC State Specific Retail Money Funds Average 3.40% 3.46% -- - --------------------------------------------------------------------------------------------------------------------- Tax Free Money Fund(1) 3.50% 3.56% 5.89% IBC Tax Free National Retail Money Funds Average 3.57% 3.63% -- - --------------------------------------------------------------------------------------------------------------------- Treasury Money Fund(1) 4.12% 4.20% -- IBC U.S. Treasury and Repo Retail Money Funds Average 4.65% 4.76% --
- ---------- (1) Yields will vary. Yields quoted for money market funds most closely reflect the fund's current earnings. "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. Taxable equivalent yield reflects the 1999 maximum 39.6% regular federal tax bracket and, for the NY Tax Free Money Fund, a combined regular federal, state and city tax bracket of 46.05%. 3 BT Investment Funds Letter to Shareholders Cash Management Fund Through most of the first half of the year, we maintained a slightly long to the benchmark weighted average maturity position, taking advantage of the steeper yield curve and neutral Federal Reserve Board. Since the money markets had already priced in at least one interest rate hike by the time the Fed actually raised rates for the first time at the end of June, we were able to take advantage of the higher rates and extend the portfolio at that time. During the second half of the year, money market issuers were very aggressive, seeking to extend their maturities into the year 2000 to avoid potential Y2K problems. This excessive issuance caused both an abnormally steep yield curve in fixed rate securities and wide yield spreads on floating rate notes. We took advantage of both--as well as the two Fed rate increases in the second half--by "barbelling" the portfolio with fixed securities and floating rate instruments. This strategy proved to be effective for the Portfolio. We also successfully maintained the liquidity necessary for potential Y2K problems by purchasing Treasury bills and other very liquid instruments during the last quarter of 1999. Ratings Status at December 31, 1999 S&P: AAA(4) Seven day effective yield: 5.35% Moody's: AAA Average maturity: 39 days Net assets: $154.3 million Portfolio Diversification By Asset Type as of December 31, 1999 (percentages are based on net assets) (GRAPHIC APPEARS HERE) Yankee Certificates Commercial of Deposit 14% Paper 36% Cash and Other Assets 3% Eurodollar Certificates Eurodollar Time of Deposit 15% Deposits 12% Floating Rate Notes 20% NY Tax Free Money Fund(2) We kept the Fund's weighted average maturity neutral to slightly short, usually within the 35 to 50 day range, through most of the year, as the Fed moved from a neutral bias to a tightening mode. However, we adjusted the Fund's relative maturity position in anticipation of certain seasonal cash flow and supply/demand phenomena. For example, the "January Effect" is a period when a large amount of cash flows into the municipal money market from maturing securities and coupon payments. April is traditionally a month when withdrawals from money market funds are par for the course. A large percentage of high quality municipal issues usually becomes available at the end of June and early July. In December, investors tend to make asset allocation decisions leading to short-term seasonal cash outflows. On December 31, 1999, the Fund's weighted average maturity stood at a rather neutral 47 days. Issue supply in New York continued to be lower than in other parts of the nation throughout the year. Thus, one strategy we used in 1999 to compensate for this lack of note selection was to buy long-term bonds in the last year or so of their maturity as core holdings in the Portfolio. This strategy effectively enabled us to pick up attractive yields and often with better credits than would otherwise be available. In November, we were able to buy a particularly attractively priced issue, Buffalo, New York Revenue Anticipation Notes, backed by a letter of credit. As of December 31, 1999, we continued to hold this issue in the Portfolio. Portfolio Diversification By Asset Type as of December 31, 1999 (percentages are based on net assets) (GRAPHIC APPEARS HERE) Revenue Bonds 15% Commercial Paper 11% G.O. Bonds 11% Tax Anticipation Notes 1% Revenue Anticipation Floating Rate Notes 3% Demand Notes 59% Status at December 31, 1999 Seven day effective yield: 3.56% Average maturity: 47 days Net assets: $73.9 million 4 BT Investment Funds Letter to Shareholders Tax Free Money Fund(3) As with the NY Tax Free Money Fund, we maintained a neutral to slightly short weighted average maturity in this Fund, in this case usually within the 40 to 50 day range, throughout most of the year, as the Fed moved from a neutral bias to a tightening mode. Each time the Fed hiked rates, we either took advantage of the buying opportunities it created or we sought shorter-maturity paper, as the one-year note index rose rather dramatically. We also adjusted the Fund's relative maturity position in anticipation of seasonal cash flow and supply/demand phenomena. For example, going into April, the Fund increased its daily demand note position to offset par for the course cash outflows associated with tax time. Starting in the latter half of June, we began to extend the Portfolio's maturity position to be able to participate in the large percentage of high quality municipal issues that usually becomes available at the end of June and early July. In August, we shortened the Fund's maturity position again in anticipation of the State of Texas' $3.9 billion issuance of one-year cash flow notes, which we viewed as the one significant note deal of the year as well as a good buying opportunity. By shortening the Fund's maturity prior to this issuance, we were able to take advantage of this deal's attractive yields, making a purchase on September 2nd, without extending the Fund's maturity past a neutral position. In November, we increased the Fund's position in 90-day commercial paper, which offered good value with rates competitive with those of one-year paper, as issuers sought to extend their maturities into the year 2000 to avoid potential Y2K problems. In December, we increased the Fund's daily demand note position for extra liquidity in anticipation of potential Y2K cash outflows. These strategies effectively enabled us to stay within a neutral to short maturity range, while the Federal Reserve Board was still in a tightening mode, and still lock in competitive yields. The Fund's average maturity on December 31, 1999 stood at 45 days. Portfolio Diversification By Asset Type as of December 31, 1999 (percentages are based on net assets) (GRAPHIC APPEARS HERE) Commercial Tax Revenue Paper 19% Anticipation Notes 7% Revenue Revenue Anticipation Bonds 1% Notes 2% G.O. Bonds 13% Put Bonds 2% Floating Rate Demand Notes 56% Status at December 31, 1999 Seven day effective yield: 3.56% Average maturity: 45 days Net assets: $128.5 million We also continued to successfully implement the strategy of purchasing specialty state paper from high tax states when attractively priced at general market levels and then selling it when the demand increases. For example, during the first half of the year, we took advantage of a rare opportunity to buy Los Angeles County, California Tax & Revenue Anticipation Notes at general market levels. We then sold this holding during the second half of the year, when demand for California paper picked up. Treasury Money Fund We maintained a neutral to the benchmark weighted average maturity position for most of the first half of the annual period, as the Federal Reserve Board remained neutral. As the yield curve steepened, we began to implement our Y2K strategy, i.e. a "barbell" strategy through the purchase of longer-dated Treasury securities that not only enabled us to take advantage of the higher yields but also to begin accumulating securities and term repurchase agreements maturing early in the year 2000, avoiding any liquidity issues that may have arisen. It must also be noted that a strong technical condition existed in the short-term Treasury market for much of the year. This condition was generally attributed to the cutback of overall issuance by the Treasury, and at times to investors' decisions to remain on the sidelines as they sought to avoid volatile stock and bond markets while the Fed was in a tightening mode. Toward the end of the year, the Treasury temporarily increased the size of weekly bill issuance and also issued cash management bills. This action added much needed liquidity to the market at year end. Ratings Status at December 31, 1999 S&P: AAA(4) Seven day effective yield: 4.20% Moody's: AAA Average maturity: 25 days Net assets: $560.7 million Portfolio Diversification By Asset Type as of December 31, 1999 (percentages are based on net assets) (GRAPHIC APPEARS HERE) U.S. Treasury U.S. Treasury Notes 15% Bills 13% Repurchase Agreements 72% 5 BT Investment Funds Letter to Shareholders
Cumulative Total Returns Average Annual Total Returns Past 1 Past 3 Past 5 Past 10 Since Past 1 Past 3 Past 5 Past 10 Since Periods ended December 31, 1999 year years years years inception year years years years inception - --------------------------------------------------------------------------------------------------------------------------------- Cash Management Fund(1) (Inception 10/5/88) 4.58% 15.20% 27.21% 58.86% 76.17% 4.58% 4.83% 4.93% 4.74% 5.17% IBC First Tier Retail Money Funds Average 4.58% 15.41% 27.80% 59.83% 77.64% 4.58% 4.86% 4.98% 4.83% 5.26% - --------------------------------------------------------------------------------------------------------------------------------- NY Tax Free Money Fund(1) (Inception 9/27/88) 2.41% 8.13% 14.49% 33.20% 42.07% 2.41% 2.64% 2.74% 2.91% 3.17% IBC State Specific Retail Money Funds Average 2.59% 8.71% 15.62% 35.27% 44.51% 2.59% 2.82% 2.94% 3.09% 3.38% - --------------------------------------------------------------------------------------------------------------------------------- Tax Free Money Fund(1) (Inception 6/10/87) 2.54% 8.46% 15.26% 35.93% 53.44% 2.54% 2.74% 2.88% 3.12% 3.47% IBC National Tax Free Retail Money Funds Average 2.72% 9.04% 16.14% 36.78% 55.00% 2.72% 2.92% 3.02% 3.18% 3.58% - --------------------------------------------------------------------------------------------------------------------------------- Treasury Money Fund(1) (Inception 11/1/88) 4.32% 14.60% 26.22% 56.18% 71.73% 4.32% 4.65% 4.77% 4.56% 4.96% IBC U.S. Treasury and Repo Retail Money Funds Average 4.38% 14.78% 26.65% 57.14% 72.34% 4.38% 4.70% 4.84% 4.69% 5.08%
