UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

**FORM N-Q**

**QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANY**

**_______________________________**

Investment Company Act file number  811-06073

Cash Management Portfolio

(Exact name of registrant as specified in charter)

 

345 Park Avenue

New York, NY  10154

(Address of principal executive offices)             (Zip code)

 

Paul Schubert

345 Park Avenue

New York, NY  10154-0004

(Name and address of agent for service)

Registrant's telephone number, including area code:  (212) 454-7190

Date of fiscal year end:  12/31

Date of reporting period: 3/31/09

 

ITEM 1.  SCHEDULE OF INVESTMENTS

 

| Investment Portfolio | **as of March 31, 2009  (Unaudited)** |
|----------------------|---------------------------------------|

 

 

**Cash Management Portfolio**

 

|   | **Principal**

**Amount ($)**                   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | **Value ($)** |
|--------|-------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------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|        |
|   | **Certificates of Deposit and Bank Notes 6.4%** |  
Bank of America NA, 3.7%, 4/3/2009 

 

25,000,000

 

24,994,861

Bank of Nova Scotia, 0.7%, 4/23/2009 

 

20,000,000

 

20,000,000

Bank of Tokyo-Mitsubishi UFJ Ltd., 1.05%, 5/14/2009 

 

75,000,000

 

75,000,000

BNP Paribas:

 
 

0.81%, 4/27/2009 

 

45,000,000 

 

45,000,000 

 

1.0%, 5/26/2009 

 

68,000,000 

 

68,000,000 

 

1.0%, 8/10/2009 

 

150,000,000 

 

150,000,000 

DnB NOR Bank ASA, 0.9%, 4/28/2009 

 

50,000,000

 

50,000,000

Mizuho Corporate Bank Ltd., 1.0%, 6/10/2009 

 

100,000,000

 

100,000,000

Nordea Bank Finland PLC:

 
 

0.91%, 5/4/2009 

 

120,000,000 

 

120,001,097 

 

2.51%, 6/5/2009 

 

98,000,000 

 

98,027,845 

Rabobank Nederland NV, 0.72%, 5/29/2009 

 

270,500,000

 

270,500,000

 

 

 

Societe Generale, 0.97%, 4/27/2009 

 

109,400,000

 

109,400,000

Toronto-Dominion Bank:

 
 

1.15%, 8/17/2009 

 

69,000,000 

 

69,013,139 

 

2.0%, 5/12/2009 

 

100,000,000 

 

100,000,000 

Westpac Banking Corp.:

 
 

0.8%, 7/13/2009 

 

175,000,000 

 

175,004,987 

 

1.2%, 4/13/2009 

 

270,000,000 

 

270,000,000 

**Total Certificates of Deposit and Bank Notes** (Cost $1,744,941,929)

 

**1,744,941,929**

 

**Commercial Paper 49.0%**

 
**Issued at Discount** 49.0%**

 
Alcon Capital Corp., 2.5%, 5/8/2009 

 

50,000,000

 

49,871,528

Alpine Securitization, 144A, 0.72%, 4/7/2009 

 

260,700,000

 

260,668,716

Antalis US Funding Corp.:

 
 

144A, 0.65%, 4/21/2009 

 

4,000,000 

 

3,998,556 

 

144A, 0.85%, 4/9/2009 

 

15,000,000 

 

14,997,167 

 

144A, 0.95%, 4/27/2009 

 

50,000,000 

 

49,965,694 

 

144A, 0.95%, 5/12/2009 

 

45,000,000 

 

44,951,313 

 

144A, 0.951%, 4/27/2009 

 

41,000,000 

 

40,971,869 

 

144A, 1.1%, 5/27/2009 

 

50,000,000 

 

49,914,444 

 

144A, 1.1%, 6/12/2009 

 

40,000,000 

 

39,912,000 

Apreco LLC, 144A, 0.67%, 4/9/2009 

 

100,000,000

 

