N-30D 1 0001.txt DAM COMBO MONEY FUNDS SEMI-ANNUAL REPORT Deutsche Asset Management [LOGO OMITTED] [GRAPHIC OMITTED] Mutual Fund Semi-Annual Report June 30, 2000 Investment Cash Management NY Tax Free Money Tax Free Money Treasury Money Each formerly BT Mutual Funds A Member of the Deutsche Bank Group [LOGO OMITTED] Investment Funds -------------------------------------------------------------------------------- TABLE OF CONTENTS LETTER TO SHAREHOLDERS ............................. 3 INVESTMENT FUNDS Statements of Assets and Liabilities ............ 8 Statements of Operations ........................ 9 Statements of Changes in Net Assets ............. 10 Financial Highlights ............................ 12 Notes to Financial Statements ................... 16 PORTFOLIOS Schedules of Portfolio Investments ............... 18 Statements of Assets and Liabilities ............. 32 Statements of Operations ......................... 33 Statements of Changes in Net Assets .............. 34 Financial Highlights ............................. 36 Notes to Financial Statements .................... 37 ------------------- The Fund is not insured by the FDIC and is not a deposit, obligation of or guaranteed by Deutsche Bank. The Fund is subject to investment risks, including possible loss of principal amount invested. ------------------- -------------------------------------------------------------------------------- 2 Investment Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS We are pleased to present you with this semi-annual report for Cash Management, NY Tax Free Money, Tax Free Money, and Treasury Money (the "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. With the acquisition of Bankers Trust by Deutsche Bank, the names of your Funds have changed. However, the Funds' investment objectives, policies and strategies, as well as their portfolio managers, remain the same. MARKET ACTIVITY Concerns over Y2K proved to be unfounded as the new century rolled in without a glitch. Thus, the major factors impacting the money markets over the first half of 2000 were the ongoing strength of the U.S. economy and the interest rate increases by the Federal Reserve Board in response to such strength. These factors combined to push yields on short-term money market securities significantly higher. THE U.S. ECONOMY CONTINUED TO EXPAND OVER THE SEMI-ANNUAL PERIOD, CAUSING ALARM AMONG THE FINANCIAL MARKETS THAT INFLATION MAY BE IMMINENT AND THAT THE FEDERAL RESERVE BOARD MAY CONTINUE ITS TIGHTENING CYCLE. o Existing home sales in the U.S. soared through the first half of 2000, as did durable goods orders and retail sales. o At the same time, productivity improvements and competitive pressures held prices steady. Both the Consumer Price Index and Producer Price Index reflected these steady prices, providing a glimmer of hope to the financial markets that perhaps the Federal Reserve Board would remain on the sidelines. o Nominal GDP, however, continued to surge, pushing the year-over-year growth rate to 7%. These numbers put the financial markets on notice that the FederalReserve Board was probably not done raising interest rates. IN FACT, THE FEDERAL RESERVE BOARD FOLLOWED UP ITS 0.75% RATE INCREASE IN 1999 WITH THREE ADDITIONAL INTEREST RATE HIKES, TOTALING ANOTHER 1.00%, IN THE FIRST HALF OF 2000 -- ON FEBRUARY 2, MARCH 21, AND MAY 16. o The Federal Reserve Board continued to take a hard stance against inflation and argued that labor force growth and productivity could not indefinitely support the pace of the economy. o The Federal Reserve Board raised interest rates by 0.25% in February and March, but stronger economic numbers in April led policymakers to believe that inflation was accelerating and the economy not slowing, prompting a 0.50% increase in May. o Following its June meeting, the Federal Reserve Board explained that the slowing of domestic demand was the reason for its holding the federal funds rate steady that month, but it reiterated the point that core inflation was rising. Thus, the FederalReserve Board warned such a neutral stance, based on signs of the economy cooling, was "tentative and preliminary." o On June 30, 2000, the targeted federal funds rate stood at 6.50%. 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 AND FEDERALRESERVE BOARD TIGHTENING IMPOSE PRESSURE. o The yield on one-year municipal notes rose 0.38%, to 4.33% on June 30, 2000 from 3.95% on December 31, 1999. At the end of May, one-year municipals reached a six-year high of 4.55%, but reflecting stronger demand and no FederalReserve Board action in June, the one-year note index rallied in the last month of the period. o As the U.S. economy continued to advance at a rapid pace and tax coffers remained healthy, credit quality was solid in the municipal market. The sustained national expansion, now in its ninth year, has resulted in greater economic diversity and increased financial flexibility in many locales. ALTHOUGH MONEY MARKET YIELDS IN GENERAL ROSE SUBSTANTIALLY, A STRONG TECHNICAL CONDITION KEPT TREASURY YIELDS FROM RISING IN TANDEM WITH THE OTHER MARKETS. o There were three major reasons contributing to Treasuries being an expensive market during this period. These were: -- investors' decisions to remain on the sidelines to avoid volatile equity and bond markets while the Federal Reserve Board continued to raise interest rates -- the government's cutback in overall issuance of Treasuries, and -- the U.S. Treasury's program, to buy back its own 30-year issues with budget surplus monies. o The combination of these factors led to greater demand and less supply. -------------------------------------------------------------------------------- 3 Investment Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS CASH MANAGEMENT Once Y2K liquidity issues were behind us, we were able to once again focus on the economy and normal, technical factors. Thus, our strategy in the first half of the year was to "barbell" the Portfolio, combining floating rate notes and short-term paper with some longer dated securities. This strategy proved to be effective, enabling us not only to quickly capture the higher yield when the Federal ReserveBoard increased interest rates but also to take advantage of a steep yield curve. PORTFOLIO DIVERSIFICATION By Asset Type as of June 30, 2000 (percentages are based on net assets) [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Funding Agreements 3% Other Assets 1% Floating Rate Notes 24% Eurodollar TimeDeposits 7% Eurodollar Certificates of Deposit 5% Yankee Certificates of Deposit 6% Certificates of Deposit 2% Commercial Paper 52% RATINGS 4 S&P: AAA Moody's: Aaa STATUS AT JUNE 30, 2000 Average maturity: 46 days Net assets: $196 million INVESTMENT REVIEW
Annualized 7 Day Periods ended Annualized 7 Day Annualized 7 Day Effective Taxable June 30, 2000 Current Yield Effective Yield Equivalent Yield Cash Management 1 5.95% 6.13% N/A iMoneyNet First Tier Retail Money Funds Average 3 5.85% 6.02% N/A ---------------------------------------------------------------------------------------------- NY Tax Free Money 1,2 3.57% 3.63% 6.74% iMoneyNet State Specific Retail Money Funds Average 3 3.69% 3.76% N/A ---------------------------------------------------------------------------------------------- Tax Free Money 1,2 3.71% 3.77% 6.24% iMoneyNet Tax Free National Retail Money Funds Average 3 3.77% 3.84% N/A ---------------------------------------------------------------------------------------------- Treasury Money 1 5.73% 5.89% N/A iMoneyNet U.S. Treasury and Repo Retail Money Funds Average 3 5.66% 5.82% N/A ---------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.Yields and total return will fluctuate. 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. Performance figures assume the reinvestment of dividends.During the period the Fund waived certain fees and expenses.Had these fees and expenses not been waived, the Fund's return would have been lower. An investment in the Funds is neither insured nor 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 For certain investors, a portion of the Funds' income may be subject to the federal alternative minimum tax. Distribution of the Funds income and capital gain distributions may be subject to state and local taxes. Taxable equivalent yield reflects the 1999 maximum 39.6% regular federal tax bracket and, for NYTax FreeMoney, a combined regular federal, state and city tax bracket of 46.05%. 3 The iMoneyNet, Inc. Money Fund Report Averages, a service of iMoneyNet, Inc. (formerly the IBC Financial Data, Inc.) are averages for categories of similar money market funds. 4 Ratings are subject to change and do not remove market risks.
-------------------------------------------------------------------------------- 4 Investment Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS NY TAX FREE MONEY We kept the Fund's weighted average maturity neutral to slightly short, usually within the 35 to 50 day range, through most of the semi-annual period, as the FederalReserve Board remained in 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 with- drawals from money market funds are par for the course. Outflows were slightly greater than in prior years and continued well into the month of May, as significant gains in the equity market generated higher tax payments. A large percentage of high quality municipal issues usually becomes available at the end of June and early July. As opportunities to extend the Fund's maturity were scarce due to low issue supply in New York, we allowed the Fund's weighted average maturity to shorten slightly toward the end of the period. On June 30, 2000, the Fund's weighted average maturity stood at 37 days. PORTFOLIO DIVERSIFICATION By Asset Type as of June 30, 2000 (percentages are based on market value of total investments in the portfolio) [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Revenue Anticipation Notes 1% Revenue Bonds 26% Tax Anticipation Notes 2% Bond Anticipation Notes 2% Commercial Paper 10% G.O. Bonds 2% Floating Rate Demand Notes 57% STATUS AT JUNE 30, 2000 Average maturity: 37 days Net assets: $88 million TAX FREE MONEY As with NY Tax Free Money, we maintained a neutral to slightly short weighted average maturity in this Fund, in this case usually within the 40 to 50 day range, through most of the semi-annual period, as the Federal Reserve Board remained in a tightening mode. During the first quarter, the Fund maintained its above average position in daily demand notes that we had built up in anticipation of potential Y2K outflows. The added liquidity from the daily demand position also helped offset expected cash outflows associated with the April tax season. Outflows were slightly greater than in prior years and continued well into the month of May, as significant gains in the equity market generated higher tax payments. During June, we extended the Fund's weighted average maturity in an effort to capture the higher yields available as a result of tighter monetary policy and selling pressures at the end of May. Although supply was lower than in previous years due to the robust domestic economy, we also extended slightly in June to be able to participate in the large percentage of high quality municipal issues that generally become available at the end of June and early July. The Fund's weighted average maturity on June 30, 2000 stood at 50 days. PORTFOLIO DIVERSIFICATION By Asset Type as of June 30, 2000 (percentages are based on market value of total investments in the portfolio) [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Revenue Anticipation Notes 2% Floating Rate Demand Notes 43% Revenue Bonds 14% Commercial Paper 19% Put Bonds 1% G.O. Bonds 16% Tax Revenue Anticipation Notes 5% STATUS AT JUNE 30, 2000 Average maturity: 50 days Net assets: $120 million -------------------------------------------------------------------------------- 5 Investment Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS TREASURY MONEY As with Cash Management, once Y2K liquidity issues were behind us, we were able to once again focus on the economy and normal, technical factors. Thus, our strategy during the first half of the year was to maintain a somewhat shorter than average duration, taking advantage of the higher yields offered by repurchase agreements and cash management bills when opportunities presented themselves. PORTFOLIO DIVERSIFICATION By Asset Type as of June 30, 2000 (percentages are based on market value of total investments in the portfolio) [GRAPHIC OMITTED] EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC U.S. Treasury Notes 17% U.S. Treasury Bills 3% Repurchase Agreements 80% RATINGS 3 S&P: AAA Moody's: Aaa STATUS AT JUNE 30, 2000 Average maturity: 25 days Net assets: $421 million
CUMULATIVE AVERAGE ANNUAL TOTAL RETURNS TOTAL RETURNS ANNUALIZED Periods ended Past 6 Past 1 Past 3 Past 5 Past 10 Since Past 1 Past 3 Past 5 Past 10 Since June 30, 2000 months year years years years inception year years years years inception Cash Management 1 (Inception 10/5/88) 2.74% 5.21% 15.58% 27.31% 57.13% 81.00% 5.21% 4.94% 4.95% 4.62% 5.19% iMoneyNet First Tier Retail Money Funds Average4 (since 9/30/88)* 2.71% 5.17% 15.71% 27.88% 58.39% 82.89%* 5.17% 4.98% 5.03% 4.70% 5.27%* ---------------------------------------------------------------------------------------------------------------------------------- NY Tax Free Money 1,2 (Inception 9/27/88) 1.52% 2.81% 8.28% 14.44% 31.92% 44.23% 2.81% 2.69% 2.73% 2.81% 3.16% iMoneyNet State Specific Retail Money Funds Average 4 (since 9/30/88)* 2.71% 5.16% 15.87% 28.24% 60.19% 46.79%* 5.16% 5.03% 5.09% 4.82% 3.32%* ---------------------------------------------------------------------------------------------------------------------------------- Tax Free Money 1,2 (Inception 6/10/87) 1.57% 2.92% 8.61% 15.13% 34.36% 55.85% 2.92% 2.79% 2.86% 3.00% 3.46% iMoneyNet National Retail Tax Free Money Funds Average 4 (since 6/30/87)* 1.68% 3.14% 9.22% 16.13% 35.45% 57.66%* 3.14% 2.98% 3.03% 3.08% 3.56%* ---------------------------------------------------------------------------------------------------------------------------------- Treasury Money 1 (Inception 11/1/88) 2.59% 4.90% 14.87% 26.25% 54.36% 76.17% 4.90% 4.73% 4.77% 4.44% 4.98% iMoneyNet U.S. Treasury and Repo Retail Money Funds Average4 (since 10/31/88)* 2.60% 4.93% 15.04% 26.66% 56.01% 76.92%* 4.93% 4.78% 4.83% 4.82% 5.01%* ----------------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Total returns will fluctuate. Performance figures assume the reinvestment of dividends. During the period the Fund waived certain fees and expenses. 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 For certain investors, a portion of the Funds' income may be subject to the federal alternative minimum tax. Distribution of the Funds' income and capital gain distributions may be subject to state and local taxes. 3 Ratings are subject to change and do not remove market risks. 4 The iMoneyNet, Inc. Money Fund Report Averages, a service of iMoneyNet,Inc. (formerly theIBCFinancial Data,Inc.) are averages for categories of similar money market funds.