- ---------- (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 it is possible to lose money by investing in the Fund. (2) Income may be subject to the federal alternative minimum tax. (3) Income may be subject to the federal alternative minimum tax and state and local taxes. (4) S&P evaluates a number of factors, including credit quality, market price exposure and management. Aaa ratings by Moody's are judged to be of an investment quality similar to Aaa-rated fixed income obligations. Ratings are subject to change and do not remove market risks. MANAGER OUTLOOK We now know that the concerns and fears surrounding Y2K turned out to be a non-event. The world at large and the financial markets in particular continued to hum along without interruption. Looking ahead for the near term, we believe the U.S. economy still has substantial momentum, and the financial fundamentals for both households and businesses remain strong. Thus, we also feel that it will take somewhat higher interest rates to tone down the economy. The Federal Reserve Board could, in our view, continue to increase rates in the first half of the year 2000, as it seeks to slow real economic growth to a more sustainable pace. Clearly, then, the degree of tightening and the timing of the Federal Reserve Board's next moves will be key to U.S. money market performance in the months ahead. So, too, will supply and demand factors. For example, as the need for permanent financing of government debt decreases, the U.S. Treasury will likely continue to significantly cut back longer-term issuance, and when temporary needs arise, issue larger cash management bills. Consequently, the supply of both U.S. Treasuries and repurchase agreements collateralized by Treasuries will likely decrease. In the Treasury Money Fund, then, we intend to purchase term repurchase agreements to maintain competitive yields for the Portfolio. We also anticipate managing the Fund with a shorter duration than in 1999 to be well positioned for any potential Fed rate increases. In the Cash Management Fund, too, we will likely manage the Fund with a shorter duration than we did in 1999. We also intend to maintain a significant position in floating rate securities in this Fund to take advantage of any further increases in interest rates. Similarly, in the NY Tax Free and Tax Free Money Funds, we are keeping a watchful eye on the Fed, and in these Funds, intend to keep short to neutral average maturity positions. We believe that the current higher interest rate environment may slow down the rate of credit quality upgrades within the municipal markets during the first half of the year, and so we also intend to continue carefully seeking high quality, attractive issue-specific buying opportunities as 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. /s/ Susan Fare Susan Fare Portfolio Manager of the Tax Free Money Portfolio and the NY Tax Free Money Portfolio December 31, 1999 /s/ Darlene M. Rasel Darlene M. Rasel Portfolio Manager of the Cash Management Portfolio and the Treasury Money Portfolio December 31, 1999 6 BT Investment Funds Statements of Assets and Liabilities December 31, 1999
Cash NY Tax Tax Free Treasury Management Free Money Money Money ------------ -------------- -------------- ------------- Assets Investment in Portfolio, at Value(1) $ 154,901,076 $ 74,052,434 $ 128,836,272 $ 561,281,284 Prepaid Expenses 7,188 1,068 14,484 28,710 -------------- ------------ ------------- ------------- Total Assets 154,908,264 74,053,502 128,850,756 561,309,994 -------------- ------------ ------------- ------------- Liabilities Dividends Payable 511,177 131,380 288,374 339,265 Due to Bankers Trust 70,658 27,626 55,318 178,221 Accrued Expenses 22,025 27,668 27,148 63,068 -------------- ------------ ------------- ------------- Total Liabilities 603,860 186,674 370,840 580,554 -------------- ------------ ------------- ------------- Net Assets $ 154,304,404 $ 73,866,828 $ 128,479,916 $ 560,729,440 ============== ============ ============= ============= Composition of Net Assets Paid-in Capital $ 154,362,555 $ 73,886,690 $ 128,541,040 $ 560,618,243 Accumulated Net Realized Gain (Loss) from Investment Transactions (58,151) (19,862) (61,124) 111,197 -------------- ------------ ------------- ------------- Net Assets $ 154,304,404 $ 73,866,828 $ 128,479,916 $ 560,729,440 ============== ============ ============= ============= Shares Outstanding ($0.001 par value per share, unlimited number of shares of beneficial interest authorized) 154,362,574 73,900,335 128,543,908 560,618,244 ============== ============ ============= ============= Net Asset Value, Offering and Redemption Price Per Share (net assets divided by shares outstanding) $ 1.00 $ 1.00 $ 1.00 $ 1.00 ============== ============ ============= =============
- ---------- (1) Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio and Treasury Money Portfolio, respectively. Statements of Operations For the year ended December 31, 1999
Cash NY Tax Tax Free Treasury Management Free Money Money Money ------------ -------------- -------------- ------------- Investment Income Income, net(1) $ 13,517,246 $ 2,511,652 $ 4,449,300 $ 20,234,598 ------------ -------------- ------------- ------------ Expenses Administration and Services Fees 1,492,037 472,960 802,566 2,320,731 Registration Fees 30,788 6,677 12,862 43,787 Printing and Shareholder Reports 12,244 9,264 9,224 14,767 Professional Fees 18,439 18,884 13,671 13,724 Trustees Fees 4,859 4,943 4,254 3,580 Miscellaneous 5,528 4,509 2,539 4,692 ------------ -------------- ------------- ------------ Total Expenses 1,563,895 517,237 845,116 2,401,281 Less: Fee Waivers or Expense Reimbursements (17,602) (44,277) (42,550) (80,550) ------------ -------------- ------------- ------------ Net Expenses 1,546,293 472,960 802,566 2,320,731 ------------ -------------- ------------- ------------ Net Investment Income 11,970,953 2,038,692 3,646,734 17,913,867 Net Realized Gain (Loss) from Investment Transactions 15,016 -- (11,949) (7,263) ------------ -------------- ------------- ------------ Net Increase in Net Assets from Operations $ 11,985,969 $ 2,038,692 $ 3,634,785 $ 17,906,604 ============ ============== ============= ============
- ---------- (1) Allocated from Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio and Treasury Money Portfolio, respectively. See Notes to Financial Statements. 7 BT Investment Funds Statements of Changes in Net Assets
Cash Management NY Tax Free Money ------------------------------------- ------------------------------- For the For the For the For the year ended year ended year ended year ended Dec. 31, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998 ---------------- ----------------- -------------- -------------- Increase (Decrease) in Net Assets from: Operations Net Investment Income $ 11,970,953 $ 7,708,912 $ 2,038,692 $ 2,249,800 Net Realized Gain (Loss) from Investment Transactions 15,016 8,980 -- (472) --------------- --------------- ------------- ------------- Net Increase in Net Assets from Operations 11,985,969 7,717,892 2,038,692 2,249,328 --------------- --------------- ------------- ------------- Distributions to Shareholders Net Investment Income (11,970,953) (7,708,912) (2,038,692) (2,249,800) --------------- --------------- ------------- ------------- Capital Transactions in Shares of Beneficial Interest (at net asset value of $1.00 per share) Proceeds from Sales of Shares 2,664,871,313 2,259,953,184 489,293,922 445,725,331 Dividend Reinvestments 6,343,756 2,767,357 736,268 557,583 Cost of Shares Redeemed (2,749,511,509) (2,168,567,087) (494,002,592) (453,807,595) --------------- --------------- ------------- ------------- Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest (78,296,440) 94,153,454 (3,972,402) (7,524,681) --------------- --------------- ------------- ------------- Total Increase (Decrease) in Net Assets (78,281,424) 94,162,434 (3,972,402) (7,525,153) Net Assets Beginning of Year 232,585,828 138,423,394 77,839,230 85,364,383 --------------- --------------- ------------- ------------- End of Year $ 154,304,404 $ 232,585,828 $ 73,866,828 $ 77,839,230 =============== =============== ============= =============
Tax Free Money Treasury Money ------------------------------------- ------------------------------- For the For the For the For the year ended year ended year ended year ended Dec. 31, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998 ---------------- ----------------- -------------- -------------- Increase (Decrease) in Net Assets from: Operations Net Investment Income $ 3,646,734 $ 4,517,319 $ 17,913,867 $ 18,005,994 Net Realized Gain (Loss) from Investment Transactions (11,949) 2,973 (7,263) 37,012 --------------- --------------- --------------- --------------- Net Increase in Net Assets from Operations 3,634,785 4,520,292 17,906,604 18,043,006 --------------- --------------- --------------- --------------- Distributions to Shareholders Net Investment Income (3,646,734) (4,523,091) (17,913,867) (18,005,994) --------------- --------------- --------------- --------------- Capital Transactions in Shares of Beneficial Interest (at net asset value of $1.00 per share) Proceeds from Sales of Shares 1,376,307,400 1,182,947,705 8,796,821,163 8,475,674,717 Dividend Reinvestments 469,306 837,311 13,049,035 12,551,757 Cost of Shares Redeemed (1,449,379,064) (1,133,170,578) (8,558,044,425) (8,447,626,166) --------------- --------------- --------------- --------------- Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest (72,602,358) 50,614,438 251,825,773 40,600,308 --------------- --------------- --------------- --------------- Total Increase (Decrease) in Net Assets (72,614,307) 50,611,639 251,818,510 40,637,320 Net Assets Beginning of Year 201,094,223 150,482,584 308,910,930 268,273,610 --------------- --------------- --------------- --------------- End of Year $ 128,479,916 $ 201,094,223 $ 560,729,440 $ 308,910,930 =============== =============== =============== ===============
See Notes to Financial Statements. 8 BT Investment Funds 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 presented for each of the Funds.
Cash Management --------------------------------------------------------------------- For the years ended December 31, --------------------------------------------------------------------- 1999 1998 1997 1996 1995 ----------- ----------- ---------- ---------- ---------- Per Share Operating Performance: Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations Net Investment Income 0.04 0.05 0.05 0.05 0.05 Net Realized Gain (Loss) from Investment Transactions 0.00(1) 0.00(1) (0.00)(1) 0.00(1) 0.00(1) ---------- ---------- ---------- ---------- ---------- Total from Investment Operations 0.04 0.05 0.05 0.05 0.05 ---------- ---------- ---------- ---------- ---------- Contributions of Capital -- -- -- 0.00(1) -- ---------- ---------- ---------- ---------- ---------- Distributions to Shareholders Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.05) ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========== ========== ========== ========== ========== Total Investment Return 4.58% 4.93% 4.98% 4.82%(2) 5.35% Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $ 154,304 $ 232,586 $ 138,423 $ 118,969 $ 135,998 Ratios to Average Net Assets: Net Investment Income 4.42% 4.80% 4.88% 4.72% 5.22% Expenses After Waivers, Including Expenses of the Cash Management Portfolio 0.75% 0.75% 0.75% 0.75% 0.74% Expenses Before Waivers, Including Expenses of the Cash Management Portfolio 0.78% 0.81% 0.78% 0.78% 0.76% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.03% 0.06% 0.03% 0.03% 0.02%
NY Tax Free Money --------------------------------------------------------------------- For the years ended December 31, --------------------------------------------------------------------- 1999 1998 1997 1996 1995 ---------- ----------- ---------- ---------- ---------- Per Share Operating Performance: Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 --------- ----------- ---------- --------- --------- Income from Investment Operations Net Investment Income 0.02 0.03 0.03 0.03 0.03 Net Realized Gain (Loss) from Investment Transactions 0.00(1) (0.00)(1) (0.00)(1) (0.00)(1) (0.00)(1) --------- ----------- ---------- --------- --------- Total from Investment Operations 0.02 0.03 0.03 0.03 0.03 --------- ----------- ---------- --------- --------- Distributions to Shareholders Net Investment Income (0.02) (0.03) (0.03) (0.03) (0.03) --------- ----------- ---------- --------- --------- Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========= =========== ========== ========= ========= Total Investment Return 2.41% 2.66% 2.86% 2.68% 3.12% Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $ 73,867 $ 77,839 $ 85,364 $ 75,858 $ 70,765 Ratios to Average Net Assets: Net Investment Income 2.37% 2.63% 2.83% 2.64% 3.07% Expenses After Waivers, Including Expenses of the NY Tax Free Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75% Expenses Before Waivers, Including Expenses of the NY Tax Free Money Portfolio 0.84% 0.85% 0.81% 0.84% 0.82% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.09% 0.10% 0.06% 0.09% 0.07%
