N-CSRS 1 sr063009cmp_crinst.htm CASH MANAGEMENT PORTFOLIO

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D. C. 20549

 

FORM N-CSRS

 

Investment Company Act file number

811-06073

 

Cash Management Portfolio

(Exact Name of Registrant as Specified in Charter)

 

345 Park Avenue

New York, NY 10154-0004

(Address of Principal Executive Offices) (Zip Code)

 

Registrant’s Telephone Number, including Area Code: (212) 454-7190

 

Paul Schubert

345 Park Avenue

New York, NY 10154-0004

(Name and Address of Agent for Service)

 

Date of fiscal year end:

12/31

 

Date of reporting period:

06/30/09

 

 

ITEM 1.           REPORT TO STOCKHOLDERS

 

 

Cash Reserves Fund Institutional

Semiannual Report
to Shareholders

June 30, 2009

cri_deamimage0

Contents

Cash Reserves Fund Institutional

3 Information About Your Fund's Expenses

5 Portfolio Summary

6 Financial Statements

9 Financial Highlights

10 Notes to Financial Statements

Cash Management Portfolio

16 Investment Portfolio

26 Financial Statements

29 Financial Highlights

30 Notes to Financial Statements

34 Summary of Management Fee Evaluation by Independent Fee Consultant

39 Summary of Administrative Fee Evaluation by Independent Fee Consultant

40 Account Management Resources

41 Privacy Statement

This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the fund. Please read the prospectus carefully before you invest.

An investment in the fund is not insured or guaranteed by the FDIC or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, this share price isn't guaranteed and you could lose money by investing in the fund. The share price of money market funds can fall below the $1.00 share price. You should not rely on or expect the Advisor to enter into support agreements or take other actions to maintain the fund's $1.00 share price. The credit quality of the fund's holdings can change rapidly in certain markets, and the default of a single holding could have an adverse impact on the fund's share price. The fund's share price can also be negatively affected during periods of high redemption pressures and/or illiquid markets. The actions of a few large investors in the fund may have a significant adverse effect on the share price of the fund. Please read this fund's prospectus for specific details regarding its risk profile.

DWS Investments is part of Deutsche Bank's Asset Management division and, within the US, represents the retail asset management activities of Deutsche Bank AG, Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company.

NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY

Information About Your Fund's Expenses

As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees and other Fund expenses. Examples of transaction costs include account maintenance fees, which are not shown in this section. The following tables are intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In the most recent six-month period, the Fund limited these expenses; had it not done so, expenses would have been higher. The example in the table is based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (January 1, 2009 to June 30, 2009).

The tables illustrate your Fund's expenses in two ways:

• Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.

• Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. If these transaction costs had been included, your costs would have been higher.

Expenses and Value of a $1,000 Investment for the six months ended June 30, 2009

Actual Fund Return*

 

Beginning Account Value 1/1/09

$ 1,000.00

Ending Account Value 6/30/09

$ 1,003.00

Expenses Paid per $1,000**

$ 1.04

Hypothetical 5% Fund Return*

 

Beginning Account Value 1/1/09

$ 1,000.00

Ending Account Value 6/30/09

$ 1,023.75

Expenses Paid per $1,000**

$ 1.05

* Expenses include amounts allocated proportionally from the master portfolio.
** Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by 365.

Annualized Expense Ratio

 

Cash Reserves Fund Institutional

.21%

For more information, please refer to the Fund's prospectus.

Portfolio Summary

Asset Allocation (As a % of Investment Portfolio)

6/30/09

12/31/08

 

 

 

Commercial Paper

43%

42%

Time Deposits

18%

13%

Certificates of Deposit and Bank Notes

14%

21%

Government & Agency Obligations

12%

2%

Short-Term Notes

10%

11%

Repurchase Agreements

2%

10%

Municipal Bonds and Notes

1%

1%

 

100%

100%

Weighted Average Maturity

 

 

 

 

 

Cash Reserves Fund Institutional

58 days

47 days

First Tier Institutional Money Fund Average*

42 days

37 days

* The Fund is compared to its respective iMoneyNet category: First Tier Institutional Money Fund Average — Category includes a widely recognized composite of money market funds that invest in only first tier (highest rating) securities. Portfolio holdings of First Tier funds include US Treasury, US Other, Repos, Time Deposits, Domestic Bank Obligations, Foreign Bank Obligations, First Tier Commercial Paper, Floating Rate Notes and Asset Backed Commercial Paper.

Asset allocation and weighted average maturity are subject to change. For more complete details about the Portfolio's holdings, see page 16. A quarterly Fact Sheet is available upon request. A complete list of the Portfolio's portfolio holdings is posted twice each month on www.dws-investments.com. Portfolio holdings as of the 15th day of each month are posted to the Web site on or after month-end and portfolio holdings as of each month-end are posted to the Web site on or after the 14th day of the following month. More frequent posting of portfolio holdings information may be made from time to time on www.dws-investments.com. Please see the Account Management Resources section for contact information.

Following the Fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. The form will be available on the SEC's Web site at www.sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.

Financial Statements

Statement of Assets and Liabilities as of June 30, 2009 (Unaudited)

Assets

Investment in Cash Management Portfolio, at value

$ 3,501,503,607

Receivable for Fund shares sold

663,638

Other assets

408,012

Total assets

3,502,575,257

Liabilities

Distributions payable

314,741

Payable for Fund shares redeemed

3,438,850

Other accrued expenses and payables

163,672

Total liabilities

3,917,263

Net assets, at value

$ 3,498,657,994

Net Assets Consist of

Undistributed net investment income

1,131,958

Accumulated net realized gain (loss)

(2,242,745)

Paid-in capital

3,499,768,781

Net assets, at value

$ 3,498,657,994

Net Asset Value

Net Asset Value, offering and redemption price per share ($3,498,657,994 ÷ 3,499,768,441 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)

$ 1.00

The accompanying notes are an integral part of the financial statements.

Statement of Operations for the six months ended June 30, 2009 (Unaudited)

Investment Income

Income and expenses allocated from Cash Management Portfolio:
Interest

$ 16,412,679

Expenses*

(2,556,896)

Net investment income allocated from Cash Management Portfolio

13,855,783

Expenses:
Administration fee

1,966,539

Services to shareholders

120,219

Professional fees

46,589

Trustees' fees and expenses

3,511

Reports to shareholders

26,190

Registration fees

20,704

Temporary guarantee program participation fee

918,401

Other

33,316

Total expenses before expense reductions

3,135,469

Expense reductions

(1,225,974)

Total expenses after expense reductions

1,909,495

Net investment income

11,946,288

Net realized gain (loss) allocated from Cash Management Portfolio

100,591

Net increase (decrease) in net assets resulting from operations

$ 12,046,879

* Advisor reimbursement allocated from Cash Management Portfolio was $657,689 for the six months ended June 30, 2009.

The accompanying notes are an integral part of the financial statements.

Statement of Changes in Net Assets

Increase (Decrease) in Net Assets

Six Months Ended June 30, 2009 (Unaudited)

Year Ended December 31, 2008

Operations:
Net investment income

$ 11,946,288

$ 130,168,730

Net realized gain (loss)

100,591

(2,304,943)

Net increase (decrease) in net assets resulting from operations

12,046,879

127,863,787

Distributions to shareholders from:
Net investment income

(11,976,573)

(129,132,400)

Fund share transactions:
Proceeds from shares sold

26,788,723,995

50,579,206,598

Reinvestment of distributions

8,330,833

89,879,427

Cost of shares redeemed

(27,707,056,258)

(51,447,895,625)

Net increase (decrease) in net assets from Fund share transactions

(910,001,430)

(778,809,600)

Increase (decrease) in net assets

(909,931,124)

(780,078,213)

Net assets at beginning of period

4,408,589,118

5,188,667,331

Net assets at end of period (including undistributed net investment income of $1,131,958 and $1,162,243, respectively)

$ 3,498,657,994

$ 4,408,589,118

Other Information

Shares outstanding at beginning of period

4,409,769,871

5,188,579,471

Shares sold

26,788,723,995

50,579,206,598

Shares issued to shareholders in reinvestment of distributions

8,330,833

89,879,427

Shares redeemed

(27,707,056,258)

(51,447,895,625)

Net increase (decrease) in Fund shares

(910,001,430)

(778,809,600)

Shares outstanding at end of period

3,499,768,441

4,409,769,871

The accompanying notes are an integral part of the financial statements.