-------------------------------------------------------------------------------- 6 Investment Funds -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS MANAGER OUTLOOK Looking ahead to the second half of the year, we expect that the "soft landing" scenario -- slower economic growth without inflation -- should play out. Economic indicators announced late in the semi-annual period were a little weaker than those reported in prior months, including a weaker National Purchasing Manager's report and a cooler labor market, as reported in weekly jobless claims. We feel that these weaker numbers will enable the Federal Reserve Board to stay on hold for a couple of months, although we are not convinced that the Federal Reserve Board has completed its cycle of interest rate increases. The larger question for the Federal Reserve Board may be whether or not this slowdown is temporary or if it is a longer lasting downturn. One key indicator to monitor will be oil prices, as the current higher prices are noticeably diminishing consumer purchasing power and slowing demand in the economy. A moderation of energy prices would reduce these pressures. In Cash Management, we intend to maintain a significant floating rate note position. In times of economic uncertainty, floating rate notes have historically outperformed other money market securities, as their coupon rates equate to market levels much quicker than fixed rate investments. In Treasury Money, we intend to continue to concentrate on repurchase agreements, since the yields are often substantially higher than short-term Treasury securities. We will likely manage both Funds with a neutral position, while we continue to assess economic data for further signs of the direction of the economy. Similarly, in NY Tax Free and Tax Free Money, we will look to keep the Funds' weighted average maturities in a neutral range, as we carefully watch the Federal ReserveBoard. We will also continue to seek 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/ SIGNATURE DARLENE M. RASEL Darlene M. Rasel Portfolio Manager of CASH MANAGEMENT PORTFOLIO AND TREASURY MONEY PORTFOLIO June 30, 2000 /S/ SIGNATURE SUSAN FARE Susan Fare Portfolio Manager of TAX FREE MONEY PORTFOLIO AND NY TAX FREE MONEY PORTFOLIO June 30, 2000 -------------------------------------------------------------------------------- 7 Investment Funds -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000 CASH NY TAX TAX FREE TREASURY MANAGEMENT FREE MONEY MONEY MONEY ------------- ------------- ------------- ------------- ASSETS Investment in Portfolio, at Value 1 $ 198,171,249 $ 88,580,947 $ 120,333,895 $ 422,645,197 Prepaid Expenses ................. 5,951 1,040 15,166 42,270 ------------- ------------- ------------- ------------- Total Assets ........................ 198,177,200 88,581,987 120,349,061 422,687,467 ------------- ------------- ------------- ------------- LIABILITIES Dividends Payable ................ 1,651,951 230,606 414,486 1,906,077 Due to Bankers Trust ............. 113,231 35,258 62,319 182,766 Accrued Expenses ................. 7,857 14,733 14,316 21,657 ------------- ------------- ------------- ------------- Total Liabilities ................... 1,773,039 280,597 491,121 2,110,500 ------------- ------------- ------------- ------------- NET ASSETS .......................... $ 196,404,161 $ 88,301,390 $ 119,857,940 $ 420,576,967 ============= ============= ============= ============= COMPOSITION OF NET ASSETS Paid-in Capital .................. 196,459,912 88,340,040 119,928,151 420,468,451 Accumulated Net Realized Gain (Loss) from Investment Transactions ................... (55,751) (38,650) (70,211) 108,516 ------------- ------------- ------------- ------------- NET ASSETS .......................... $ 196,404,161 $ 88,301,390 $ 119,857,940 $ 420,576,967 ============= ============= ============= ============= SHARES OUTSTANDING ($0.001 par value per share, unlimited number of shares of beneficial interest authorized) ...................... 196,459,912 88,340,040 119,928,151 420,468,451 ============= ============= ============= ============= 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.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 8 Investment Funds -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (Unaudited)
FOR THE SIX MONTHS ENDED JUNE 30, 2000 CASH NY TAX TAX FREE TREASURY MANAGEMENT FREE MONEY MONEY MONEY ------------- ------------- ------------- ------------- INVESTMENT INCOME Income, net 1 .................. $ 6,538,236 $ 1,468,430 $ 2,649,798 $ 12,000,655 ------------ ------------ ------------ ------------ EXPENSES Administration and Services Fees 597,075 226,109 398,826 1,166,029 Registration Fees .............. 11,319 1,947 6,378 12,304 Professional Fees .............. 11,772 6,918 6,880 6,918 Printing and Shareholder Reports 4,688 4,670 4,637 4,924 Trustees Fees .................. 2,162 2,162 2,139 1,452 Miscellaneous .................. 1,782 1,781 343 2,201 ------------ ------------ ------------ ------------ Total Expenses .................... 628,798 243,587 419,203 1,193,828 Less: Fee Waivers and/or Expense Reimbursements ................. (9,900) (17,478) (20,377) (27,799) ------------ ------------ ------------ ------------ Net Expenses ...................... 618,898 226,109 398,826 1,166,029 ------------ ------------ ------------ ------------ NET INVESTMENT INCOME ............. 5,919,338 1,242,321 2,250,972 10,834,626 NET REALIZED GAIN (LOSS) FROM INVESTMENT TRANSACTIONS ........ 2,419 (5,142) (6,220) (2,681) ------------ ------------ ------------ ------------ NET INCREASE IN NET ASSETS FROM OPERATIONS ..................... $ 5,921,757 $ 1,237,179 $ 2,244,752 $ 10,831,945 ============ ============ ============ ============ -------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- 8 Investment Funds -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 2000 1 1999 2000 1 1999 CASH MANAGEMENT NY TAX FREE MONEY ---------------------------------- ---------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net Investment Income .............. $ 5,919,338 $ 11,970,953 $ 1,242,321 $ 2,038,692 Net Realized Gain (Loss) from Investment Transactions .......... 2,419 15,016 (5,142) -- --------------- --------------- --------------- --------------- Net Increase in Net Assets from Operations ......................... 5,921,757 11,985,969 1,237,179 2,038,692 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS Net Investment Income .............. (5,919,338) (11,970,953) (1,242,321) (2,038,692) --------------- --------------- --------------- --------------- CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at net asset value of $1.00 per share) Proceeds from Sales of Shares ...... 2,318,983,381 2,664,871,313 236,081,412 489,293,922 Dividend Reinvestments ............. 786,314 6,343,756 269,230 736,268 Cost of Shares Redeemed ............ (2,277,672,357) (2,749,511,509) (221,910,938) (494,002,592) --------------- --------------- --------------- --------------- Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest ............. 42,097,338 (78,296,440) 14,439,704 (3,972,402) --------------- --------------- --------------- --------------- TOTAL INCREASE (DECREASE) IN NET ASSETS ......................... 42,099,757 (78,281,424) 14,434,562 (3,972,402) NET ASSETS Beginning of Period ................ 154,304,404 232,585,828 73,866,828 77,839,230 --------------- --------------- --------------- --------------- End of Period ...................... $ 196,404,161 $ 154,304,404 $ 88,301,390 $ 73,866,828 =============== =============== =============== =============== -------------------------------------------------------------------------------- 1 Unaudited.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 10 Investment Funds -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 2000 1 1999 2000 1 1999 TAX-FREE MONEY TREASURY MONEY ---------------------------------- ---------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net Investment Income .............. $ 2,250,972 $ 3,646,734 $ 10,834,626 $ 17,913,867 Net Realized Loss from Investment Transactions .......... (6,220) (11,949) (2,681) (7,263) --------------- --------------- --------------- --------------- Net Increase in Net Assets from Operations ......................... 2,244,752 3,634,785 10,831,945 17,906,604 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS Net Investment Income .............. (2,250,972) (3,646,734) (10,834,626) (17,913,867) --------------- --------------- --------------- --------------- CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (at net asset value of $1.00 per share) Proceeds from Sales of Shares ...... 666,632,843 1,376,307,400 3,900,205,136 8,796,821,163 Dividend Reinvestments ............. 155,905 469,306 6,010,905 13,049,035 Cost of Shares Redeemed ............ (675,404,504) (1,449,379,064) (4,046,365,833) (8,558,044,425) --------------- --------------- --------------- --------------- Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest ............. (8,615,756) (72,602,358) (140,149,792) 251,825,773 --------------- --------------- --------------- --------------- TOTAL INCREASE (DECREASE) IN NET ASSETS ......................... (8,621,976) (72,614,307) (140,152,473) 251,818,510 NET ASSETS Beginning of Period ................ 128,479,916 201,094,223 560,729,440 308,910,930 --------------- --------------- --------------- --------------- End of Period ...................... $ 119,857,940 $ 128,479,916 $ 420,576,967 $ 560,729,440 =============== =============== =============== =============== -------------------------------------------------------------------------------- 1 Unaudited.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 11 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 periods presented for Cash Management.