99,985,111

Atlantic Asset Securitization LLC, 144A, 0.3%, 4/2/2009 

 

83,876,000

 

83,875,301

BP Capital Markets PLC:

 
 

0.41%, 7/8/2009 

 

75,000,000 

 

74,916,292 

 

0.76%, 10/13/2009 

 

72,800,000 

 

72,503,123 

 

1.0%, 10/22/2009 

 

77,100,000 

 

76,759,218 

Caisse D'Amortissement de la Dette Sociale:

 
 

0.5%, 4/30/2009 

 

70,000,000 

 

69,971,806 

 

0.65%, 4/3/2009 

 

100,200,000 

 

100,196,382 

 

0.65%, 7/13/2009 

 

56,000,000 

 

55,895,856 

 

0.7%, 7/8/2009 

 

85,000,000 

 

84,838,028 

 

0.82%, 8/27/2009 

 

84,000,000 

 

83,716,827 

 

1.05%, 9/9/2009 

 

150,000,000 

 

149,295,625 

Cancara Asset Securitisation LLC:

 
 

144A, 0.59%, 4/2/2009 

 

93,500,000 

 

93,498,468 

 

144A, 0.6%, 4/7/2009 

 

65,000,000 

 

64,993,500 

 

144A, 0.6%, 4/14/2009 

 

135,000,000 

 

134,970,750 

 

144A, 0.6%, 4/15/2009 

 

100,000,000 

 

99,976,667 

 

144A, 1.06%, 4/9/2009 

 

100,000,000 

 

99,986,667 

Citibank Credit Card Issuance Trust, 144A, 0.6%, 4/6/2009 

 

345,000,000

 

344,971,250

Citibank Omni Master Trust, 144A, 0.7%, 4/6/2009 

 

30,000,000

 

29,997,083

Coca-Cola Co.:

 
 

0.52%, 7/6/2009 

 

84,700,000 

 

84,582,549 

 

0.575%, 7/7/2009 

 

75,000,000 

 

74,883,802 

 

0.65%, 8/12/2009 

 

30,500,000 

 

30,426,758 

Colgate Palmolive Co.:

 
 

0.17%, 4/7/2009 

 

11,400,000 

 

11,399,677 

 

0.18%, 4/3/2009 

 

50,000,000 

 

49,999,500 

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

 

100,000,000

 

99,610,417

European Investment Bank, 0.85%, 6/11/2009 

 

320,000,000

 

319,463,556

General Electric Capital Corp.:

 
 

1.2%, 8/31/2009 

 

200,000,000 

 

198,986,667 

 

3.35%, 4/20/2009 

 

225,000,000 

 

224,602,187 

Gotham Funding Corp.:

 
 

144A, 0.69%, 5/6/2009 

 

125,000,000 

 

124,916,146 

 

 

 

 

144A, 0.77%, 6/15/2009 

 

45,754,000 

 

45,680,603 

 

144A, 0.78%, 6/4/2009 

 

51,000,000 

 

50,929,280 

 

144A, 0.785%, 6/11/2009 

 

145,755,000 

 

145,529,343 

 

144A, 0.79%, 6/9/2009 

 

131,482,000 

 

131,282,914 

 

144A, 0.8%, 5/22/2009 

 

40,000,000 

 

39,954,667 

 

144A, 0.82%, 6/1/2009 

 

16,513,000 

 

16,490,056 

Government of Canada:

 
 

0.5%, 7/7/2009 

 

32,670,000 

 

32,625,986 

 

0.5%, 7/8/2009 

 

39,500,000 

 

39,446,236 

 

0.85%, 11/19/2009 

 

146,500,000 

 

145,697,506 

 

0.9%, 11/30/2009 

 

86,250,000 

 

85,726,031 

Hewlett-Packard Co.:

 
 

0.48%, 6/3/2009 

 

30,200,000 

 

30,174,632 

 

0.5%, 5/14/2009 

 