- ---------- (1) Less than $0.01 per share. (2) Increased by approximately 0.08% due to Contributions of Capital for the year ended December 31, 1996. See Notes to Financial Statements. 9 BT Investment Funds Financial Highlights
Tax Free Money --------------------------------------------------------------------- For the years ended December 31, --------------------------------------------------------------------- 1999 1998 1997 1996 1995 ----------- ----------- ---------- ---------- ---------- Per Share Operating Performance: Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------- ----------- ---------- ----------- ---------- Income from Investment Operations Net Investment Income 0.02 0.03 0.03 0.03 0.03 Net Realized Gain (Loss) from Investment Transactions (0.00)(1) 0.00(1) (0.00)(1) (0.00)(1) (0.00)(1) ---------- ----------- ---------- ----------- ---------- Total from Investment Operations 0.02 0.03 0.03 0.03 0.03 ---------- ----------- ---------- ----------- ---------- Distributions to Shareholders Net Investment Income (0.02) (0.03) (0.03) (0.03) (0.03) ---------- ----------- ---------- ----------- ---------- Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========== =========== ========== =========== ========== Total Investment Return 2.54% 2.75% 2.94% 2.84% 3.34% Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $ 128,480 $ 201,094 $ 150,483 $ 117,972 $ 119,393 Ratios to Average Net Assets: Net Investment Income 2.50% 2.71% 2.90% 2.80% 3.28% Expenses After Waivers, Including Expenses of the Tax Free Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75% Expenses Before Waivers, Including Expenses of the Tax Free Money Portfolio 0.80% 0.83% 0.80% 0.82% 0.82% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.05% 0.08% 0.05% 0.07% 0.07%
Treasury Money --------------------------------------------------------------------- For the years ended December 31, --------------------------------------------------------------------- 1999 1998 1997 1996 1995 ----------- ----------- ---------- ---------- ---------- Per Share Operating Performance: Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ---------- ---------- ----------- ----------- --------- Income from Investment Operations Net Investment Income 0.04 0.05 0.05 0.05 0.05 Net Realized Gain (Loss) from Investment Transactions (0.00)(1) 0.00(1) (0.00)(1) 0.00(1) 0.00(1) ---------- ---------- ----------- ----------- --------- Total from Investment Operations 0.04 0.05 0.05 0.05 0.05 ---------- ---------- ----------- ----------- --------- Distributions to Shareholders Net Investment Income (0.04) (0.05) (0.05) (0.05) (0.05) ---------- ---------- ----------- ----------- --------- Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ========== ========== =========== =========== ========= Total Investment Return 4.32% 4.76% 4.86% 4.71% 5.19% Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $ 560,729 $ 308,911 $ 268,274 $ 554,716 $ 615,084 Ratios to Average Net Assets: Net Investment Income 4.25% 4.66% 4.74% 4.61% 5.06% Expenses After Waivers, Including Expenses of the Treasury Money Portfolio 0.75% 0.75% 0.75% 0.75% 0.75% Expenses Before Waivers, Including Expenses of the Treasury Money Portfolio 0.77% 0.77% 0.77% 0.76% 0.77% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.02% 0.02% 0.02% 0.01% 0.02%
- ---------- (1) Less than $0.01 per share. See Notes to Financial Statements. 10 BT Investment Funds Notes to Financial Statements Note 1--Organization and Significant Accounting Policies A. Organization BT Investment 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 July 21, 1986, as a business trust under the laws of the Commonwealth of Massachusetts. The Cash Management Fund, NY Tax Free Money Fund, Tax Free Money Fund and Treasury Money Fund (each a "Fund", and collectively, the "Funds") are offered to investors by the Trust. The Funds began operations and offering shares of beneficial interest in securities on the following dates: Commencement of Operations and Beneficial Fund Shares Offering - ----- ----------------- Cash Management October 5, 1988 NY Tax Free Money September 27, 1988 Tax Free Money June 10, 1987 Treasury Money November 1, 1988 Subsequent to the above dates, the Funds began investing substantially all of their investable assets in the following Portfolios: Cash Management Fund in the Cash Management Portfolio, NY Tax Free Money Fund in the NY Tax Free Money Portfolio, Tax Free Money Fund in the Tax Free Money Portfolio, and Treasury Money Fund in the Treasury Money Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The Portfolios are open-end management investment companies registered under the Act. The Funds seek to achieve their investment objectives by investing all of their investable assets in the respective Portfolios. The value of such investment in the Portfolios reflects each Fund's proportionate interest in the net assets of the respective Portfolio. At December 31, 1999, Cash Management Fund's investment was approximately 3% of the Cash Management Portfolio, NY Tax Free Money Fund's and Tax Free Money Fund's investments were approximately 100% of the NY Tax Free Money Portfolio and Tax Free Money Portfolio, respectively and Treasury Money Fund's investment was approximately 22% of the Treasury Money Portfolio. The financial statements of the Portfolio, including a list of assets held, are contained elsewhere in this report and should be read in conjunction with the Fund's financial statements. B. Valuation Valuation of securities by the Portfolios is discussed in Note 1B of the Portfolio's Notes to Financial Statements which are included elsewhere in the report. C. Investment Income Each of the Funds earns income, net of expenses, daily on its investment in the respective Portfolio. All of the net investment income and realized and unrealized gains and losses from the security transactions of each Portfolio are allocated pro rata among the investors in the Portfolio at the time of such determination. D. Distributions It is each Fund's policy to declare dividends daily and pay them monthly to shareholders from net investment income. Dividends payable to shareholders are recorded by each Fund on the ex-dividend date. Distributions of net realized short-term and long-term capital gains, if any, earned by each Fund will be made annually to the extent they exceed capital loss carryforwards. E. Federal Income Taxes It is each 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. The Tax Free Money Fund and the Treasury Money Fund have deferred post October capital losses of $6,496 and $5,963, respectively, to next year. F. Other The Trust accounts separately for the assets, liabilities and operations of each of the funds. Expenses directly attributable to a fund are charged to that fund, while expenses which are attributable to all of the Trust's funds are allocated among them. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect reported amounts in the financial statements. Actual results could differ from those estimates. Note 2--Fees and Transactions with Affiliates Each 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 each of the Funds in return for a fee computed daily and paid monthly at an annual rate of each Fund's average daily net assets. The following is a table of annual rates for each of the Funds for the year ended December 31, 1999. Fund Annual Rate Cash Management .55% NY Tax Free Money .55% Tax Free Money .55% Treasury Money .55% 11 BT Investment Funds Notes to Financial Statements Bankers Trust has contractually agreed to waive its fees through April 30, 2000 and reimburse expenses of each Fund, to the extent necessary, to limit all expenses as a percentage of each Fund's average daily net assets. For the year ended December 31, 1999, the expenses of the respective Funds were limited as follows: Fund Annual Rate(1) Annual Rate(2) - ---- ------------ ------------ Cash Management .57% .75% NY Tax Free Money .55% .75% Tax Free Money .55% .75% Treasury Money .55% .75% - ---------- (1) Excluding Expenses of the Portfolio. (2) Including Expenses of the Portfolio. In 1996, Bankers Trust contributed capital in the amount of $110,287 to reimburse the Cash Management Fund for capital losses incurred in prior years. The 1996 Financial Highlights reflect this information. ICC Distributors, Inc. provides distribution services to the Funds. Note 3--Capital Loss Carryforwards At December 31, 1999, capital loss carryforwards available as a reduction against future net realized capital gains aggregate as follows in the chart below:
Capital Loss Carryforward Net Expiration Year Capital Loss -------------------------------------------------------------- Fund Carryforward 2000 2001 2002 2003 2004 2005 2006 2007 - ----- ------------- ---- ----- ---- ---- ---- ---- ---- ---- Cash Management $58,189 -- -- $56,888 -- -- $1,301 -- -- NY Tax Free Money 19,862 $10,340 $ 739 2,075 $ 1,746 $2,716 1,774 $472 -- Tax Free Money 54,628 -- -- 9,923 25,044 8,495 5,713 -- $5,453 Treasury Money 1,684 -- -- -- -- -- -- -- 1,684
12 BT Investment Funds Report of Independent Accountants To the Trustees and Shareholders of BT Investment Funds In our opinion, the accompanying statements 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 Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money Funds (four of the Funds comprising BT Investment Funds, hereafter referred to as the "Funds") at December 31, 1999, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the fiscal periods presented, in conformity with accounting principles generally accepted in the United States. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1999 by correspondence with the transfer agent, provide a reasonable basis for the opinion expressed above. PricewaterhouseCoopers LLP Baltimore, Maryland February 11, 2000 Tax Information (Unaudited) For the Tax Year Ended December 31, 1999 We are providing this information as required by the Internal Revenue Code. The amounts shown may differ from those elsewhere in this report because of differences between tax and financial reporting requirements. Of ordinary distributions made during the fiscal year ended December 31, 1999, the following Fund's distributions included tax-exempt income: NY Tax Free Money............................ $2,038,692 Tax Free Money............................... $3,646,734 Of ordinary distributions made during the fiscal year ended December 31, 1999, the following percentages have been derived from investments in U.S. Government and Agency Obligations. All or a portion of the distributions from this income may be exempt from taxation at the state level. Consult your tax advisor for state specific information. Cash Management.............................. 2.06% Treasury Money............................... 