Financial Highlights

Years Ended December 31,

2009a

2008

2007

2006

2005

2004

Selected Per Share Data

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

.003

.027

.051

.049

.031

.013

Net realized and unrealized gain (loss)b

—

—

—

—

—

—

Total from investment operations

.003

.027

.051

.049

.031

.013

Less distributions from:

Net investment income

(.003)

(.027)

(.051)

(.049)

(.031)

(.013)

Net asset value, end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return (%)c

.30**

2.75

5.27

4.99

3.15

1.26

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

3,499

4,409

5,189

5,456

6,493

6,721

Ratio of expenses before expense reductions, including expenses allocated from Cash Management Portfolio (%)

.30*

.29

.28

.28

.26

.26

Ratio of expenses after expense reductions, including expenses allocated from Cash Management Portfolio (%)

.21*

.19

.18

.16

.18

.18

Ratio of net investment income (%)

.62*

2.86

5.14

4.85

3.08

1.22

a For the six months ended June 30, 2009 (Unaudited).
b Amount is less than $.0005.
c Total return would have been lower had certain expenses not been reduced.
* Annualized
** Not annualized

Notes to Financial Statements (Unaudited)

A. Organization and Significant Accounting Policies

Cash Reserves Fund Institutional (the ``Fund'') is a series of DWS Institutional Funds (the ``Trust''), which is registered under the Investment Company Act of 1940, as amended (the ``1940 Act''), as an open-end management investment company organized as a Massachusetts business trust. The Fund is one of several funds the Trust offers to investors.

The Fund, a feeder fund, seeks to achieve its investment objective by investing all of its investable assets in a master portfolio, the Cash Management Portfolio (the ``Portfolio''), an open-end management investment company registered under the 1940 Act and advised by Deutsche Investment Management Americas Inc. (``DIMA" or the ``Advisor''). Details concerning the Portfolio's investment objective and policies and the risk factors associated with the Portfolio's investments are described in the Fund's Prospectus and Statement of Additional Information. At June 30, 2009, the Fund owned approximately 12% of the Portfolio.

The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements. The financial statements of the Portfolio, including the Investment Portfolio, are contained elsewhere in this report and should be read in conjunction with the Fund's financial statements.

Security Valuation. The Fund determines the valuation of its investment in the Portfolio by multiplying its proportionate ownership of the Portfolio by the total value of the Portfolio's net assets.

Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.

At December 31, 2008, the Fund had a net tax basis capital loss carryforward of approximately $2,343,000, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until December 31, 2014 ($38,000) and December 31, 2016 ($2,305,000), the respective expiration dates, whichever occurs first.

The Fund has reviewed the tax positions for the open tax years as of December 31, 2008, and has determined that no provision for income tax is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

Distribution of Income and Gains. Net investment income of the Fund is declared as a daily dividend and is distributed to shareholders monthly. The Fund may take into account capital gains and losses in its daily dividend declarations. The Fund may also make additional distributions for tax purposes if necessary.

Permanent book and tax differences relating to shareholder distributions will result in reclassifications to paid in capital. Temporary book and tax differences will reverse in a subsequent period. There were no significant book to tax differences for the Fund.

The tax character of current year distributions will be determined at the end of the current fiscal year.

Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.

Other. The Fund receives a daily allocation of the Portfolio's net investment income and net realized gains and losses in proportion to its investment in the Portfolio. Expenses directly attributed to a fund are charged to that fund, while expenses which are attributable to the Trust are allocated among the funds in the Trust on the basis of relative net assets.

B. Fees and Transactions with Affiliates

Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor") is an indirect, wholly owned subsidiary of Deutsche Bank AG, and the Advisor for the master portfolio.

Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly.

For the period from January 1, 2009 through May 13, 2010, DIMA has contractually agreed to waive all or a portion of its Administration Fee and reimburse or pay certain operating expenses of the Fund (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest) to the extent necessary to maintain the operating expenses at 0.18% of the Fund's average daily net assets, including expenses of the Portfolio.

For the six months ended June 30, 2009, the Advisor waived a portion of its Administration Fee as follows:

 

Total Aggregated

Waived

Unpaid at June 30, 2009

Annualized Effective Rate

Cash Reserves Fund Institutional

$ 1,966,539

$ 1,124,215

$ 108,159

.04%

In addition, for the six months ended June 30, 2009, the Advisor reimbursed the Fund $23 of sub-recordkeeping expense.

Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent for the Fund. Pursuant to a sub-transfer agency agreement between DISC and DST Systems, Inc. ("DST"), DISC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DISC compensates DST out of the shareholder servicing fee it receives from the Fund. For the six months ended June 30, 2009, the amount charged to the Fund by DISC aggregated $101,736, all of which was waived.

Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the six months ended June 30, 2009, the amount charged to the Fund by DIMA included in Statement of Operations under "reports to shareholders" aggregated $10,218, of which $8,687 is unpaid.

Trustees' Fees and Expenses. The Fund paid each Trustee not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.

C. Concentration of Ownership

From time to time the Fund may have a concentration of several shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Fund.

At June 30, 2009, there were two shareholders who held approximately 16% and 16%, respectively, of the outstanding shares of the Fund.

D. Participation in the Treasury's Temporary Guarantee Program

The Fund is participating in the Temporary Guarantee Program for Money Market Funds (the "Program") established by the U.S. Department of the Treasury (the "Treasury").

The Program is designed to protect the value of accounts in the Fund as of the close of business on September 19, 2008. According to the terms of the Program, any investment made by a shareholder after September 19, 2008 in excess of the amount held in the account as of the close of business on that date will not be covered by the Program. Any purchase of the shares of the Fund for an account opened after September 19, 2008 will also not be covered under the Program. The Program guarantee will apply to the lesser of (i) the number of shares held in an account as of the close of business on September 19, 2008, or (ii) the number of shares held in the account on the date the Program guarantee is triggered. Subject to certain conditions and limitations, the Program guarantee is triggered if the Fund's net asset value falls below $0.995 and the Fund is liquidated. Guarantee payments under the Program will not exceed the amount available within the Treasury's Exchange Stabilization Fund ("ESF") on the date of payment.

The Fund bears the expenses of participating in the Program. The expense is determined by the product of (i) the number of shares outstanding of each class as of September 19, 2008 valued at $1.00; and (ii) the applicable Program participation fee rate, which is based upon the market-based net asset value outstanding of each share class as of September 19, 2008. For the initial period ending December 18, 2008, the Program participation fee was equal to 0.01%. For the coverage under the Program beginning on December 19, 2008 and ending on April 30, 2009, the Program participation fee was equal to 0.015%. For the coverage under the Program beginning on May 1, 2009 and ending September 18, 2009, the Program participation fee is equal to 0.015%. This expense is being amortized over the length of the participation in the Program and is included in "Temporary guarantee program participation fee" expense on the Statement of Operations. For the period from January 1, 2009 through June 30, 2009, the Fund has accrued $918,401. This expense is borne by the Fund without regard to any expense limitation currently in effect for the Fund. The Program is set to terminate on September 18, 2009.

Neither the Fund nor Deutsche Investment Management Americas Inc., the Fund's investment advisor, are in any manner approved, endorsed, sponsored or authorized by the Treasury.

E. Review for Subsequent Events

In accordance with the provisions set forth in Financial Accounting Standards Board Statement of Financial Accounting Standards No. 165 "Subsequent Events," adopted by the Fund as of June 30, 2009, events and transactions from July 1, 2009 through August 25, 2009, the date the financial statements were available to be issued, have been evaluated by management for subsequent events. Management has determined that there were no material events that would require disclosure in the Fund's financial statements through this date.

(The following financial statements of the Cash Management Portfolio should be read in conjunction with the Fund's financial statements.)

