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)
Registrants 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
Prime Reserve Class S
Premium Class S
|
|
Contents
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 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, Prime Reserve Class S shares and Premium Class S shares of the
Fund limited these expenses; had they 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. An account maintenance
fee of $6.25 per quarter for Class S shares may apply for certain accounts
whose balances do not meet the applicable minimum initial investment.
This fee is not included in these tables. If it was, the estimate of
expenses paid for Class S shares during the period would be higher, and
account value during the period would be lower, by this amount.
Expenses and Value of a $1,000 Investment
for the six months ended June 30, 2008
|
Actual Fund Return*
|
Prime
Reserve
Class S
|
Premium
Class S
|
|
Beginning Account Value 1/1/08
|
$ 1,000.00
|
$ 1,000.00
|
Ending Account Value 6/30/08
|
$ 1,016.20
|
$ 1,016.60
|
Expenses Paid per $1,000**
|
$ 1.20
|
$ .80
|
Hypothetical 5% Fund Return*
|
Prime
Reserve
Class S
|
Premium
Class S
|
|
Beginning Account Value 1/1/08
|
$ 1,000.00
|
$ 1,000.00
|
Ending Account Value 6/30/08
|
$ 1,023.67
|
$ 1,024.07
|
Expenses Paid per $1,000**
|
$ 1.21
|
$ .81
|
*
Expenses include amounts allocated proportionally from the master portfolio.
**
Expenses are equal to the Fund's annualized expense ratio for each share class,
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 Ratios
|
Prime
Reserve
Class S
|
Premium
Class S
|
DWS Money Market Series
|
.24%
|
.16%
|
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 Retail Money Fund Average*
|
45 days
|
41 days
|
*
The Fund is compared to its respective iMoneyNet Category: First Tier Retail 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. 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, 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
Prime Reserve Class S
Years Ended December 31,
|
2008
a
|
2007
b
|
2007
d
|
2006
d
|
2005
d
|
2004
d
|
2003
d
|
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
|
.016
|
.030
|
.051
|
.038
|
.018
|
.007
|
.011
|
Distributions from net
investment income
|
(.016)
|
(.030)
|
(.051)
|
(.038)
|
(.018)
|
(.007)
|
(.011)
|
Net asset value, end of period
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
Total Return (%)
c
|
1.62
**
|
3.01
**
|
5.23
|
3.86
|
1.78
|
.66
|
1.14
|
Ratios to Average Net Assets and Supplemental Data
|
Net assets, end of period
($ millions)
|
109
|
112
|
111
|
41
|
48
|
38
|
48
|
Ratio of expenses before expense
reductions, including expenses
allocated from Cash Management
Portfolio (%)
e
|
.39
*
|
.37
*
|
.37
|
.43
|
.46
|
.64
|
.65
|
Ratio of expenses after expense
reductions, including expenses
allocated from Cash Management
Portfolio (%)
e
|
.24
*
|
.23
*
|
.23
|
.27
|
.32
|
.49
|
.50
|
Ratio of net investment income (%)
|
3.22
*
|
5.07
*
|
5.13
|
3.77
|
1.80
|
.65
|
1.09
|
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
|
Premium Class S
Years Ended December 31,
|
2008
a
|
2007
b
|
2007
d
|
2006
d
|
2005
d
|
2004
d
|
2003
d
|
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
|
.016
|
.030
|
.052
|
.039
|
.019
|
.008
|
.013
|
Distributions from net
investment income
|
(.016)
|
(.030)
|
(.052)
|
(.039)
|
(.019)
|
(.008)
|
(.013)
|
Net asset value, end of period
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
$ 1.00
|
Total Return (%)
c
|
1.66
**
|
3.06
**
|
5.33
|
3.98
|
1.94
|
.81
|
1.29
|
Ratios to Average Net Assets and Supplemental Data
|
Net assets, end of period
($ millions)
|
662
|
691
|
715
|
510
|
499
|
512
|
653
|
Ratio of expenses before expense
reductions, including expenses
allocated from Cash Management
Portfolio (%)
e
|
.31
*
|
.29
*
|
.28
|
.31
|
.30
|
.49
|
.50
|
Ratio of expenses after expense
reductions, including expenses
allocated from Cash Management
Portfolio (%)
e
|
.16
*
|
.15
*
|
.14
|
.15
|
.16
|
.33
|
.35
|
Ratio of net investment income (%)
|
3.30
*
|
5.15
*
|
5.22
|
3.92
|
1.96
|
.81
|
1.24
|
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
Managed Shares and Institutional 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,
|
2008
a
|
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
Portfolio of Investments
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,
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
Account Management Resources
|
For More
Information
|
The automated telephone system allows you to access personalized
account information and obtain information on other DWS funds
using either your voice or your telephone keypad. Certain account
types within Class S also have the ability to purchase, exchange or
redeem shares using this system.
For more information, contact your financial advisor. You may also
access our automated telephone system or speak with a DWS
Investments representative by calling the appropriate number
below:
For shareholders of Class S:
(800) 728-3337
|
Web Site
|
www.dws-investments.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 DWS funds, subscription to fund updates
by e-mail, retirement planning information, and more.
|
Written
Correspondence
|
DWS Investments
PO Box 219151
Kansas City, MO 64121-9151
|
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
|
|
Prime Reserve Shares
Class S
|
Premium Shares
Class S
|
Nasdaq Symbol
|
SCRXX
|
SPMXX
|
Fund Number
|
2309
|
2402
|
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