21.84% 13 Cash Management Portfolio Schedule of Portfolio Investments December 31, 1999 Principal Amount Description Value ------ ----------- ----- Eurodollar Certificates of Deposit - 15.1% Abbey National Treasury Services PLC: $ 22,000,000 5.44%, 3/13/00 $ 22,000,000 50,000,000 6.14%, 3/21/00 50,026,326 Bank of Austria, 65,000,000 5.93%, 2/14/00 64,986,881 Bank of Nova Scotia, 100,000,000 6.39%, 1/06/00 100,000,138 Bank of Scotland, 35,000,000 6.025%, 4/06/00 35,000,457 Banque Bruxelles Lambert: 50,000,000 6.30%, 1/18/00 50,000,234 60,000,000 6.10%, 2/07/00 60,000,610 Bayerische Hypotheka Vereinsbank: 30,000,000 5.57%, 1/20/00 30,000,282 10,000,000 5.58%, 1/21/00 9,997,985 Bayerische Landesbank, 30,000,000 6.02%, 6/05/00 30,001,261 Cariplo Bank, 50,000,000 6.39%, 1/06/00 50,000,069 Commerzbank: 26,000,000 6.10%, 1/18/00 25,984,503 10,000,000 5.21%, 2/18/00 9,996,816 Halifax PLC, 55,000,000 5.50%, 1/10/00 55,000,000 International Nederlander Bank: 20,000,000 5.155%, 2/22/00 19,990,139 30,000,000 5.95%, 2/23/00 29,994,986 Landesbank Baden Wurttemberg: 60,000,000 5.95%, 2/17/00 60,000,000 35,000,000 5.97%, 2/22/00 35,000,498 40,000,000 5.92%, 2/23/00 40,000,000 35,000,000 6.01%, 2/29/00 34,998,813 50,000,000 6.05%, 3/09/00 50,000,930 Landesbank Hessen Thuringen, 10,000,000 5.06%, 2/11/00 9,985,375 Principal Amount Description Value ------ ----------- ----- Norddeutsche Landesbank, $ 50,000,000 6.30%, 1/18/00 $ 50,000,000 -------------- Total Eurodollar Certificates of Deposit (Amortized Cost $922,966,303) 922,966,303 -------------- Yankee Certificates of Deposit - 14.2% Bayerische Hypotheka Vereinsbank: 60,000,000 5.10%, 4/12/00 59,835,823 12,000,000 5.15%, 4/20/00 11,999,743 Cariplo Bank, 30,000,000 5.96%, 2/24/00 30,001,554 Commerzbank: 5,000,000 5.01%, 1/10/00 4,999,457 20,000,000 4.99%, 2/02/00 19,998,839 20,000,000 5.16%, 2/25/00 19,996,567 25,000,000 5.20%, 3/15/00 24,999,475 20,000,000 5.185%, 3/30/00 19,997,653 Credit Suisse First Boston, Inc.: 10,000,000 5.56%, 1/18/00 9,999,756 25,000,000 5.575%, 1/19/00 25,000,061 Credit Agricole Indosuez, 20,000,000 5.285%, 3/01/00 20,002,604 Credit Communal De Belgique, 50,000,000 5.88%, 2/15/00 50,000,000 Dresdner Bank: 10,000,000 5.56%, 1/07/00 9,999,347 40,000,000 5.56%, 1/18/00 40,000,000 Landesbank Hessen Thuringer, 3,000,000 5.215%, 2/29/00 2,999,787 National Westminster Bank, 40,000,000 5.50%, 1/14/00 40,000,000 Norddeutsche Landesbank, 10,000,000 5.35%, 5/24/00 9,997,726 Paribas SA: 65,000,000 6.03%, 2/08/00 65,000,000 40,000,000 5.95%, 2/14/00 39,991,483 Rabobank Nederland NV: 20,000,000 5.02%, 1/12/00 19,997,302 14,000,000 5.14%, 3/20/00 13,992,523 See Notes to Financial Statements. 14 Cash Management Portfolio Schedule of Portfolio Investments December 31, 1999 Principal Amount Description Value ------ ----------- ----- Royal Bank of Canada: $ 13,000,000 5.035%, 2/08/00 $ 12,993,679 15,000,000 5.235%, 3/09/00 14,999,821 5,000,000 5.70%, 7/03/00 4,998,793 Svenska Handelsbanken, 60,000,000 6.30%, 1/10/00 60,000,000 Toronto Dominion Bank: 20,000,000 5.10%, 2/22/00 19,998,764 25,000,000 5.14%, 4/26/00 24,995,410 Union Bank of Switzerland, 15,000,000 5.155%, 2/25/00 14,999,130 Westdeutsche Landesbank Girozentrale: 50,000,000 6.04%, 1/24/00 50,000,000 60,000,000 6.08%, 2/07/00 60,000,000 35,000,000 6.04%, 3/10/00 35,000,000 30,000,000 6.04%, 6/02/00 30,000,000 -------------- Total Yankee Certificates of Deposit (Amortized Cost $866,795,297) 866,795,297 -------------- Certificates of Deposit - 1.7% American Express Centurion Bank, 35,000,000 6.00%, 3/07/00 35,000,000 Bank One, 50,000,000 5.91%, 3/15/00 50,000,000 NationsBank, 7,000,000 4.99%, 1/11/00 6,999,114 Wachovia Corp., 10,000,000 4.90%, 1/10/00 9,999,676 -------------- Total Certificates of Deposit (Amortized Cost $101,998,790) 101,998,790 -------------- Eurodollar Time Deposits - 11.8% ABN Amro, 30,000,000 5.969%, 3/24/00 30,000,000 Bank of Austria, 60,000,000 6.188%, 1/19/00 60,000,000 Caisse Nationale de Credit Agricole, 30,000,000 6.188%, 1/18/00 30,000,000 Chase Manhattan Bank, 200,000,000 5.50%, 1/03/00 200,000,000 Den Danske Bank, 30,000,000 6.125%, 2/25/00 30,000,000 International Nederlander Bank, 30,000,000 5.59%, 1/12/00 30,000,000 Principal Amount Description Value ------ ----------- ----- KBC Bank: $ 31,000,000 6.135%, 1/10/00 $ 31,000,000 10,000,000 5.969%, 5/22/00 10,000,000 Landesbank Baden Wurttemberg, 25,000,000 6.08%, 6/05/00 25,000,000 National Australia Bank, 50,000,000 5.00%, 1/03/00 50,000,000 Norddeutsche Landesbank: 40,000,000 5.95%, 3/23/00 40,000,000 50,000,000 6.00%, 4/10/00 50,000,000 Union Bank of Switzerland, 137,372,154 5.00%, 1/03/00 137,372,154 -------------- Total Eurodollar Time Deposits (Amortized Cost $723,372,154) 723,372,154 -------------- Floating Rate Notes - 19.9% American Express Centurion Bank, Monthly Variable Rate: 20,000,000 6.423%, 3/15/00 20,000,000 25,000,000 6.439%, 4/03/00 25,000,090 Asset Securitization Cooperative Corp., Quarterly Variable Rate: 40,000,000 6.163%, 3/06/00 40,000,000 30,000,000 6.121%, 3/10/00 29,999,440 AT & T Corp., Quarterly Variable Rate, 17,000,000 6.163%, 8/07/00 17,001,993 Bank of Austria, Monthly Variable Rate, 50,000,000 6.363%, 3/15/00 49,992,999 Bank of Scotland, Monthly Variable Rate: 25,000,000 6.373%, 3/15/00 24,997,005 25,000,000 6.379%, 5/10/00 24,993,868 Bayerische Hypotheka Vereinsbank, Monthly Variable Rate: 100,000,000 6.383%, 4/13/00 99,980,301 25,000,000 6.401%, 4/25/00 24,996,125 35,000,000 6.383%, 5/15/00 34,991,207 Bayerische Landesbank, Monthly Variable Rate, 100,000,000 6.359%, 4/10/00 99,980,926 See Notes to Financial Statements. 15 Cash Management Portfolio Schedule of Portfolio Investments December 31, 1999 Principal Amount Description Value ------ ----------- ----- Chase Manhattan Bank, Quarterly Variable Rate: $ 10,000,000 6.176%, 1/12/00 $ 10,000,163 6,000,000 6.306%, 2/28/00 6,002,149 15,000,000 6.398%, 4/20/00 15,010,800 Citigroup, Inc., Quarterly Variable Rate, 10,000,000 6.261%, 2/03/00 10,000,879 Corporate Receivable Corp., Quarterly Variable Rate, 30,000,000 6.031%, 2/16/00 30,000,000 Credit Agricole Indosuez, Monthly Variable Rate: 30,000,000 6.361%, 3/16/00 29,995,743 45,000,000 6.459%, 11/08/00 44,976,984 First Union Bank, Daily Variable Rate, 35,000,000 4.85%, 10/27/00 35,000,000 Ford Motor Credit Corp., Quarterly Variable Rate: 15,000,000 6.174%, 10/02/00 14,993,017 10,000,000 5.566%, 11/27/00 10,006,001 General Electric Capital Corp., Quarterly Variable Rate: 50,000,000 6.126%, 4/12/00 50,000,000 25,000,000 6.014%, 5/12/00 25,000,000 General Motors Acceptance Corp., Quarterly Variable Rate: 7,500,000 6.072%, 2/24/00 7,499,998 20,000,000 6.061%, 2/25/00 20,000,301 J.P. Morgan, Inc., Quarterly Variable Rate: 14,000,000 6.051%, 2/23/00 13,999,887 20,000,000 6.065%, 3/02/00 20,000,191 7,820,000 6.074%, 4/06/00 7,819,998 35,000,000 5.10%, 6/23/00 35,000,000 Key Bank NA, Monthly Variable Rate: 40,000,000 6.49%, 4/18/00 40,000,000 25,000,000 6.421%, 6/26/00 24,992,851 Quarterly Variable Rate, 30,000,000 6.166%, 4/17/00 30,000,000 Principal Amount Description Value ------ ----------- ----- National Rural Utility Corp., Quarterly Variable Rate, $ 12,000,000 6.141%, 6/26/00 $ 11,999,421 NationsBank, Daily Variable Rate, 25,000,000 5.02%, 2/04/00 24,998,998 Norwest Corp., Monthly Variable Rate, 25,000,000 6.499%, 9/07/00 24,989,921 PNC Bank, Monthly Variable Rate: 25,000,000 6.411%, 1/31/00 24,994,791 25,000,000 6.411%, 7/12/00 24,999,189 Societe Generale, Monthly Variable Rate, 60,000,000 6.393%, 5/15/00 59,988,224 Toyota Motor Credit Corp., Quarterly Variable Rate, 17,000,000 6.373%, 10/25/00 17,019,412 US Bank NA, Monthly Variable Rate: 10,000,000 6.513%, 4/18/00 10,002,337 8,000,000 6.531%, 4/26/00 8,000,457 Wells Fargo Bank, Quarterly Variable Rate, 23,000,000 6.064%, 4/26/00 22,994,375 Westpac Capital Corp., Quarterly Variable Rate, 10,000,000 6.076%, 4/17/00 9,998,251 -------------- Total Floating Rate Notes (Amortized Cost $1,212,218,292) 1,212,218,292 -------------- Commercial Paper - 35.6% Aegon Funding Corp.: 60,000,000 5.39%, 2/15/00 59,585,250 10,500,000 5.92%, 3/06/00 10,387,767 28,000,000 5.81%, 3/17/00 27,656,564 35,000,000 5.75%, 3/22/00 34,547,188 Albertson's, Inc., 50,000,000 5.85%, 1/24/00 49,813,125 See Notes to Financial Statements. 16 Cash Management Portfolio Schedule of Portfolio Investments December 31, 1999 Principal Amount Description Value ------ ----------- ----- Alcatel Alsthom, Inc.: $ 15,000,000 5.84%, 3/06/00 $ 14,841,833 11,000,000 5.82%, 3/15/00 10,868,403 Allied Signal, Inc.: 15,000,000 5.30%, 2/01/00 14,931,542 22,000,000 5.90%, 2/15/00 21,837,750 Asset Securitization Cooperative Corp., 30,000,000 6.00%, 1/18/00 29,915,000 BankAmerica Corp., 28,000,000 5.85%, 2/18/00 27,781,600 Barclays Bank PLC, 100,000,000 5.75%, 1/10/00 99,888,194 BBL North America, Inc.: 15,000,000 5.932%, 1/21/00 14,950,571 40,000,000 5.765%, 1/31/00 39,807,833 BellSouth Corp., 12,000,000 5.62%, 2/07/00 11,930,687 British Gas Capital Corp., 20,000,000 5.67%, 2/25/00 19,826,750 British Telecommunications PLC: 55,000,000 5.92%, 3/02/00 54,448,289 50,000,000 5.87%, 3/13/00 49,413,000 Corporate Asset Funding Co., Inc.: 50,000,000 5.93%, 1/18/00 49,859,986 65,000,000 5.95%, 2/18/00 64,484,333 Coca Cola Co., 15,000,000 5.27%, 1/20/00 14,958,279 Corporate Receivables Corp.: 15,000,000 5.89%, 1/27/00 14,936,192 25,000,000 6.07%, 2/08/00 24,839,819 20,000,000 5.87%, 2/10/00 19,869,556 50,000,000 5.945%, 3/15/00 49,388,986 Credit Suisse First Boston, Inc.: 35,000,000 5.79%, 2/07/00 34,791,721 25,000,000 5.79%, 2/14/00 24,823,083 Principal Amount Description Value ------ ----------- ----- Cregem NorthAmerican, $ 65,000,000 5.92%, 2/02/00 $ 64,657,956 Delaware Funding Corp., 30,000,000 5.83%, 2/22/00 29,747,367 Diageo Capital PLC, 40,000,000 5.39%, 1/28/00 39,838,300 Elf Aquitaine Finance, 45,000,000 5.95%, 3/02/00 44,546,313 Emerson Electric Co., 25,000,000 5.27%, 1/31/00 24,890,208 Fortis Bank: 50,000,000 5.893%, 3/14/00 49,402,561 25,000,000 5.91%, 3/15/00 24,696,292 25,000,000 5.89%, 4/03/00 24,619,604 30,000,000 5.735%, 5/09/00 29,383,488 Gannett Co., Inc., 30,000,000 5.97%, 1/28/00 29,865,675 General Electric Capital Corp.: 23,000,000 5.20%, 2/02/00 22,893,689 22,000,000 4.95%, 2/07/00 21,888,075 30,000,000 5.36%, 2/11/00 29,816,867 18,000,000 5.78%, 2/18/00 17,861,280 General Electric Capital Corp. International Funding: 40,000,000 5.31%, 2/15/00 39,734,500 25,000,000 5.77%, 2/22/00 24,791,639 20,000,000 5.77%, 3/08/00 19,785,228 General Motors Acceptance Corp., 15,000,000 5.22%, 1/31/00 14,934,750 Glaxo Wellcome PLC, 46,000,000 5.90%, 2/25/00 45,585,361 Invensys PLC: 25,000,000 5.92%, 1/14/00 24,946,556 13,000,000 5.60%, 2/07/00 12,929,222 J. P. Morgan, Inc.: 10,000,000 6.60%, 1/18/00 9,968,833 20,000,000 5.78%, 3/14/00 19,765,589 See Notes to Financial Statements. 17 Cash Management Portfolio Schedule of Portfolio Investments December 31, 1999 Principal Amount Description Value ------ ----------- ----- National Rural Utility Corp., $ 32,000,000 5.88%, 3/13/00 $31,623,680 Quincy Capital Corp.: 49,867,000 6.04%, 1/21/00 49,699,669 40,000,000 6.10%, 1/27/00 39,823,778 35,470,000 6.09%, 1/31/00 35,289,990 Receivables Capital Corp.: 11,480,000 5.85%, 1/14/00 11,455,749 30,000,000 5.88%, 2/15/00 29,779,500 40,000,000 5.88%, 2/25/00 39,640,667 Rio Tinto America, Inc., 20,678,000 5.91%, 3/03/00 20,467,532 Riverwoods Funding Corp., 15,000,000 6.03%, 1/26/00 14,937,188 Salomon Smith Barney, Inc.: 6,000,000 5.43%, 1/28/00 5,975,565 50,000,000 5.76%, 2/09/00 49,688,000 Santander Finance BV, 30,000,000 5.97%, 2/15/00 29,776,125 SBC Communications, Inc.: 12,500,000 5.84%, 2/10/00 12,418,889 10,000,000 5.70%, 2/22/00 9,917,667 Unifunding, Inc., 50,000,000 5.98%, 2/17/00 49,609,639 Wachovia Corp.: 8,000,000 4.93%, 2/07/00 7,959,464 25,000,000 5.18%, 2/15/00 24,838,125 Windmill Funding Corp.: 25,000,000 5.98%, 1/13/00 24,950,167 20,000,000 5.44%, 1/18/00 19,948,622 57,000,000 5.44%, 1/21/00 56,818,133 25,000,000 5.87%, 1/25/00 24,902,166 25,000,000 5.88%, 2/15/00 24,816,250 -------------- Total Commercial Paper (Amortized Cost $2,171,269,219) 2,171,269,219 -------------- Principal Amount Description Value ------ ----------- ----- Funding Agreements - 3.3% First Allmerica Financial Life Insurance Co., Monthly Variable Rate, $ 55,000,000 4.956%, 4/17/00(1) $55,000,000 GE Life and Annuity Assurance Co., Monthly Variable Rate, 40,000,000 5.289%, 9/01/00(1) 40,000,000 Transamerica Life, Monthly Variable Rate, 35,000,000 4.951%, 6/13/00(2) 35,000,000 Travelers Insurance Co, Monthly Variable Rate: 40,000,000 4.978%, 2/23/00(1) 40,000,000 30,000,000 4.967%, 4/03/00(1) 30,000,000 -------------- Total Funding Agreements (Amortized Cost $200,000,000) 200,000,000 -------------- Deposit Note - 0.3% Bayerische Landesbank, 20,000,000 5.80%, 5/22/00 19,974,166 -------------- Total Deposit Note (Amortized Cost $19,974,166) 19,974,166 -------------- Total Investments (Amortized Cost $6,218,594,221) 101.9% $6,218,594,221 Liabilities in Excess of Other Assets (1.9) (117,876,855) ----- -------------- Net Assets 100.0% $6,100,717,366 ===== ============== - ---------- (1) Illiquid Security. (2) Funding agreement subject to a seven day demand feature. See Notes to Financial Statements. 