Investment Portfolio as of June 30, 2009 (Unaudited)

 

Principal Amount ($)

Value ($)

 

 

Certificates of Deposit and Bank Notes 13.8%

African Development Bank, 3.75%, 1/15/2010

13,000,000

13,142,815

Bank of Tokyo-Mitsubishi UFJ Ltd.:

 

0.45%, 9/18/2009

135,000,000

135,000,000

 

1.0%, 7/6/2009

192,000,000

192,000,000

 

1.0%, 7/10/2009

81,000,000

81,000,000

BNP Paribas:

 

0.82%, 11/5/2009

334,000,000

334,000,000

 

0.84%, 8/3/2009

300,000,000

300,000,000

 

0.84%, 8/7/2009

50,000,000

50,000,000

 

1.0%, 8/10/2009

150,000,000

150,000,000

Caixa Gerald de Deposits SA, 1.11%, 7/15/2009

50,000,000

50,000,000

Canadian Imperial Bank of Commerce, 0.85%, 7/8/2009

48,400,000

48,400,000

DnB NOR Bank ASA:

 

0.8%, 7/8/2009

48,400,000

48,400,000

 

0.97%, 8/17/2009

380,000,000

380,000,000

Indias Scannable SpA, 0.395%, 9/2/2009

180,000,000

180,000,000

Kingdom of Sweden, 1.0%, 4/26/2010

35,600,000

35,683,109

Kreditanstalt fuer Wiederaufbau:

 

4.5%, 9/21/2009

43,560,000

43,941,438

 

5.0%, 6/1/2010

54,639,000

56,772,865

Landwirtschaftliche Rentenbank, 2.625%, 2/26/2010

100,000,000

101,138,462

Mizuho Corporate Bank Ltd.:

 

0.42%, 9/9/2009

75,000,000

75,000,000

 

0.5%, 8/14/2009

100,000,000

100,000,000

 

0.7%, 8/5/2009

140,000,000

140,000,000

 

0.85%, 7/20/2009

78,500,000

78,500,000

National Australia Bank Ltd.:

 

0.78%, 11/12/2009

200,000,000

200,000,000

 

0.81%, 11/13/2009

200,000,000

200,000,000

Procter & Gamble Co., 6.875%, 9/15/2009

15,000,000

15,203,563

Societe Generale:

 

0.83%, 8/3/2009

200,000,000

200,001,829

 

0.85%, 8/10/2009

100,000,000

100,000,000

 

0.92%, 8/6/2009

100,000,000

100,006,957

Svenska Handelsbanken AB, 0.855%, 11/4/2009

100,000,000

100,001,743

Toronto-Dominion Bank:

 

0.75%, 2/8/2010

179,500,000

179,500,000

 

1.15%, 8/17/2009

69,000,000

69,004,475

Wal-Mart Stores, Inc.:

 

5.321%, 6/1/2010

148,500,000

154,811,930

 

6.875%, 8/10/2009

44,510,000

44,830,472

Westpac Banking Corp., 0.8%, 7/13/2009

175,000,000

175,000,581

Total Certificates of Deposit and Bank Notes (Cost $4,131,340,239)

4,131,340,239

 

Commercial Paper 41.3%

Issued at Discount**

Antalis US Funding Corp.:

 

144A, 0.47%, 8/14/2009

84,000,000

83,951,747

 

144A, 0.8%, 7/9/2009

15,000,000

14,997,333

ASB Finance Ltd.:

 

0.9%, 12/9/2009

77,000,000

76,690,075

 

144A, 1.03%, 8/17/2009

57,500,000

57,422,678

 

1.2%, 3/12/2010

20,000,000

19,830,667

BNP Paribas Finance, Inc.:

 

0.1%, 7/1/2009

42,152,000

42,152,000

 

0.24%, 7/20/2009

16,750,000

16,747,878

 

0.25%, 7/15/2009

25,000,000

24,997,569

 

0.7%, 7/8/2009

65,900,000

65,891,030

BNZ International Funding Ltd.:

 

144A, 0.4%, 9/3/2009

65,000,000

64,953,778

 

144A, 1.0%, 8/14/2009

118,000,000

117,855,778

BP Capital Markets PLC:

 

0.41%, 7/8/2009

75,000,000

74,994,021

 

0.76%, 10/13/2009

72,800,000

72,641,666

 

1.0%, 10/22/2009

77,100,000

76,911,234

Caisse D'Amortissement de la Dette Sociale:

 

0.48%, 12/22/2009

25,000,000

24,942,000

 

0.6%, 12/22/2009

5,000,000

4,985,500

 

0.65%, 7/13/2009

56,000,000

55,987,867

 

0.65%, 3/12/2010

124,500,000

123,929,029

 

0.7%, 7/8/2009

85,000,000

84,988,431

 

0.7%, 1/8/2010

128,500,000

128,022,765

 

0.82%, 8/27/2009

84,000,000

83,890,940

 

1.05%, 9/9/2009

150,000,000

149,693,750

Cancara Asset Securitisation LLC:

 

144A, 0.35%, 7/10/2009

85,000,000

84,992,562

 

144A, 0.35%, 7/17/2009

300,000,000

299,953,333

Citibank Omni Master Trust, 144A, 0.77%, 7/1/2009

201,350,000

201,350,000

Coca-Cola Co.:

 

144A, 0.52%, 7/6/2009

84,700,000

84,693,883

 

144A, 0.575%, 7/7/2009

75,000,000

74,992,813

 

144A, 0.65%, 8/12/2009

30,500,000

30,476,871

Colgate Palmolive Co., 0.25%, 7/2/2009

1,300,000

1,299,991

Danske Corp.:

 

144A, 0.33%, 8/4/2009

140,000,000

139,956,367

 

144A, 0.6%, 1/11/2010

37,000,000

36,880,367

Dexia Delaware LLC:

 

0.24%, 7/1/2009

167,000,000

167,000,000

 

0.5%, 7/17/2009

100,000,000

99,977,778

DnB NOR Bank ASA:

 

144A, 0.78%, 7/7/2009

150,000,000

149,980,500

 

144A, 0.83%, 9/9/2009

175,000,000

174,717,569

Eli Lilly & Co., 144A, 0.75%, 10/5/2009

100,000,000

99,800,000

General Electric Capital Corp.:

 

0.29%, 7/23/2009

100,000,000

99,982,278

 

1.2%, 8/31/2009

200,000,000

199,593,333

General Electric Capital Services, Inc., 0.8%, 11/2/2009

98,750,000

98,477,889

Gotham Funding Corp., 144A, 0.6%, 7/6/2009

28,000,000

27,997,667

Grampian Funding LLC, 144A, 0.45%, 7/17/2009

140,000,000

139,972,000

ING (US) Funding LLC, 0.68%, 7/14/2009

60,000,000

59,985,267

Johnson & Johnson:

 

144A, 0.21%, 9/10/2009

50,000,000

49,979,292

 

144A, 0.22%, 9/24/2009

80,000,000

79,958,444

 

144A, 0.24%, 7/7/2009

50,000,000

49,998,000

 

144A, 0.25%, 10/26/2009

100,000,000

99,918,750

 

144A, 0.29%, 10/26/2009

200,000,000

199,811,500

 

144A, 0.3%, 7/22/2009

84,100,000

84,085,282

 

144A, 0.32%, 12/14/2009

200,000,000

199,704,889

 

144A, 0.35%, 7/29/2009

150,000,000

149,959,167

 

144A, 0.37%, 7/27/2009

100,000,000

99,973,278

 

144A, 0.45%, 8/3/2009

100,000,000

99,958,750

 

144A, 0.47%, 8/31/2009

150,000,000

149,880,542

 

144A, 0.5%, 8/24/2009

50,000,000

49,962,500

 

144A, 0.5%, 8/26/2009

100,000,000

99,922,222

Kreditanstalt fuer Wiederaufbau:

 

144A, 0.16%, 7/6/2009

2,650,000

2,649,941

 

144A, 0.26%, 12/22/2009

1,850,000

1,847,675

 

144A, 0.26%, 12/23/2009

1,586,000

1,583,995

 

144A, 0.28%, 7/27/2009

60,500,000

60,487,766

 

144A, 0.6%, 8/27/2009

100,000,000

99,905,000

 

144A, 0.75%, 9/3/2009

80,000,000

79,893,333

Market Street Funding LLC:

 

144A, 0.35%, 7/23/2009

31,000,000

30,993,369

 

144A, 0.65%, 7/6/2009

78,891,000

78,883,878

 

144A, 0.67%, 7/8/2009

58,100,000

58,092,516

Microsoft Corp.:

 

144A, 0.15%, 7/15/2009

50,000,000

49,997,083

 

0.2%, 9/10/2009

50,000,000

49,980,278

 

0.2%, 9/23/2009

50,000,000

49,976,667

 

144A, 0.38%, 8/6/2009

50,000,000

49,981,000

 

144A, 0.4%, 8/6/2009

50,000,000

49,980,000

National Australia Funding (Delaware), Inc., 144A, 0.47%, 7/17/2009

4,489,000

4,488,062

Nestle Capital Corp., 144A, 0.6%, 2/16/2010

100,000,000

99,616,667

New York Life Capital Corp.:

 

144A, 0.3%, 7/14/2009

30,010,000

30,006,749

 

144A, 0.3%, 7/17/2009

75,045,000

75,034,994

 

144A, 0.31%, 8/7/2009

75,030,000

75,006,095

 

144A, 0.35%, 7/10/2009

85,000,000

84,992,562

Nieuw Amsterdam Receivables Corp., 144A, 0.43%, 7/1/2009

469,000,000

469,000,000

NRW.Bank:

 

0.49%, 8/12/2009

65,250,000

65,212,699

 

0.5%, 8/7/2009

56,000,000

55,971,222

 

0.54%, 10/23/2009

48,000,000

47,917,920

 

0.6%, 11/12/2009

65,250,000

65,104,275

 

0.67%, 10/15/2009

120,000,000

119,763,267

Pepsico, Inc., 144A, 0.2%, 7/10/2009

5,000,000

4,999,750

Pfizer, Inc.:

 

144A, 0.22%, 7/28/2009

126,108,000

126,087,192

 

0.235%, 8/12/2009

100,000,000

99,972,583

Procter & Gamble International Funding SCA:

 

144A, 0.22%, 10/9/2009

180,000,000

179,890,000

 

144A, 0.62%, 8/10/2009

100,000,000

99,931,111

 

144A, 0.62%, 8/11/2009

100,000,000

99,929,389

Rabobank USA Financial Corp., 0.74%, 7/15/2009

233,700,000

233,632,746

Romulus Funding Corp., 144A, 0.9%, 7/6/2009

15,000,000

14,998,125

Salisbury Receivables Co., LLC, 144A, 0.28%, 7/2/2009

100,000,000

99,999,222

Sanpaolo IMI US Financial Co.:

 

0.37%, 9/15/2009

200,000,000

199,843,778

 

0.79%, 7/7/2009

55,000,000

54,992,758

 

0.8%, 7/6/2009

99,950,000

99,938,894

Scaldis Capital LLC:

 

0.52%, 7/14/2009

75,000,000

74,985,917

 

0.55%, 7/14/2009

67,000,000

66,986,693

Societe Generale North America, Inc.:

 

0.13%, 7/1/2009

95,192,000

95,192,000

 

0.44%, 9/25/2009

75,000,000

74,921,167

 

0.5%, 9/15/2009

120,000,000

119,873,333

 

0.75%, 10/30/2009

113,500,000

113,213,885

 

0.8%, 7/15/2009

63,314,000

63,294,302

Starbird Funding Corp.:

 

144A, 0.3%, 7/7/2009

15,593,000

15,592,220

 

144A, 0.3%, 7/15/2009

75,000,000

74,991,250

 

144A, 0.385%, 9/15/2009

75,216,000

75,154,866

 

144A, 0.7%, 7/31/2009

40,000,000

39,976,667

 

144A, 0.73%, 7/7/2009

9,000,000

8,998,905

 

144A, 0.8%, 7/1/2009

50,000,000

50,000,000

 

144A, 0.83%, 7/17/2009

60,000,000

59,977,867

 

144A, 0.83%, 7/21/2009

50,000,000

49,976,944

Straight-A Funding LLC:

 

144A, 0.26%, 7/14/2009

18,007,000

18,005,309

 

144A, 0.27%, 7/28/2009

50,000,000

49,989,875

 

144A, 0.32%, 7/20/2009

25,000,000

24,995,778

 

144A, 0.35%, 8/24/2009

50,000,000

49,973,750

 

144A, 0.35%, 8/27/2009

25,000,000

24,986,146

 

144A, 0.36%, 8/24/2009

100,000,000

99,946,000

 

144A, 0.36%, 8/25/2009

50,000,000

49,972,500

 

144A, 0.36%, 8/27/2009

92,000,000

91,947,560

 

144A, 0.37%, 9/2/2009

50,000,000

49,967,625

 

144A, 0.37%, 9/9/2009

205,584,000

205,436,093

 

144A, 0.37%, 9/10/2009

58,250,000

58,207,494

 

144A, 0.37%, 9/16/2009

288,730,000

288,501,503

 

144A, 0.37%, 9/24/2009

30,000,000

29,973,792

 

144A, 0.5%, 8/7/2009

50,000,000

49,974,306

Swedbank AB:

 

144A, 0.81%, 3/30/2010

117,500,000

116,780,900

 

144A, 0.82%, 2/19/2010

160,700,000

159,847,129

 

144A, 0.86%, 6/3/2010

120,000,000

119,033,933

 

144A, 0.89%, 5/28/2010

117,700,000

116,736,854

 

144A, 0.99%, 5/11/2010

100,000,000

99,136,500

 

144A, 1.02%, 6/24/2010

22,000,000

21,776,847

 

144A, 1.07%, 6/10/2010

25,000,000

24,744,389

 

144A, 1.09%, 6/14/2010

104,000,000

102,904,187

Tempo Finance Corp., 144A, 0.35%, 7/9/2009

50,000,000

49,996,111

Total Capital Canada Ltd.:

 

144A, 0.29%, 8/12/2009

60,000,000

59,979,700

 

144A, 0.52%, 7/8/2009

31,400,000

31,396,825

 

144A, 0.52%, 7/9/2009

156,000,000

155,981,973

Toyota Motor Credit Corp., 0.12%, 7/1/2009

25,407,000

25,407,000

United Parcel Service, Inc.:

 

144A, 0.25%, 7/1/2009

5,000,000

5,000,000

 

144A, 0.31%, 7/1/2009

50,000,000

50,000,000

 

144A, 0.41%, 7/28/2009

100,000,000

99,969,250

Victory Receivables Corp.:

 

144A, 0.32%, 7/16/2009

11,000,000

10,998,533

 

144A, 0.38%, 8/20/2009

157,862,000

157,778,684

 

144A, 0.4%, 9/17/2009

150,000,000

149,870,000

 

144A, 0.42%, 9/15/2009

200,000,000

199,822,667

 

144A, 0.5%, 8/5/2009

181,137,000

181,048,947

Westpac Banking Corp., 0.74%, 9/24/2009

50,000,000

49,912,639

Total Commercial Paper (Cost $12,385,390,196)

12,385,390,196

Government & Agency Obligations 13.5%

Foreign Government Obligations 1.4%

Government of Canada:

 

0.21%, 7/7/2009

102,500,000

102,496,413

 

0.33%, 2/9/2010

1,134,000

1,131,682

 

0.5%, 7/7/2009

32,670,000

32,667,278

 

0.5%, 7/8/2009

39,500,000

39,496,160

 

0.85%, 11/19/2009

146,500,000

146,012,277

 

0.9%, 11/30/2009

86,250,000

85,922,250

 

407,726,060

US Government Sponsored Agencies 4.5%

Federal Home Loan Bank:

 

0.31%*, 5/28/2010

150,000,000

150,000,000

 

0.33%*, 5/21/2010

300,000,000

300,000,000

 

0.39%*, 10/15/2009

100,000,000

100,000,000

 

0.409%**, 8/5/2009

8,764,000

8,760,421

Federal Home Loan Mortgage Corp.:

 

0.535%**, 8/3/2009

365,000,000

364,815,979

 

0.594%**, 9/28/2009

100,000,000

99,851,667

Federal National Mortgage Association:

