UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549
FORM N-CSRS
Investment Company Act file number 811-3495
DWS Money Market Trust
(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: | 06/30/08 |
ITEM 1. REPORT TO STOCKHOLDERS
JUNE 30, 2008 Semiannual Report
to Shareholders |
|
DWS Money Market Series Institutional Shares |
 |
Institutional Shares
DWS Money Market Series
Institutional Money Funds — Client Services
210 West 10th Street
Kansas City, MO 64105-1614
Telephone: (800) 730-1313
E-mail: ifunds@dws.com
Web site: www.moneyfunds.deam-us.db.com
Investment Advisor
Deutsche Investment Management Americas Inc.
Distributor
DWS Investments Distributors, Inc.
Custodian
State Street Bank and Trust Company
Transfer Agent and Dividend Disbursing Agent
DWS Investments Service Company
Legal Counsel
Ropes & Gray LLP
For more information, call or write the Distributor at the address above.
Contents
This report must be preceded or accompanied by a prospectus. To obtain a prospectus for any of our funds, call Institutional Money Funds — Client Services at (800) 730-1313. 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 this fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in 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 sales charges (loads), redemption fees and 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 Institutional Shares of 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, 2008 to June 30, 2008).
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, 2008 |
Actual Fund Return* | Institutional Shares |
Beginning Account Value 1/1/08
| $ 1,000.00 |
Ending Account Value 6/30/08
| $ 1,016.80 |
Expenses Paid per $1,000**
| $ .65 |
Hypothetical 5% Fund Return* | Institutional Shares |
Beginning Account Value 1/1/08
| $ 1,000.00 |
Ending Account Value 6/30/08
| $ 1,024.22 |
Expenses Paid per $1,000**
| $ .65 |
* Expenses include amounts allocated proportionally from the master portfolio.** Expenses are equal to the Fund's annualized expense ratio for Institutional Shares, 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 366.Annualized Expense Ratio | Institutional Shares |
DWS Money Market Series
| .13% |
For more information, please refer to the Fund's prospectus.
Portfolio Summary
Asset Allocation | 6/30/08 | 12/31/07 |
| | |
Commercial Paper | 40% | 48% |
Short-Term Notes | 23% | 25% |
Certificates of Deposit and Bank Notes | 21% | 13% |
Government & Agency Obligations | 7% | 7% |
Time Deposits | 5% | 2% |
Master Notes | 2% | 3% |
Municipal Bonds and Notes | 1% | — |
Repurchase Agreements | 1% | 1% |
Asset Backed | — | 1% |
| 100% | 100% |
Weighted Average Maturity | | |
| | |
DWS Money Market Series | 43 days | 47 days |
First Tier Institutional Money Fund Average* | 43 days | 38 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 holdings, see page 22. A quarterly Fact Sheet is available upon request. Information concerning portfolio holdings of the Portfolio as of month end will be posted to www.dws-investments.com after the 14th day following month end. In addition, the Portfolio's top ten holdings and other information about the Fund is posted on www.dws-investments.com as of the calendar quarter-end on or after the 14th day following quarter-end.
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, 2008 (Unaudited) |
Assets |
Investment in Cash Management Portfolio, at value
| $ 24,024,424,358 |
Receivable for Fund shares sold
| 834,438 |
Other assets
| 92,359 |
Total assets
| 24,025,351,155 |
Liabilities |
Distributions payable
| 14,345,674 |
Payable for Fund shares redeemed
| 1,204,224 |
Other accrued expenses and payables
| 527,079 |
Total liabilities
| 16,076,977 |
Net assets, at value | $ 24,009,274,178 |
Net Assets Consist of |
Distributions in excess of net investment income
| (325,945) |
Accumulated net realized gain (loss)
| 2,995,050 |
Paid-in capital
| 24,006,605,073 |
Net assets, at value | $ 24,009,274,178 |
Net Asset Value |
Prime Reserve Class S Net Asset Value, offering and redemption price per share ($109,215,996 ÷ 109,290,009 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
| $ 1.00 |
Institutional Shares Net Asset Value, offering and redemption price per share ($22,556,692,006 ÷ 22,553,996,430 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
| $ 1.00 |
Premium Class S Net Asset Value, offering and redemption price per share ($662,486,112 ÷ 662,457,619 outstanding shares of beneficial interest, $.001 par value, unlimited number of shares authorized)
| $ 1.00 |
Managed Shares Net Asset Value, offering and redemption price per share ($680,880,064 ÷ 680,938,677 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 |
Investment Income | Six Months Ended June 30, 2008 (Unaudited) |
Income and expenses allocated from Cash Management Portfolio:
Interest
| $ 410,135,924 |
Expenses*
| (14,988,545) |
Net investment income allocated from Cash Management Portfolio
| 395,147,379 |
Expenses:
Administration fee
| 11,860,199 |
Services to shareholders
| 683,811 |
Professional fees
| 189,278 |
Registration fees
| 104,347 |
Trustees' fees and expenses
| 65,510 |
Reports to shareholders
| 55,220 |
Distribution service fee
| 15,858 |
Other
| 63,402 |
Total expenses before expense reductions
| 13,037,625 |
Expense reductions
| (12,840,735) |
Total expenses after expense reductions
| 196,890 |
Net investment income | 394,950,489 |
Net realized gain (loss) allocated from Cash Management Portfolio
| 3,240,496 |
Net increase (decrease) in net assets resulting from operations | $ 398,190,985 |
* For the six months ended June 30, 2008, the Cash Management Portfolio was reimbursed by the Advisor for fees in the amount of $6,766,264, of which $4,616,808 was allocated to the Fund on a pro-rated basis.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, 2008 (Unaudited) | For the Period from June 1, 2007 through December 31, 2007 | Year Ended May 31, 2007 |
Operations:
Net investment income
| $ 394,950,489 | $ 717,511,769 | $ 906,924,547 |
Net realized gain (loss)
| 3,240,496 | 569,954 | (563,297) |
Net increase (decrease) in net assets resulting from operations
| 398,190,985 | 718,081,723 | 906,361,250 |
Distributions to shareholders from:
Net investment income:
Prime Reserve Class AARP* | — | — | (432,526) |
Prime Reserve Class S | (1,812,935) | (3,306,418) | (5,260,345) |
Premium Class AARP* | — | — | (1,218,967) |
Premium Class S | (11,322,119) | (21,175,124) | (35,887,744) |
Managed Shares | (10,202,028) | (20,061,498) | (24,794,389) |
Institutional Shares | (371,939,351) | (672,968,728) | (839,184,793) |
Total distributions
| (395,276,433) | (717,511,768) | (906,778,764) |
Fund share transactions:
Proceeds from shares sold
| 146,961,270,448 | 199,925,679,802 | 225,030,816,967 |
Reinvestment of distributions
| 247,456,800 | 480,918,230 | 659,928,734 |
Cost of shares redeemed
| (145,777,495,558) | (196,723,891,274) | (216,698,065,383) |
Net increase (decrease) in net assets from Fund share transactions
| 1,431,231,690 | 3,682,706,758 | 8,992,680,318 |
Increase (decrease) in net assets | 1,434,146,242 | 3,683,276,713 | 8,992,262,804 |
Net assets at beginning of period
| 22,575,127,936 | 18,891,851,223 | 9,899,588,419 |
Net assets at end of period (including distributions in excess of net investment income of $325,945, $1 and $2, respectively)
| $ 24,009,274,178 | $ 22,575,127,936 | $ 18,891,851,223 |
* Prime Reserve Class AARP and Premium Class AARP shares merged into Prime Reserve Class S and Premium Class S, respectively, on July 14, 2006.The accompanying notes are an integral part of the financial statements.