18 New YorkTax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- New York - 99.2% $ 2,000,000 Buffalo, New York, RAN, Series A, (LOC: Landesbank-Hessen-Thuringen), 4.65%, 7/25/00 $ 2,009,367 2,525,000 Great Neck North, New York Water Authority Water System Revenue, Series A, (FGIC Insured), Variable Rate Weekly Demand Note, 5.45%, 1/1/20 (a) 2,525,000 1,400,000 Long Island Power Authority, New York, Electrical System Revenue, Series 5, (LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%), Variable Rate Daily Demand Note, 4.70%, 5/1/33 (a) 1,400,000 200,000 Long Island Power Authority, New York, Electrical System Revenue, Sub Series 6, (LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%), Variable Rate Daily Demand Note, 4.75%, 5/1/33 (a) 200,000 1,000,000 Long Island Power Authority, New York, Electrical System Revenue, (LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode), 3.75%, 1/18/00 1,000,000 1,000,000 Long Island Power Authority, New York, Electrical System Revenue, (LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode), 3.80%, 1/24/00 1,000,000 1,500,000 Metropolitan Transportation Authority, New York, Series B, (LOC: ABN Amro Bank, N.V.), Tax Exempt Commercial Paper, 3.80%, 1/27/00 1,500,000 1,000,000 Monroe County, New York, G.O., Series B, 3.30%, 3/1/00 1,000,039 1,025,000 Monroe County, New York, G.O., Series B, 5.00%, 3/1/00 1,028,452 1,000,000 Monroe County, New York, G.O., Series A, 4.60%, 6/1/00 1,005,675 1,000,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds, Series E, 4.00%, 7/1/00 1,003,626 2,200,000 Municipal Assistance Corp., New York City, New York, Revenue Bonds, Series G, 5.50%, 7/1/00 2,219,896 200,000 Nassau County, New York, Industrial Development Agency, (Winthrop Hospital), (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.75%, 3/1/28 (a) 200,000 2,500,000 New York City, New York, Housing Development Corporation, (Columbus Apartments Project), (Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 03/15/25 (a) 2,500,000 1,055,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities, Series D, 5.00%, 2/15/00 1,057,018 1,000,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities, Series E, 5.00%, 2/15/00 1,002,043 1,070,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities, Series J, 4.85%, 2/15/00 1,072,294 1,500,000 New York City, New York, G.O., Series 1996A, 7.25%, 3/15/20, (Escrowed in U.S. Government), Prerefunded 3/15/00 @ $101.50 1,534,478 2,000,000 New York City, New York, Health & Hospital Corp., Series A, (LOC: Bank of Nova Scotia), Variable Rate, Weekly Demand Note 5.50%, 2/15/26 (a) 2,000,000 1,900,000 New York City, New York, Sub Series A-10, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.50%, 8/1/16 (a) 1,900,000 400,000 New York City, New York, Transitional Finance Authority Revenue, Series A-2, Variable Rate Weekly Demand Note, 5.45%, 11/15/27 (a) 400,000
See Notes to Financial Statements. 19 New York Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- $ 3,000,000 New York City, New York, Trust for Cultural Research Revenue Bonds, Museum of Broadcasting, (LOC: KBC Bank N.V.), Variable Rate Weekly Demand Note, 5.20%, 5/1/14 (a) $ 3,000,000 250,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note, 4.50%, 10/1/21 (a) 250,000 1,105,000 New York State Dormitory Authority, Cornell University, Revenue Bond, 4.60%, 7/1/00 1,109,554 1,000,000 New York State Dormitory Authority (Sloan Kettering), Series B, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note, 5.50%, 7/1/19 (a) 1,000,000 2,300,000 New York State Dormitory Authority (Sloan Kettering), Series B, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note, 4.95%, 7/1/19 (a) 2,300,000 3,400,000 New York State Dormitory Authority, City University System, Revenue Bond, 7.625%, 7/1/20 (Escrowed in U.S. Government), Prerefunded, 7/1/00 @ $102 3,534,176 1,000,000 New York State Dormitory Authority, New York Public Library, Series B, (MBIA Insured) Variable Rate Weekly Demand Note, 5.55%, 7/1/28 (a) 1,000,000 2,000,000 New York State Dormitory Authority, New York Public Library, Series A, (MBIA Insured) Variable Rate Weekly Demand Note, 5.55%, 7/1/28 (a) 2,000,000 3,360,000 New York State Energy Research and Development Authority, Brooklyn Union Gas, (MBIA Insured), Variable Rate Weekly Demand Note, 5.45%, 12/1/20 (a) 3,360,000 3,300,000 New York State Energy Research and Development Authority, P.C.R., New York State Electric and Gas, (LOC: Bank One), Variable Rate Daily Demand Note, 4.70%, 10/1/29 (a) 3,300,000 100,000 New York State Environmental Facilities Corporation, State Clean Water and Drinking, Pooled Loan, Revenue Bond, 3.90%, 1/15/00 100,027 3,000,000 New York State Housing Finance Agency, Contract Obligation Revenue, Series A, (LOC: Commerzbank), Variable Rate Weekly Demand Note, 5.40%, 3/15/27 (a) 3,000,000 1,000,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A, (LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note, 4.30%, 11/1/10 (a) 1,000,000 1,500,000 New York State Housing Finance Agency, Normandie Court I Project, (LOC: Landesbank- Hessen-Thuringen), Variable Rate Weekly Demand Note, 5.20%, 5/15/15 (a) 1,500,000 2,000,000 New York State Local Government Assistance Corp., Series A, (LOC: Bayerische Landesbank 50%, Westdeutsche Landesbank 50%), Variable Rate Weekly Demand Note, 5.45%, 4/1/22 (a) 2,000,000 1,000,000 New York State Thruway Authority Highway and Bridge, Revenue Bond, Series A, 4.75%, 4/1/00 1,004,094 1,000,000 New York State Thruway Authority Highway and Bridge, Revenue Bond, Series A, 6.00%, 4/1/00 1,007,090 1,000,000 New York State Thruway Authority, General Revenue, (FGIC Insured), Variable Rate Daily Demand Note, 4.90%, 1/1/24 (a) 1,000,000 730,000 New York State Energy Research and Development Authority, P.C.R., (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.65%, 6/1/29 (a) 730,000 1,000,000 New York State, (LOC: Bayerische Landesbank 50%, Landesbank-Hessen-Thuringen 50%), Tax Exempt Commercial Paper, 3.70%, 3/8/00 1,000,000
See Notes to Financial Statements. 20 New York Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- $ 400,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note, 4.50%, 10/1/20 (a) 400,000 2,000,000 New YorkCity, New York, Housing Development Corporation, (Park Gate Apartments), Variable Rate Weekly Demand Note, 5.20%, 10/15/28 (a) 2,000,000 250,000 New York State Environmental Facilities Corporation, State Revolving Fund, (New York City Water Finance), Revenue Bond, 6.70%, 6/15/00 253,261 650,000 New York State Environmental Facilities Corporation, State Revolving Fund, (New York City Water Finance), Revenue Bond, 5.10%, 06/15/00 653,428 2,500,000 New York City, New York, Housing Development Corporation, (Carnegie Park), (Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 11/15/19 (a) 2,500,000 1,500,000 New York City, New York, Water Finance Authority Revenue, Series 5, (LOC: Landesbank-Hessen-Thuringen 33.4%, Westdeutsche Landesbank 33.3%, Bayerische Landesbank 33.3%), Tax Exempt Commercial Paper, 3.80%, 1/21/00 1,500,000 395,000 New York State Environmental Facilities Corporation, State Revolving Fund, Series E, Revenue Bond, 6.10%, 6/15/00 399,032 1,000,000 New York State, Series V, Tax Exempt Commercial Paper, 3.85%, 1/19/00 1,000,000 1,000,000 New York State, Series V, Tax Exempt Commercial Paper, 3.75%, 3/9/00 1,000,000 1,000,000 Sachem Central School District, New York, G.O., 4.00%, 6/29/00 1,002,617 2,000,000 Triborough Bridge and Tunnel Authority, Series C, (AMBAC Insured), Variable Rate Weekly Demand Note, 5.40%, 1/1/13 (a) 2,000,000 ------------ Total Investments (Amortized Cost $73,461,167) 99.2% $ 73,461,167 Other Assets in Excess of Liabilities 0.8 590,530 ----- ------------ Net Assets 100.0% $ 74,051,697 ===== ============
(a) Securities payable on demand, secured by Bank Letter of Credit on other bank credit agreements. This interest rate, which will change periodically, is based on bank prime rates or an index of money interest rates. The following abbreviations are used in portfolio descriptions: AMBAC - American Municipal Bond Assurance Corporation FGIC - Financial Guaranty Insurance Corporation FNMA - Federal National Mortgage Association G.O. - General Obligation LOC - Letter of Credit MBIA - Municipal Bond Investors Assurance P.C.R. - Pollution Control Revenue See Notes to Financial Statements. 21 Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- Arizona - 0.4% $ 500,000 Scottsdale, Arizona, G.O., Series A, 6.50%, 7/1/00 $ 506,524 -------------- Colorado - 0.6% 805,000 Colorado Housing Finance Authority, Multifamily Housing, (Hunters Project), (Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.40%, 10/15/16 (a) 805,000 -------------- Connecticut - 0.4% 500,000 Connecticut State, Unemployment Compensation, Series A, (AMBAC Insured), Revenue Bond, 5.50%, 5/15/00 502,550 -------------- Delaware - 0.8% 1,000,000 Delaware State, G.O., Series B, 5.00%, 5/1/00 1,005,749 -------------- Georgia - 5.0% 1,000,000 Cobb County, Georgia, Housing Authority, (Post Mill Project), (Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 6/1/25 (a) 1,000,000 1,000,000 Macon-Bibb County, Georgia, Hospital Authority Revenue, (Medical Center of Central Georgia), (LOC: SunTrust Bank), Variable Rate Weekly Demand Note, 5.55%, 12/1/18 (a) 1,000,000 500,000 Municipal Electric Authority of Georgia, (LOC: Landesbank-Hessen-Thuringen), Variable Rate Weekly Demand Notes, 5.50%, 1/1/16 (a) 500,000 4,000,000 Smyrna Housing Authority, Multifamily Housing, (F&M Villages Project), (Guaranteed by FNMA), Variable Rate Weekly Demand Note, 5.50%, 6/1/25 (a) 4,000,000 -------------- 6,500,000 -------------- Illinois - 8.6% 3,000,000 Illinois Development Finance Authority, (Jewish Federation), Series B, (AMBAC Insured), Variable Rate Weekly Demand Note, 5.65%, 9/1/23 (a) 3,000,000 1,700,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.), (LOC: Harris Trust and Savings Bank), Variable Rate Weekly Demand Note, 5.35%, 11/15/24 (a) 1,700,000 2,400,000 Illinois Health Facilities Authority, (Northwestern Memorial Hospital), Variable Rate Daily Demand Note, 4.75%, 8/15/25 (a) 2,400,000 2,000,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.), (LOC: Harris Trust and Savings Bank), Variable Rate Weekly Demand Note, 5.35%, 11/15/25 (a) 2,000,000 1,000,000 Illinois State, G.O., (MBIA Insured), 5.375%, 5/1/00 1,006,930 1,000,000 Schaumburg, Illinois, Series A, Variable Rate Weekly Demand Note, 5.40%, 12/1/13 (a) 1,000,000 -------------- 11,106,930 -------------- Indiana - 2.7% 1,000,000 Indiana Health Facilities Authority Revenue, (Ascension Health), Series B, 3.80%, 11/1/19, Mandatory Put - 2/9/00 @ $100 1,000,000 1,000,000 Purdue University, Student Fee Bonds, Series K, Variable Rate Weekly Demand Note, 5.40%, 7/1/20 (a) 1,000,000 1,500,000 Purdue University, Student Fee Bonds, Series L, Variable Rate Weekly Demand Note, 5.40%, 7/1/20 (a) 1,500,000 -------------- 3,500,000 -------------- Kansas - 0.8% 1,000,000 Kansas State, Department of Transportation Highway Revenue, Revenue Bond, 4.60%, 3/1/00 1,002,255 --------------