 

0.475%**, 7/20/2009

60,000,000

59,984,167

 

0.5%**, 7/1/2009

190,700,000

190,700,000

 

0.686%**, 12/4/2009

19,545,000

19,486,561

 

3.25%, 2/10/2010

33,353,000

33,929,636

 

1,327,528,431

US Treasury Obligations 7.6%

US Treasury Bills:

 

0.06%**, 7/2/2009

4,987,000

4,986,992

 

0.105%**, 8/27/2009

1,979,000

1,978,671

 

0.15%**, 8/20/2009

7,000,000

6,998,542

 

0.165%**, 7/23/2009

1,987,000

1,986,800

 

0.165%**, 7/30/2009

1,472,000

1,471,804

 

0.165%**, 9/17/2009

962,000

961,656

 

0.27%**, 12/10/2009

1,817,000

1,814,792

 

0.3%**, 7/23/2009

481,575,000

481,486,711

 

0.335%**, 12/17/2009

5,006,000

4,998,127

 

0.345%**, 7/30/2009

194,550,000

194,495,932

 

0.4%**, 8/6/2009

150,000,000

149,940,000

 

0.435%**, 9/10/2009

44,990,000

44,951,402

 

0.445%**, 8/6/2009

5,453,000

5,450,573

 

0.46%**, 8/27/2009

113,650,000

113,567,225

 

0.605%**, 11/19/2009

300,000,000

299,289,125

 

0.675%**, 3/11/2010

32,257,000

32,103,981

 

0.69%**, 2/11/2010

150,000,000

149,353,125

 

0.7%**, 3/11/2010

130,000,000

129,360,472

 

0.705%**, 12/17/2009

150,000,000

149,503,563

US Treasury Notes:

 

2.875%, 6/30/2010

300,000,000

306,697,078

 

3.625%, 10/31/2009

200,000,000

202,228,533

 

2,283,625,104

Total Government & Agency Obligations (Cost $4,018,879,595)

4,018,879,595

 

Short-Term Notes* 10.8%

Australia & New Zealand Banking Group Ltd.:

 

144A, 0.561%, 7/10/2009

96,000,000

96,000,000

 

144A, 0.886%, 7/2/2009

116,900,000

116,899,986

Commonwealth Bank of Australia, 144A, 0.71%, 6/24/2010

122,500,000

122,500,000

Credit Agricole SA, 144A, 0.565%, 7/22/2009

296,500,000

296,500,000

Dexia Credit Local, 1.012%, 4/18/2011

115,000,000

115,021,899

General Electric Capital Corp.:

 

0.355%, 9/24/2009

135,000,000

135,000,000

 

0.749%, 12/15/2009

3,314,000

3,314,510

Inter-American Development Bank, 0.795%, 2/19/2010

302,300,000

302,300,000

International Bank for Reconstruction & Development:

 

0.956%, 2/8/2010

25,000,000

25,018,319

 

0.989%, 2/1/2010

221,000,000

221,000,000

Kreditanstalt fuer Wiederaufbau, 1.151%, 1/21/2010

260,000,000

260,000,000

Procter & Gamble International Funding SCA:

 

0.996%, 5/7/2010

100,000,000

100,000,000

 

1.175%, 7/6/2009

15,000,000

14,999,993

Queensland Treasury Corp., 0.68%, 6/18/2010

180,000,000

180,000,000

Rabobank Nederland NV:

 

144A, 0.56%, 4/7/2011

278,000,000

278,000,000

 

144A, 1.176%, 10/9/2009

179,250,000

179,250,000

 

144A, 1.225%, 5/19/2010

155,594,000

156,244,560

Royal Bank of Canada, 144A, 0.739%, 7/15/2009

171,500,000

171,500,015

Royal Bank of Scotland PLC, 0.766%, 5/21/2010

180,000,000

180,000,000

Societe Generale, 0.812%, 4/19/2010

275,000,000

275,000,000

Total Short-Term Notes (Cost $3,228,549,282)

3,228,549,282

 

Time Deposits 17.9%

ABN AMRO Bank NV, 0.1%, 7/1/2009

296,000,000

296,000,000

Banque Federative du Credit Mutuel, 0.3%, 7/1/2009

700,000,000

700,000,000

Branch Banking & Trust Co., 0.02%, 7/1/2009

500,000,000

500,000,000

Calyon, 0.125%, 7/1/2009

600,000,000

600,000,000

Citibank NA, 0.06%, 7/1/2009

190,267,036

190,267,036

Dexia Credit Local, 0.43%, 7/30/2009

500,000,000

500,000,000

HSBC Bank PLC, 0.25%, 7/1/2009

300,000,000

300,000,000

JP Morgan Chase Bank NA, 0.01%, 7/1/2009

700,000,000

700,000,000

KBC Bank NV, 0.07%, 7/1/2009

600,000,000

600,000,000

Nordea Bank Finland PLC, 0.07%, 7/1/2009

555,000,000

555,000,000

US Bank NA, 0.01%, 7/1/2009

406,057,000

406,057,000

Total Time Deposits (Cost $5,347,324,036)

5,347,324,036

 

Municipal Bonds and Notes 0.8%

Blount County, TN, Public Building Authority, Local Government Public Improvement, Series E-5-A, 0.29%***, 6/1/2030, Branch Banking & Trust (a)

14,495,000

14,495,000

Colorado, Housing & Finance Authority, Single Family Program, Series I-A1, 1.65%***, 11/1/2034

25,400,000

25,400,000

Connecticut, State Health & Educational Revenue, Yale University:

 

0.28%, 9/17/2009

20,150,000

20,137,775

 

0.4%, 11/13/2009

13,500,000

13,479,750

 

0.45%, 11/20/2009

40,000,000

39,929,000

 

0.72%, 7/8/2009

20,000,000

19,997,200

Illinois, Development Finance Authority, Industrial Project Revenue, Grecian Delight Foods Project, AMT, 0.7%***, 8/1/2019, LaSalle Bank NA (a)

1,765,000

1,765,000

Illinois, Development Finance Authority, Industrial Development Revenue, Katlaw Tretam & Co. Project, AMT, 0.7%***, 8/1/2027, LaSalle Bank NA (a)

3,180,000

3,180,000

Indiana, State Development Finance Authority, Industrial Development Revenue, Enterprise Center VI Project, AMT, 0.6%***, 6/1/2022, LaSalle Bank NA (a)

4,900,000

4,900,000

Massachusetts, State Health & Educational Facilities Authority Revenue, Boston University, Series N, 0.25%***, 10/1/2034, Bank of America NA (a)

13,700,000

13,700,000

New York, State Housing Finance Agency Revenue, 100 Maiden Lane, Series A, 0.24%***, 5/15/2037

16,250,000

16,250,000

New York, NY, General Obligation, Series J14, 0.55%***, 8/1/2019

2,200,000

2,200,000

North Texas, Higher Education Authority, Inc., Student Loan Revenue, Series A, AMT, 0.48%***, 12/1/2038, Lloyds TSB Bank PLC (a)

8,600,000

8,600,000

Texas, Alliance Airport Authority, Inc., Special Facilities Revenue, Series 2088, 144A, AMT, 0.29%***, 4/1/2021

24,570,000

24,570,000

University of Chicago, 0.45%, 9/11/2009

21,500,000

21,480,650

Washington, State Housing Finance Commission, Multi-Family Revenue, Merrill Gardens at Tacoma, Series A, AMT, 0.4%***, 9/15/2040, Bank of America NA (a)

3,000,000

3,000,000

Wisconsin, Housing & Economic Development Authority, Home Ownership Revenue, Series B, 0.42%***, 3/1/2033

18,020,000

18,020,000

Total Municipal Bonds and Notes (Cost $251,104,375)

251,104,375

 

Repurchase Agreements 1.9%

BNP Paribas, 0.01%, dated 6/30/2009, to be repurchased at $150,266,292 on 7/1/2009 (b)

150,266,250

150,266,250

BNP Paribas, 0.04%, dated 06/30/2009, to be repurchased at $260,706,922 on 7/1/2009 (c)