127,000,000 

 

126,924,153 

ING (US) Funding LLC:

 
 

0.44%, 4/20/2009 

 

63,622,000 

 

63,607,226 

 

0.44%, 4/24/2009 

 

27,000,000 

 

26,992,410 

 

0.47%, 4/15/2009 

 

75,000,000 

 

74,986,292 

 

0.75%, 5/19/2009 

 

60,000,000 

 

59,940,000 

 

0.76%, 4/27/2009 

 

50,000,000 

 

49,972,556 

 

0.94%, 5/11/2009 

 

75,000,000 

 

74,921,667 

Johnson & Johnson:

 
 

144A, 0.12%, 4/9/2009 

 

100,000,000 

 

99,997,333 

 

0.22%, 5/22/2009 

 

130,000,000 

 

129,959,483 

 

144A, 0.25%, 4/27/2009 

 

25,000,000 

 

24,995,486 

 

144A, 0.3%, 5/18/2009 

 

40,000,000 

 

39,984,333 

 

0.3%, 7/22/2009 

 

84,100,000 

 

84,021,507 

 

0.35%, 7/29/2009 

 

150,000,000 

 

149,826,458 

 

0.37%, 7/27/2009 

 

100,000,000 

 

99,879,750 

 

0.45%, 8/3/2009 

 

100,000,000 

 

99,845,000 

 

144A, 0.47%, 8/31/2009 

 

150,000,000 

 

149,702,333 

 

144A, 0.5%, 8/24/2009 

 

50,000,000 

 

49,899,306 

 

144A, 0.5%, 8/26/2009 

 

100,000,000 

 

99,795,833 

Kingdom of Denmark:

 
 

0.35%, 5/5/2009 

 

90,000,000 

 

89,970,250 

 

0.75%, 4/22/2009 

 

131,000,000 

 

130,942,687 

 

0.77%, 4/24/2009 

 

250,000,000 

 

249,877,014 

Kreditanstalt fuer Wiederaufbau:

 
 

144A, 0.23%, 4/16/2009 

 

5,000,000 

 

4,999,521 

 

144A, 0.45%, 5/22/2009 

 

70,000,000 

 

69,955,375 

 

144A, 0.48%, 5/5/2009 

 

136,500,000 

 

136,438,120 

 

144A, 0.6%, 8/27/2009 

 

100,000,000 

 

99,753,333 

 

144A, 0.75%, 9/3/2009 

 

80,000,000 

 

79,741,667 

Liberty Street Funding LLC:

 
 

144A, 0.4%, 4/16/2009 

 

30,000,000 

 

29,995,000 

 

144A, 0.43%, 4/27/2009 

 

25,000,000 

 

24,992,236 

 

144A, 0.45%, 4/24/2009 

 

45,000,000 

 

44,987,062 

 

144A, 0.45%, 5/12/2009 

 

60,000,000 

 

59,962,417 

 

144A, 0.55%, 4/20/2009 

 

140,000,000 

 

139,959,361 

 

144A, 0.55%, 4/21/2009 

 

77,000,000 

 

76,976,472 

 

144A, 0.55%, 5/12/2009 

 

75,000,000 

 

74,953,021 

 

144A, 0.63%, 4/24/2009 

 

40,000,000 

 

39,983,900 

 

144A, 0.7%, 5/7/2009 

 

40,000,000 

 

39,972,000 

 

144A, 0.75%, 5/15/2009 

 

77,000,000 

 

76,929,417 

 

144A, 0.75%, 5/19/2009 

 

30,500,000 

 

30,469,500 

LMA Americas LLC, 144A, 0.62%, 4/17/2009 

 

96,500,000

 

96,473,409

 

 

 

Market Street Funding LLC, 144A, 0.8%, 5/13/2009 

 

80,092,000

 

80,017,247

Microsoft Corp.:

 
 

0.15%, 4/21/2009 

 

117,000,000 

 