Financial Highlights
Institutional Shares Years Ended December 31, | 2008a | 2007b | 2007d | 2006d | 2005d | 2004d | 2003d |
Selected Per Share Data |
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Net investment income | .017 | .030 | .052 | .039 | .020 | .010 | .015 |
Distributions from net investment income | (.017) | (.030) | (.052) | (.039) | (.020) | (.010) | (.015) |
Net asset value, end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return (%)c
| 1.68** | 3.08** | 5.37 | 4.02 | 1.98 | .99 | 1.50 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions)
| 22,557 | 21,262 | 17,469 | 8,637 | 12,214 | 8,646 | 9,261 |
Ratio of expenses before expense reductions including expenses allocated from Cash Management Portfolio (%)e
| .28* | .26* | .24 | .28 | .27 | .34 | .35 |
Ratio of expenses after expense reductions including expenses allocated from Cash Management Portfolio (%)e
| .13* | .12* | .10 | .12 | .13 | .15 | .15 |
Ratio of net investment income (%)
| 3.33* | 5.18* | 5.26 | 3.89 | 1.99 | .99 | 1.44 |
a For the six months ended June 30, 2008 (Unaudited).
b For the period from June 1, 2007 through December 31, 2007 (see Note A).
c Total returns would have been lower had certain expenses not been reduced.
d For the years ended May 31.
e On July 30, 2007, DWS Money Market Series became a feeder of Cash Management Portfolio. Expense ratios disclosed prior to December 31, 2007 are for DWS Money Market Series as a stand-alone fund.
* Annualized
** Not annualized
|
Notes to Financial Statements (Unaudited)
A. Significant Accounting Policies
DWS Money Market Series (the "Fund") is a diversified investment portfolio of DWS Money Market Trust (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 offers multiple classes of shares which provide investors with different purchase options: Prime Reserve Class S, Premium Class S, Managed Shares and Institutional Shares. Certain detailed information for, Prime Reserve Class S, Premium Class S and Managed Shares is provided separately and is available upon request. Prime Reserve Class S and Premium Class S shares are generally not available to new investors except under certain circumstances.
The Board of Trustees of the Fund approved a reorganization pursuant to which the Fund became a feeder fund of Cash Management Portfolio. On July 30, 2007, the Fund transferred all of its assets into the Cash Management Portfolio in a tax-free exchange for beneficial ownership in the Portfolio. Activity prior to this conversion is included in the 2007 statements of changes in net assets. Prior to this conversion, the Fund changed its fiscal year end from May 31 to December 31.
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'') and the Advisor for the master portfolio. 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.
Investment income, realized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares, except that each class bears certain expenses unique to that class such as distribution service fee, services to shareholders and certain other class-specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
At June 30, 2008, the Fund owned approximately 70% of the Portfolio. 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.
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.
The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), which governs the application of generally accepted accounting principles that require fair value measurements of the Fund's assets and liabilities. FAS 157 establishes a three-tier hierarchy that prioritizes the inputs to valuation techniques. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For example, securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine fair value are not quoted prices in an active market. On June 30, 2008, all of the Portfolio's and, accordingly, the Fund's securities were classified as Level 2. For information on the Portfolio's policy regarding the valuation of investments and of the valuation inputs please refer to the Security Valuation section in the Portfolio's financial statements which accompany this report.
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. Accordingly, the Fund paid no federal income taxes and no federal income tax provision was required.
At December 31, 2007, the Fund had a net tax basis capital loss carryforward of approximately $245,000 which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized of until December 31, 2014, the expiration date, whichever occurs first, which may be subject to certain limitations under Sections 382-383 of the Internal Revenue Code.
The Fund has reviewed the tax positions for the open tax years as of December 31, 2007 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 periods/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"), an indirect, wholly owned subsidiary of Deutsche Bank AG and the Advisor for the master portfolio.
For the period from January 1, 2008 through July 29, 2010, the Advisor has contractually agreed to waive all or a portion of its advisory fee from the Portfolio 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 of each class as follows:
Prime Reserve Class S
| .37% |
Premium Class S
| .28% |
Managed Shares
| .20% |
Institutional Class
| .15% |
For the period from January 1, 2008 through June 30, 2008, the Advisor has voluntarily agreed to waive 0.11% of the Fund's total operating expenses. This voluntary waiver or reimbursement may be terminated at any time at the option of the Advisor.
For the six months ended June 30, 2008, the Advisor agreed to reimburse the Fund $413,726 for other expenses.
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 DIMA 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 six months ended June 30, 2008, DIMA received an Administration fee of $11,860,199, all of which was waived.
Service Provider Fees. DWS Investments Service Company ("DISC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent of 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. 2008, the amounts charged to the Fund by DISC were as follows:
Services to Shareholders | Total Aggregated | Waived | Unpaid at June 30, 2008 |
Prime Reserve Class S
| $ 64,669 | $ 2,018 | $ 50,111 |
Premium Class S
| 129,049 | 12,281 | 77,353 |
Managed Shares
| 13,568 | 12,620 | — |
Institutional Shares
| 419,430 | 419,430 | — |
| $ 626,716 | $ 446,349 | $ 127,464 |
Shareholder Servicing Fee. DWS Investments Distributors, Inc. ("DIDI"), an affiliate of the Advisor, provides information and administrative services for a fee ("Service Fee") to Managed Shares shareholders at an annual rate of up to 0.05% of average daily net assets. DIDI in turn has various agreements with financial services firms that provide these services and pays these fees based upon the assets of shareholder accounts the firms service. The Service Fee charged by DIDI was as follows:
Service Fee | Total Aggregated | Unpaid at June 30, 2008 | Annualized Effective Rate |
Managed Shares
| $ 15,858 | $ 7,578 | .01% |
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, 2008, the amount charged to the Fund by DIMA included in the Statement of Operations under "reports to shareholders" aggregated $22,716, all of which is paid.
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 and Vice Chairperson.
In connection with the board consolidation on April 1, 2008, of the two DWS Funds Boards of Trustees/Directors, certain Independent Board Members retired prior to their normal retirement date, and received a one-time retirement benefit. DIMA has agreed to reimburse the Funds for the cost of this benefit. During the period ended June 30, 2008, the Fund paid its allocated portion of the retirement benefit of $120,461 to the non-continuing Independent Board Members, and the Fund was reimbursed by DIMA for this payment.
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, 2008, there were three shareholders who held approximately 42%, 21% and 12% of the outstanding shares of the Managed Shares and one shareholder who held approximately 13% of the outstanding shares of Institutional Shares of the Fund.