260,706,632

260,706,632

JPMorgan Securities, Inc., 0.08%, dated 6/30/2009, to be repurchased at $9,481,210 on 7/1/2009 (d)

9,481,189

9,481,189

The Goldman Sachs & Co., 0.05%, dated 6/30/2009 to be repurchased at $147,963,206 on 7/1/2009 (e)

147,963,000

147,963,000

Total Repurchase Agreements (Cost $568,417,071)

568,417,071

 

% of Net Assets

Value ($)

 

 

Total Investment Portfolio (Cost $29,931,004,794)+

100.0

29,931,004,794

Other Assets and Liabilities, Net

0.0

13,273,776

Net Assets

100.0

29,944,278,570

* Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the US Treasury bill rate. These securities are shown at their current rate as of June 30, 2009.
** Annualized yield at time of purchase; not a coupon rate.
*** Variable rate demand notes are securities whose interest rates are reset periodically at market levels. These securities are often payable on demand and are shown at their current rates as of June 30, 2009.
+ The cost for federal income tax purposes was $29,931,004,794.
(a) Security incorporates a letter of credit from the bank listed.
(b) Collateralized by:

Principal Amount ($)

Security

Rate (%)

Maturity Date

Collateral Value ($)

31,982,300

US Treasury Bills

Zero Coupon

9/3/2009-3/11/2010

31,938,887

10,076,400

US Treasury Bonds

7.25-7.625

8/15/2022-2/15/2025

13,944,765

103,564,200

US Treasury Notes

1.125-4.875

5/31/2010-5/15/2019

107,388,024

Total Collateral Value

153,271,676

(c) Collateralized by:

Principal Amount ($)

Security

Rate (%)

Maturity Date

Collateral Value ($)

91,320,816

Federal Home Loan Mortgage Corp.

4.0-6.0

8/1/2037-7/1/2039

94,145,044

129,070,849

Federal National Mortgage Association

5.0-6.5

2/1/2024-8/1/2047

135,637,559

36,272,920

Government National Mortgage Association

6.0-7.0

2/15/2038-9/20/2038

38,369,062

Total Collateral Value

268,151,665

(d) Collateralized by $74,471,419 Federal National Mortgage Association — Interest Only, with various coupon rates from 4.5-9.5%, with various maturity dates of 12/1/2018-7/25/2038 with a value of $9,766,118.
(e) Collateralized by $145,415,582 Federal Home Loan Mortgage Corp., 5.5%, maturing on 11/1/2037 with a value of $150,922,260.

144A: Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

AMT: Subject to alternative minimum tax.

Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.

Fair Value Measurements

Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements," as amended, establishes a three-tier hierarchy for measuring fair value and requires additional disclosure about the classification of fair value measurements.

Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Securities held by a money market fund are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine value are not quoted prices in an active market.

The following is a summary of the inputs used as of June 30, 2009 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to the Financial Statements.

Assets

Level 1

Level 2

Level 3

Short-Term Investments (f)

$ —

$ 29,931,004,794

$ —

Total

$ —

$ 29,931,004,794

$ —

(f) See Investment Portfolio for additional detailed categorizations.

The accompanying notes are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities as of June 30, 2009 (Unaudited)

Assets

Investments in securities, valued at amortized cost

$ 29,931,004,794

Receivable for investments sold

400,000

Interest receivable

15,890,479

Other assets

385,004

Total assets

29,947,680,277

Liabilities

Cash overdraft

5,364

Accrued management fee

2,316,849

Other accrued expenses and payables

1,079,494

Total liabilities

3,401,707

Net assets, at value

$ 29,944,278,570

The accompanying notes are an integral part of the financial statements.

Statement of Operations for the six months ended June 30, 2009 (Unaudited)

Investment Income

Income:
Interest

$ 120,155,532

Expenses:
Management fee

18,202,785

Administration fee

4,369,485

Custodian fee

380,586

Professional fees

137,182

Trustees' fees and expenses

324,182

Other

387,889

Total expenses before expense reductions

23,802,109

Expense reductions

(4,867,675)

Total expenses after expense reductions

18,934,434

Net investment income

101,221,098

Net realized gain (loss)

615,843

Net increase (decrease) in net assets resulting from operations

$ 101,836,941

The accompanying notes are an integral part of the financial statements.

Statement of Changes in Net Assets

Increase (Decrease) in Net Assets

Six Months Ended June 30, 2009 (Unaudited)

Year Ended December 31, 2008

Operations:
Net investment income

$ 101,221,098

$ 927,165,099

Net realized gain (loss)

615,843

(6,875,939)

Net increase (decrease) in net assets resulting from operations

101,836,941

920,289,160

Capital transactions in shares of beneficial interest:
Proceeds from capital invested

128,267,767,295

373,665,603,010

Value of capital withdrawn

(128,078,515,196)

(378,671,753,786)

Net increase (decrease) in net assets from capital transactions in shares of beneficial interest

189,252,099

(5,006,150,776)

Increase (decrease) in net assets

291,089,040

(4,085,861,616)

Net assets at beginning of period

29,653,189,530

33,739,051,146

Net assets at end of period

$ 29,944,278,570

$ 29,653,189,530

The accompanying notes are an integral part of the financial statements.

Financial Highlights

Years Ended December 31,

2009a

2008

2007

2006

2005

2004

Ratios to Average Net Assets and Supplemental Data

Net assets, end of period ($ millions)

29,944

29,653

33,739

8,877

9,931

9,812

Ratio of expenses before expense reductions (%)

.16*

.17

.17

.20

.21

.21

Ratio of expenses after expense reductions (%)

.13*

.13

.14

.18

.18

.18

Ratio of net investment income (%)

.69*

2.85

5.14

4.83

3.08

1.22

Total Return (%)b,c

.34**

2.81

5.31

4.97

3.15

1.26

a For the six months ended June 30, 2009 (Unaudited).
b Total return would have been lower had certain expenses not been reduced.
c Total return for the Portfolio was derived from the performance of Cash Reserves Fund Institutional.
* Annualized
** Not annualized

Notes to Financial Statements (Unaudited)

A. Significant Accounting Policies

Cash Management Portfolio (the ``Portfolio'') is registered under the Investment Company Act of 1940, as amended (the ``1940 Act''), as an open-end management investment company organized as a New York business trust.

A master/feeder fund structure is one in which a fund (a "feeder fund"), instead of investing directly in a portfolio of securities, invests most or all of its investment assets in a separate registered investment company (the "master fund") with substantially the same investment objective and policies as the feeder fund. Such a structure permits the pooling of assets of two or more feeder funds, preserving separate identities or distribution channels at the feeder fund level. The Portfolio may have several feeder funds, including affiliated DWS feeder funds, with a significant ownership percentage of the Portfolio's net assets. Investment activities of these feeder funds could have a material impact on the Portfolio. As of June 30, 2009, Cash Management Fund Institutional, Cash Reserves Fund Institutional, Cash Reserves Fund Prime Series and DWS Money Market Series owned approximately 9%, 12%, 5% and 72%, respectively, of the Portfolio.

The Portfolio's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Portfolio in the preparation of its financial statements.

Security Valuation. The Portfolio's securities are valued utilizing the amortized cost method permitted in accordance with Rule 2a-7 under the 1940 Act and certain conditions therein. Under this method, which does not take into account unrealized capital gains or losses on securities, an instrument is initially valued at its cost and thereafter assumes a constant accretion/amortization rate to maturity of any discount or premium.

Investments in open-end investment companies are valued at their net asset value each business day.

Repurchase Agreements. The Portfolio may enter into repurchase agreements with certain banks and broker/dealers whereby the Portfolio, through its custodian or sub-custodian bank, receives delivery of the underlying securities, the amount of which at the time of purchase and each subsequent business day is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The custodian bank holds the collateral in a separate account until the agreement matures. If the value of the securities falls below the principal amount of the repurchase agreement plus accrued interest, the financial institution deposits additional collateral by the following business day. If the financial institution either fails to deposit the required additional collateral or fails to repurchase the securities as agreed, the Portfolio has the right to sell the securities and recover any resulting loss from the financial institution. If the financial institution enters into bankruptcy, the Portfolio's claims on the collateral may be subject to legal proceedings.