116,990,250 

 

0.17%, 5/27/2009 

 

4,000,000 

 

3,998,942 

 

0.18%, 6/11/2009 

 

100,000,000 

 

99,964,500 

 

0.18%, 6/16/2009 

 

25,000,000 

 

24,990,500 

 

0.25%, 4/14/2009 

 

13,000,000 

 

12,998,826 

 

0.35%, 6/22/2009 

 

15,000,000 

 

14,988,042 

 

0.38%, 8/6/2009 

 

50,000,000 

 

49,932,972 

 

0.4%, 8/6/2009 

 

50,000,000 

 

49,929,444 

Nestle Capital Corp., 2.5%, 5/5/2009 

 

50,000,000

 

49,881,944

New York Life Capital Corp., 144A, 0.55%, 4/27/2009 

 

25,000,000

 

24,990,069

Nieuw Amsterdam Receivables Corp.:

 
 

144A, 0.55%, 4/9/2009 

 

5,000,000 

 

4,999,389 

 

144A, 0.55%, 4/21/2009 

 

75,000,000 

 

74,977,083 

 

144A, 0.62%, 4/17/2009 

 

234,000,000 

 

233,935,520 

Oesterreichische Kontrollbank AG:

 
 

0.32%, 5/11/2009 

 

61,425,000 

 

61,403,160 

 

0.335%, 5/18/2009 

 

84,750,000 

 

84,712,934 

Pepsico, Inc.:

 
 

0.17%, 4/13/2009 

 

100,000,000 

 

99,994,333 

 

0.18%, 4/3/2009 

 

50,000,000 

 

49,999,500 

 

0.18%, 4/6/2009 

 

150,000,000 

 

149,996,250 

 

0.18%, 4/9/2009 

 

35,000,000 

 

34,998,600 

Perry Global Funding LLC, 144A, 1.85%, 4/1/2009 

 

15,810,000

 

15,810,000

Pfizer, Inc.:

 
 

0.225%, 5/6/2009 

 

30,000,000 

 

29,993,437 

 

0.5%, 5/11/2009 

 

50,000,000 

 

49,972,222 

 

1.15%, 4/6/2009 

 

112,000,000 

 

111,982,111 

 

1.3%, 4/15/2009 

 

290,000,000 

 

289,853,389 

Procter & Gamble Co., 0.25%, 4/9/2009 

 

25,000,000

 

24,998,611

Procter & Gamble International Funding SCA:

 
 

0.23%, 4/22/2009 

 

9,000,000 

 

8,998,792 

 

144A, 0.3%, 6/19/2009 

 

25,000,000 

 

24,983,542 

 

144A, 0.32%, 5/19/2009 

 

25,000,000 

 

24,989,333 

 

0.35%, 4/3/2009 

 

100,000,000 

 

99,998,056 

 

144A, 0.36%, 6/19/2009 

 

50,000,000 

 

49,960,500 

 

144A, 0.38%, 4/17/2009 

 

50,000,000 

 

49,991,556 

 

144A, 0.45%, 6/29/2009 

 

100,000,000 

 

99,888,750 

 

0.47%, 6/26/2009 

 

25,000,000 

 

24,971,931 

 

144A, 0.55%, 6/29/2009 

 

80,000,000 

 

79,891,222 

 

144A, 0.62%, 8/10/2009 

 

100,000,000 

 

99,774,389 

 

144A, 0.62%, 8/11/2009 

 

100,000,000 

 

99,772,667 

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

 

233,700,000

 

233,195,597

Roche Holdings, Inc.:

 
 

144A, 0.32%, 6/22/2009 

 

94,500,000 

 

94,431,120 

 

144A, 0.35%, 6/17/2009 

 

52,500,000 

 

52,460,698 

 

144A, 0.35%, 6/19/2009 

 

100,000,000 

 

99,923,194 

Romulus Funding Corp., 144A, 0.7%, 4/1/2009 

 