D. Share Transactions
The following table summarizes share and dollar activity in the Fund:
| Six Months Ended June 30, 2008 | Period Ended December 31, 2007* |
| Shares | Dollars | Shares | Dollars |
Shares sold |
Prime Reserve Class S
| 19,580,144 | 19,580,144 | 27,574,635 | 27,574,635 |
Premium Class S
| 122,485,426 | 122,485,426 | 181,205,649 | 181,205,649 |
Managed Shares
| 1,072,588,181 | 1,072,588,181 | 1,345,468,616 | 1,345,468,616 |
Institutional Shares
| 145,746,616,697 | 145,746,616,697 | 198,371,430,902 | 198,371,430,902 |
| | $ 146,961,270,448 | | $ 199,925,679,802 |
Shares issued to shareholders in reinvestment of distributions |
Prime Reserve Class S
| 1,727,245 | 1,727,245 | 3,137,806 | 3,137,806 |
Premium Class S
| 10,708,727 | 10,708,727 | 20,057,533 | 20,057,533 |
Managed Shares
| 1,627,828 | 1,627,828 | 4,170,401 | 4,170,401 |
Institutional Shares
| 233,393,000 | 233,393,000 | 453,552,490 | 453,552,490 |
| | $ 247,456,800 | | $ 480,918,230 |
Shares redeemed |
Prime Reserve Class S
| (24,044,160) | (24,044,160) | (29,631,030) | (29,631,030) |
Premium Class S
| (161,626,075) | (161,626,075) | (225,692,255) | (225,692,255) |
Managed Shares
| (903,571,337) | (903,571,337) | (1,435,968,663) | (1,435,968,663) |
Institutional Shares
| (144,688,253,986) | (144,688,253,986) | (195,032,599,326) | (195,032,599,326) |
| | $ (145,777,495,558) | | $(196,723,891,274) |
Net increase (decrease) |
Prime Reserve Class S
| (2,736,771) | (2,736,771) | 1,081,411 | 1,081,411 |
Premium Class S
| (28,431,922) | (28,431,922) | (24,429,073) | (24,429,073) |
Managed Shares
| 170,644,672 | 170,644,672 | (86,329,646) | (86,329,646) |
Institutional Shares
| 1,291,755,711 | 1,291,755,711 | 3,792,384,066 | 3,792,384,066 |
| | $ 1,431,231,690 | | $ 3,682,706,758 |
* For the period from June 1, 2007 through December 31, 2007. | Year Ended May 31, 2007 |
| Shares | Dollars |
Shares sold |
Prime Reserve Class AARP
| 3,417,074** | $ 3,417,074** |
Prime Reserve Class S
| 40,386,197 | 40,386,197 |
Premium Class AARP
| 16,535,490** | 16,535,490** |
Premium Class S
| 362,115,516 | 362,115,516 |
Managed Shares
| 1,579,713,807 | 1,579,713,807 |
Institutional Shares
| 223,028,648,134 | 223,028,648,883 |
| | $ 225,030,816,967 |
Shares issued to shareholders in reinvestment of distributions |
Prime Reserve Class AARP
| 262,068** | $ 262,068** |
Prime Reserve Class S
| 4,995,416 | 4,995,416 |
Premium Class AARP
| 731,634** | 731,634** |
Premium Class S
| 33,694,670 | 33,694,670 |
Managed Shares
| 5,177,907 | 5,177,907 |
Institutional Shares
| 615,067,039 | 615,067,039 |
| | $ 659,928,734 |
Shares redeemed |
Prime Reserve Class AARP
| (2,693,855)** | $ (2,693,855)** |
Prime Reserve Class S
| (45,366,188) | (45,366,188) |
Premium Class AARP
| (9,616,189)** | (9,616,189)** |
Premium Class S
| (386,893,859) | (386,893,859) |
Managed Shares
| (1,442,208,412) | (1,442,208,412) |
Institutional Shares
| (214,811,286,880) | (214,811,286,880) |
| | $ (216,698,065,383) |
Shares converted** |
Prime Reserve Class AARP
| (69,812,223) | $ (69,727,053) |
Prime Reserve Class S
| 69,812,223 | 69,727,053 |
Premium Class AARP
| (196,755,249) | (196,753,879) |
Premium Class S
| 196,755,249 | 196,753,879 |
| | $ — |
Net increase (decrease) |
Prime Reserve Class AARP
| (68,826,936)** | $ (68,741,766)** |
Prime Reserve Class S
| 69,827,648 | 69,742,478 |
Premium Class AARP
| (189,104,314)** | (189,102,944)** |
Premium Class S
| 205,671,576 | 205,670,206 |
Managed Shares
| 142,683,302 | 142,683,302 |
Institutional Shares
| 8,832,428,293 | 8,832,429,042 |
| | $ 8,992,680,318 |
** On June 28, 2006, the Board of the Fund approved the conversion of the Prime Reserve Class AARP and Premium Class AARP shares of the Fund into Prime Reserve Class S and Premium Class S, respectively, of the Fund. These conversions were completed on July 14, 2006 and these shares are no longer offered.(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, 2008 (Unaudited)
| Principal Amount ($) | Value ($) |
| |
Certificates of Deposit and Bank Notes 21.5% |
ABN AMRO Bank NV, 2.78%, 8/7/2008 | 50,000,000 | 50,001,520 |
Allied Irish Banks PLC, 2.685%, 7/25/2008 | 200,000,000 | 200,000,664 |
American Express Bank FSB, 2.75%, 8/14/2008 | 150,000,000 | 150,000,000 |
Banco Santander SA, 2.67%, 10/3/2008 | 61,200,000 | 61,188,503 |
Bank of Scotland PLC: | | |
4.5%, 11/19/2008 | 120,000,000 | 120,000,000 |
4.93%, 10/9/2008 | 155,000,000 | 155,000,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd., 2.8%, 8/8/2008 | 250,000,000 | 250,000,000 |
Barclays Bank PLC: | | |
3.0%, 12/2/2008 | 247,650,000 | 247,650,000 |
3.15%, 12/8/2008 | 70,750,000 | 70,750,000 |
BNP Paribas: | | |
2.64%, 8/11/2008 | 177,000,000 | 177,003,622 |
2.705%, 9/25/2008 | 7,000,000 | 7,000,000 |
4.4%, 7/7/2008 | 162,750,000 | 162,750,265 |
Calyon: | | |
3.0%, 10/22/2008 | 85,350,000 | 85,350,000 |
3.02%, 10/23/2008 | 200,000,000 | 200,000,000 |
4.03%, 7/14/2008 | 110,750,000 | 110,750,000 |
Canadian Imperial Bank of Commerce, 2.76%, 7/7/2008 | 246,000,000 | 246,000,000 |
Citibank NA, 2.7%, 8/15/2008 | 250,000,000 | 250,000,000 |
Cowboys Stadium LP, 144A, 2.55%***, 7/1/2039 | 35,000,000 | 35,000,000 |
Credit Agricole SA: | | |
2.7%, 8/1/2008 | 145,000,000 | 145,000,000 |
2.7%, 9/2/2008 | 178,700,000 | 178,700,000 |
2.75%, 8/1/2008 | 100,000,000 | 100,002,569 |