CASH MANAGEMENT FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 3 1999 1998 1997 1996 1995 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD ......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income ..................... 0.03 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 0.00 1 ------ ------ ------ ------ ------ ------ Total from Investment Operations ............. 0.03 0.04 0.05 0.05 0.05 0.05 ------ ------ ------ ------ ------ ------ CONTRIBUTIONS OF CAPITAL ..................... -- -- -- -- 0.00 1 -- ------ ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net Investment Income ..................... (0.03) (0.04) (0.05) (0.05) (0.05) (0.05) ------ ------ ------ ------ ------ ------ NET ASSET VALUE, END OF PERIOD ............... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN ...................... 2.74% 4.58% 4.93% 4.98% 4.82%2 5.35% SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) .. $196,404 $154,304 $232,586 $138,423 $118,969 $135,998 Ratios to Average Net Assets: Net Investment Income ................... 6.04%4 4.42% 4.80% 4.88% 4.72% 5.22% Expenses After Waivers, Including Expenses of the Cash Management Portfolio ............................ 0.75%4 0.75% 0.75% 0.75% 0.75% 0.74% Expenses Before Waivers, Including Expenses of the Cash Management Portfolio ............................ 0.78%4 0.78% 0.81% 0.78% 0.78% 0.76% -------------------------------------------------------------------------------- 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. 3 Unaudited. 4 Annualized.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 12 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 periods presented for NY Tax Free Money.
NY TAX FREE MONEY FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 2 1999 1998 1997 1996 1995 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD ........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income ....................... 0.02 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 (0.00)1 ------ ------ ------ ------ ------ ------ Total from Investment Operations ............... 0.02 0.02 0.03 0.03 0.03 0.03 ------ ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net Investment Income ....................... (0.02) (0.02) (0.03) (0.03) (0.03) (0.03) ------ ------ ------ ------ ------ ------ NET ASSET VALUE, END OF PERIOD ................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN ........................ 1.52% 2.41% 2.66% 2.86% 2.68% 3.12% SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) .... $88,301 $ 73,867 $77,839 $85,364 $75,858 $70,765 Ratios to Average Net Assets: Net Investment Income ..................... 3.07%3 2.37% 2.63% 2.83% 2.64% 3.07% Expenses After Waivers, Including Expenses of the NYTax Free Money Portfolio .............................. 0.75%3 0.75% 0.75% 0.75% 0.75% 0.75% Expenses Before Waivers, Including Expenses of the NYTax Free Money Portfolio .............................. 0.83%3 0.84% 0.85% 0.81% 0.84% 0.82% -------------------------------------------------------------------------------- 1 Less than $0.01 per share. 2 Unaudited. 3 Annualized.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 13 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 periods presented for Tax Free Money.
TAX FREE MONEY FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 2 1999 1998 1997 1996 1995 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD .......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income ...................... 0.02 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 (0.00)1 ------ ------ ------ ------ ------ ------ Total from Investment Operations .............. 0.02 0.02 0.03 0.03 0.03 0.03 ------ ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net Investment Income ...................... (0.02) (0.02) (0.03) (0.03) (0.03) (0.03) ------ ------ ------ ------ ------ ------ NET ASSET VALUE, END OF PERIOD ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN ....................... 1.57% 2.54% 2.75% 2.94% 2.84% 3.34% SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) ... $119,858 $128,480 $201,094 $150,483 $117,972 $119,393 Ratios to Average Net Assets: Net Investment Income .................... 3.14%3 2.50% 2.71% 2.90% 2.80% 3.28% Expenses After Waivers, Including Expenses of the Tax Free Money Portfolio ............................. 0.75%3 0.75% 0.75% 0.75% 0.75% 0.75% Expenses Before Waivers, Including Expenses of the Tax Free Money Portfolio ............................. 0.81%3 0.80% 0.83% 0.80% 0.82% 0.82% -------------------------------------------------------------------------------- 1 Less than $0.01 per share. 2 Unaudited. 3 Annualized.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 14 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 periods presented for Treasury Money.
TREASURY MONEY FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 2 1999 1998 1997 1996 1995 PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE, BEGINNING OF PERIOD .......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS Net Investment Income ...................... 0.03 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 0.00 1 ------ ------ ------ ------ ------ ------ Total from Investment Operations .............. 0.03 0.04 0.05 0.05 0.05 0.05 ------ ------ ------ ------ ------ ------ DISTRIBUTIONS TO SHAREHOLDERS Net Investment Income ...................... (0.03) (0.04) (0.05) (0.05) (0.05) (0.05) ------ ------ ------ ------ ------ ------ NET ASSET VALUE, END OF PERIOD ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== ====== ====== TOTAL INVESTMENT RETURN ....................... 2.59% 4.32% 4.76% 4.86% 4.71% 5.19% SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) ... $420,577 $560,729 $308,911 $268,274 $554,716 $615,084 Ratios to Average Net Assets: Net Investment Income .................... 5.18%3 4.25% 4.66% 4.74% 4.61% 5.06% Expenses After Waivers, Including Expenses of the Treasury Money Portfolio ............................. 0.75%3 0.75% 0.75% 0.75% 0.75% 0.75% Expenses Before Waivers, Including Expenses of the Treasury Money Portfolio ............................. 0.77%3 0.77% 0.77% 0.77% 0.76% 0.77% -------------------------------------------------------------------------------- 1 Less than $0.01 per share. 2 Unaudited. 3 Annualized.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 15 Investment Funds -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) 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. Cash Management, NY Tax Free Money, Tax Free Money and Treasury Money (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 in the Cash Management Portfolio, NY Tax Free Money in the NY Tax Free Money Portfolio, Tax Free Money in the Tax Free Money Portfolio, and Treasury Money 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 June 30, 2000, Cash Management's investment was approximately 3% of the Cash Management Portfolio, NY Tax Free Money's and Tax Free Money's investments were approximately 100% of the NY Tax Free Money Portfolio and Tax Free Money Portfolio, respectively and Treasury Money's investment was approximately 27% 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 OF SECURITIES 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 securities 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 at least 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. 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 the Trust are allocated among the funds in the Trust. The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect reported amounts in the financial statements. Actual results could differ from those estimates. -------------------------------------------------------------------------------- 16 Investment Funds -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) 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 .55% of each Fund's average daily net assets. Bankers Trust has contractually agreed to waive its fees and reimburse expenses of each Fund through April 30, 2001, to the extent necessary, to limit all expenses as a percentage of each Fund's average daily net assets. For the period ended June 30, 2000, 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. ICC Distributors, Inc. provides distribution services to the Funds. NOTE 3 -- CAPITAL LOSS CARRYFORWARDS At June 30, 2000, 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
NOTE 4 -- FUND NAME CHANGE On April 30, 2000, the Funds changed their names as follows: NEW NAME PRIOR NAME -------------- -------------- Cash Management Investment BT Investment Cash Management Fund NY Tax Free Money Investment BT Investment NY Tax Free Money Fund Tax Free Money Investment BT Investment Tax Free Money Fund Treasury Money Investment BT Investment Treasury Money Fund -------------------------------------------------------------------------------- 17 Cash Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE EURODOLLAR CERTIFICATES OF DEPOSIT -- 5.4% Barclays Bank, $45,000,000 6.64%, 8/9/00 .......... $ 45,000,000 Cariplo Bank, 40,000,000 6.26%, 7/19/00 ......... 40,000,175 Credit Agricole Indosuez SA, 50,000,000 6.15%, 7/21/00 ......... 50,000,121 Halifax PLC, 100,000,000 6.24%, 7/11/00 ......... 100,000,000 International Nederlander Bank: 35,000,000 6.26%, 8/3/00 .......... 35,000,000 30,000,000 6.45%, 12/7/00 ......... 30,000,000 Landesbank Baden Wurttemberg, 40,000,000 6.245%, 7/19/00 ........ 40,000,088 Norddeutsche Landesbank Girozentrale, 60,000,000 6.74%, 8/18/00 ......... 60,000,754 Westdeutsche Landesbank Girozentrale, 20,000,000 6.73%, 9/29/00 ......... 20,000,000 ------------- TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT (Amortized Cost $420,001,138) ...... 420,001,138 ------------- YANKEE CERTIFICATES OF DEPOSIT -- 5.8% Bank of Austria, 10,000,000 6.55%, 1/31/01 ......... 9,997,241 Bank of Nova Scotia, 25,000,000 6.71%, 2/22/01 ......... 24,993,917 Banque Nationale de Paris, 20,000,000 6.70%, 2/20/01 ......... 19,993,972 Canadian Imperial Bank of Commerce: 20,000,000 6.57%, 7/10/00 ......... 20,000,000 100,000,000 6.60%, 7/19/00 ......... 100,000,000 50,000,000 6.74%, 9/19/00 ......... 50,002,130 63,000,000 6.74%, 9/19/00 ......... 63,000,000 30,000,000 6.75%, 9/19/00 ......... 30,000,000 Commerzbank AG, 20,000,000 6.70%, 2/20/01 ......... 19,993,972 Paribas SA, 40,000,000 6.22%, 7/6/00 .......... 39,999,931 PRINCIPAL AMOUNT SECURITY VALUE Royal Bank of Canada, $ 5,000,000 5.70%, 7/3/00 .......... $ 5,000,000 Societe Generale, 32,000,000 6.81%, 4/17/01 ......... 32,004,483 Svenska Handelsbanken A.B., 35,000,000 6.77%, 3/21/01 ......... 34,990,506 ------------- TOTAL YANKEE CERTIFICATES OF DEPOSIT (Amortized Cost $449,976,152) ...... 449,976,152 ------------- CERTIFICATES OF DEPOSIT -- 2.0% Bank of America: 40,000,000 6.77%, 8/22/00 ......... 