See Notes to Financial Statements. 22 Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- Louisiana - 0.7% $ 900,000 East Baton Rouge Parish, Louisiana, P.C.R., (Exxon Project), Variable Rate Daily Demand Note, 4.95%, 11/1/19 (a) $ 900,000 -------------- Maine - 0.8% 1,000,000 Maine State Highway, G.O., 4.50%, 6/15/00 1,002,552 -------------- Maryland - 4.0% 2,000,000 Maryland State Health and Higher Educational Facilities Authority, University of Maryland Medical System, (LOC: Bank One), Series F, Variable Rate Weekly Demand Note, 5.35%, 7/1/24 (a) 2,000,000 3,100,000 Montgomery County, Maryland, Tax Exempt Commercial Paper, 3.80%, 1/14/00 3,100,000 -------------- 5,100,000 -------------- Massachusetts - 3.9% 1,000,000 Commonwealth of Massachusetts, Tax Exempt Commercial Paper, 4.40%, 1/20/00 1,000,000 4,000,000 Massachusetts Bay Transportation Authority, RAN, Series A, 3.50%, 2/25/00 4,001,901 -------------- 5,001,901 -------------- Michigan - 5.5% 2,100,000 Michigan State Strategic Fund, Detroit Edison Company, (LOC: Barclays Bank), Variable Rate Daily Demand Note, 4.75%, 9/1/30 (a) 2,100,000 3,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.80%, 1/25/00 3,000,000 2,000,000 University of Michigan, Series B, Tax Exempt Commercial Paper, 3.75%, 1/26/00 2,000,000 -------------- 7,100,000 -------------- Minnesota - 2.3% 1,000,000 Minnesota State, G.O., 4.50%, 6/1/00 1,004,928 2,000,000 University of Minnesota, Series A, Variable Rate Weekly Demand Note, 5.50%, 1/1/34 (a) 2,000,000 -------------- 3,004,928 -------------- Mississippi - 1.2% 1,000,000 Jackson County, Mississippi, Chevron USA Inc. Project, (Guaranteed by Chevron), 3.85%, 6/1/23 mandatory put 5/1/00 @ $100 (a) 1,000,000 500,000 Perry County, Mississippi, Leaf Forest Project, (LOC: Wachovia Bank), Variable Rate Daily Demand Note, 4.70%, 3/1/02 (a) 500,000 -------------- 1,500,000 -------------- Montana - 0.5% 600,000 Forsyth, Montana, P.C.R., (Pacificorp Project), (LOC: Rabobank Nederland), Variable Rate Daily Demand Note, 4.50%, 1/1/18 (a) 600,000 -------------- Nevada - 2.3% 3,000,000 Las Vegas Valley Water District, Nevada, (LOC: Westdeutsche Landesbank), Tax Exempt Commercial Paper, 3.80%, 1/21/00 3,000,000 -------------- New Jersey - 1.6% 2,000,000 New Jersey State, G.O., TRAN, Series D, 3.85%, 1/12/00 2,000,000 -------------- New York - 11.3% 2,000,000 Buffalo, New York, G.O., RAN, Series A, (LOC: Landesbank-Hessen-Thuringen), 4.65%, 7/25/00 2,009,367 1,500,000 Long Island Power Authority, New York, Electrical System Revenue, Series 5, (LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%), Variable Rate Daily Demand Note, 4.70%, 5/1/33 (a) 1,500,000
See Notes to Financial Statements. 23 Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- $ 3,000,000 Long Island Power Authority, New York, Electrical System Revenue, Sub Series 6, (LOC: ABN Amro Bank N.V. 50%, Morgan Guaranty Trust 50%), Variable Rate Daily Demand Note, 4.75%, 5/1/33 (a) $ 3,000,000 1,000,000 Long Island Power Authority, New York, Electrical System Revenue, Sub Series 1, (LOC: Westduetsche Landesbank 50%, Bayerische Landesbank 50%), Variable Rate Daily Demand Note, 5.75%, 5/1/33 (a) 1,000,000 1,500,000 Metropolitan Transportation Authority, New York, (LOC: ABN Amro Bank N.V.), Tax Exempt Commercial Paper, 3.80%, 1/27/00 1,500,000 285,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note, 4.75%, 8/1/21 (a) 285,000 2,000,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, Series A, (FGIC Insured), Variable Rate Daily Demand Note, 4.50%, 6/15/25 (a) 2,000,000 1,900,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, Series G, (FGIC Insured), Variable Rate Daily Demand Note, 4.70%, 6/15/24 (a) 1,900,000 300,000 New York City, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note, 4.50%, 10/1/21 (a) 300,000 1,115,000 New York City, New York, G.O., Sub Series B-2, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 5.00%, 8/1/18 (a) 1,115,000 -------------- 14,609,367 -------------- North Carolina - 1.4% 1,000,000 Charlotte-Mecklenberg Hospital Authority, North Carolina, Health Care System Revenue, Series D, Variable Rate Weekly Demand Note, 5.15%, 1/15/26 (a) 1,000,000 800,000 North Carolina Medical Care Commission, Moses H. Cone Memorial Hospital Project, Variable Rate Weekly Demand Note, 5.45%, 10/1/23 (a) 800,000 -------------- 1,800,000 -------------- Ohio - 4.7% 500,000 Ohio State, Air Quality Development Authority, Series A, (LOC: UBS AG), Variable Rate Daily Demand Note, 4.50%, 12/1/15 (a) 500,000 1,000,000 Ohio State, Air Quality Development Authority, Series A, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note, 4.50%, 12/1/15 (a) 1,000,000 1,300,000 Ohio State, G.O., Natural Resource Capital Facilities, Series D, 4.00%, 4/1/00 1,302,194 3,200,000 Ohio State University General Receipts, Variable Rate Weekly Demand Note, 4.90%, 12/1/07 (a) 3,200,000 -------------- 6,002,194 -------------- Pennsylvania - 3.6% 300,000 Delaware County, Pennsylvania, Industrial Development Authority, P.C.R., Philadelphia Electric Company, (LOC: Toronto Dominion Bank), Variable Rate Weekly Demand Note, 4.70%, 8/1/16 (a) 300,000 500,000 Lehigh County, Pennsylvania, I.D.A., Allegheny Electric, (LOC: Rabobank Nederland), Variable Rate Monthly Demand Note, 3.85%, 6/1/14 (a) 500,000 1,700,000 Pennsylvania State, Higher Educational Facilities Authority, (Carnegie Mellon University), Series C, Variable Rate Daily Demand Note, 4.80%, 11/1/29 (a) 1,700,000 2,200,000 York County, Pennsylvania, Industrial Development Authority, P.C.R., Philadelphia Electric Company, (LOC: Toronto Dominion Bank), Variable Rate Daily Demand Note, 4.70%, 8/1/16 (a) 2,200,000 -------------- 4,700,000 --------------
See Notes to Financial Statements. 24 Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- South Carolina - 3.0% $ 2,900,000 Rock Hill, South Carolina, Combined Utility System Revenue, Series B, (AMBAC Insured),Variable Rate Weekly Demand Note, 5.15%, 1/1/23 (a) $ 2,900,000 1,000,000 South Carolina State, G.O., Capital Improvement, Series A, 5.50%, 4/1/00 1,004,515 -------------- 3,904,515 -------------- Tennessee - 2.3% 3,000,000 Metropolitan Nashville Airport Authority, Tennessee, Series B, (LOC: Bayerische Landesbank), Variable Rate Daily Demand Note, 4.80%, 10/1/12 (a) 3,000,000 -------------- Texas - 12.7% 2,000,000 City of Houston, Texas, G.O., Series B, Tax Exempt Commercial Paper, 3.80%, 1/21/00 2,000,000 1,000,000 City of Houston, Texas, G.O., Series C, Tax Exempt Commercial Paper, 3.90%, 1/20/00 1,000,000 3,000,000 Harris County, Texas, Series A, Tax Exempt Commercial Paper, 3.80%, 1/21/00 3,000,000 1,100,000 Harris County, Texas, Series C, Tax Exempt Commercial Paper, 4.10%, 1/11/00 1,100,000 2,000,000 Southwest Higher Education Authority Inc., Southern Methodist University, Project B, (LOC: Landesbank-Hessen -Thuringen), Variable Rate Weekly Demand Note, 5.65%, 10/1/29 (a) 2,000,000 565,000 Texas Small Business Industrial Development Corporation, Texas Public Facilities Capital Access, (LOC: KBC Bank N.V.), Variable Rate Weekly Demand Note, 5.55%, 7/1/26 (a) 565,000 5,000,000 Texas State, TRAN, 4.50%, 8/31/00 5,023,739 1,500,000 University of Texas, Texas, Tax Exempt Commercial Paper, 3.30%, 2/7/00 1,500,000 218,000 University of Texas, Texas, Tax Exempt Commercial Paper, 4.00%, 2/7/00 218,000 -------------- 16,406,739 -------------- Utah - 3.8% 3,360,000 Salt Lake City, Utah, G.O., 5.00%, 6/15/00 3,378,757 1,500,000 Utah State, G.O., 4.70%, 7/1/00 1,506,880 -------------- 4,885,637 -------------- Vermont - 3.7% 4,735,000 Vermont I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion Bank), Variable Rate Monthly Demand Note, 3.90%, 12/1/13 (a) 4,735,000 -------------- Virginia - 0.8% 1,020,000 Virginia State, Public School Authority, G.O., Series C, 5.00%, 8/1/00 1,026,857 -------------- Wisconsin - 1.3% 1,150,000 La Crosse, Wisconsin, P.C.R., (Dairyland Power Coop), Series B, (AMBAC Insured), Variable Rate Daily Demand Note, 5.00%, 2/1/15 (a) 1,150,000 500,000 Milwaukee, Wisconsin, G.O., 5.00%, 2/1/00 500,766 -------------- 1,650,766 -------------- Wyoming - 8.6% 2,300,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily Demand Note, 4.70%, 11/1/14 (a) 2,300,000 500,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily Demand Note, 4.70%, 11/1/14 500,000 300,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily Demand Note, 4.70%, 11/1/14 300,000
See Notes to Financial Statements. 25 Tax Free Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- $ 200,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily Demand Note, 4.70%, 11/1/14 $ 200,000 3,300,000 Platte County, Wyoming, P.C.R., Tri-State G&T, (LOC: National Rural Utilities Corporation), Variable Rate Daily Demand Note, 4.50%, 7/1/14 (a) 3,300,000 4,500,000 Wyoming State, TRAN, 4.00%, 6/27/00 4,510,326 -------------- 11,110,326 -------------- Total Investments (Amortized Cost $127,969,790) 99.3% $ 127,969,790 Other Assets in Excess of Liabilities 0.7% 866,613 ----- -------------- Net Assets 100.0% $ 128,836,403 ===== ==============
(a) Securities payable on demand, secured by bank Letters of Credit or other bank credit agreements. This interest rate, which will change periodically, is based on bank prime rates or an index of market interest rates. The following abbreviations are used in portfolio descriptions: AMBAC - American Municipal Bond Assurance Corporation FGIC - Financial Guaranty Insurance Corporation FNMA - Federal National Mortgage Association G.O. - General Obligation I.D.A. - Industrial Development Authority LOC - Letter of Credit MBIA - Municipal Bond Investors Assurance P.C.R. - Pollution Control Revenue RAN - Revenue Anticipation Note TRAN - Tax and Revenue Anticipation Note See Notes to Financial Statements. 26 Treasury Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- U.S. Treasury Bills - 12.4% $ 125,000,000 4.76%, 1/13/00 $ 124,796,673 50,000,000 5.135%, 1/13/00 49,890,869 50,000,000 5.375%, 3/23/00 49,387,847 90,000,000 5.28%, 3/30/00 88,825,200 -------------- Total U.S. Treasury Bills (Amortized Cost $312,900,589) 312,900,589 -------------- U.S. Treasury Notes - 15.2% 24,000,000 7.75%, 1/31/00 24,055,779 93,000,000 5.875%, 2/15/00 93,100,854 147,000,000 7.125%, 2/29/00 147,458,484 30,000,000 6.875%, 3/31/00 30,111,754 35,000,000 5.50%, 5/31/00 35,008,891 56,000,000 6.25%, 5/31/00 56,147,684 -------------- Total U.S. Treasury Notes (Amortized Cost $385,883,446) 385,883,446 -------------- Repurchase Agreements(2) - 71.9% 250,000,000 Tri-Party Repurchase Agreement with Banque Paribas, Dated 12/31/99, 3.20%, principal and interest in the amount of $250,066,667 due 1/3/2000 (Collateralized by U.S. Treasury Strips(1), par value of $1,299,000, coupon rates 6.454% to 6.848%, due from 11/15/00 to 8/15/10,value of $753,495; U.S. Treasury Notes, par value of $179,551,000, coupon rates of 5.375% to 7.00%, due from 2/29/00 to 8/15/09, value of $182,016,009; U.S.Treasury Bond, par value $15,300,000, coupon rate of 6.125%, due 11/15/27, value of $14,436,612; U.S. Treasury Bill, par value $61,800,000, coupon rate of 5.63%, due 11/9/00, value of $58,784,160) 250,000,000 70,000,000 Tri-Party Repurchase Agreement with Banque Paribas, Dated 11/8/99, 5.31%, principal and interest in the amount of $70,949,900 due 2/8/00 (Collateralized by U.S. Treasury Strips(1), par value of $65,000, coupon rate of 7.067%, due 2/15/10, value of $33,102; U.S.Treasury Strips(1), par value of $35,000, coupon rate 6.347%, due 10/31/02 value of $29,167; U.S. Treasury Notes, par value $63,092,000, coupon rates 4.00% to 6.625%, due 8/15/00 to 8/15/07, value of $64,471,579; U.S. Treasury Bonds, par value $6,484,000, coupon rates 7.50% to 11.75%, due from 2/15/01 to 11/15/16, value of $7,030,826) 70,000,000 25,000,000 Tri-Party Repurchase Agreement with Credit Suisse First Boston, Dated 12/31/99, 3.00% principal and interest in the amount of $25,006,250 due 1/3/00 (Collateralized by U.S. Treasury Note, par value of $26,025,000, coupon rate of 5.75% due 6/30/01, value of $25,878,741) 25,000,000 70,000,000 Tri-Party Repurchase Agreement with Credit Suisse First Boston, Dated 10/8/99, 5.35%, principal and interest in the amount of $71,196,319 due 1/31/00 (Collateralized by U.S. Treasury Bill, par value of $150,000, coupon rate of 5.091%, due 2/3/00, value of $149,314; U.S. Treasury Strips(1), par value $50,071,854, coupon rates from 5.402% to 6.935%, due from 2/15/00 to 8/15/20, value of $40,472,577; U.S. Treasury Strips(1) principal, par value $109,600,311, coupon rates from 8.750% to 11.625%, due from 11/15/04 to 5/15/20 value of $31,825,214) 70,000,000 90,000,000 Tri-Party Repurchase Agreement with Goldman Sachs and Company, Dated 9/21/1999, 5.37% principal and interest in the amount of $91,892,925 due 2/9/00 (Collateralized by U.S. Treasury Notes, par value $73,377,000, coupon rates of 5.50% to 8.50%, due from 1/31/00 to 5/31/03, value of $74,538,780; U.S. Treasury Bond, par value $4,586,000, coupon rate of 7.875%, due 11/15/07, value of $4,787,151; U.S. Treasury Bills, par value $12,654,000, coupon rates of 5.16 to 5.52%, due from 1/20/00 to 7/20/00, value of $12,474,752) 90,000,000