2.9%, 12/1/2008 | 77,000,000 | 77,000,000 |
Credit Suisse, 4.305%, 7/8/2008 | 100,000,000 | 100,000,000 |
Dexia Credit Local, 2.65%, 8/12/2008 | 99,000,000 | 98,997,638 |
Fortis Bank SA, 3.0%, 10/22/2008 | 150,000,000 | 150,000,000 |
HSH Nordbank AG, 2.97%, 7/10/2008 | 150,000,000 | 150,000,372 |
Intesa Sanpaolo SpA: | | |
2.75%, 8/12/2008 | 150,000,000 | 150,000,000 |
2.8%, 8/7/2008 | 100,000,000 | 100,000,000 |
JPMorgan Chase Bank NA, 2.8%, 8/11/2008 | 30,000,000 | 30,000,000 |
KBC Bank NV: | | |
2.52%, 7/22/2008 | 155,000,000 | 155,001,566 |
2.55%, 7/7/2008 | 300,000,000 | 300,000,000 |
2.78%, 8/11/2008 | 100,000,000 | 99,998,865 |
Landesbank Hessen-Thueringen Girozentrale, 3.03%, 7/7/2008 | 200,000,000 | 200,000,000 |
Lloyds TSB Bank PLC, 2.62%, 8/26/2008 | 7,000,000 | 7,000,000 |
Metropolitan Life Global Funding I, 3.8%, 1/20/2009 | 91,500,000 | 91,500,000 |
Mizuho Corporate Bank Ltd: | | |
2.65%, 7/14/2008 | 500,000,000 | 500,000,000 |
2.66%, 7/16/2008 | 398,000,000 | 398,000,000 |
Norddeutsche Landesbank Girozentrale AG, 3.02%, 7/8/2008 | 150,000,000 | 150,000,000 |
Norinchukin Bank Ltd., 2.6%, 7/16/2008 | 350,000,000 | 350,000,000 |
Societe Generale: | | |
2.67%, 7/25/2008 | 400,000,000 | 400,000,000 |
2.98%, 7/7/2008 | 300,000,000 | 300,000,000 |
Toronto-Dominion Bank: | | |
2.68%, 8/18/2008 | 25,000,000 | 25,008,549 |
2.9%, 8/29/2008 | 1,000,000 | 1,000,313 |
4.42%, 7/7/2008 | 13,500,000 | 13,504,082 |
UBS AG: | | |
3.0%, 8/1/2008 | 200,000,000 | 200,000,000 |
4.255%, 7/9/2008 | 160,000,000 | 160,018,226 |
4.3%, 7/8/2008 | 160,000,000 | 160,000,000 |
Westpac Banking Corp., 2.73%, 9/26/2008 | 14,000,000 | 14,000,168 |
Total Certificates of Deposit and Bank Notes (Cost $7,383,176,922) | 7,383,176,922 |
|
Commercial Paper 40.2% |
Issued at Discount** 38.1% |
Abbey National North America LLC, 2.6%, 10/22/2008 | 66,000,000 | 65,461,367 |
Alcon Capital Corp., 2.49%, 12/17/2008 | 100,000,000 | 98,831,083 |
Alpine Securitization: | | |
2.58%, 7/2/2008 | 20,000,000 | 19,998,567 |
2.63%, 7/9/2008 | 48,750,000 | 48,721,508 |
Amsterdam Funding Corp., 2.62%, 7/25/2008 | 75,000,000 | 74,869,000 |
Apreco LLC, 2.63%, 7/22/2008 | 193,800,000 | 193,502,679 |
Archer-Daniels-Midland Co., 2.15%, 7/14/2008 | 5,377,000 | 5,372,825 |
AstraZeneca PLC: | | |
2.45%, 11/3/2008 | 100,000,000 | 99,149,306 |
2.72%, 11/14/2008 | 29,300,000 | 28,998,926 |
2.88%, 8/20/2008 | 48,550,000 | 48,355,800 |
3.67%, 7/17/2008 | 24,310,000 | 24,270,348 |
3.965%, 7/25/2008 | 99,000,000 | 98,738,310 |
AT&T, Inc.: | | |
2.05%, 7/30/2008 | 60,000,000 | 59,900,917 |
2.06%, 7/30/2008 | 190,000,000 | 189,684,706 |
2.15%, 8/19/2008 | 120,000,000 | 119,648,833 |
2.22%, 7/9/2008 | 13,300,000 | 13,293,439 |
2.22%, 7/14/2008 | 70,000,000 | 69,943,883 |
Atlantic Asset Securitization Corp., 2.57%, 7/9/2008 | 50,000,000 | 49,971,444 |
Bank of Scotland PLC, 2.65%, 8/22/2008 | 113,000,000 | 112,567,461 |
Caisse Nationale des Caisses Depargne et de Prevoyance: | | |
2.85%, 7/7/2008 | 80,000,000 | 79,962,000 |
2.96%, 8/4/2008 | 200,000,000 | 199,440,889 |
2.96%, 8/7/2008 | 168,000,000 | 167,488,907 |
Cancara Asset Securitisation LLC: | | |
2.63%, 7/10/2008 | 149,000,000 | 148,902,033 |
3.05%, 7/2/2008 | 227,000,000 | 226,980,768 |
Chariot Funding LLC: | | |
2.45%, 7/9/2008 | 56,956,000 | 56,924,991 |
2.45%, 7/10/2008 | 51,499,000 | 51,467,457 |
2.6%, 7/7/2008 | 38,186,000 | 38,169,453 |
2.6%, 7/23/2008 | 150,000,000 | 149,761,667 |
Citibank Credit Card Issuance Trust, 2.8%, 8/1/2008 | 393,000,000 | 392,052,433 |
Colgate-Palmolive Co: | | |
2.14%, 7/7/2008 | 24,500,000 | 24,491,262 |
2.28%, 7/14/2008 | 35,780,000 | 35,750,541 |
DNB NOR Bank ASA: | | |
2.5%, 7/14/2008 | 9,000,000 | 8,991,875 |
2.865%, 8/4/2008 | 160,000,000 | 159,567,067 |
Eksportfinans AS, 2.3%, 7/25/2008 | 100,000,000 | 99,846,667 |
Falcon Asset Securitization Co., LLC, 2.6%, 7/15/2008 | 5,000,000 | 4,994,944 |
General Electric Capital Corp.: | | |
2.53%, 10/1/2008 | 300,000,000 | 298,060,333 |
2.75%, 9/19/2008 | 199,250,000 | 198,032,361 |
3.53%, 7/14/2008 | 191,000,000 | 190,756,528 |
3.92%, 9/30/2008 | 200,000,000 | 198,018,222 |
4.05%, 7/7/2008 | 25,000,000 | 24,983,167 |
4.42%, 7/21/2008 | 200,000,000 | 199,508,889 |
Giro Balanced Funding Corp., 2.95%, 7/30/2008 | 20,000,000 | 19,952,472 |
Gotham Funding Corp.: | | |
2.57%, 7/22/2008 | 57,000,000 | 56,914,548 |
2.67%, 8/22/2008 | 57,000,000 | 56,780,170 |
2.75%, 7/15/2008 | 35,000,000 | 34,962,569 |
2.75%, 7/18/2008 | 15,578,000 | 15,557,770 |
2.75%, 7/21/2008 | 43,256,000 | 43,189,914 |
2.91%, 9/15/2008 | 4,500,000 | 4,472,355 |
2.91%, 9/22/2008 | 25,000,000 | 24,832,271 |
2.8%, 7/17/2008 | 48,000,000 | 47,940,267 |
2.85%, 9/10/2008 | 110,000,000 | 109,381,708 |
Greenwich Capital Holdings, Inc., 2.85%, 10/6/2008 | 120,000,000 | 119,078,500 |
ING (US) Funding LLC, 2.5%, 7/15/2008 | 1,263,000 | 1,261,772 |
Johnson & Johnson: | | |
1.9%, 7/7/2008 | 65,000,000 | 64,979,417 |
2.0%, 9/4/2008 | 25,750,000 | 25,657,014 |
2.0%, 9/5/2008 | 100,000,000 | 99,633,333 |
2.1%, 7/14/2008 | 50,000,000 | 49,962,083 |
3.38%, 7/23/2008 | 70,000,000 | 69,855,411 |
Kitty Hawk Funding Corp., 2.85%, 10/2/2008 | 26,881,000 | 26,683,089 |
Kreditanstalt fuer Wiederaufbau, 2.2%, 7/8/2008 | 1,506,000 | 1,505,356 |
Liberty Street Funding LLC: | | |
2.58%, 7/25/2008 | 40,000,000 | 39,931,200 |