Federal Income Taxes. The Portfolio is considered a Partnership under the Internal Revenue Code, as amended. Therefore, no federal income tax provision is necessary.

It is intended that the Portfolio's assets, income and distributions will be managed in such a way that an investor in the Portfolio will be able to satisfy the requirements of Subchapter M of the Code, assuming that the investor invested all of its assets in the Portfolio.

The Portfolio has reviewed the tax positions for the open tax years as of December 31, 2008 and has determined that no provision for income tax is required in the Portfolio's financial statements. The Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

Contingencies. In the normal course of business, the Portfolio may enter into contracts with service providers that contain general indemnification clauses. The Portfolio's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet been made. However, based on experience, the Portfolio expects the risk of loss to be remote.

Other. Investment transactions are accounted for on trade date. Interest income is recorded on the accrual basis. Distributions of income and capital gains from investment companies are recorded on the ex-dividend date. Realized gains and losses from investment transactions are recorded on an identified cost basis. All discounts and premiums are accreted/amortized for both tax and financial reporting purposes.

The Portfolio makes a daily allocation of its net investment income and realized gains and losses from securities transactions to its investors in proportion to their investment in the Portfolio.

B. Fees and Transactions with Affiliates

Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor") is an indirect, wholly owned subsidiary of Deutsche Bank AG, and the Advisor for the master portfolio.

Under the Advisor Agreement, the Portfolio pays the Advisor a monthly Management fee based on its average daily net assets, computed and accrued daily and payable monthly, at the following annual rates:

First $3.0 billion of the Portfolio's average daily net assets

.150%

Next $4.5 billion of such net assets

.133%

Over $7.5 billion of such net assets

.120%

For the period from January 1, 2009 through July 29, 2010, the Advisor has contractually agreed to reimburse or pay certain operating expenses at 0.15% of the Portfolio's average daily net assets (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest).

In addition, the Advisor has voluntarily agreed to maintain total operating expenses at 0.13% of its average daily net assets (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest). The amount of the waiver and whether the Advisor waives a portion of its fee may vary at any time without notice to shareholders.

For the six months ended June 30, 2009, the Advisor waived a portion of its management fee aggregating $4,867,446 and the amount charged aggregated $13,335,339, which was equivalent to an annualized effective rate of 0.09% of the Portfolio's average daily net assets.

Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Portfolio. For all services provided under the Administrative Services Agreement, the Portfolio pays the Advisor an annual fee ("Administration Fee") of 0.03% of the Portfolio's average daily net assets, computed and accrued daily and payable monthly. For the six months ended June 30, 2009, the Administration Fee was $4,369,485, of which $749,422 is unpaid.

Trustees'/Directors' Fees and Expenses. The Portfolio paid each Trustee/Director not affiliated with the Advisor retainer fees plus specified amounts for various committee services and for the Board Chairperson.

C. Fee Reductions

The Portfolio has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Portfolio's custodian expenses. During the six months ended June 30, 2009, the Portfolio's custodian fee was reduced by $229 for custody credits earned.

D. Line of Credit

The Portfolio and other affiliated funds (the "Participants") share in a $450 million revolving credit facility provided by a syndication of banks. The Portfolio may borrow for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is allocated based on net assets, among each of the Participants. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1.25 percent plus if LIBOR exceeds the Federal Funds Rate the amount of such excess. The Portfolio may borrow up to a maximum of 5 percent of its net assets under the agreement.

E. Review for Subsequent Events

In accordance with the provisions set forth in Financial Accounting Standards Board Statement of Financial Accounting Standards No. 165 "Subsequent Events," adopted by the Fund as of June 30, 2009, events and transactions from July 1, 2009 through August 25, 2009, the date the financial statements were available to be issued, have been evaluated by management for subsequent events. Management has determined that there were no material events that would require disclosure in the Fund's financial statements through this date.

Summary of Management Fee Evaluation by Independent Fee Consultant

October 24, 2008

Pursuant to an Order entered into by Deutsche Investment Management Americas and affiliates (collectively, "DeAM") with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds (formerly the DWS Scudder Funds). My duties include preparing an annual written evaluation of the management fees DeAM charges the Funds, considering among other factors the management fees charged by other mutual fund companies for like services, management fees DeAM charges other clients for like services, DeAM's costs of supplying services under the management agreements and related profit margins, possible economies of scale if a Fund grows larger, and the nature and quality of DeAM's services, including fund performance. This report summarizes my evaluation for 2008, including my qualifications, the evaluation process for each of the DWS Funds, consideration of certain complex-level factors, and my conclusions. I served in substantially the same capacity in 2007.

Qualifications

For more than 35 years I have served in various professional capacities within the investment management business. I have held investment analysis and advisory positions, including securities analyst, portfolio strategist and director of investment policy with a large investment firm. I have also performed business management functions, including business development, financial management and marketing research and analysis.

Since 1991, I have been an independent consultant within the asset management industry. I have provided services to over 125 client organizations, including investment managers, mutual fund boards, product distributors and related organizations. Over the past ten years I have completed a number of assignments for mutual fund boards, specifically including assisting boards with management contract renewal.

I hold a Master of Business Administration degree, with highest honors, from Harvard University and Master of Science and Bachelor of Science (highest honors) degrees from the University of California at Berkeley. I am an independent director and audit committee financial expert for two closed-end mutual funds, serve on the board of directors of a private market research company, and have served in various leadership and financial oversight capacities with non-profit organizations.

Evaluation of Fees for each DWS Fund

My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 129 Fund portfolios in the DWS Fund family. For each Fund, I considered each of the key factors mentioned above, as well as any other relevant information. In doing so I worked closely with the Funds' Independent Directors in their annual contract renewal process, as well as in their approval of contracts for several new funds (documented separately).

In evaluating each Fund's fees, I reviewed comprehensive materials provided by or on behalf of DeAM, including expense information prepared by Lipper Analytical, comparative performance information, profitability data, manager histories, and other materials. I also accessed certain additional information from the Lipper, Strategic Insight, and Morningstar databases and drew on my industry knowledge and experience.

To facilitate evaluating this considerable body of information, I prepared for each Fund a document summarizing the key data elements in each area as well as additional analytics discussed below. This made it possible to consider each key data element in the context of the others.

In the course of contract renewal, DeAM agreed to implement a number of fee and expense adjustments requested by the Independent Directors which will favorably impact future fees and expenses, and my evaluation includes the effects of these changes.

Fees and Expenses Compared with Other Funds

The competitive fee and expense evaluation for each fund focused on two primary comparisons:

The Fund's contractual management fee (the advisory fee plus the administration fee where applicable) compared with those of a group of typically 12-15 funds in the same Lipper investment category (e.g. Large Capitalization Growth) having similar distribution arrangements and being of similar size.

The Fund's total expenses compared with a broader universe of funds from the same Lipper investment category and having similar distribution arrangements.

These two comparisons provide a view of not only the level of the fee compared with funds of similar scale but also the total expense the Fund bears for all the services it receives, in comparison with the investment choices available in the Fund's investment category and distribution channel. The principal figure-of-merit used in these comparisons was the subject Fund's percentile ranking against peers.

DeAM's Fees for Similar Services to Others

DeAM provided management fee schedules for all of its US domiciled fund and non-fund investment management accounts in any of the investment categories where there is a DWS Fund. These similar products included the other DWS Funds, non-fund pooled accounts, institutional accounts and sub-advisory accounts. Using this information, I calculated for each Fund the fee that would be charged to each similar product, at the subject Fund's asset level.

Evaluating information regarding non-fund products is difficult because there are varying levels of services required for different types of accounts, with mutual funds generally requiring considerably more regulatory and administrative types of service as well as having more frequent cash flows than other types of accounts. Also, while mutual fund fees for similar fund products can be expected to be similar, there will be some differences due to different pricing conditions in different distribution channels (e.g. retail funds versus those used in variable insurance products), differences in underlying investment processes and other factors.

Costs and Profit Margins

DeAM provided a detailed profitability analysis for each Fund. After making some adjustments so that the presentation would be more comparable to the available industry figures, I reviewed profit margins from investment management alone, from investment management plus other fund services (excluding distribution) provided to the Funds by DeAM (principally shareholder services), and DeAM profits from all sources, including distribution. A later section comments on overall profitability.