See Notes to Financial Statements. 27 Treasury Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- $ 100,000,000 Tri-Party Repurchase Agreement with Greenwich Capital, Inc., Dated 12/31/99, 3.00% principal and interest in the amount of $100,025,000 due 1/3/00 (Collateralized by Federal National Mortgage Association Discount Notes, par value of $104,822,000, coupon rates from 5.125% to 6.625%, due from 3/15/01 to 9/15/09, value of $102,004,550) $ 100,000,000 25,000,000 Tri-Party Repurchase Agreement with J.P. Morgan, Inc., Dated 12/31/99, 3.00% principal and interest in the amount of $25,006,250 due 1/3/00 (Collateralized by U.S. Treasury Note, par value of $24,578,000, coupon rate of 7.5%, due 5/15/02, value of $25,500,290) 25,000,000 70,000,000 Tri-Party Repurchase Agreement with J.P. Morgan, Inc., Dated 12/31/99, 5.15% principal and interest in the amount of $70,030,042, due 1/3/00 (Collateralized by U.S. Treasury Notes, par value $ 71,212,000, coupon rates from 4.50% to 6.25%, due from 9/30/00 to 4/30/01, value of $71,400,427) 70,000,000 102,759,572 Tri-Party Repurchase Agreement with Merrill Lynch & Co., Dated 12/31/99, 3.30% principal and interest in the amount of $102,787,831, due 1/3/00 (Collateralized by U.S. Treasury Strips(1) principal, par value of $237,430,000, coupon rates from 5.402% to 6.95%, due from 2/15/00 to 2/15/29, value of $104,795,291; U.S. Treasury Strips(1), par value $43,000, coupon rate of 11.75%, due 11/15/14, value of $22,029) 102,759,572 25,000,000 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter, Dated 12/31/99, 3.00% principal and interest in the amount of $25,006,250, due on 1/3/00 (Collateralized by U.S. Treasury Bond, par value of $23,730,000, coupon rate of 7.50%, due 11/15/16, value of $25,725,171) 25,000,000 120,000,000 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter, Dated 12/31/99, 3.25%, principal and interest in the amount of $120,032,500, due 1/3/00 (Collateralized by U.S. Treasury Note, par value of $120,220,000 coupon rate of 6.00%, due 8/15/00, value of $123,004,776) 120,000,000 70,000,000 Tri-Party Repurchase Agreement with Morgan Stanley Dean Witter, Dated 11/5/99, 5.35%, principal and interest in the amount of $70,582,556 due 2/3/00(Collateralized by U.S. Treasury Note, par value of $ 70,075,000, coupon rate of 6.625%, due 4/30/02, value of $71,485,203) 70,000,000 300,000,000 Tri-Party Repurchase Agreement with Salomon Smith Barney, Dated 12/31/99, 3.00%, principal and interest in the amount of $300,075,000 due 1/3/00 (Collateralized by U.S. Treasury Note, par value of $1,125,000, coupon rate of 4.75%, due 11/15/08,value of $1,003,301; U.S. Treasury Bonds, par value $259,855,000, coupon rates of 5.25% to 14.25%, due from 5/15/01 to 2/15/29, value of $305,965,161) 300,000,000 75,000,000 Tri-Party Repurchase Agreement with Salomon Smith Barney, Dated 12/31/99, 3.25%, principal and interest in the amount of $75,020,313 due 1/3/00 (Collateralized by U.S. Treasury Note, par value of $76,605,000, coupon rate of 6.125%, due 12/31/01 value of $76,521,194) 75,000,000 30,000,000 Tri-Party Repurchase Agreement with Swiss Bank, Dated 12/31/99, 3.00%, principal and interest in the amount of $30,007,500, due 1/3/00 (Collateralized by U.S. Treasury Strips(1), par value of $90,606,000, coupon rates of 6.91% to 6.918%, due from 5/15/13 to 2/15/17, value of $30,600,732) 30,000,000 25,000,000 Tri-Party Repurchase Agreement with Swiss Bank, Dated 12/31/99, 3.25%, principal and interest in the amount of $25,006,771 due 1/3/00 (Collateralized by U.S. Treasury Strips(1), par value of $62,395,000, coupon rate of 6.91%, due 5/15/13, value of $25,501,891) 25,000,000
See Notes to Financial Statements. 28 Treasury Money Portfolio Schedule of Portfolio Investments December 31, 1999
Principal Amount Description Value ------ ----------- ----- $ 70,000,000 Tri-Party Repurchase Agreement with Swiss Bank, Dated 10/28/99, 5.39%, principal and interest in the amount of $71,152,861 due 2/15/00 (Collateralized by U.S. Treasury Strips(1), par value of $192,203,000, coupon rates of 6.848% to 6.935%, due from 8/15/10 to 5/15/19, value of $71,401,489) $ 70,000,000 300,000,000 Open Tri-Party Repurchase Agreement with Westdeutsche Landesbank, Dated 7/22/99, 4.94%, Daily Variable Rate, principal amount of $300,000,000, interest amount varies dependent on rate, due 1/3/00 (Collateralized by U.S. Treasury Notes, par value of $153,600,000, coupon rates of 4.75% to 5.125%, due from 8/31/00 to 11/15/08, value of $149,011,419; U.S.Treasury Bonds, par value $132,422,000, coupon rates of 7.25% to 8.875%, due from 11/15/08 to 08/15/22, value of $156,988,694) 300,000,000 -------------- Total Repurchase Agreements (Amortized Cost $1,817,759,572) 1,817,759,572 -------------- Total Investments (Amortized Cost $2,516,543,607) 99.5% $2,516,543,607 Other Assets in Excess of Liabilities 0.5 12,760,808 ----- -------------- Net Assets 100.0% $2,529,304,415 ===== ==============
- ---------- (1) Reflects rate as of December 31, 1999. (2) Market value disclosed for collateral on repurchase agreements is as of December 31, 1999. The term repurchase agreements are subject to a seven day demand feature. See Notes to Financial Statements. 29 Portfolios Statements of Assets and Liabilities December 31, 1999
Cash NY Tax Tax Free Treasury Management Free Money Money Money -------------- ------------ ------------- -------------- Assets Investments at Amortized Cost $6,218,594,221 $73,461,167 $127,969,790 $2,516,543,607 Cash 2,473,605 35,286 66,173 1,460,308 Interest Receivable 43,756,797 584,535 840,720 11,633,953 -------------- ----------- ------------ -------------- Total Assets 6,264,824,623 74,080,988 128,876,683 2,529,637,868 -------------- ----------- ------------ -------------- Liabilities Due to Bankers Trust 1,062,715 6,956 9,228 320,743 Payable for Securities Purchased 163,014,298 -- -- -- Accrued Expenses and Other 30,244 22,335 31,052 12,710 -------------- ----------- ------------ -------------- Total Liabilities 164,107,257 29,291 40,280 333,453 -------------- ----------- ------------ -------------- Net Assets $6,100,717,366 $74,051,697 $128,836,403 $2,529,304,415 ============== =========== ============ ============== Composition of Net Assets Paid-in Capital 6,100,717,366 74,051,697 128,836,403 2,529,304,415 -------------- ----------- ------------ -------------- Net Assets $6,100,717,366 $74,051,697 $128,836,403 $2,529,304,415 ============== =========== ============ ==============
Statements of Operations For the year ended December 31, 1999
Cash NY Tax Tax Free Treasury Management Free Money Money Money -------------- ------------ ------------- -------------- Investment Income Interest $ 369,010,216 $ 2,685,740 $ 4,741,744 $ 106,697,436 ------------- ------------ ------------ --------------- Expenses Advisory Fees 10,613,250 127,794 219,330 3,225,042 Administration and Services Fees 3,539,131 47,758 78,598 1,075,014 Professional Fees 22,160 23,944 15,816 25,585 Trustees Fees 5,190 7,899 5,364 5,186 Miscellaneous 1,625 1,256 1,630 59,636 ------------- ------------ ------------ --------------- Total Expenses 14,181,356 208,651 320,738 4,390,463 Less: Fee Waivers or Expense Reimbursements (1,445,608) (34,455) (28,298) (90,240) ------------- ------------ ------------ --------------- Net Expenses 12,735,748 174,196 292,440 4,300,223 ------------- ------------ ------------ --------------- Net Investment Income 356,274,468 2,511,544 4,449,304 102,397,213 Net Realized Gain (Loss) from Investment Transactions 441,562 -- (11,949) (23,699) ------------- ------------ ------------ --------------- Net Increase in Net Assets from Operations $ 356,716,030 $ 2,511,544 $ 4,437,355 $ 102,373,514 ============= ============ ============ ===============
See Notes to Financial Statements. 30 Portfolios Statements of Changes in Net Assets
Cash Management NY Tax Free Money ----------------------------------------- ------------------------------- For the For the For the For the year ended year ended year ended year ended Dec. 31, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998 ------------------ ----------------- ------------- -------------- Increase (Decrease) in Net Assets from: Operations Net Investment Income $ 356,274,468 $ 286,987,238 $ 2,511,544 $ 2,720,676 Net Realized Gain (Loss) from Investment Transactions 441,562 320,470 -- (472) ---------------- ----------------- ------------- ------------ Net Increase in Net Assets from Operations 356,716,030 287,307,708 2,511,544 2,720,204 ---------------- ----------------- ------------- ------------ Capital Transactions Proceeds from Capital Invested 39,802,568,271 85,829,057,272 242,825,826 445,882,258 Value of Capital Withdrawn (39,522,819,924) (84,691,836,966) (249,339,971) (456,159,159) ---------------- ----------------- ------------- ------------ Net Increase (Decrease) in Net Assets from Capital Transactions 279,748,347 1,137,220,306 (6,514,145) (10,276,901) ---------------- ----------------- ------------- ------------ Total Increase (Decrease) in Net Assets 636,464,377 1,424,528,013 (4,002,601) (7,556,697) Net Assets Beginning of Year 5,464,252,989 4,039,724,975 78,054,298 85,610,995 ---------------- ----------------- ------------- ------------ End of Year $ 6,100,717,366 $ 5,464,252,989 $ 74,051,697 $ 78,054,298 ================ ================= ============= =============
Tax Free Money Treasury Money ------------------------------------- --------------------------------- For the For the For the For the year ended year ended year ended year ended Dec. 31, 1999 Dec. 31, 1998 Dec. 31, 1999 Dec. 31, 1998 ----------------- ----------------- ------------- -------------- Increase (Decrease) in Net Assets from: Operations Net Investment Income $ 4,449,304 $ 5,433,301 $ 102,397,213 $ 127,099,237 Net Realized Gain (Loss) from Investment Transactions (11,949) 2,973 (23,699) 236,294 ------------- ----------------- ---------------- ----------------- Net Increase in Net Assets from Operations 4,437,355 5,436,274 102,373,514 127,335,531 ------------- ----------------- ---------------- ----------------- Capital Transactions Proceeds from Capital Invested 631,527,088 1,183,260,739 9,551,486,107 23,769,168,473 Value of Capital Withdrawn (708,729,284) (1,137,974,531) (9,163,201,635) (23,977,157,512) ------------- ----------------- ---------------- ----------------- Net Increase (Decrease) in Net Assets from Capital Transactions (77,202,196) 45,286,208 388,284,472 (207,989,039) ------------- ----------------- ---------------- ----------------- Total Increase (Decrease) in Net Assets (72,764,841) 50,722,482 490,657,986 (80,653,508) Net Assets Beginning of Year 201,601,244 150,878,762 2,038,646,429 2,119,299,937 ------------- ----------------- ---------------- ----------------- End of Year $ 128,836,403 $ 201,601,244 $ 2,529,304,415 $ 2,038,646,429 ============= ================= ================ =================
See Notes to Financial Statements. 31 Portfolios Financial Highlights Contained below are selected ratios and supplemental data for each of the years indicated for each of the Portfolios.