2.62%, 7/14/2008 | 50,000,000 | 49,952,694 |
2.62%, 7/16/2008 | 58,000,000 | 57,936,683 |
2.65%, 8/25/2008 | 240,000,000 | 239,028,333 |
2.67%, 7/25/2008 | 126,000,000 | 125,775,720 |
2.88%, 9/30/2008 | 33,800,000 | 33,553,936 |
2.95%, 7/2/2008 | 40,850,000 | 40,846,653 |
3.0%, 7/25/2008 | 50,000,000 | 49,900,000 |
Market Street Funding LLC: | | |
2.6%, 7/8/2008 | 60,000,000 | 59,969,667 |
2.65%, 7/16/2008 | 135,000,000 | 134,850,938 |
2.86%, 7/25/2008 | 150,000,000 | 149,714,000 |
MetLife, Inc., 2.2%, 7/14/2008 | 10,000,000 | 9,992,056 |
National Australia Funding (Delaware), Inc., 2.7%, 7/14/2008 | 92,708,000 | 92,617,610 |
Nestle Capital Corp.: | | |
2.02%, 8/7/2008 | 3,400,000 | 3,392,941 |
2.49%, 12/17/2008 | 133,000,000 | 131,445,341 |
2.69%, 9/18/2008 | 300,000,000 | 298,229,083 |
4.3%, 10/31/2008 | 54,250,000 | 53,459,457 |
Nieuw Amsterdam Receivables Corp.: | | |
2.84%, 7/30/2008 | 100,000,000 | 99,771,222 |
2.86%, 7/25/2008 | 100,000,000 | 99,809,333 |
3.0%, 7/3/2008 | 90,000,000 | 89,985,000 |
3.02%, 7/3/2008 | 100,000,000 | 99,983,222 |
Nordea North America, Inc., 2.75%, 9/25/2008 | 5,000,000 | 4,967,153 |
Old Line Funding LLC, 2.54%, 7/21/2008 | 78,411,000 | 78,300,353 |
Park Avenue Receivables Corp., 2.52%, 7/16/2008 | 85,000,000 | 84,910,750 |
Pfizer, Inc.: | | |
2.27%, 9/23/2008 | 67,200,000 | 66,844,064 |
2.685%, 8/6/2008 | 100,000,000 | 99,731,500 |
Procter & Gamble International Funding SCA: | | |
1.94%, 7/18/2008 | 10,000,000 | 9,990,839 |
2.12%, 7/10/2008 | 60,000,000 | 59,968,200 |
2.2%, 8/14/2008 | 109,130,000 | 108,836,562 |
Ranger Funding Co., LLC, 2.52%, 7/25/2008 | 25,079,000 | 25,036,867 |
Royal Bank of Scotland Group PLC: | | |
2.955%, 10/21/2008 | 200,000,000 | 198,161,333 |
4.19%, 7/10/2008 | 71,090,000 | 71,015,533 |
Salisbury Receivables Co., LLC: | | |
2.67%, 7/25/2008 | 145,000,000 | 144,741,900 |
2.7%, 8/13/2008 | 50,000,000 | 49,838,750 |
2.72%, 8/14/2008 | 50,000,000 | 49,833,778 |
Scaldis Capital LLC: | | |
2.58%, 7/7/2008 | 32,525,000 | 32,511,014 |
2.65%, 7/14/2008 | 100,000,000 | 99,904,306 |
2.69%, 7/18/2008 | 50,000,000 | 49,936,486 |
2.78%, 7/24/2008 | 95,000,000 | 94,831,269 |
2.89%, 7/2/2008 | 105,250,000 | 105,241,551 |
Sheffield Receivables Corp.: | | |
2.51%, 7/25/2008 | 107,000,000 | 106,820,953 |
2.52%, 7/10/2008 | 100,000,000 | 99,937,000 |
2.52%, 7/18/2008 | 77,000,000 | 76,908,370 |
2.57%, 7/11/2008 | 175,000,000 | 174,875,069 |
2.61%, 7/22/2008 | 113,000,000 | 112,827,958 |
2.65%, 7/11/2008 | 50,000,000 | 49,963,194 |
2.75%, 7/3/2008 | 75,000,000 | 74,988,542 |
2.82%, 7/17/2008 | 45,000,000 | 44,943,600 |
2.87%, 7/9/2008 | 41,500,000 | 41,473,532 |
Siemens Capital Co., LLC, 2.09%, 8/22/2008 | 12,450,000 | 12,412,415 |
Societe Generale North America, Inc.: | | |
2.93%, 8/1/2008 | 91,290,000 | 91,059,670 |
3.025%, 8/5/2008 | 245,000,000 | 244,279,462 |
3.15%, 10/22/2008 | 300,000,000 | 297,033,750 |
4.0%, 7/7/2008 | 152,500,000 | 152,398,333 |
Starbird Funding Corp.: | | |
2.6%, 7/2/2008 | 336,692,000 | 336,667,683 |
2.86%, 7/25/2008 | 151,000,000 | 150,712,093 |
3.02%, 9/10/2008 | 149,000,000 | 148,112,540 |
3.02%, 9/11/2008 | 60,000,000 | 59,637,600 |
Suncorp-Metway Ltd., 2.83%, 8/12/2008 | 40,000,000 | 39,867,933 |
Swedbank AB: | | |
2.75%, 8/15/2008 | 200,000,000 | 199,312,500 |
2.75%, 8/20/2008 | 100,000,000 | 99,618,056 |
2.77%, 8/19/2008 | 100,000,000 | 99,622,972 |
2.83%, 8/4/2008 | 100,000,000 | 99,732,722 |
2.95%, 8/1/2008 | 128,000,000 | 127,674,845 |
Thunder Bay Funding LLC: | | |
2.54%, 7/21/2008 | 63,700,000 | 63,610,112 |
2.58%, 7/14/2008 | 66,573,000 | 66,510,976 |
Toronto-Dominion Holdings (USA), Inc, 2.6%, 8/4/2008 | 32,400,000 | 32,320,440 |
Toyota Motor Credit Corp., 2.53%, 10/14/2008 | 130,000,000 | 129,040,708 |
Tulip Funding Corp.: | | |
2.59%, 7/7/2008 | 200,000,000 | 199,913,667 |
2.625%, 7/9/2008 | 84,814,000 | 84,764,525 |
2.65%, 7/8/2008 | 123,186,000 | 123,122,525 |
2.65%, 7/9/2008 | 67,711,000 | 67,671,126 |
2.76%, 7/15/2008 | 30,720,000 | 30,687,027 |
United Parcel Service, Inc.: | | |
3.25%, 12/17/2008 | 50,000,000 | 49,237,153 |
3.85%, 7/31/2008 | 3,750,000 | 3,737,969 |
4.13%, 7/31/2008 | 40,750,000 | 40,609,752 |
Victory Receivables Corp.: | | |
2.62%, 7/25/2008 | 145,000,000 | 144,746,733 |
2.7%, 7/15/2008 | 90,000,000 | 89,905,500 |
2.74%, 8/4/2008 | 75,000,000 | 74,805,917 |
2.74%, 8/18/2008 | 50,000,000 | 49,817,333 |
2.85%, 7/25/2008 | 14,000,000 | 13,973,400 |
2.87%, 9/12/2008 | 51,000,000 | 50,703,194 |
Westpac Banking Corp., 2.7%, 7/9/2008 | 100,000,000 | 99,940,000 |
Windmill Funding I Corp.: | | |
2.62%, 7/25/2008 | 51,000,000 | 50,910,925 |
2.64%, 7/17/2008 | 62,168,000 | 62,095,056 |
| 13,111,785,002 |
Issued at Par 2.1% |
BNP Paribas Finance, Inc., 2.5%, 7/1/2008 | 24,179,000 | 24,179,000 |
Cancara Asset Securitisation LLC, 2.52%, 7/1/2008 | 59,500,000 | 59,500,000 |
CHI Catholic Health Initiatives: | | |
2.65%, 12/31/2008 | 55,063,000 | 55,063,000 |
2.8%, 9/30/2008 | 83,475,000 | 83,475,000 |
Danske Corp., 2.69%, 7/1/2008 | 12,300,000 | 12,300,000 |
Giro Balanced Funding Corp., 2.835%, 7/1/2008 | 25,600,000 | 25,600,000 |
Gotham Funding Corp., 3.0%, 7/1/2008 | 15,333,000 | 15,333,000 |
Lloyds TSB Bank PLC, 2.5%, 7/1/2008 | 7,400,000 | 7,400,000 |
Nestle Capital Corp., 2.3%, 7/1/2008 | 11,103,000 | 11,103,000 |
Nieuw Amsterdam Receivables Corp., 3.04%, 7/1/2008 | 94,449,000 | 94,449,000 |