Economies of Scale

Economies of scale — an expected decline in management cost per dollar of fund assets as fund assets grow — are very rarely quantified and documented because of inherent difficulties in collecting and analyzing relevant data. However, in virtually every investment category that I reviewed, larger funds tend to have lower fees and lower total expenses than smaller funds. To see how each DWS Fund compares with this industry observation, I reviewed:

The trend in Fund assets over the last five years and the accompanying trend in total expenses. This shows if the Fund has grown and, if so, whether total expense (management fees as well as other expenses) have declined as a percent of assets.

Whether the Fund has break-points in its management fee schedule, the extent of the fee reduction built into the schedule and the asset levels where the breaks take effect, and in the case of a sub-advised Fund how the Fund's break-points compare with those of the sub-advisory fee schedule.

How the Fund's contractual fee schedule compares with trends in the industry data. To accomplish this, I constructed a chart showing how actual latest-fiscal-year contractual fees of the Fund and of other similar funds relate to average fund assets, with the subject Fund's contractual fee schedule superimposed.

Quality of Service — Performance

The quality-of-service evaluation focused on investment performance, which is the principal result of the investment management service. Each Fund's performance was reviewed over the past 1, 3, 5 and 10 years, as applicable, and compared with that of other funds in the same investment category and with a suitable market index.

In addition, I calculated and reviewed risk-adjusted returns relative to an index of similar mutual funds' returns and a suitable market index. The risk-adjusted returns analysis provides a way of determining the extent to which the Fund's return comparisons are mainly the product of investment value-added (or lack thereof) or alternatively taking considerably more or less risk than is typical in its investment category.

I also received and considered the history of portfolio manager changes for each Fund, as this provided an important context for evaluating the performance results.

Complex-Level Considerations

While this evaluation was conducted mainly at the individual fund level, there are some issues relating to the reasonableness of fees that can alternatively be considered across the whole fund complex:

I reviewed DeAM's profitability analysis for all DWS Funds, with a view toward determining if the allocation procedures used were reasonable and how profit levels compared with public data for other investment managers.

I considered whether DeAM and affiliates receive any significant ancillary or "fall-out" benefits that should be considered in interpreting the direct profitability results. These would be situations where serving as the investment manager of the Funds is beneficial to another part of the Deutsche Bank organization.

I considered how aggregated DWS Fund expenses had varied over the years, by asset class and in the context of trends in asset levels.

I reviewed the structure of the DeAM organization, trends in staffing levels, and information on compensation of investment management and other professionals compared with industry data.

Findings

Based on the process and analysis discussed above, which included reviewing a wide range of information from management and external data sources and considering among other factors the fees DeAM charges other clients, the fees charged by other fund managers, DeAM's costs and profits associated with managing the Funds, economies of scale, possible fall-out benefits, and the nature and quality of services provided, in my opinion the management fees charged the DWS Funds are reasonable.

cri_sigmack1
Thomas H. Mack

Summary of Administrative Fee Evaluation by Independent Fee Consultant

September 29, 2008

Pursuant to an Order entered into by Deutsche Asset Management (DeAM) with the Attorney General of New York, I, Thomas H. Mack, have been appointed the Independent Fee Consultant for the DWS Funds and have as part of my duties evaluated the reasonableness of the proposed management fees to be charged by DeAM to the DWS Funds, taking onto account a proposal to pass through to the funds certain fund accounting-related charges in connection with new regulatory requirements. My evaluation considered the following:

• While the proposal would alter the services to be provided under the Administration Agreement, which I consider to be part of fund management under the Order, it is my opinion that the change in services is slight and that the scope of prospective services under the combination of the Advisory and Administration Agreements continues to be comparable with those typically provided to competitive funds under their management agreements.

• While the proposal would increase fund expenses, according to a pro forma analysis performed by management, the prospective effect is less than .01% for all but seven of the DeAM Funds' 438 active share classes, and in all cases the effect is less than .03% and overall expenses would remain reasonable in my opinion.

Based on the foregoing considerations, in my opinion the fees and expenses for all of the DWS Funds will remain reasonable if the Directors adopt this proposal.

cri_sigmack0
Thomas H. Mack

Account Management Resources

 

Automated Information Line

Institutional Investor Services (800) 730-1313

Personalized account information, information on other DeAM funds and services via touchtone telephone and the ability to exchange or redeem shares.

Web Site

moneyfunds.deam-us.db.com

View your account transactions and balances, trade shares, monitor your asset allocation, and change your address, 24 hours a day.
Obtain prospectuses and applications, blank forms, interactive worksheets, news about the funds, subscription to fund updates by e-mail, retirement planning information, and more.

For More Information

(800) 730-1313, option 1

To speak with a fund service representative.

Written Correspondence

Deutsche Asset Management

PO Box 219210
Kansas City, MO
64121-9210

Proxy Voting

The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — www.dws-investments.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — www.sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at 800) 621-1048.

Principal Underwriter

If you have questions, comments or complaints, contact:

DWS Investments Distributors, Inc.

222 South Riverside Plaza
Chicago, IL 60606-5808
(800) 621-1148

Nasdaq Symbol

BIRXX

CUSIP Number

23339C 826

Fund Number

500

Privacy Statement

Dear Valued Client:

We want to make sure you know our policy regarding the way in which our clients' private information is handled at DWS Investments. The following information is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.

We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' information. We never sell customer lists or individual client information. Internal policies are in place to protect confidentiality, while allowing client needs to be served. Only individuals who need to do so in carrying out their job responsibilities may access client information. We maintain physical, electronic and procedural safeguards that comply with federal and state standards to protect confidentiality. These safeguards extend to all forms of interaction with us, including the Internet.

In the normal course of business, clients give us nonpublic personal information on applications and other forms, on our Web sites, and through transactions with us or our affiliates. Examples of the nonpublic personal information collected are name, address, Social Security number, and transaction and balance information. To be able to serve our clients, certain of this client information is shared with affiliated and nonaffiliated third party service providers such as transfer agents, custodians and broker-dealers to assist us in processing transactions and servicing your account.

In addition, we may disclose the information we collect to companies that perform marketing services on our behalf or to other financial institutions with which we have joint marketing agreements. These organizations may only use client information for the purpose designated by the companies listed above, and additional requirements beyond federal law may be imposed by certain states. To the extent that these state laws apply, we will comply with them before we share information about you.

We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required to or may provide information to government entities or regulatory bodies in response to requests for information or subpoenas, to private litigants in certain circumstances, to law enforcement authorities, or any time we believe it necessary to protect the firm.

At any time, if you have questions about our policy, please write to us at:

DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415 September 2008

Notes

Notes

Notes

Notes

Notes

Notes

cri_backcover0

 

ITEM 2.

CODE OF ETHICS

 

 

 

Not applicable.

 

 

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT

 

 

 

Not applicable.

 

 

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES

 

 

 

Not applicable.

 

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS

 

 

 

Not Applicable

 

 

ITEM 6.

SCHEDULE OF INVESTMENTS

 

 

 

Not Applicable

 

 

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

 

 

 

Not applicable.

 

 

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

 

 

 

Not applicable.

 

ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS

 

 

 

Not Applicable.

 

ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

 

 

 

The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Chairman of the Board, P.O. Box 100176, Cape Coral, FL 33910.

 

 

ITEM 11.

CONTROLS AND PROCEDURES

 

 

 

(a)        The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

 

 

 

(b)        There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.

 

 

 

 

ITEM 12.

EXHIBITS

 

 

 

(a)(1)   Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

 

 

 

(b)       Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

 

 

 

 

Form N-CSRS Item F

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Registrant:

Cash Management Portfolio

 

 

 

 

By:

/s/Michael G. Clark

Michael G. Clark

President

 

 

Date:

August 25, 2009

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

Registrant:

Cash Management Portfolio

 

 

 

 

By:

/s/Michael G. Clark

Michael G. Clark

President

 

 

Date:

August 25, 2009

 

 

 

 

By:

/s/Paul Schubert

Paul Schubert

Chief Financial Officer and Treasurer

 

 

Date:

August 25, 2009