40,000,000 50,000,000 6.73%, 9/13/00 ......... 50,000,000 45,000,000 7.05%, 12/1/00 ......... 45,000,000 First Union Bank, 20,000,000 6.95%, 10/23/00 ........ 20,000,000 ------------- TOTAL CERTIFICATES OF DEPOSIT (Amortized Cost $155,000,000) ...... 155,000,000 ------------- EURODOLLAR TIME DEPOSITS -- 7.4% Bank of Scotland: 40,000,000 6.25%, 7/12/00 ......... 40,000,000 50,000,000 6.58%, 8/7/00 .......... 50,000,000 Banque Bruxelles Lambert, 25,000,000 6.50%, 10/6/00 ......... 25,000,000 Commerzbank AG, 30,000,000 7.04%, 11/20/00 ........ 30,000,000 KBC Bank, 50,000,000 7.00%, 7/5/00 .......... 50,000,000 Landesbank Baden Wurttemberg: 50,000,000 6.25%, 7/3/00 .......... 50,000,000 25,000,000 6.17%, 7/18/00 ......... 25,000,000 40,000,000 6.38%, 9/21/00 ......... 40,000,000 25,000,000 6.97%, 11/20/00 ........ 25,000,000 35,000,000 7.03%, 11/27/00 ........ 35,000,000 Norddeutsche Landesbank Girozentrale, 40,000,000 6.95%, 12/6/00 ......... 40,000,000 Norwest Minnesota N.A., 50,000,000 6.906%, 7/5/00 ......... 50,000,000 Paribas SA, 40,000,000 6.50%, 10/6/00 ......... 40,000,000 See Notes to Financial Statements. -------------------------------------------------------------------------------- 18 Cash Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE PNC Bank, $ 66,257,300 7.125%, 7/3/00 ......... $ 66,257,300 Svenska Handelsbanken A.B., 11,000,000 6.48%, 10/13/00 ........ 11,000,000 -------------- TOTAL EURODOLLAR TIME DEPOSITS (Amortized Cost $577,257,300) ...... 577,257,300 -------------- FLOATING RATE NOTES -- 23.8% Abbey National Treasury Services PLC, Monthly Variable Rate, 40,000,000 6.551%, 6/15/01 ........ 39,970,377 American Express Centurion Bank, Monthly Variable Rate, 100,000,000 6.60%, 5/9/01 .......... 100,000,000 Asset Securitization Cooperative Corp., Monthly Variable Rate, 70,000,000 6.56%, 1/12/01 ......... 69,991,940 Associates Corp. of North America, Monthly Variable Rate, 15,000,000 6.55%, 3/16/01 ......... 14,991,615 AT&T Capital Corp., Quarterly Variable Rate, 20,000,000 6.971%, 12/1/00 ........ 20,060,016 AT&T Corp., Monthly Variable Rate: 83,000,000 6.566%, 3/8/01 ......... 82,981,644 30,000,000 6.639%, 6/14/01 ........ 30,000,000 Quarterly Variable Rate, 17,000,000 6.683%, 8/7/00 ......... 17,000,318 Bank of America Corp., Daily Variable Rate, 20,000,000 6.90%, 1/25/01 ......... 20,000,000 Bank of Scotland, Monthly Variable Rate, 50,000,000 6.591%, 4/25/01 ........ 49,988,079 Quarterly Variable Rate, 15,000,000 6.829%, 3/5/01 ......... 14,999,387 PRINCIPAL AMOUNT SECURITY VALUE Bayerische Landesbank Girozentrale, Monthly Variable Rate: $ 50,000,000 6.595%, 11/9/00 ........ $ 49,995,300 35,000,000 6.585%, 2/28/01 ........ 34,988,766 25,000,000 6.594%, 3/1/01 ......... 24,991,927 100,000,000 6.614%, 5/30/01 ........ 99,964,442 Bayerische Hypo-und Vereinsbank AG, Monthly Variable Rate, 50,000,000 6.566%, 2/26/01 ........ 49,984,044 Bear Stearns Cos., Inc., Monthly Variable Rate, 30,000,000 6.60%, 9/12/00 ......... 30,000,000 Chase Manhattan Bank, Quarterly Variable Rate, 5,000,000 7.01%, 11/17/00 ........ 5,005,605 Citigroup, Inc., Monthly Variable Rate, 100,000,000 6.605%, 6/6/01 ......... 100,000,000 Comerica Bank, Monthly Variable Rate, 35,000,000 6.581%, 4/20/01 ........ 34,989,042 Commerzbank AG, Monthly Variable Rate: 75,000,000 6.591%, 4/20/01 ........ 74,982,396 25,000,000 6.601%, 4/26/01 ........ 24,994,019 Compass Securitization LLC, Monthly Variable Rate, 25,000,000 6.783%, 10/16/00 ....... 24,998,937 Credit Suisse First Boston, Inc., Daily Variable Rate, 25,000,000 7.305%, 2/20/01 ........ 24,998,428 First Union Bank, Daily Variable Rate, 35,000,000 7.475%, 10/27/00 ....... 35,000,000 Ford Motor Credit Corp., Quarterly Variable Rate, 10,000,000 6.898%, 11/27/00 ....... 10,002,665 Goldman Sachs & Co., Quarterly Variable Rate: 41,450,000 6.711%, 1/8/01 ......... 41,542,703 35,000,000 6.714%, 1/16/01 ........ 35,061,618 40,000,000 6.49%, 1/25/01 ......... 40,041,064 See Notes to Financial Statements. -------------------------------------------------------------------------------- 19 Cash Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE Household Finance Corp., Daily Variable Rate, $20,000,000 7.10%, 9/14/00 ......... $ 20,006,172 J.P. Morgan & Co., Inc., Monthly Variable Rate: 30,000,000 6.64%, 3/16/01 ......... 30,000,000 35,000,000 6.633%, 6/6/01 ......... 35,000,000 Merrill Lynch & Co., Inc., Monthly Variable Rate: 55,000,000 6.629%, 4/17/01 ........ 54,995,385 50,000,000 6.629%, 4/18/01 ........ 49,996,119 Quarterly Variable Rate: 15,000,000 6.58%, 1/12/01 ......... 15,027,226 25,000,000 6.959%, 3/5/01 ......... 25,022,508 Morgan Stanley Dean Witter, Inc., Monthly Variable Rate: 75,000,000 6.65%, 1/29/01 ......... 75,000,000 45,000,000 6.63%, 3/16/01 ......... 45,000,000 Quarterly Variable Rate: 20,000,000 6.854%, 2/16/01 ........ 20,017,114 16,500,000 6.92%, 2/23/01 ......... 16,512,195 National Rural Utilities CFC, Quarterly Variable Rate, 15,000,000 6.77%, 6/15/01 ......... 15,000,000 Norwest Bank of Minnesota, N.A., Monthly Variable Rate, 25,000,000 6.643%, 9/7/00 ......... 24,997,339 PNC Bank, Monthly Variable Rate, 25,000,000 6.585%, 7/12/00 ........ 24,999,757 SBC Communications, Inc., Quarterly Variable Rate: 50,000,000 6.325%, 5/1/01 ......... 50,000,000 30,000,000 6.684%, 5/15/01 ........ 29,997,469 Societe Generale, Monthly Variable Rate, 50,000,000 6.594%, 1/19/01 ........ 49,983,751 Toyota Motor Credit Corp., Quarterly Variable Rate, 17,000,000 6.46%, 10/25/00 ........ 17,007,426 PRINCIPAL AMOUNT SECURITY VALUE Westdeutsche Landesbank Girozentrale, Monthly Variable Rate, $ 45,000,000 6.571%, 2/26/01 ........ $ 44,985,639 -------------- TOTAL FLOATING RATE NOTES (Amortized Cost $1,845,072,432) .... 1,845,072,432 -------------- COMMERCIAL PAPER -- 52.2% Aegon Funding Corporation: 33,000,000 6.60%, 9/5/00 .......... 32,612,800 50,000,000 6.17%, 9/6/00 .......... 49,442,986 30,000,000 6.18%, 9/18/00 ......... 29,603,450 33,000,000 6.20%, 12/1/00 ......... 32,141,817 Alcoa, Inc., 40,000,000 6.62%, 8/2/00 .......... 39,779,333 Asset Portfolio Funding Corp., 32,166,000 6.70%, 12/6/00 ......... 31,232,114 Associates First Capital Corp., 30,000,000 6.60%, 9/14/00 ......... 29,598,500 AT&T Corp., 50,000,000 6.69%, 9/5/00 .......... 49,405,333 BAE Systems Holdings, Inc.: 45,000,000 6.60%, 8/10/00 ......... 44,686,500 40,000,000 6.66%, 8/21/00 ......... 39,637,400 Bank of America Corp.: 40,000,000 6.06%, 8/9/00 .......... 39,750,867 22,000,000 6.10%, 9/8/00 .......... 21,750,239 20,000,000 6.26%, 10/3/00 ......... 19,680,044 35,000,000 6.68%, 12/4/00 ......... 33,999,856 Bavaria Trust Corp.: 100,000,000 6.55%, 7/11/00 ......... 99,854,444 24,275,000 6.605%, 7/26/00 ........ 24,172,563 Bell Atlantic Network Funding, 39,000,000 6.53%, 7/21/00 ......... 38,872,665 British Telecommunications PLC: 40,000,000 6.17%, 7/17/00 ......... 39,904,022 25,000,000 6.08%, 9/1/00 .......... 24,746,667 20,000,000 6.27%, 10/11/00 ........ 19,651,667 25,000,000 6.25%, 10/12/00 ........ 24,561,632 68,000,000 6.69%, 11/8/00 ......... 66,381,227 15,000,000 6.69%, 11/13/00 ........ 14,629,262 45,000,000 6.22%, 12/4/00 ......... 43,802,650 See Notes to Financial Statements. -------------------------------------------------------------------------------- 20 Cash Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE Compass Sercuritization LLC: $ 15,135,000 6.61%, 7/3/00 .......... $ 15,135,000 100,000,000 6.60%, 7/5/00 .......... 99,963,333 70,000,000 6.57%, 7/10/00 ......... 69,910,575 41,490,000 6.55%, 7/11/00 ......... 41,429,609 15,000,000 6.62%, 7/25/00 ......... 14,939,317 Corporate Asset Funding Co., Inc.: 45,000,000 6.61%, 8/21/00 ......... 44,595,137 10,000,000 6.64%, 8/22/00 ......... 9,907,778 Corporate Receivables Corp.: 35,000,000 6.53%, 7/17/00 ......... 34,911,119 65,000,000 6.60%, 8/1/00 .......... 64,654,417 30,000,000 6.60%, 8/2/00 .......... 29,835,000 30,000,000 6.65%, 8/21/00 ......... 29,728,458 Credit Suisse First Boston, Inc.: 50,000,000 6.63%, 8/7/00 .......... 49,677,708 32,000,000 6.60%, 8/10/00 ......... 31,777,050 40,000,000 6.65%, 8/23/00 ......... 39,623,167 34,500,000 6.60%, 9/5/00 .......... 34,095,200 Delaware Funding Corp., 50,000,000 6.59%, 7/20/00 ......... 49,844,403 Den Danske Corp.: 33,000,000 6.68%, 11/13/00 ........ 32,185,597 20,000,000 6.71%, 12/6/00 ......... 19,418,467 Diageo Capital PLC, 30,000,000 6.90%, 7/5/00 .......... 29,988,500 Edison Asset Security LLC, 40,000,000 6.60%, 8/4/00 .......... 39,765,333 Fortis Bank: 25,000,000 6.64%, 8/10/00 ......... 24,824,778 40,000,000 6.08%, 9/1/00 .......... 39,594,667 23,600,000 6.69%, 12/12/00 ........ 22,889,522 France Telecom SA: 30,000,000 6.54%, 7/17/00 ......... 29,923,700 60,000,000 6.64%, 8/1/00 .......... 59,678,865 17,300,000 6.57%, 8/7/00 .......... 17,189,496 35,000,000 6.58%, 8/11/00 ......... 34,750,508 40,000,000 6.60%, 9/12/00 ......... 39,479,333 37,383,000 6.62%, 9/15/00 ......... 36,874,300 25,000,000 6.62%, 9/18/00 ......... 24,646,014 General Electric Financial Assurance Holdings, Inc., 55,000,000 6.84%, 7/6/00 .......... 54,968,650 PRINCIPAL AMOUNT SECURITY VALUE General Electric Capital Corp. International Funding, Inc.: $37,633,000 6.90%, 7/5/00 .......... $ 37,618,574 18,000,000 6.54%, 7/12/00 ......... 17,970,570 20,000,000 6.63%, 8/3/00 .......... 19,885,817 45,000,000 6.59%, 8/15/00 ......... 44,645,787 50,000,000 6.58%, 8/16/00 ......... 49,597,889 40,000,000 6.65%, 8/24/00 ......... 39,615,778 25,000,000 6.61%, 9/11/00 ......... 24,678,681 Glaxo Wellcome PLC, 16,900,000 6.60%, 9/29/00 ......... 16,627,347 Goldman Sachs & Co.: 29,000,000 6.65%, 8/7/00 .......... 28,812,507 75,000,000 6.09%, 8/22/00 ......... 74,365,625 85,000,000 6.68%, 9/18/00 ......... 83,785,539 Greyhawk Funding LLC: 10,000,000 6.13%, 7/5/00 .......... 9,996,594 72,000,000 6.55%, 7/24/00 ......... 71,724,900 50,000,000 6.58%, 8/8/00 .......... 49,671,000 45,000,000 6.59%, 8/15/00 ......... 44,645,787 20,000,000 6.61%, 9/15/00 ......... 19,728,256 Invensys PLC, 20,000,000 6.62%, 8/11/00 ......... 19,856,567 Mellon Financial Corp., 25,000,000 6.62%, 7/24/00 ......... 24,903,458 Merck & Co., 75,000,000 6.80%, 7/7/00 .......... 74,943,333 Merrill Lynch & Co., Inc.: 53,000,000 6.15%, 7/10/00 ......... 52,936,621 53,000,000 6.13%, 7/17/00 ......... 52,873,654 Moriarty Ltd., 30,000,000 6.20%, 9/25/00 ......... 29,566,000 National Rural Utilities CFC: 20,000,000 6.13%, 7/17/00 ......... 19,952,322 15,000,000 6.62%, 8/15/00 ......... 14,881,392 25,000,000 6.08%, 9/6/00 .......... 24,725,556 30,000,000 6.15%, 9/19/00 ......... 29,600,250 15,000,000 6.09%, 9/22/00 ......... 14,794,462 Province of Quebec: 30,000,000 6.09%, 8/10/00 ......... 29,807,150 15,000,000 6.09%, 8/17/00 ......... 