Nordea North America, Inc., 2.22%, 7/1/2008 | 3,502,000 | 3,502,000 |
Perry Global Funding LLC, 3.64%, 7/1/2008 | 39,027,000 | 39,027,000 |
Rabobank USA Financial Corp., 2.25%, 7/1/2008 | 1,000,000 | 1,000,000 |
Romulus Funding Corp., 3.25%, 7/1/2008 | 119,590,000 | 119,590,000 |
Starbird Funding Corp., 2.75%, 7/1/2008 | 17,337,000 | 17,337,000 |
Windmill Funding I Corp., 2.9%, 7/1/2008 | 163,771,000 | 163,771,000 |
| 732,629,000 |
Total Commercial Paper (Cost $13,844,414,002) | 13,844,414,002 |
|
Master Notes 1.9% |
Citigroup Global Markets, Inc., 2.65%*, 7/1/2008 (a) (Cost $665,000,000) | 665,000,000 | 665,000,000 |
|
Government & Agency Obligations 7.0% |
US Government Sponsored Agencies 3.1% |
Federal Home Loan Bank: | | |
2.075%**, 7/7/2008 | 1,926,000 | 1,925,334 |
2.35%**, 2/11/2009 | 39,000,000 | 38,427,187 |
2.36%**, 5/12/2009 | 125,750,000 | 123,153,262 |
2.61%, 6/3/2009 | 30,000,000 | 30,000,000 |
2.625%, 7/15/2008 | 64,850,000 | 64,813,514 |
2.664%*, 9/17/2008 | 100,000,000 | 99,990,584 |
3.7%**, 7/9/2008 | 80,000,000 | 79,934,222 |
4.1%**, 7/22/2008 | 116,000,000 | 115,722,567 |
Federal Home Loan Mortgage Corp., 3.75%**, 7/7/2008 | 130,000,000 | 129,918,750 |
Federal National Mortgage Association: | | |
2.0%**, 7/16/2008 | 7,500,000 | 7,493,750 |
2.23%*, 9/3/2009 | 380,000,000 | 379,977,729 |
| 1,071,356,899 |
US Treasury Obligations 3.9% |
US Treasury Bills: | | |
1.6%**, 10/23/2008 | 135,500,000 | 134,813,467 |
1.69%**, 11/6/2008 | 95,000,000 | 94,429,156 |
1.85%**, 11/20/2008 | 187,500,000 | 186,131,771 |
2.15%**, 6/4/2009 | 118,500,000 | 116,107,946 |
2.31%**, 7/2/2009 | 180,000,000 | 175,795,800 |
2.35%**, 6/4/2009 | 160,000,000 | 156,469,778 |
2.37%**, 6/4/2009 | 160,000,000 | 156,439,733 |
2.42%**, 6/4/2009 | 160,250,000 | 156,608,942 |
US Treasury Note, 4.875%, 5/15/2009 | 137,000,000 | 140,193,207 |
| 1,316,989,800 |
Total Government & Agency Obligations (Cost $2,388,346,699) | 2,388,346,699 |
|
Asset Backed 0.3% |
Steers (Delaware) Business Trust, 144A, 2.502%*, 5/27/2048 (Cost $93,991,384) | 93,991,384 | 93,991,384 |
|
Short Term Notes* 23.1% |
Abbey National Treasury Services PLC: | | |
2.716%, 2/13/2009 | 50,000,000 | 50,000,000 |
2.895%, 2/20/2009 | 187,250,000 | 187,250,000 |
2.901%, 4/24/2009 | 125,500,000 | 125,500,000 |
Alliance & Leicester PLC, 2.468%, 8/7/2008 | 100,000,000 | 100,000,000 |
Allied Irish Banks PLC, 2.482%, 8/18/2008 | 118,400,000 | 118,400,000 |
American Honda Finance Corp.: | | |
144A, 2.795%, 7/11/2008 | 8,000,000 | 8,000,233 |
144A, 2.934%, 3/25/2009 | 100,000,000 | 100,000,000 |
ANZ National (International) Ltd., 144A, 2.915%, 4/10/2009 | 96,000,000 | 96,000,000 |
Australia & New Zealand Banking Group Ltd.: | | |
2.501%, 8/22/2008 | 60,000,000 | 60,000,000 |
144A, 2.891%, 7/2/2009 | 199,350,000 | 199,344,844 |
Banco Espanol de Credito SA, 2.733%, 8/11/2008 | 297,000,000 | 297,000,000 |
Bank of America NA: | | |
2.92%, 7/25/2008 | 235,925,000 | 235,960,198 |
3.208%, 7/2/2009 | 195,000,000 | 195,000,000 |
Bank of Ireland, 2.472%, 8/18/2008 | 75,000,000 | 75,000,000 |
Bank of Scotland PLC, 2.994%, 6/5/2009 | 123,250,000 | 123,250,000 |
BMW (UK) Capital PLC, 2.491%, 8/14/2008 | 55,000,000 | 55,000,000 |
BNP Paribas: | | |
2.481%, 8/25/2008 | 109,000,000 | 109,000,000 |
2.895%, 5/13/2009 | 84,100,000 | 84,100,000 |
Caisse Nationale des Caisses Depargne et de Prevoyance, 2.705%, 9/9/2008 | 197,000,000 | 197,000,000 |
Caja de Ahorros y Monte de Piedad de Madrid, 2.967%, 8/12/2008 | 225,000,000 | 225,000,000 |
Canadian Imperial Bank of Commerce, 2.773%, 7/18/2008 | 16,500,000 | 16,498,506 |
Commonwealth Bank of Australia: | | |
2.501%, 9/23/2008 | 80,000,000 | 80,000,000 |
2.752%, 12/18/2008 | 72,000,000 | 71,991,285 |
Credit Agricole SA: | | |
2.771%, 7/21/2008 | 246,000,000 | 246,000,000 |
2.91%, 8/22/2008 | 200,000,000 | 200,000,000 |
144A, 3.031%, 7/22/2009 | 296,500,000 | 296,500,000 |
Danske Bank AS, 2.471%, 8/19/2008 | 268,000,000 | 267,997,603 |
DNB NOR Bank ASA, 2.492%, 9/24/2008 | 120,000,000 | 120,000,000 |
General Electric Capital Corp., 2.501%, 8/19/2011 | 135,000,000 | 135,000,000 |
HSBC Finance Corp.: | | |
2.47%, 8/6/2008 | 125,000,000 | 125,000,000 |
144A, 2.541%, 9/24/2008 | 140,000,000 | 140,000,000 |
HSH Nordbank AG, 2.501%, 8/20/2008 | 205,000,000 | 205,000,000 |
ING Bank NV, 144A, 3.059%, 3/26/2009 | 84,000,000 | 84,000,001 |
Intesa Bank Ireland PLC, 2.492%, 8/22/2008 | 155,000,000 | 155,000,000 |
Intesa Sanpaolo SpA, 2.976%, 5/13/2009 | 125,000,000 | 125,000,000 |
KBC Bank NV, 2.821%, 12/16/2008 | 75,000,000 | 75,000,000 |
Lloyds TSB Bank PLC, 2.44%, 9/6/2008 | 100,000,000 | 100,000,000 |
Marshall & Ilsley Bank, 2.481%, 8/14/2008 | 56,000,000 | 56,000,000 |
Metropolitan Life Global Funding I: | | |
144A, 2.96%, 6/9/2009 | 66,500,000 | 66,500,000 |
3.085%, 4/13/2009 | 35,000,000 | 35,000,000 |
National Australia Bank Ltd.: | | |
2.776%, 8/14/2008 | 125,000,000 | 125,000,000 |
2.918%, 2/19/2009 | 179,750,000 | 179,750,000 |
3.045%, 4/7/2009 | 125,750,000 | 125,750,000 |
Natixis, 2.921%, 4/6/2009 | 268,500,000 | 268,500,000 |
Nordea Bank AB, 2.448%, 9/8/2008 | 85,000,000 | 85,000,000 |
Northern Rock PLC, 2.481%, 8/4/2008 | 65,000,000 | 65,000,000 |
Procter & Gamble International Funding SCA, 2.788%, 2/19/2009 | 64,000,000 | 64,000,000 |
Rabobank Nederland NV: | | |