Cash Management ----------------------------------------------------------------------------------- For the years ended December 31, ----------------------------------------------------------------------------------- 1999 1998 1997 1996 1995 ------------- ------------- ------------- ------------- ------------- Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $6,100,717 $5,464,253 $4,039,725 $3,261,910 $2,615,932 Ratios to Average Net Assets: Net Investment Income 5.04% 5.37% 5.43% 5.27% 5.77% Expenses After Waivers 0.18% 0.18% 0.18% 0.18% 0.18% Expenses Before Waivers 0.20% 0.20% 0.20% 0.20% 0.20% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.02% 0.02% 0.02% 0.02% 0.02%
NY Tax Free Money ----------------------------------------------------------------------------------- For the years ended December 31, ----------------------------------------------------------------------------------- 1999 1998 1997 1996 1995 ------------- ------------- ------------- ------------- ------------- Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $ 74,052 $ 78,054 $ 85,611 $ 76,033 $ 70,933 Ratios to Average Net Assets: Net Investment Income 2.92% 3.17% 3.37% 3.18% 3.62% Expenses After Waivers 0.20% 0.20% 0.20% 0.20% 0.20% Expenses Before Waivers 0.24% 0.25% 0.23% 0.25% 0.24% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.04% 0.05% 0.03% 0.05% 0.04%
Tax Free Money ----------------------------------------------------------------------------------- For the years ended December 31, ----------------------------------------------------------------------------------- 1999 1998 1997 1996 1995 ------------- ------------ ------------- ------------- ------------- Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $ 128,836 $ 201,601 $ 150,879 $ 117,714 $ 119,703 Ratios to Average Net Assets: Net Investment Income 3.04% 3.26% 3.45% 3.34% 3.82% Expenses After Waivers 0.20% 0.20% 0.20% 0.20% 0.20% Expenses Before Waivers 0.22% 0.24% 0.22% 0.24% 0.23% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.02% 0.04% 0.02% 0.04% 0.03%
Treasury Money ----------------------------------------------------------------------------------- For the years ended December 31, ----------------------------------------------------------------------------------- 1999 1998 1997 1996 1995 ------------- ------------- ------------- ------------- ------------- Supplemental Data and Ratios: Net Assets, End of Year (000s omitted) $2,529,304 $2,038,646 $2,119,300 $1,979,713 $1,941,082 Ratios to Average Net Assets: Net Investment Income 4.76% 5.23% 5.29% 5.14% 5.58% Expenses After Waivers 0.20% 0.20% 0.20% 0.20% 0.20% Expenses Before Waivers 0.20% 0.20% 0.20% 0.20% 0.21% Decrease Reflected in Above Expense Ratios Due to Fee Waivers or Expense Reimbursements 0.00%(1) 0.00%(1) 0.00%(1) 0.00%(1) 0.01%
- ---------- (1) Less than 0.01%. See Notes to Financial Statements. 32 Portfolios Notes to Financial Statements Note 1--Organization and Significant Accounting Policies A. Organization Cash Management Portfolio, NY Tax Free Money Portfolio, Tax Free Money Portfolio and Treasury Money Portfolio (each a "Portfolio", and collectively, the "Portfolios") are registered under the Investment Company Act of 1940 (the "Act"), as amended, as open-end management investment companies. The portfolios were organized as an unincorporated trust under the laws of New York and began operations as follows: Organization Commencement Portfolio Date of Operations - --------- ------------- --------------- Cash Management March 26, 1990 July 23, 1990 NY Tax Free Money March 26, 1990 February 19, 1991 Tax Free Money March 26, 1990 February 19, 1991 Treasury Money March 26, 1990 July 23, 1990 The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue shares of beneficial interest in the Portfolios. 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 each 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 Portfolios are allocated pro rata among the investors in the respective Portfolios at the time of such determination. D. Repurchase Agreements Each of the Portfolios may enter into repurchase agreements with financial institutions deemed to be creditworthy by the Portfolios' 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 Portfolios' custodian, and, pursuant to the terms of the repurchase agreement, must have an aggregate market value greater than or equal to the repurchase price plus accrued interest at all times. If the value of the underlying securities falls below the value of the repurchase price plus accrued interest, the Portfolio 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 Portfolios maintain 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. A repurchase agreement is a short-term investment in which the Fund buys a debt security that the broker agrees to purchase at a set time and price. 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. E. Federal Income Taxes Each Portfolio is considered to be a partnership under the Internal Revenue Code. Therefore, no federal income tax provision is required on the Portfolios. 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 Each Portfolio has entered in 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 each of the Portfolios in return for a fee computed daily and paid monthly at an annual rate of the Portfolio's average daily net assets. The following provides a table of annual rates for each of the respective Portfolios at December 31, 1999: Annual Portfolio Rate - -------- -------- Cash Management .05% NY Tax Free Money .05% Tax Free Money .05% Treasury Money .05% Each Portfolio has entered into an Advisory Agreement with Bankers Trust. Under this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid monthly at an annual rate of the Portfolio's average daily net assets. The following provides a table of annual rates for each of the respective Portfolios at December 31, 1999: Annual Portfolio Rate - -------- -------- Cash Management .15% NY Tax Free Money .15% Tax Free Money .15% Treasury Money .15% Bankers Trust has contractually agreed through April 30, 2000 to waive its fees and reimburse expenses of each 33 Portfolios Notes to Financial Statements Portfolio, to the extent necessary, to limit all expenses based upon an annual rate of the average daily net assets of the Portfolio. For the year ended December 31, 1999, the expenses of the respective Portfolios were limited as follows: Fund Annual Rate - -------- -------- Cash Management .18% NY Tax Free Money .20% Tax Free Money .20% Treasury Money .20% At December 31, 1999, the Portfolios were participants 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 these funds under the credit facility for the year ended December 31, 1999. In 1996, Bankers Trust contributed capital in the amount of $1,113,488 to reimburse the Cash Management Portfolio for capital losses in prior years. 34 Portfolios Report of Independent Accountants To the Trustees and Holders of Beneficial Interest of BT Portfolios In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money Portfolios (four of the Portfolios comprising BT Portfolios, hereafter referred to as the "Portfolios") at December 31, 1999, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the fiscal periods presented, in conformity with accounting principles generally accepted in the United States. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 1999 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above. PricewaterhouseCoopers LLP Baltimore, Maryland February 11, 2000 35 Cash Management Fund Proxy Results (unaudited) For the year ended December 31, 1999, the Bankers Trust Investment 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 Investment Funds Board of Trustees. Shares Shares Voted Voted Withheld For Authority ---------- ------------ Mr. Charles P. Biggar 326,000,196 670,551 Mr. S. Leland Dill 326,000,196 670,551 Mr. Richard T. Hale 326,000,196 670,551 Mr. Bruce E. Langton 326,000,196 670,551 Mr. Philip Saunders, Jr. 326,000,196 670,551 Mr. Harry Van Benschoten 326,000,196 670,551 Dr. Martin J. Gruber 326,000,196 670,551 Dr. Richard J. Herring 326,000,196 670,551 2. To approve the New Investment Advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 326,661,693 9,054 -- 3. To ratify the selection of PricewaterhouseCoopers LLP as the independent accountants of the Fund and its corresponding Portfolio. For Against Abstain -------- ------- -------- 326,003,303 667,444 -- 36 Treasury Money Fund Proxy Results (unaudited) For the year ended December 31, 1999, the Bankers Trust Investment 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 Investment Funds Board of Trustees. Shares Shares Voted Voted Withheld For Authority ---------- ------------ Mr. Charles P. Biggar 316,471,331 56,391 Mr. S. Leland Dill 316,471,331 56,391 Mr. Richard T. Hale 316,506,410 21,312 Mr. Bruce E. Langton 316,471,331 56,391 Mr. Philip Saunders, Jr. 316,506,410 21,312 Mr. Harry Van Benschoten 316,471,331 56,391 Dr. Martin J. Gruber 316,506,410 21,312 Dr. Richard J. Herring 316,506,410 21,312 2. To approve the New Investment Advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 316,274,053 134,291 119,378 3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc. For Against Abstain -------- ------- -------- 315,970,455 289,299 267,968 4. To approve the New Investment Sub-advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 316,119,955 134,291 273,476 5. To ratify the selection of PricewaterhouseCoopers LLP as the independent accountants of the Fund and its corresponding Portfolio. For Against Abstain -------- ------- -------- 269,577,002 46,831,342 119,378 37 New York Tax Free Money Fund Proxy Results (unaudited) For the year ended December 31, 1999, the Bankers Trust Investment 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 Investment Funds Board of Trustees. Shares Shares Voted Voted Withheld For Authority ---------- ----------- Mr. Charles P. Biggar 52,180,747 1,150,013 Mr. S. Leland Dill 52,180,747 1,150,013 Mr. Richard T. Hale 52,180,747 1,150,013 Mr. Bruce E. Langton 52,180,747 1,150,013 Mr. Philip Saunders, Jr. 52,180,747 1,150,013 Mr. Harry Van Benschoten 52,180,747 1,150,013 Dr. Martin J. Gruber 52,180,747 1,150,013 Dr. Richard J. Herring 52,180,747 1,150,013 2. To approve the New Investment Advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 52,037,443 4,053 1,289,264 3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc. For Against Abstain -------- ------- -------- 52,037,443 1,120,665 172,652 4. To approve the New Investment Sub-advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 52,037,443 4,053 1,289,264 5. To ratify the selection of PricewaterhouseCoopers LLP as the independent accountants of the Fund and its corresponding Portfolio. For Against Abstain -------- ------- -------- 53,322,869 7,891 -- 38 Tax Free Money Fund Proxy Results (unaudited) For the year ended December 31, 1999, the Bankers Trust Investment 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 Investment Funds Board of Trustees. Shares Shares Voted Voted Withheld For Authority ---------- ------------ Mr. Charles P. Biggar 95,813,601 308,348 Mr. S. Leland Dill 95,813,601 308,348 Mr. Richard T. Hale 95,813,601 308,348 Mr. Bruce E. Langton 95,813,601 308,348 Mr. Philip Saunders, Jr. 95,813,601 308,348 Mr. Harry Van Benschoten 95,813,601 308,348 Dr. Martin J. Gruber 95,813,601 308,348 Dr. Richard J. Herring 95,813,601 308,348 2. To approve the New Investment Advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 95,263,984 857,965 -- 3. To approve the New Investment Advisory Agreement with Morgan Grenfell, Inc. For Against Abstain -------- ------- -------- 95,172,143 949,806 -- 4. To approve the New Investment Sub-advisory Agreement with Bankers Trust Company. For Against Abstain -------- ------- -------- 95,263,984 857,965 -- 5. To ratify the selection of PricewaterhouseCoopers LLP as the independent accountants of the Fund and its corresponding Portfolio. For Against Abstain -------- ------- -------- 95,029,151 92,798 -- 39 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: 1-800-730-1313 This report must be preceded or accompanied by a current prospectus for the Fund. Cash Management Fund CUSIP#s: 055922108 Treasury Money Fund 055922405 NY Tax Free Money Fund 055922207 Tax Free Money Fund 055922306 BT Investment Funds COMBMONANN (12/99) Distributed by: ICC Distributors, Inc. -----END PRIVACY-ENHANCED MESSAGE-----