14,885,812 See Notes to Financial Statements. -------------------------------------------------------------------------------- 21 Cash Management Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE Receivables Capital Corp.: $30,000,000 6.59%, 8/9/00 .......... $ 29,796,808 70,000,000 6.61%, 9/5/00 .......... 69,177,422 Salomon Smith Barney Holdings, Inc.: 60,000,000 6.54%, 7/14/00 ......... 59,880,100 50,000,000 6.52%, 8/1/00 .......... 49,737,389 SBC Communications, Inc., 70,000,000 6.75%, 7/10/00 ......... 69,908,125 Sheffield Receivables Corp.: 20,000,000 6.60%, 7/14/00 ......... 19,959,667 50,900,000 6.61%, 7/17/00 ......... 50,769,353 74,000,000 6.67%, 7/26/00 ......... 73,684,657 37,900,000 6.59%, 8/4/00 .......... 37,677,990 40,000,000 6.60%, 8/7/00 .......... 39,743,333 33,000,000 6.65%, 9/5/00 .......... 32,609,867 Toyota Motor Credit Corp., 15,000,000 6.05%, 8/28/00 ......... 14,858,833 Tulip Funding Corp.: 40,000,000 6.55%, 7/10/00 ......... 39,949,056 11,724,000 6.61%, 7/17/00 ......... 11,693,863 36,044,000 6.61%, 7/19/00 ......... 35,938,111 20,000,000 6.66%, 7/28/00 ......... 19,907,500 90,000,000 6.65%, 9/26/00 ......... 88,586,875 35,000,000 6.65%, 9/27/00 ......... 34,443,986 Volkswagen of America, Inc., 25,000,000 6.56%, 8/15/00 ......... 24,804,111 Wells Fargo Bank, 50,000,000 6.58%, 8/23/00 ......... 49,533,917 Windmill Funding Corp.: 25,000,000 6.53%, 7/14/00 ......... 24,950,118 40,000,000 6.65%, 7/20/00 ......... 39,874,389 15,000,000 6.58%, 7/24/00 ......... 14,942,425 25,000,000 6.60%, 8/7/00 .......... 24,839,583 -------------- TOTAL COMMERCIAL PAPER (Amortized Cost $4,050,467,745) .... 4,050,467,745 -------------- PRINCIPAL AMOUNT SECURITY VALUE FUNDING AGREEMENTS -- 2.8% Allstate Life Insurance, Quarterly Variable Rate,1,2 $45,000,000 6.868%, 7/2/01 ......... $ 45,000,000 First Allmerica Financial Life Insurance, Quarterly Variable Rate,1,2 45,000,000 6.97%, 1/29/01 ......... 45,000,000 GE Life and Annuity Assurance Co., Quarterly Variable Rate:1,2 40,000,000 6.721%, 9/1/00 ......... 40,000,000 20,000,000 6.91%, 3/1/01 .......... 20,000,000 Travelers Insurance Co, Quarterly Variable Rate:1,2 40,000,000 6.35%, 2/23/01 ......... 40,000,000 30,000,000 6.36%, 4/2/01 .......... 30,000,000 -------------- TOTAL FUNDING AGREEMENTS (Amortized Cost $220,000,000) ...... 220,000,000 -------------- GOVERNMENT AGENCY -- 0.2% Federal National Mortgage Association, 15,000,000 6.35%, 2/2/01 .......... 14,990,703 -------------- TOTAL GOVERNMENT AGENCY (Amortized Cost $14,990,703) ....... 14,990,703 -------------- TOTAL INVESTMENTS (Amortized Cost $7,732,765,470) ......... 99.6% $7,732,765,470 OTHER ASSETS IN EXCESS OF LIABILITIES ............. 0.4 30,004,558 ----- -------------- NET ASSETS ................... 100.0% $7,762,770,028 ===== ============== -------------------------------------------------------------------------------- 1 Illiquid security. 2 Funding agreement subject to a thirty or ninety day demand feature. See Notes to Financial Statements. -------------------------------------------------------------------------------- 22 NY Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE NEW YORK -- 103.8% $ 1,000,000 Buffalo, New York, RAN, Series A, (LOC: Landesbank-Hessen-Thuringen), 4.65%, 7/25/00 .......................................... $ 1,000,396 2,445,000 Great Neck North, New York Water Authority, Water System Revenue, Series A, (FGIC Insured), Variable Rate Weekly Demand Note 1, 4.65%, 1/1/20 .................................... 2,445,000 2,000,000 Half Hollow Hills Central School District, New York, TAN, 4.80%, 6/29/01 .................... 2,009,380 1,000,000 Long Island Power Authority, New York, Electric System Revenue, (LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode), 4.60%, 7/24/00 ........... 1,000,000 1,000,000 Long Island Power Authority, New York, Electric System Revenue, (LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), Variable Rate Demand Bonds, (Tax Exempt Commercial Paper Mode), 4.05%, 8/16/00 ........... 1,000,000 2,350,000 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 1, 4.40%, 5/1/33 ..................... 2,350,000 4,600,000 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 1, 4.45%, 5/1/33 ..................... 4,600,000 2,000,000 Metropolitan Transportation Authority, New York, Series B, Tax Exempt Commercial Paper, 4.50%, 8/10/00 ................................... 2,000,000 700,000 Metropolitan Transportation Authority, New York, Series B, Tax Exempt Commercial Paper, 4.15%, 9/8/00 .................................... 700,000 2,200,000 Municipal Assistance Corp., New York City, New York, Series G, Revenue Bond, 5.50%, 7/1/00 ........................................... 2,200,000 1,000,000 Municipal Assistance Corp., New York City, New York, Series M, Revenue Bond, 4.00%, 7/1/00 ........................................... 1,000,000 1,700,000 Nassau County, New York, Industrial Development Agency, (Cold Spring Harbor), (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note 1, 4.45%, 1/1/34 ............... 1,700,000 800,000 Nassau County, New York, Industrial Development Agency, (Winthrop Hospital), Variable Rate Daily Demand Note 1, 4.45%, 3/1/28 ........................................... 800,000 2,000,000 New York City, New York, BAN, Transitional Finance Authority Revenue, Series 3, 4.75%, 11/1/00 .......................................... 2,004,179 345,000 New York City, New York, G.O., Escrowed to Maturity in U.S. Government Securities, Series D, 5.125%, 2/15/01 ........................ 347,127 2,600,000 New York City, New York, Health & Hospital Corp., Series D, (LOC: Bank of Nova Scotia), Variable Rate Weekly Demand Note 1, 4.40%, 2/15/26 .......................................... 2,600,000 2,500,000 New York City, New York, Housing Development Corporation, (Carnegie Park), (Guaranteed by FNMA), Variable Rate Weekly Demand Note 1, 4.40%, 11/15/19 .................................. 2,500,000 1,300,000 New York City, New York, Housing Development Corporation, (Columbus Apartments Project), (Guaranteed by FNMA), Variable Rate Weekly Demand Note 1, 4.40%, 3/15/25 .................... 1,300,000 2,000,000 New York City, New York, Housing Development Corporation, (Guaranteed by FNMA), Revenue Bond, 4.40%, 11/15/19 ............................ 2,000,000 2,000,000 New York City, New York, Housing Development Corporation, (Guaranteed by FNMA), Revenue Bond, 4.40%, 10/15/28 ............................ 2,000,000 200,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, Series A, (FGIC Insured), Variable Rate Daily Demand Note 1, 4.75%, 6/15/25 ......... 200,000 4,200,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, Series G, (FGIC Insured), Variable Rate Daily Demand Note 1, 4.75%, 6/15/24 ......... 4,200,000 See Notes to Financial Statements. -------------------------------------------------------------------------------- 23 NY Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE $ 300,000 New York City, New York, Series B, (FGIC Insured), Variable Rate Daily Demand Note 1, 4.75%, 10/1/22 ........................... $ 300,000 3,550,000 New York City, New York, Sub Series A-4, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note 1, 4.50%, 8/1/21 ............... 3,550,000 600,000 New York City, New York, Sub Series A-5, (LOC: KBC Bank N.V.), Variable Rate Daily Demand Note 1, 4.45%, 8/1/15 ..................... 600,000 700,000 New York City, New York, Sub Series A-10, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note 1, 4.75%, 8/1/17 ............... 700,000 400,000 New York City, New York, Transitional Finance Authority Revenue, Series A-2, Variable Rate Weekly Demand Note 1, 4.40%, 11/15/27 ............ 400,000 1,000,000 New York City, New York, Transitional Finance Authority Revenue, Series C, Variable Rate Daily Demand Note 1, 4.50%, 5/1/28 ............... 1,000,000 3,000,000 New York City, New York, Trust for Cultural Research, Museum of Broadcasting, (LOC: KBC Bank N.V.), Variable Rate Weekly Demand Note 1, 4.40%, 5/1/14 ............................ 3,000,000 1,000,000 New York, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note 1, 4.75%, 10/1/20 ........................... 1,000,000 1,000,000 New York State, (LOC: Bayerische Landesbank 50%, Landesbank-Hessen-Thuringen 50%), Tax Exempt Commercial Paper, 3.95%, 7/10/00 ................. 1,000,000 3,500,000 New York State Dormitory Authority, (New York Public Library), Series A, Variable Rate Weekly Demand Note 1, 4.40%, 7/1/28 .............. 3,500,000 3,400,000 New York State Dormitory Authority Revenue, (City University System), Series A, (Escrowed in U.S. Government), Prerefunded 07/01/00 @ $102, Revenue Bond, 7.625%, 7/1/20 ........................................... 3,468,000 1,105,000 New York State Dormitory Authority Revenue, (Cornell University), Revenue Bond, 4.60%, 7/1/00 ........................................... 1,105,000 1,000,000 New York State Dormitory Authority Revenue, (Cornell University), Series B, (LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note 1, 4.35%, 7/1/30 ............................ 1,000,000 1,800,000 New York State Dormitory Authority Revenue, (Memorial Sloan-Kettering), Series B, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note 1, 4.55%, 7/1/19 ..................... 1,800,000 1,000,000 New York State Dormitory Authority Revenue (Memorial Sloan-Kettering), Series C, (LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note 1, 4.50%, 7/1/19 ..................... 1,000,000 2,700,000 New York State Energy Research and Development Authority, P.C.R., New York State Electric and Gas, (LOC: Bank One Illinois N.A.), Revenue Bond, 4.55%, 10/1/29 ..................... 2,700,000 1,170,000 New York State Energy Research and Development Authority, P.C.R., New York State Electric and Gas, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note 1, 4.50%, 6/1/29 ........................................... 1,170,000 2,055,000 New York State Environmental Facilities Corporation, State Clean Water and Drinking, Pooled Loan, Revenue Bond, 5.00%, 1/15/01 ..................... 2,061,967 200,000 New York State Environmental Facilities Corporation, State Water Revolving Fund, Series B, Revenue Bond, 6.30%, 9/15/00 ..................... 200,844 3,000,000 New York State Housing Finance Agency, Contract Obligation Revenue, Series A, (LOC: Commerzbank A.G.), Revenue Bond, 4.35%, 3/15/27 .......................................... 3,000,000 1,294,000 New York State Housing Finance Agency, Hospital Special Surgery Staff, Series A, (LOC: Chase Manhattan Bank), Variable Rate Weekly Demand Note 1, 4.50%, 11/1/10 ........................... 