48,181,000

 

48,181,000

Sanpaolo IMI US Financial Co.:

 
 

0.7%, 4/6/2009

 

181,700,000

 

181,682,335

 

0.94%, 5/26/2009

 

200,000,000

 

199,712,778

Shell International Finance BV:

 
 

1.75%, 4/30/2009 

 

113,000,000 

 

112,840,701 

 

2.1%, 5/1/2009 

 

100,000,000 

 

99,825,000 

 

2.4%, 5/11/2009 

 

62,000,000 

 

61,834,667 

Societe Generale North America, Inc.:

 
 

 

 

 

0.995%, 6/15/2009 

 

13,500,000 

 

13,472,016 

 

1.0%, 6/15/2009 

 

146,500,000 

 

146,194,792 

 

1.01%, 5/4/2009 

 

181,600,000 

 

181,431,869 

Starbird Funding Corp.:

 
 

144A, 0.8%, 7/1/2009 

 

50,000,000 

 

49,898,889 

 

144A, 0.82%, 6/30/2009 

 

20,000,000 

 

19,959,000 

 

144A, 0.85%, 4/13/2009 

 

80,000,000 

 

79,977,333 

 

144A, 1.0%, 6/22/2009 

 

55,000,000 

 

54,874,722 

 

144A, 1.27%, 6/17/2009 

 

43,000,000 

 

42,883,195 

 

144A, 1.3%, 5/15/2009 

 

85,000,000 

 

84,864,944 

 

144A, 1.32%, 5/29/2009 

 

60,000,000 

 

59,872,400 

 

144A, 1.35%, 6/17/2009 

 

150,000,000 

 

149,566,875 

 

144A, 1.38%, 6/12/2009 

 

70,000,000 

 

69,806,800 

 

144A, 1.4%, 6/3/2009 

 

25,000,000 

 

24,938,750 

Tempo Finance Corp.:

 
 

144A, 0.5%, 4/6/2009 

 

49,000,000 

 

48,996,597 

 

144A, 0.55%, 4/15/2009 

 

100,000,000 

 

99,978,611 

Thunder Bay Funding LLC, 144A, 0.4%, 4/20/2009 

 

50,000,000

 

49,989,444

Toronto-Dominion Holdings (USA), Inc., 0.15%, 4/27/2009 

 

4,500,000

 

4,499,513

Total Capital SA, 144A, 0.34%, 4/3/2009 

 

100,000,000

 

99,998,111

Toyota Motor Credit Corp.:

 
 

2.1%, 4/1/2009 

 

210,000,000 

 

210,000,000 

 

2.1%, 4/2/2009 

 

250,000,000 

 

249,985,417 

United Parcel Service, Inc.:

 
 

144A, 0.26%, 4/1/2009 

 

10,000,000 

 

10,000,000 

 

144A, 0.28%, 6/1/2009 

 

50,000,000 

 

49,976,278 

 

144A, 0.3%, 6/1/2009 

 

50,000,000 

 

49,974,583 

 

144A, 0.31%, 7/1/2009 

 

50,000,000 

 

49,960,819 

 

144A, 0.41%, 7/28/2009 

 

100,000,000 

 

99,865,611 

Victory Receivables Corp.:

 
 

144A, 0.5%, 4/21/2009 

 

40,000,000 

 

39,988,889 

 

144A, 0.7%, 4/23/2009 

 

39,063,000 

 

39,046,290 

 

144A, 0.78%, 6/11/2009 

 

98,000,000 

 

97,849,243 

 

144A, 0.8%, 5/22/2009 

 

103,312,000 

 

103,195,763 

**Total Commercial Paper** (Cost $13,435,254,499)

 

**13,435,254,499**

 

**Government & Agency Obligations 14.5%**

 
**US Government Sponsored Agencies 5.0%**

 
Federal Home Loan Bank:

 
 

0.15% **, 4/6/2009 

 

4,546,000 

 