2.655%, 11/14/2008 | 195,000,000 | 195,000,000 |
144A, 2.9%, 7/9/2009 | 179,250,000 | 179,250,000 |
Royal Bank of Canada: | | |
2.44%, 8/5/2008 | 100,000,000 | 100,000,000 |
144A, 2.871%, 7/15/2009 | 171,500,000 | 171,500,418 |
Skandinaviska Enskilda Banken AB, 2.458%, 8/8/2008 | 80,000,000 | 80,000,000 |
Svenska Handelsbanken AB: | | |
2.471%, 8/20/2008 | 200,000,000 | 200,000,000 |
144A, 3.2%, 5/26/2009 | 25,000,000 | 25,000,000 |
Toyota Motor Credit Corp.: | | |
2.26%, 3/12/2009 | 110,000,000 | 110,000,000 |
2.26%, 3/19/2009 | 100,000,000 | 100,000,000 |
2.658%, 11/17/2008 | 100,000,000 | 100,000,000 |
UniCredito Italiano Bank (Ireland) PLC: | | |
2.468%, 8/8/2008 | 50,000,000 | 50,000,000 |
2.501%, 8/14/2008 | 260,000,000 | 260,000,000 |
2.705%, 8/8/2008 | 220,000,000 | 219,998,492 |
Total Short Term Notes (Cost $7,945,041,580) | 7,945,041,580 |
|
Time Deposits 5.1% |
BNP Paribas, 2.5%, 7/1/2008 | 121,437,324 | 121,437,324 |
Danske Bank AS: | | |
3.5%, 7/1/2008 | 500,000,000 | 500,000,000 |
4.0%, 7/1/2008 | 750,000,000 | 750,000,000 |
KBC Bank NV, 2.75%, 7/1/2008 | 203,761,000 | 203,761,000 |
Lloyds TSB Bank PLC, 3.5%, 7/1/2008 | 175,000,000 | 175,000,000 |
Total Time Deposits (Cost $1,750,198,324) | 1,750,198,324 |
|
Municipal Bonds and Notes 0.7% |
Chattanooga, TN, Industrial Development Board Revenue, BlueCross Corp. Project, 2.5%***, 1/1/2028, Bank of America NA (b) | 49,000,000 | 49,000,000 |
Colorado, Housing Finance Authority, Single Family Mortgage Revenue, "I", Series B-1, 2.75%***, 5/1/2038 | 51,500,000 | 51,500,000 |
Idaho, Housing & Finance Association, 2.65%, 7/2/2008 | 13,000,000 | 12,999,043 |
Maryland, State Health & Higher Educational Facilities Authority Revenue, Adventist Healthcare, Series B, 2.5%***, 1/1/2035, Lasalle Bank NA (b) | 10,930,000 | 10,930,000 |
Massachusetts, State Health & Educational Facilities Authority Revenue, Boston University, Series N, 2.75%***, 10/1/2034, Bank of America NA (b) | 32,000,000 | 32,000,000 |
New York, NY, General Obligation: | | |
Series J14, 2.6%***, 8/1/2019 | 16,400,000 | 16,400,000 |
Series J12, 2.6%***, 8/1/2029 | 28,060,000 | 28,060,000 |
Wisconsin, Housing & Economic Development Authority, Home Ownership Revenue, Series B, 2.61%***, 3/1/2033 | 30,000,000 | 30,000,000 |
Total Municipal Bonds and Notes (Cost $230,889,043) | 230,889,043 |
|
Repurchase Agreements 0.6% |
BNP Paribas, 2.4%, dated 6/30/2008, to be repurchased at $106,180,083 on 7/1/2008 (c) | 106,173,005 | 106,173,005 |
JPMorgan Securities, Inc., 1.6%, dated 6/30/2008, to be repurchased at $20,000,889 on 7/1/2008 (d) | 20,000,000 | 20,000,000 |
JPMorgan Securities, Inc., 2.3%, dated 6/30/2008, to be repurchased at $30,218,696 on 7/1/2008 (e) | 30,216,765 | 30,216,765 |
Lehman Brothers, Inc., 2.5%, dated 6/30/2008, to be repurchased at $33,082,896 on 7/1/2008 (f) | 33,080,599 | 33,080,599 |
Merrill Lynch Government Securities, Inc., 1.45%, dated 6/30/2008, to be repurchased at $10,087,903 on 7/1/2008 (g) | 10,087,497 | 10,087,497 |
Total Repurchase Agreements (Cost $199,557,866) | 199,557,866 |
| % of Net Assets | Value ($) |
| |
Total Investment Portfolio (Cost $34,500,615,820)+ | 100.4 | 34,500,615,820 |
Other Assets and Liabilities, Net | (0.4) | (137,725,458) |
Net Assets | 100.0 | 34,362,890,362 |
* 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, 2008.** 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, 2008.+ The cost for federal income tax purposes was $34,500,615,820.(a) Reset date; not a maturity date.(b) Security incorporates a letter of credit from a major bank.(c) Collateralized by:Principal Amount ($) | Security | Rate (%) | Maturity Date | Collateral Value ($) |
9,502,722 | Federal Home Loan Mortgage Corp.
| 5.5 | 5/1/2038 | 9,407,472 |
100,947,729 | Federal National Mortgage Association
| 5.5 | 2/1/2038-6/1/2038 | 99,950,724 |
Total Collateral Value | $ 109,358,196 |
(d) Collateralized by $40,120,000 US Treasury STRIPS , maturing on 11/15/2022 with a value of $20,402,224.(e) Collateralized by $121,527,039 Federal National Mortgage Association-Interest Only, with various coupon rates from 4.5-5.5%, with various maturities of 3/1/2020-5/25/2037 with a value of $31,123,499.(f) Collateralized by $32,963,523 Federal Home Loan Mortgage Corp., with various coupon rates from 5.707-6.675%, with various maturities of 10/1/2036-11/1/2037 with a value of $33,743,909.(g) Collateralized by $24,317,000, US Treasury STRIPS, with various maturities of 11/15/2014-5/15/2037 with a value of $10,289,321.144A: 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.
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.
STRIPS: Separate Trading of Registered Interest and Principal Securities.
Fair Value Measurements
The following is a summary of the inputs used as of June 30, 2008 in valuing the Fund's assets carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For example, securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the securities are valued at amortized cost (which approximates fair value) and, accordingly, the inputs used to determine fair value are not quoted prices in an active market. For information on the Fund's policy regarding the valuation of investments and of the valuation inputs, and their aggregate levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to the Financial Statements.