1,294,000 2,690,000 New York State Housing Finance Agency, (Normandie Court I Project), (LOC: Landesbank-Hessen-Thuringen), Variable Rate Weekly Demand Note 1, 4.45%, 5/15/15 ............. 2,690,000 See Notes to Financial Statements. -------------------------------------------------------------------------------- 24 NY Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE $ 900,000 New York State Local Government Assistance Corp., Series A, (LOC: Bayerische Landesbank 50%, Westdeutsche Landesbank 50%), Variable Rate Weekly Demand Note 1, 4.35%, 4/1/22 ......... $ 900,000 2,000,000 New York State Local Government Assistance Corp., Series A, Revenue Bond, 7.25%, 4/1/18 ..... 2,082,736 1,000,000 New York State Local Government Assistance Corp., Series B, (LOC: Bayerische Landesbank 50%, Westdeutsche Landesbank 50%), Variable Rate Weekly Demand Note 1, 4.35%, 4/1/23 ......... 1,000,000 400,000 New York State Medical Care Facility, (Lenox Hill Hospital), Series A, (LOC: Chase Manhattan Bank), Revenue Bond, 4.80%, 11/1/08 .......................................... 400,000 2,000,000 New York State Thruway Authority, Highway and Bridge Trust Fund, Tax Exempt Commercial Paper, 4.15%, 8/9/00 ............................. 2,000,000 1,500,000 New York State Thruway Authority, Highway & Bridge Trust Fund, Tax Exempt Commercial Paper, 4.20%, 10/5/00 ............................ 1,500,000 1,500,000 New York State Thruway Authority, Highway and Bridge Trust Fund, Series G, (Ambac Insured) Revenue Bond, 6.00%, 4/1/01 ...................... 1,519,619 600,000 New York State, Energy, Variable Rate Weekly Demand Note 1, 4.40%, 10/1/29 .................... 600,000 4,200,000 Triborough Bridge & Tunnel Authority, New York, Series C, (AMBAC Insured), Variable Rate Weekly Demand Note 1, 4.25%, 1/1/13 ........................................... 4,200,000 1,225,000 Westchester County, New York, G.O., Series B, 4.60%, 11/15/00 ........................ 1,227,066 ----------- TOTAL NEW YORK (Amortized Cost $91,925,314) ...................... 91,925,314 ----------- TOTAL INVESTMENTS (Amortized Cost $91,925,314) ......... 103.8% $91,925,314 LIABILITIES IN EXCESS OF OTHER ASSETS .................. (3.8) (3,344,234) ----- ----------- NET ASSETS ............................................. 100.0% $88,581,080 ===== =========== -------------------------------------------------------------------------------- 1 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 BAN -- Bond Anticipation Note 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 RAN -- RevenueAnticipation Notes TRAN -- Tax Revenue Anticipation Notes See Notes to Financial Statements. -------------------------------------------------------------------------------- 25 Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE ARIZONA -- 0.4% $ 500,000 Scottsdale, Arizona, G.O., Series A, 6.50%, 7/1/00 ......................... $ 500,000 ----------- COLORADO -- 0.7% 805,000 Colorado Housing Finance Authority, Multifamily Housing, (Hunters Project), (Guaranteed by FNMA), Revenue Bond, 4.75%, 10/15/16 ............ 805,000 ----------- FLORIDA -- 0.4% 500,000 Pinellas County, Florida, Health Facility Authority Revenue, (Pooled Hospital Loan Program), (AMBAC Insured), Variable Rate Daily Demand Note 1, 4.60%, 12/1/15 ............. 500,000 ----------- GEORGIA -- 11.6% 2,000,000 Burke County, Georgia, Tax Exempt Commercial Paper, 4.10%, 8/10/00 (Ambac Insured) ........... 2,000,000 2,000,000 Burke County, Georgia, Tax Exempt Commercial Paper, 4.15%, 9/6/00 (Ambac Insured) ............ 2,000,000 1,000,000 Cobb County, Georgia, Housing Authority, (Post Mill Project), (Guaranteed by FNMA), Revenue Bond, 4.75%, 6/1/25 ..................... 1,000,000 1,000,000 Georgia State, G.O., Series D, 6.50%, 8/1/00 ..... 1,001,981 2,000,000 Georgia State, G.O., Series D, 6.80%, 8/1/00 ..... 2,004,126 1,000,000 Georgia State, G.O., Series D, 7.70%, 11/1/00 .... 1,011,596 1,000,000 Macon-Bibb County, Georgia, Hospital Authority Revenue, (Medical Center of Central Georgia), (LOC: SunTrust Bank), Variable Rate Weekly Demand Note 1, 4.80%, 12/1/18 ....... 1,000,000 4,000,000 Smyrna Georgia Housing Authority, Multifamily Housing, (F&M Villages Project), (Guaranteed by FNMA), Revenue Bond, 4.75%, 6/1/25 ........... 4,000,000 ----------- 14,017,703 ----------- ILLINOIS -- 13.4% 1,000,000 Chicago, Illinois, G.O., Adjustable Tender Notes, (LOC: Westdeutsche Landesbank), 4.00%, 10/26/00 ........................................ 1,000,000 1,000,000 Chicago, Illinois, G.O., Series A-2, (AMBAC Insured), 5.25%, 1/1/01 .................. 1,005,098 3,000,000 Illinois Development Finance Authority, (Jewish Federation Project), (AMBAC Insured), Variable Rate Weekly Demand Note 1, 4.80%, 9/1/23 ................................... 3,000,000 2,000,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.), (LOC: Harris Trust and Savings Bank), Revenue Bond, 4.70%, 11/15/25 ........................... 2,000,000 1,700,000 Illinois Health Facilities Authority, (Gottlieb Health Resources, Inc.), (LOC: Harris Trust and Savings Bank), Variable Rate Weekly Demand Note 1, 4.70%, 11/15/24 ...... 1,700,000 2,400,000 Illinois Health Facilities Authority, (Northwestern Memorial Hospital), Variable Rate Daily Demand Note 1, 4.60%, 8/15/2 ......... 2,400,000 2,000,000 Illinois Housing Development Authority, Multifamily Housing, (Lakeshore Plaza), Series A, (Guaranteed by MBIA), Variable Rate Weekly Demand Note 1, 4.80%, 7/1/27 ........ 2,000,000 3,000,000 Schaumburg, Illinois, G.O., Series A, 4.75%, 12/1/13 .................................. 3,000,000 ----------- 16,105,098 ----------- KENTUCKY -- 1.7% 2,000,000 Kentucky Asset/Liability Commission, TRAN, General Fund, Series A, 5.25%, 6/27/01 .......... 2,013,360 ----------- See Notes to Financial Statements. -------------------------------------------------------------------------------- 26 Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE LOUISIANA -- 0.8% $ 900,000 East Baton Rouge Parish, Louisiana, Revenue Bond, 4.45%, 11/1/19 .................... $ 900,000 ------------ MARYLAND -- 5.5% 2,000,000 Maryland State Health and Higher Educational Facility Authority, (University of Maryland), (LOC:First Union) Variable Rate Weekly Demand Note 1, 4.75%, 7/1/24 ............. 2,000,000 2,000,000 Montgomery County, Maryland, Tax Exempt Commercial Paper, 4.15%, 9/5/00 ................. 2,000,000 2,600,000 Montgomery County, Maryland, Tax Exempt Commercial Paper, 4.20%, 9/8/00 ................. 2,600,000 ------------ 6,600,000 ------------ MASSACHUSETTS -- 0.8% 1,000,000 Massachusetts State, G.O., Series B, (AMBAC Insured), 6.20%, 8/1/00 .................. 1,001,645 ------------ MINNESOTA -- 5.7% 2,000,000 Minneapolis, Minnesota, G.O., 4.50%, 12/1/00 ..... 2,002,830 1,075,000 Minnesota Public Facility Authority, P.C.R., Series A, Revenue Bond, 5.00%, 3/1/01 ........... 1,080,779 1,705,000 Minnesota State, G.O., 5.50%, 6/1/01 ............. 1,721,862 2,000,000 University of Minnesota, Series A, Variable Rate Weekly Demand Note 1, 4.80%, 1/1/3 ......... 2,000,000 ------------ 6,805,471 ------------ MISSISSIPPI -- 2.5% 3,000,000 Perry County, Mississippi, P.C.R., (Leaf Forest Project), (LOC: Wachovia), Variable Rate Daily Demand Note 1, 4.45%, 3/1/02 .......................................... 3,000,000 ------------ NEVADA -- 1.7% 2,000,000 Las Vegas, Nevada, Valley Water District, Tax Exempt Commercial Paper, 4.20%, 9/11/00 ..... 2,000,000 ------------ NEW YORK -- 18.3% 2,000,000 Buffalo, New York, RAN, Series A, (LOC: Landesbank-Hessen-Thuringen), 4.65%, 7/25/00 .... 2,001,000 1,900,000 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 1, 4.45%, 5/1/33 .................... 1,900,000 3,000,000 New York City, New York, G.O., Sub Series A-4, (LOC: Chase Manhattan Bank), Variable Rate Daily Demand Note 1, 4.50%, 8/1/21 ......... 3,000,000 1,000,000 New York City, New York, G.O., Sub Series B-2, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note 1, 4.75%, 8/15/18 ............. 1,000,000 550,000 New York City, New York, G.O., Sub Series B-2, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note 1, 4.75%, 8/15/19 ............. 550,000 150,000 New York City, New York, G.O., Sub Series B-3, (LOC: Morgan Guaranty Trust), Variable Rate Daily Demand Note 1, 4.75%, 8/15/18 ............. 150,000 1,000,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, (LOC: Westdeutsche Landesbank), Tax Exempt Commercial Paper, 4.45%, 7/26/00 ................ 1,000,000 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 1, 4.75%, 6/15/25 ............. 2,000,000 1,000,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, Series G, (FGIC Insured), Variable Rate Daily Demand Note 1, 4.75%, 6/15/24 ............. 1,000,000 See Notes to Financial Statements. -------------------------------------------------------------------------------- 27 Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE $ 1,600,000 New York, New York, G.O., Series B, (FGIC Insured), Variable Rate Daily Demand Note 1, 4.75%, 10/1/21 .......................... $ 1,600,000 4,000,000 New York State Local Assistance Corp., Series B, (LOC: Westdeutsche Landesbank 50%, Bayerische Landesbank 50%), Variable Rate Weekly Demand Note 1, 4.35%, 4/1/23 ............. 4,000,000 1,700,000 New York State Local Assistance Corp., Series A, Revenue Bond, Prerefunded 4/1/02 @ $102, 7.25%, 4/1/18 ................................... 1,770,268 2,000,000 New York State Thruway, Tax Exempt Commercial Paper, 4.20%, 10/5/00 ........................... 2,000,000 ------------ 21,971,268 ------------ NORTH CAROLINA -- 4.9% 1,000,000 Charlotte-Mecklenberg Hospital Authority, North Carolina, Health Care System Revenue, Series D, Variable Rate Weekly Demand Note 1, 4.70%, 1/15/26 .................................. 1,000,000 800,000 North Carolina Medical Care Commission, (Moses H. Cone Memorial Hospital Project), Variable Rate Weekly Demand Note 1, 4.65%, 10/1/23 ......................................... 800,000 4,100,000 Wake County, North Carolina, P.C.R., Series B, (LOC: Bank of New York), Variable Rate Daily Demand Note 1, 4.75%, 6/15/14 ................... 4,100,000 ------------ 5,900,000 ------------ OHIO -- 4.4% 1,115,000 Ohio State Building Authority, (State Correction Facility), Revenue Bond, 4.20%, 10/1/00 ......... 1,115,000 3,200,000 Ohio State University General Receipts, Revenue Bond, 4.75%, 12/1/07 .................... 3,200,000 1,000,000 Ohio State University General Receipts, Revenue Bond, 4.90%, 12/1/19 .................... 1,000,000 ------------ 5,315,000 ------------ PENNSYLVANIA -- 0.4% 500,000 Lehigh County, Pennsylvania, I.D.A., Allegheny Electric, (LOC: Rabobank Nederland), Variable Rate Monthly Demand Note 1, 4.40%, 6/1/14 .......................................... 