4,545,886 

 

0.38% *, 10/15/2009 

 

100,000,000 

 

100,000,000 

 

0.417% **, 8/5/2009 

 

8,764,000 

 

8,751,117 

 

0.84% *, 3/11/2010 

 

350,000,000 

 

349,971,672 

 

2.2%, 4/1/2009 

 

20,000,000 

 

20,000,000 

 

2.61%, 6/3/2009 

 

30,000,000 

 

30,000,000 

Federal Home Loan Mortgage Corp.:

 
 

0.546% **, 8/3/2009 

 

365,000,000 

 

364,308,528 

 

0.597% **, 9/28/2009 

 

100,000,000 

 

99,700,000 

 

1.087% *, 9/25/2009 

 

115,480,000 

 

115,642,349 

Federal National Mortgage Association:

 
 

0.145% **, 4/29/2009 

 

2,893,000 

 

2,892,663 

 

0.495% **, 7/1/2009 

 

190,700,000 

 

190,458,976 

 

0.496% **, 7/20/2009 

 

60,000,000 

 

59,908,333 

 

0.687% **, 12/4/2009 

 

19,545,000 

 

19,452,471 

 

**1,365,631,995**

 

 

 

**US Treasury Obligations** 9.5%**

 
US Treasury Bills:

 
 

0.1%, 6/11/2009 

 

4,776,000 

 

4,775,058 

 

0.145%, 6/18/2009 

 

2,411,000 

 

2,410,243 

 

0.185%, 6/18/2009 

 

14,868,000 

 

14,862,040 

 

0.19%, 4/16/2009 

 

29,746,000 

 

29,743,645 

 

0.2%, 6/11/2009 

 

72,500,000 

 

72,471,403 

 

0.22%, 6/25/2009 

 

3,371,000 

 

3,369,249 

 

0.245%, 4/30/2009 

 

92,770,000 

 

92,751,691 

 

0.275%, 7/16/2009 

 

14,500,000 

 

14,488,259 

 

0.29%, 5/28/2009 

 

15,780,000 

 

15,772,754 

 

0.3%, 7/23/2009 

 

481,575,000 

 

481,121,517 

 

0.345%, 7/30/2009 

 

194,550,000 

 

194,326,268 

 

0.4%, 8/6/2009 

 

150,000,000 

 

149,788,333 

 

0.435%, 9/10/2009 

 

44,990,000 

 

44,901,932 

 

0.445%, 8/6/2009 

 

5,453,000 

 

5,444,440 

 

0.46%, 8/27/2009 

 

113,650,000 

 

113,435,075 

 

0.48%, 1/14/2010 

 

250,000,000 

 

249,040,000 

 

0.5%, 1/14/2010 

 

200,000,000 

 

199,200,000 

 

0.605%, 11/19/2009 

 

300,000,000 

 

298,830,333 

 

0.645%, 5/15/2009 

 

10,400,000 

 

10,391,801 

 

0.675%, 3/11/2010 

 

32,257,000 

 

32,048,942 

 

0.69%, 2/11/2010 

 

300,000,000 

 

298,183,000 

 

0.7%, 3/11/2010 

 

130,000,000 

 

129,130,445 

 

0.705%, 12/17/2009 

 

150,000,000 

 

149,236,250 

 

**2,605,722,678**

**Total Government & Agency Obligations** (Cost $3,971,354,673)

 

**3,971,354,673**

 

**Short Term Notes* 9.6%**

 
Abbey National Treasury Services PLC, 0.941%, 4/24/2009 

 

125,500,000

 

125,500,000

Australia & New Zealand Banking Group Ltd.:

 
 

144A, 1.491%, 7/2/2009 

 

116,900,000 

 

116,898,705 

 

144A, 1.512%, 7/10/2009 

 

96,000,000 

 

96,000,000 

BNP Paribas, 1.441%, 5/13/2009 

 

84,100,000

 