Valuation Inputs | Investments in Securities at Value |
Level 1 — Quoted Prices
| $ — |
Level 2 — Other Significant Observable Inputs
| 34,500,615,820 |
Level 3 — Significant Unobservable Inputs
| — |
Total | $ 34,500,615,820 |
The accompanying notes are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities as of June 30, 2008 (Unaudited) |
Assets |
Investments in securities, valued at amortized cost
| $ 34,500,615,820 |
Cash
| 2,351,625 |
Receivable for investments sold
| 127,936 |
Interest receivable
| 79,041,849 |
Other assets
| 618,716 |
Total assets
| 34,582,755,946 |
Liabilities |
Payable for investments purchased
| 216,349,825 |
Accrued advisory fee
| 2,586,769 |
Other accrued expenses and payables
| 928,990 |
Total liabilities
| 219,865,584 |
Net assets, at value | $ 34,362,890,362 |
Statement of Operations for the six months ended June 30, 2008 (Unaudited) |
Investment Income |
Income:
Interest
| $ 603,721,059 |
Expenses:
Advisory fee
| 21,614,856 |
Administration fee
| 5,221,900 |
Custodian fee
| 495,601 |
Professional fees
| 133,052 |
Trustees' fees and expenses
| 739,052 |
Other
| 500,101 |
Total expenses before expense reductions
| 28,704,562 |
Expense reductions
| (6,766,264) |
Total expenses after expense reductions
| 21,938,298 |
Net investment income | 581,782,761 |
Net realized gain (loss)
| 5,334,621 |
Net increase (decrease) in net assets resulting from operations | $ 587,117,382 |
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, 2008 (Unaudited) | Year Ended December 31, 2007 |
Operations:
Net investment income
| $ 581,782,761 | $ 1,079,019,089 |
Net realized gain (loss)
| 5,334,621 | 840,140 |
Net increase (decrease) in net assets resulting from operations
| 587,117,382 | 1,079,859,229 |
Capital transaction in shares of beneficial interest:
Proceeds from capital invested
| 198,436,244,564 | 284,201,163,257 |
Value of capital withdrawn
| (198,399,522,730) | (260,418,815,249) |
Net increase (decrease) in net assets from capital transactions in shares of beneficial interest
| 36,721,834 | 23,782,348,008 |
Increase (decrease) in net assets | 623,839,216 | 24,862,207,237 |
Net assets at beginning of period
| 33,739,051,146 | 8,876,843,909 |
Net assets at end of period
| $ 34,362,890,362 | $ 33,739,051,146 |
The accompanying notes are an integral part of the financial statements.
Financial Highlights
Years Ended December 31, | 2008a | 2007 | 2006 | 2005 | 2004 | 2003 |
Ratios to Average Net Assets and Supplemental Data |
Net assets, end of period ($ millions)
| 34,363 | 33,739 | 8,877 | 9,931 | 9,812 | 12,550 |
Ratio of expenses before expense reductions (%)
| .16* | .17 | .20 | .21 | .21 | .21 |
Ratio of expenses after expense reductions (%)
| .13* | .14 | .18 | .18 | .18 | .18 |
Ratio of net investment income (%)
| 3.33* | 5.14 | 4.83 | 3.08 | 1.22 | 1.04 |
Total Return (%)b,c
| 1.67** | 5.31 | 4.97 | 3.15 | 1.26 | 1.06 |
a For the six months ended June 30, 2008 (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.
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.
The Portfolio adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), which governs the application of generally accepted accounting principles that require fair value measurements of the Portfolio's assets and liabilities. Fair value is an estimate of the price the Portfolio would receive upon selling a security in a timely transaction to an independent buyer in the principal or most advantageous market of the security. FAS 157 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Various inputs are used in determining the value of the Portfolio's investments. These inputs are summarized in the three broad levels as follows:
• Level 1 — quoted prices in active markets for identical securities
• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 — significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)
For Level 1 inputs, the Portfolio uses unadjusted quoted prices in active markets for assets or liabilities with sufficient frequency and volume to provide pricing information as the most reliable evidence of fair value. The Portfolio's Level 2 valuation techniques include inputs other than quoted prices within Level 1 that are observable for an asset or liability, either directly or indirectly. Level 2 observable inputs may include quoted prices for similar assets and liabilities in active markets or quoted prices for identical or similar assets or liabilities in markets that are not active in which there are few transactions, the prices are not current, or price quotations vary substantially over time or among market participants. Inputs that are observable for the asset or liability in Level 2 include such factors as interest rates, yield curves, prepayment speeds, credit risk, and default rates for similar liabilities. For Level 3 valuation techniques, the Portfolio uses unobservable inputs that reflect assumptions market participants would be expected to use in pricing the asset or liability. Unobservable inputs are used to measure fair value to the extent that observable inputs are not available and are developed based on the best information available under the circumstances. In developing unobservable inputs, market participant assumptions are used if they are reasonably available without undue cost and effort.
The Portfolio may record changes to valuations based on the amount that might reasonably be expected to receive for a security upon its current sale consistent with the fair value measurement objective. Each determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to the type of the security, the existence of any contractual restrictions on the security's disposition, the price and extent of public trading in similar securities of the issue or of comparable companies, quotations or evaluated prices from broker-dealers and/or pricing services, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company's financial statements, an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold, and with respect to debt securities, the maturity, coupon, creditworthiness, currency denomination, and the movement of the market in which the security is normally traded. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value determined upon sale of those investments.
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.
The Portfolio has reviewed the tax positions for the open tax years as of December 31, 2007 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"), 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 advisory 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, 2008 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).
For the period from January 1, 2008 through February 4, 2008, the Advisor had voluntarily agreed to maintain total operating expenses at 0.11% of the Portfolio's average daily net assets (excluding certain expenses such as extraordinary expenses, taxes, brokerage and interest). For the period from February 5, 2008 through June 30, 2008, 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 and Administrator waive a portion of its fee may vary at any time without notice to shareholders.
Accordingly, for the six months ended June 30, 2008, the Portfolio incurred an advisory fee equivalent to the following annualized effective rate of the Portfolio's average daily net assets:
| Total Aggregated | Waived | Annualized Effective Rate |
Cash Management Portfolio
| $ 21,614,856 | $ 6,477,774 | .09% |
Administration Fee. Pursuant to an Administrative Services Agreement with the Advisor, the Advisor 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, 2008, the Advisor received an Administration fee of $5,221,900, of which $909,644 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 and Vice Chairperson.
In connection with the Board consolidation on April 1, 2008, of the two DWS Portfolios' Boards of Trustees/Directors, certain Independent Board Members retired prior to their normal retirement date and received a one-time retirement benefit. DIMA has agreed to reimburse the Portfolios for the cost of this benefit. During the period ended June 30, 2008, the Portfolio paid its allocated portion of the retirement benefit of $182,019 to the non-continuing Independent Board Members, and the Portfolio was reimbursed by DIMA for this payment.
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, 2008, the Portfolio's custodian fee was reduced by $106,471 for custody credits earned.
D. Line of Credit
The Portfolio and other affiliated funds (the "Participants") share in a $490 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 the Federal Portfolios Rate plus 0.35 percent. The Portfolio may borrow up to a maximum of 5 percent of its net assets under the agreement.
Other Information
Proxy Voting
The fund's (and Portfolio'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.
Portfolio of Investments
Following the Portfolio'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, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330.
Summary of Management Fee Evaluation by Independent Fee Consultant
October 26, 2007
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 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 2007, including my qualifications, the evaluation process for each of the DWS Scudder Funds, consideration of certain complex-level factors, and my conclusions.
Qualifications
For more than 30 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 several 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 Scudder Fund
My work focused primarily on evaluating, fund-by-fund, the fees charged to each of the 136 Fund portfolios in the DWS Scudder 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 Scudder Fund. These similar products included the other DWS Scudder 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 Scudder 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 Scudder 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 Scudder 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 Scudder Funds are reasonable.
Thomas H. Mack
Privacy Statement
This privacy statement is issued by DWS Investments Distributors, Inc., Deutsche Investment Management Americas Inc., DeAM Investor Services, Inc., DWS Trust Company and the DWS Funds.
We never sell customer lists or individual client information. We consider privacy fundamental to our client relationships and adhere to the policies and practices described below to protect current and former clients' 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 with us. In addition, we may disclose all of 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. The organizations described above that receive client information may only use it for the purpose designated by the DWS Investments Companies listed in the first paragraph of this Privacy Statement.
We may also disclose nonpublic personal information about you to other parties as required or permitted by law. For example, we are required or we 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.
Questions on this policy may be sent to:
DWS Investments
Attention: Correspondence — Chicago
P.O. Box 219415
Kansas City, MO 64121-9415
September 2007
Notes
Notes