500,000 ------------ TENNESSEE -- 4.2% 1,000,000 Metropolitan Government of Nashville & Davidson County, Tennessee, G.O., Series A, 5.125%, 11/15/00 ................................ 1,001,503 3,000,000 Tennessee State, Tax Exempt Commercial Paper, 4.15%, 8/3/00 ............................ 3,000,000 1,000,000 Tennessee State, Tax Exempt Commercial Paper, 4.20%, 8/22/00 ........................... 1,000,000 ------------ 5,001,503 ------------ TEXAS -- 13.1% 965,000 Austin, Texas, G.O. Series A, 8.875%, 9/1/00 ..... 972,115 1,000,000 City of Houston, Texas, G.O., Series B, Tax Exempt Commercial Paper, 4.55%, 7/19/00 ..... 1,000,000 1,000,000 Dallas, Texas, G.O., 5.00%, 2/15/01 .............. 1,002,395 2,874,000 Harris County, Texas, Tax Exempt Commercial Paper, 4.75%, 8/3/00 ................. 2,874,000 345,000 Harris County, Texas, Tax Exempt Commercial Paper, 4.90%, 8/3/00 ................. 345,000 350,000 Harris County, Texas, Tax Exempt Commercial Paper, 5.00%, 8/3/00 ................. 350,000 1,900,000 Southwest Higher Education Authority Inc., Southern Methodist University, Project B, (LOC: Landesbank-Hessen-Thuringen), Variable Rate Weekly Demand Note 1, 4.75%, 10/1/29 ....... 1,900,000 See Notes to Financial Statements. -------------------------------------------------------------------------------- 28 Tax Free Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE $ 565,000 Texas Small Business Industrial Development Corporation, Texas Public Facilities Capital Access, (LOC: KBC Bank N.V.), Variable Rate Weekly Demand Note 1, 4.85%, 7/1/26 ............. $ 565,000 4,000,000 Texas State, TRAN, Series A, 4.50%, 8/31/00 ...... 4,004,378 2,718,000 University of Texas, Tax Exempt Commercial Paper, 4.15%, 10/5/00 ........................... 2,718,000 ------------ 15,730,888 ------------ UTAH -- 2.6% 1,630,000 Salt Lake City, Utah, G.O., 5.00%, 6/15/01 ....... 1,639,422 1,500,000 Utah State, G.O., Series A-F, 4.70%, 7/1/00 ...... 1,500,000 ------------ 3,139,422 ------------ VERMONT -- 3.9% 4,735,000 Vermont State, I.D.A., Central Vermont Public Service, (LOC: Toronto Dominion Bank), Variable Rate Monthly Demand Note 1, 4.50%, 12/1/13 .................................. 4,735,000 ------------ VIRGINIA -- 0.8% 1,020,000 Virginia State, Public School Authority, Series C, Revenue Bond, 5.00%, 8/1/00 ........... 1,020,933 ------------ WASHINGTON -- 0.8% 1,000,000 Washington Suburban Sanitation District, G.O., 6.00%, 11/1/00 ............................ 1,005,944 ------------ WYOMING -- 7.1% 800,000 Lincoln County, Wyoming, P.C.R., (Exxon Project-C), Variable Rate Daily Demand Note 1, 4.45%, 11/1/14 .......................... 800,000 4,300,000 Platte County, Wyoming, P.C.R., Tri State, (LOC: National Rural Utility), Variable Rate Daily Demand Note 1, 4.75%, 7/1/14 .............. 4,300,000 3,500,000 Unita County, Wyoming, P.C.R., (Chevron U.S.A. Income Project), Variable Rate Daily Demand Note 1, 4.40%, 8/15/20 .......................... 3,500,000 ------------ 8,600,000 ------------ TOTAL INVESTMENTS (Amortized Cost $127,168,235) ......... 105.7% $127,168,235 LIABILITIES IN EXCESS OF OTHER ASSETS ................... (5.7) (6,834,206) ----- ------------ NET ASSETS .............................................. 100.0% $120,334,029 ===== ============ -------------------------------------------------------------------------------- 1 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 Revenue Anticipation Note See Notes to Financial Statements. -------------------------------------------------------------------------------- 29 Treasury Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE U.S. TREASURY BILL -- 2.5% $ 40,000,000 5.65%, 9/28/00 .................................. $ 39,453,833 ------------ TOTAL U.S. TREASURY BILL (Amortized Cost $39,453,833) ................................. 39,453,833 ------------ U.S. TREASURY NOTES -- 17.0% 19,925,000 6.125%, 7/31/00 ................................. 19,927,642 62,000,000 4.00%, 10/31/00 ................................. 61,559,249 20,000,000 5.75%, 10/31/00 ................................. 19,965,774 115,000,000 4.625%, 11/30/00 ................................ 114,265,801 50,000,000 5.25%, 1/31/01 .................................. 49,646,881 ------------ TOTAL U.S. TREASURY NOTE/BOND (Amortized Cost $265,365,347) ................................ 265,365,347 ------------ REPURCHASE AGREEMENTS 2 -- 80.2% 70,000,000 Banque Paribas, 6.32%, 7/5/00 (dated 6/20/00, collateralized by $479,647 U.S. Treasury Note, 6.25% due 8/31/02, market value $479,273 and $70,207,716 U.S. Treasury Bonds, 7.50% to 7.625% due from 11/15/18 to 11/15/22, market value $71,030,142 and $61,644 Federal Mortgage Acceptance Corp., 6.791% due 1/1/28, market value $62,536) ........ 70,000,000 65,000,000 Canadian Imperial Bank of Commerce World Markets Corp., 6.55%, 7/3/20 (dated 6/30/00, collateralized by $1,575,031 U.S. Treasury Bill, 6.10% due 11/9/00, market value $1,575,031 and $21,444,120 U.S. Treasury Bonds, 6.125% to 10.75% due from 5/15/03 to 11/15/27, market value $21,102,105 and $43,282,841 U.S. Treasury Notes, 4.25% to 7.875% due from 2/15/01 to 8/15/05, market value $42,983,250) .............................. 65,000,000 65,000,000 Chase Manhattan Bank, 6.50%, 7/5/00 (dated 6/30/00, collateralized by $66,300,229 U.S. Treasury Bonds, 5.50% to 8.125% due from 8/15/21 to 8/15/28, market value $65,202,888) .............. 65,000,000 200,000,000 Credit Suisse First Boston Corp., 6.39%, 8/7/00 (dated 6/7/00, collateralized by $206,123,889 U.S. Treasury Strips 1, 6.25% to 8.75% due from 8/15/00 to 8/15/26, market value $206,123,889) ............................. 200,000,000 147,347,857 Goldman Sachs and Co., Inc., 6.50%, 7/3/00 (dated 6/30/00, collateralized by $147,348,235 U.S. Treasury Notes, 6.125% to 6.625% due from 6/30/01 to 8/15/07, market value $148,389,847) ............................. 147,347,857 65,000,000 Greenwich Capital, Inc., 6.60%, 7/3/00 (dated 6/30/00, collateralized by $2,484,516 Resolution Funding Bond, 8.125% to 8.875% due from 10/15/19 to 4/15/30, market value $2,440,444 and $55,968,288 Resolution Funding Strips, 6.561% to 6.75% due from 7/15/03 to 1/15/21, market value $55,968,288 and $957,202 Resolution Funding Principle, 8.625% to 8.875% due from 1/15/21 to 4/15/30, market value $957,202 and $6,891,559 U.S. Strip, 3.625% due 7/15/02, market value $6,778,166) ........................ 65,000,000 65,000,000 J.P. Morgan, Inc., 6.40%, 7/3/00 (dated 6/29/00, collateralized by $65,000,534 U.S. Treasury Bond, 10.75% due 5/15/03, market value $65,508,458) .................................... 65,000,000 50,000,000 Merrill Lynch & Co., 6.45%, 7/3/00 (dated 6/30/00, collateralized by $51,000,905 U.S. Treasury Strips1, 5.25% to 9.87% due from 11/15/05 to 2/15/29, market value $51,000,905) .............. 50,000,000 70,000,000 Merrill Lynch & Co., 6.45%, 7/5/00 (dated 6/26/00, collateralized by $71,401,740 U.S. Treasury Strips 1, 5.25% to 10.625% due from 2/15/08 to 2/15/29, market value $71,401,740) ........... 70,000,000 67,000,000 Morgan Stanley Dean Witter &Co., 6.30%, 8/7/00 (dated 6/30/00, collateralized by $67,327,399 U.S. Treasury Note, 7.875% due 8/15/01, market value $66,738,792) .............. 67,000,000 See Notes to Financial Statements. -------------------------------------------------------------------------------- 30 Treasury Money Portfolio -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited) PRINCIPAL AMOUNT SECURITY VALUE $70,000,000 Salomon Smith Barney, 6.32%, 7/5/00 (dated 6/20/00, collateralized by $70,014,618 U.S. Treasury Note, 5.875% due 11/15/04, market value $70,000,160) ............. $ 70,000,000 70,000,000 UBS Warburg Llc, 6.45%, 9/12/00 (dated 6/29/00, collateralized by $71,401,862 U.S. Treasury Strip 1, 6.283% due 2/15/12, market value $71,401,862) .................................... 70,000,000 250,000,000 Westdeutsche Landesbank, 6.55%, 7/03/00 (dated 6/30/00, collateralized by $143,682 U.S. Treasury Note, 6.375% due 1/31/02, market value $142,774 and $249,856,842 U.S. Treasury Bonds, 7.50% to 14.25% due from 2/15/02 to 11/15/18, market value $248,751,174) ............ 250,000,000 ------------- TOTAL REPURCHASE AGREEMENTS (Amortized Cost $1,254,347,857) ............................. 1,254,347,857 -------------- TOTAL INVESTMENTS (Amortized Cost $1,559,167,037) ..................... 99.7% 1,559,167,037 OTHER ASSETS IN EXCESS OF LIABILITIES .................. 0.3 5,153,358 ----- -------------- NET ASSETS ............................................. 100.0% $1,564,320,395 ===== ============== -------------------------------------------------------------------------------- 1 Reflects rate as of June 30, 2000 . 2 Market value disclosed for collateral on repurchase agreements is as of June 30, 2000. The term repurchase agreements are subject to a seven day demand feature. See Notes to Financial Statements. -------------------------------------------------------------------------------- 31 Portfolios -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000 CASH NY TAX TAX FREE TREASURY MANAGEMENT FREE MONEY MONEY MONEY ------------- ------------- ------------- ------------- ASSETS Investments at Amortized Cost .. $7,732,765,470 $ 91,925,314 $ 127,168,235 $1,559,167,037 Cash ........................... 1,328,675 66,484 54,708 938,818 Interest Receivable ............ 30,035,483 684,494 903,235 4,501,045 -------------- -------------- -------------- -------------- Total Assets ...................... 7,764,129,628 92,676,292 128,126,178 1,564,606,900 -------------- -------------- -------------- -------------- LIABILITIES Payable for Securities Purchased -- 4,071,346 7,744,509 -- Due to Bankers Trust ........... 1,352,578 11,396 20,190 279,631 Accrued Expenses and Other ..... 7,022 12,470 27,450 6,874 -------------- -------------- -------------- -------------- Total Liabilities ................. 1,359,600 4,095,212 7,792,149 286,505 -------------- -------------- -------------- -------------- NET ASSETS ........................ $7,762,770,028 $ 88,581,080 $ 120,334,029 $1,564,320,395 ============== ============== ============== ============== COMPOSITION OF NET ASSETS Paid-in Capital ................ $7,762,770,028 $ 88,581,080 $ 120,334,029 $1,564,320,395 -------------- -------------- -------------- -------------- NET ASSETS ..................... $7,762,770,028 $ 88,581,080 $ 120,334,029 $1,564,320,395 ============== ============== ============== ==============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 32 Portfolios -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS (Unaudited)