84,100,000

Credit Agricole SA, 144A, 1.476%, 7/22/2009 

 

296,500,000

 

296,500,000

General Electric Capital Corp., 0.561%, 9/24/2009 

 

135,000,000

 

135,000,000

Inter-American Development Bank, 1.203%, 2/19/2010 

 

302,300,000

 

302,300,000

International Bank for Reconstruction & Development, 1.124%, 2/1/2010

 

221,000,000 

 

221,000,000 

Intesa Sanpaolo SpA, 1.056%, 5/13/2009 

 

125,000,000

 

125,000,000

Kreditanstalt fuer Wiederaufbau, 1.182%, 1/21/2010 

 

260,000,000

 

260,000,000

Metropolitan Life Global Funding I:

 
 

1.635%, 4/13/2009 

 

35,000,000 

 

35,000,000 

 

144A, 1.647%, 5/11/2009 

 

66,500,000 

 

66,500,000 

National Australia Bank Ltd., 1.631%, 4/7/2009 

 

125,750,000

 

125,750,000

Natixis, 1.542%, 4/6/2009 

 

268,500,000

 

268,500,000

Procter & Gamble International Funding SCA, 1.422%, 7/6/2009 

 

15,000,000

 

14,999,873

Rabobank Nederland NV, 144A, 1.431%, 10/9/2009 

 

179,250,000

 

179,250,000

Royal Bank of Canada, 144A, 0.956%, 7/15/2009 

 

171,500,000

 

171,500,115

Svenska Handelsbanken AB, 144A, 1.509%, 5/26/2009 

 

25,000,000

 

25,000,000

**Total Short Term Notes** (Cost $2,648,798,693)

 

**2,648,798,693**

 

**Time Deposits 13.1%**

 
ABN AMRO Bank NV, 0.05%, 4/1/2009 

 

180,000,000

 

180,000,000

Bank of the West, 0.031%, 4/1/2009 

 

270,000,000

 

270,000,000

Caixa Geral de Depositos SA, 0.25%, 4/1/2009 

 

190,000,000

 

190,000,000

 

 

 

Calyon, 0.2%, 4/1/2009

 

500,000,000 

 

500,000,000 

Citibank NA, 0.3%, 4/1/2009 

 

500,000,000

 

500,000,000

KBC Bank NV, 0.15%, 4/1/2009

 

1,050,000,000 

 

1,050,000,000 

Lloyds TSB Bank PLC, 0.33%, 4/1/2009 

 

600,000,000

 

600,000,000

Nordea Bank Finland PLC, 0.2%, 4/1/2009 

 

240,000,000

 

240,000,000

Societe Generale, 0.25%, 4/1/2009 

 

71,624,000

 

71,624,000

**Total Time Deposits** (Cost $3,601,624,000)

 

**3,601,624,000**

 

**Supranational 0.3%**

 
African Development Bank, Series 272, 3.75%, 1/15/2010

 

13,000,000

 

13,208,453

International Bank for Reconstruction & Development, 0.42%, 6/1/2009

 

69,650,000 

 

69,600,433 

**Total Supranational**(Cost****$82,808,886)

 

 

 

**82,808,886**

 

**Municipal Bonds and Notes 0.7%**

 
City of Salem, Oregon:

 
 

3.25%, 4/1/2009 

 

43,500,000 

 

43,500,000 

 

3.25%, 4/1/2009 

 

46,500,000 

 

46,500,000 

Connecticut, State Health & Educational Revenue, Yale University, 0.72%, 7/8/2009 

 

20,000,000

 

19,960,800

New York, NY, General Obligation, Series J14, 1.1% ***, 8/1/2019 

 

41,855,000

 

41,855,000

Philadelphia, PA, Airport Revenue, Series C, AMT, 0.55% ***, 6/15/2025, TD Bank NA (a) 

 

8,000,000

 

8,000,000

Wisconsin, Housing & Economic Development Authority, Home Ownership Revenue, Series B, 1.0% ***, 3/1/2033 

 

36,650,000

 

36,650,000

**Total Municipal Bonds and Notes** (Cost $196,465,800)

 

**196,465,800**

 

**Repurchase Agreements 6.4%**

 
BNP Paribas, 0.2%, dated 3/31/2009, to be repurchased at $630,628,503 on 4/1/2009 (b) 

 

630,625,000

 

630,625,000

JPMorgan Securities, Inc., 0.15%, dated 3/31/2009, to be repurchased at $92,685,917 on 4/1/2009 (c) 

 

92,685,531

 

92,685,531

The Goldman Sachs & Co., 0.02%, dated 3/31/2009 to be repurchased at $1,026,000,570 on 4/1/2009 (d) 

 

1,026,000,000

 

1,026,000,000

**Total Repurchase Agreements** (Cost $1,749,310,531)

 

**1,749,310,531**

 

**% of**

**Net Assets**

 

**Value ($)**

**Total Investment Portfolio** (Cost $27,430,559,011) †

100.0

 

**27,430,559,011**

**Other Assets and Liabilities, Net**

0.0

 

**9,597,754**

**Net Assets**

100.0

 

**27,440,156,765**

*For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.*

***

*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 March 31, 2009.*

****

*Annualized yield at time of purchase; not a coupon rate.*

*****

*Variable rate demand notes are securities whose interest rates are reset periodically at market levels.  These securities are often payable on demand and are shown at their current rates as of March 31, 2009.*

*†*

*The cost for federal income tax purposes was $27,430,559,011.*

*(a)*

*Security incorporates a letter of credit from the bank listed.*

 

 

 
*(b)*

*Collateralized by:*

 
**Principal**

 

 

 

**Collateral**

 
**Amount ($)**

**Security**

**Rate (%)**

**Maturity Date**

**Value ($)**

 
40,629,419

Federal Home Loan Mortgage Corp. 

5.5

7/1/2037

42,414,608

 
580,269,620

Federal National Mortgage Association

4.0-6.5

2/1/2018-5/1/2038

607,129,142

 
**Total Collateral Value**

 

 

**$649,543,750**

 
*(c)*

*Collateralized by:*

 
**Principal**

 

 

 

**Collateral**

**Amount ($)**

**Security**

**Rate (%)**

**Maturity Date**

**Value ($)**

96,640,000

US Treasury STRIPS

Zero Coupon

5/15/2009-8/15/2016

94,470,288

65,000

US Treasury Inflation-Indexed Bond

2.0

1/15/2026

69,100

**Total Collateral Value**

 

 

**$94,539,388**

*(d)*

*Collateralized by $914,753,800 US Treasury Inflation-Indexed Notes, 2.0-3.0, maturing on 4/15/2012-7/15/2012 with a value of $1,047,926,433.*

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

 
 
*AMT: Subject to alternative minimum tax.*

 
 

***Fair Value Measurements***

 

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

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

*The following is a summary of the inputs used as of March 31, 2009 in valuing the Fund's investments.*

 

**Valuation Inputs**

**Investments in  Securities**

Level 1 

$                                    -    

Level 2 

27,430,559,011

Level 3 

-   

**Total**

$            **27,430,559,011**

 

 

**ITEM 2.**

**CONTROLS AND PROCEDURES**

 

 

 

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

 

 

 

 

 

 

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

 

 

**ITEM 3.**

**EXHIBITS**

 

 

 

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

 

 

**SIGNATURES**

 

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

 

Registrant: 

Cash Management Portfolio

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

May 20, 2009

 

 

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

 

Registrant: 

Cash Management Portfolio

 

By:

/s/Michael G. Clark

 

Michael G. Clark

President

 

Date:

May 20, 2009

 

 

By:

/s/Paul Schubert

 

Paul Schubert

Chief Financial Officer and Treasurer

 

Date:                                        May 20, 2009

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