FOR THE SIX MONTHS ENDED JUNE 30, 2000 CASH NY TAX TAX FREE TREASURY MANAGEMENT FREE MONEY MONEY MONEY ------------- ------------- ------------- ------------- INVESTMENT INCOME Interest ....................... $ 256,211,908 $ 1,550,081 $ 2,795,132 $ 51,261,007 ------------- ------------- ------------- ------------- EXPENSES Advisory Fees .................. 6,212,853 61,804 108,999 1,314,807 Administration and Services Fees 2,070,951 20,601 36,333 438,269 Professional Fees .............. 24,256 12,070 18,733 27,670 Trustees Fees .................. 2,011 1,862 2,225 1,581 Miscellaneous .................. 22,830 634 828 1,571 ------------- ------------- ------------- ------------- Total Expenses .................... 8,332,901 96,971 167,118 1,783,898 Less: Fee Waivers and/or Expense Reimbursements ................. (877,477) (15,433) (21,786) (29,482) ------------- ------------- ------------- ------------- Net Expenses ...................... 7,455,424 81,538 145,332 1,754,416 ------------- ------------- ------------- ------------- NET INVESTMENT INCOME ............. 248,756,484 1,468,543 2,649,800 49,506,591 NET REALIZED GAIN (LOSS) FROM INVESTMENT TRANSACTIONS ........ 103,564 (5,142) (6,220) (11,610) ------------- ------------- ------------- ------------- NET INCREASE IN NET ASSETS FROM OPERATIONS ..................... $ 248,860,048 $ 1,463,401 $ 2,643,580 $ 49,494,981 ============= ============= ============= =============
See Notes to Financial Statements. -------------------------------------------------------------------------------- 33 Portfolios -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 2000 1 1999 2000 1 1999 CASH MANAGEMENT NY TAX FREE MONEY ---------------------------------- ------------------------------------ INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net Investment Income .............. $ 248,756,484 $ 356,274,468 $ 1,468,543 $ 2,511,544 Net Realized Gain (Loss) from Investment Transactions .......... 103,564 441,562 (5,142) -- ---------------- ---------------- ---------------- ---------------- Net Increase in Net Assets from Operations ......................... 248,860,048 356,716,030 1,463,401 2,511,544 ---------------- ---------------- ---------------- ---------------- CAPITAL TRANSACTIONS Proceeds from Capital Invested ..... 25,538,301,927 39,802,568,271 117,640,092 242,825,826 Value of Capital Withdrawn ......... (24,125,109,313) (39,522,819,924) (104,574,110) (249,339,971) ---------------- ---------------- ---------------- ---------------- Net Increase (Decrease) in Net Assets from Capital Transactions ..................... 1,413,192,614 279,748,347 13,065,982 (6,514,145) ---------------- ---------------- ---------------- ---------------- TOTAL INCREASE (DECREASE) IN NET ASSETS ......................... 1,662,052,662 636,464,377 14,529,383 (4,002,601) NET ASSETS Beginning of Period ................ 6,100,717,366 5,464,252,989 74,051,697 78,054,298 ---------------- ---------------- ---------------- ---------------- End of Period ...................... $ 7,762,770,028 $ 6,100,717,366 $ 88,581,080 $ 74,051,697 ================ ================ ================ ================ -------------------------------------------------------------------------------- 1 Unaudited.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 34 Portfolios -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE FOR THE SIX FOR THE MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 2000 1 1999 2000 1 1999 TAX FREE MONEY TREASURY MONEY ---------------------------------- ---------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM: OPERATIONS Net Investment Income .............. $ 2,649,800 $ 4,449,304 $ 49,506,591 $ 102,397,213 Net Realized Loss from Investment Transactions .......... (6,220) (11,949) (11,610) (23,699) --------------- --------------- --------------- --------------- Net Increase in Net Assets from Operations ......................... 2,643,580 4,437,355 49,494,981 102,373,514 --------------- --------------- --------------- --------------- CAPITAL TRANSACTIONS Proceeds from Capital Invested ..... 339,102,381 631,527,088 3,317,173,282 9,551,486,107 Value of Capital Withdrawn ......... (350,248,335) (708,729,284) (4,331,652,283) (9,163,201,635) --------------- --------------- --------------- --------------- Net Increase (Decrease) in Net Assets from Capital Transactions ..................... (11,145,954) (77,202,196) (1,014,479,001) 388,284,472 --------------- --------------- --------------- --------------- TOTAL INCREASE (DECREASE) IN NET ASSETS ......................... (8,502,374) (72,764,841) (964,984,020) 490,657,986 NET ASSETS Beginning of Period ................ 128,836,403 201,601,244 2,529,304,415 2,038,646,429 --------------- --------------- --------------- --------------- End of Period ...................... $ 120,334,029 $ 128,836,403 $ 1,564,320,395 $ 2,529,304,415 =============== =============== =============== =============== -------------------------------------------------------------------------------- 1 Unaudited.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 35 Portfolios -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Contained below are selected supplemental data and ratios to average net assets for each of the periods indicated for each of the Portfolios.
CASH MANAGEMENT FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 1 1999 1998 1997 1996 1995 SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) ...................... $7,762,770 $6,100,717 $5,464,253 $4,039,725 $3,261,910 $2,615,932 Ratios to Average Net Assets: Net Investment Income ............... 6.08%2 5.04% 5.37% 5.43% 5.27% 5.77% Expenses After Waivers .............. 0.18%2 0.18% 0.18% 0.18% 0.18% 0.18% Expenses Before Waivers ............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20%
NY TAX FREE MONEY FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 1 1999 1998 1997 1996 1995 SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) ...................... $88,581 $74,052 $ 78,054 $85,611 $76,033 $70,933 Ratios to Average Net Assets: Net Investment Income ............... 3.65%2 2.92% 3.17% 3.37% 3.18% 3.62% Expenses After Waivers .............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20% Expenses Before Waivers ............. 0.24%2 0.24% 0.25% 0.23% 0.25% 0.24%
TAX FREE MONEY FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 1 1999 1998 1997 1996 1995 SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) ...................... $120,334 $128,836 $201,601 $150,879 $117,714 $119,703 Ratios to Average Net Assets: Net Investment Income ............... 3.69%2 3.04% 3.26% 3.45% 3.34% 3.82% Expenses After Waivers .............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20% Expenses Before Waivers ............. 0.23%2 0.22% 0.24% 0.22% 0.24% 0.23%
TREASURY MONEY FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED DECEMBER 31, JUNE 30, 2000 1 1999 1998 1997 1996 1995 SUPPLEMENTAL DATA AND RATIOS: Net Assets, End of Period (000s omitted) ...................... $1,564,320 $2,529,304 $2,038,646 $2,119,300 $1,979,713 $1,941,082 Ratios to Average Net Assets: Net Investment Income ............... 5.72%2 4.76% 5.23% 5.29% 5.14% 5.58% Expenses After Waivers .............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.20% Expenses Before Waivers ............. 0.20%2 0.20% 0.20% 0.20% 0.20% 0.21% -------------------------------------------------------------------------------- 1 Unaudited. 2 Annualized.
See Notes to Financial Statements. -------------------------------------------------------------------------------- 36 Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) 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. Each portfolio was 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. VALUATION OF SECURITIES Investments are valued at amortized cost, which is in accordance with Rule 2a-7 of the Investment Company Act of 1940. C. SECURITIES TRANSACTIONS AND INTEREST INCOME Securities 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. Expenses are recorded as incurred. 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 securities 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. Each Portfolio may enter into tri-party repurchase agreements with broker-dealers, and domestic banks. The third party, which is the broker's custodial bank, holds the collateral in a separate account until the repurchase agreement matures. The agreement ensures that the collateral's market value, including any accrued interest, is adequate to cover the agreement if the broker defaults. 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 accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts in the financial statements. Actual results could differ from those estimates. -------------------------------------------------------------------------------- 37 Portfolios -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (Unaudited) 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 Portfolio in return for a fee computed daily and paid monthly at an annual rate of .05% of each of the Portfolios' average daily net assets. Each Portfolio has entered into an Advisory Agreement with Bankers Trust. Under this agreement, the Portfolios pay Bankers Trust a fee computed daily and paid monthly at an annual rate of .15% of each of the Portfolios' average daily net assets. Bankers Trust has contractually agreed to waive its fees and reimburse expenses of each Portfolio through April 30, 2001, to the extent necessary, to limit all expenses based upon an annual rate of the average daily net assets of the Portfolios. For the period ended June 30, 2000, the expenses of the respective Portfolios were limited as follows: ANNUAL PORTFOLIO RATE ---------- ---------- Cash Management .18% NY Tax Free Money .20% Tax Free Money .20% Treasury Money .20% At June 30, 2000, the Portfolios were participants with other affiliated entities in a revolving credit facility in the amount of $200,000,000, which expires April 27, 2001. A commitment fee on the average daily amount of the available commitment is payable on a quarterly basis and apportioned among all participants based on net assets. No amounts were drawn down or outstanding for these funds under the credit facility for the six months ended June 30, 2000. 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. -------------------------------------------------------------------------------- 38 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: DEUTSCHE ASSET MANAGEMENT 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. Deutsche Asset Management is the marketing name for the asset management activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust Company, DB Alex. Brown LLC, Deutsche Asset Management, Inc. and Deutsche Asset Management Investment Services Limited. Cash Management CUSIP#s: 055922108 NY Tax Free Money 055922207 Tax Free Money 055922306 Treasury Money 055922405 COMBMONSA (06/00) Distributed by: ICC Distributors, Inc.