<PAGE>
o BT INSURANCE FUNDS TRUST o
- --------------------------------------------------------------------------------
EQUITY 500 INDEX FUND
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
JUNE o 1999
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Table of Contents
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS ........................ 3
EQUITY 500 INDEX FUND
Schedule of Investments ..................... 5
Statement of Assets and Liabilities ......... 10
Statement of Operations ..................... 11
Statements of Changes in Net Assets ......... 12
Financial Highlights ........................ 13
Notes to Financial Statements ............... 14
</TABLE>
------------------
The Fund is not insured by the FDIC or any other government agency
and is not a deposit, obligation of or guaranteed by Bankers Trust
Company. The Fund is subject to investment risks, including possible
loss of principal amount invested.
------------------
2
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Letter to Shareholders
- --------------------------------------------------------------------------------
MARKET ACTIVITY
AS THE GLOBAL ECONOMY STARTED TO IMPROVE, THE DOMESTIC STOCK MARKET CONTINUED A
VOLATILE, BUT RECORD-BREAKING RUN. The S&P 500 Index advanced during the first
six months of 1999, closing above the 1,300 mark late in the first quarter. The
Dow Jones Industrial Average rose to new highs, passing the 10,000 milestone
and then the 11,000 level within the first half of the year.
LARGE CAP GROWTH STOCKS OUTPERFORMED LARGE CAP VALUE STOCKS DURING THE FIRST
QUARTER OF 1999. Sell-offs in large cap technology stocks raised concerns early
in the quarter, but expectations of stronger earnings and profits lead to the
sector's continued strength, as it was the top performer through March.
DURING THE SECOND QUARTER, LARGE CAP VALUE STOCKS OUTPERFORMED THEIR GROWTH
BRETHREN FOR THE FIRST TIME IN NEARLY 1 1/2 YEARS. Stronger performance in
value stocks can be attributed, in part, to stronger performance in
energy-related stocks, rebounding with higher oil prices. Additionally,
positive corporate earnings surprises and a rotation into cyclicals led to
stronger returns in sectors that have long been out of favor. While technology
stocks pushed large cap growth stocks back on top for the month of June, the
value sectors' strength for the second quarter was enough to give them the lead
for the semi-annual period as a whole. As investor sentiment shifted, small and
mid capitalization stocks also got a boost in the second quarter, outperforming
large cap stocks for the first time in seven quarters.
TECHNOLOGY WAS STILL THE SEMI-ANNUAL PERIOD'S TOP PERFORMING SECTOR, JOINED BY
MORE VALUE-ORIENTED SECTORS, INCLUDING BASIC MATERIALS AND ENERGY. The weakest
performing sectors included utilities, health care, and consumer staples. There
were 19 changes to the S&P 500 Index during the first six months of 1999.
Comparatively, this represents fewer additions and deletions than a year ago,
primarily due to less merger and acquisition activity during this semi-annual
period.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
AVERAGE ANNUAL
CUMULATIVE TOTAL RETURNS TOTAL RETURNS
PERIODS ENDED Past 6 Past Since Past Since
JUNE 30, 1999 months 1 year inception 1 year inception
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
BT Equity 500 Index
Fund* (inception
10/1/97) 11.94% 22.04% 46.82% 22.04% 24.61%
- --------------------------------------------------------------------------------------
S&P 500 Index** 12.39% 22.77% 47.25% 22.77% 24.75%
- --------------------------------------------------------------------------------------
</TABLE>
MANAGER OUTLOOK
A fundamental reassessment of the global economic outlook was the big story for
the financial markets during the first half of 1999. The nightmare scenarios of
Armageddon, deflation and financial meltdown that prevailed late last year were
replaced by signs of improving growth -- particularly in Asia.
Within the U.S., the improvement globally has not been uniformly good news for
financial markets. Indeed, with U.S. growth showing no signs of slowing and
labor markets still extremely tight, the pick-up in the rest of the world
raises the risks of inflation pressures here at home. To guard against those
risks, the Federal Reserve Board raised the targeted fed funds rate by 0.25% to
5% at their meeting on June 30th. Although the Fed declared a bias toward a
neutral stance, we expect continued strong growth and some pick-up in inflation
to prompt a modest degree of additional Fed tightening and some further backup
in Treasury yields going forward. This backdrop might temper the equity
markets' enthusiasm a bit, but a serious correction is, in our opinion,
unlikely unless the economy really overheats, provoking aggressive Fed
tightening and imperiling the economic expansion the U.S. has enjoyed for more
than eight years.
Of course, it is important to note that as an index fund, designed to replicate
the broad diversification and returns of the S&P 500 Index, we neither evaluate
short-term fluctuations in the Fund's performance nor manage according to a
given outlook for the equity markets or the economy in general. Still, we will
continue monitoring economic conditions and how they affect the financial
markets, as we seek to closely track the performance of the stock market.
BANKERS TRUST COMPANY
June 30, 1999
- ----------
* Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
** The S&P 500 is an index of common stocks in industry, transportation, and
financial and public utility companies. This index is unmanaged, and
investments cannot be made in an index.
3
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Letter to Shareholders (concluded)
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Sector as of June 30, 1999 (Unaudited)
(A pie chart appears here with the following plot points.)
Transportation 0.94%
Chemicals 2.39%
Energy 5.66%
Capital Goods 6.34%
Consumer Durables 6.72%
Retail Trade 6.66%
Business Equipment & Services 8.38%
Utilities 11.25%
Forest Products 0.92%
Metals 0.59%
Consumer Non-Durables 22.21%
Finance & Building 17.34%
Health Care 10.60%
- --------------------------------------------------------------------------------
Performance Comparison
- --------------------------------------------------------------------------------
(A line graph appears here with the following plot points.)
<TABLE>
<CAPTION>
10/97 12/97 6/98 12/98 6/99
<CAPTION> <S> <C> <C> <C> <C>
<C>
Equity 500 Index Fund - $14,682 10,000 10,190 12,030 13,116 14,682
S&P 500 Index - $14,725 10,000 10,189 11,993 13,102 14,725
</TABLE>
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged and investments may not be made in an Index.
Comparison of Change in Value of a $10,000 Investment in the Equity 500 Index
Fund and the S&P 500 Index from October 1, 1997, through June 30, 1999.
- --------------------------------------------------------------------------------
Average Annual
Total Returns
for the Periods Ended
June 30, 1999
Six months Since 10/1/97*
11.94% 24.61%
*The Fund's inception date.
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ------------------------------------------------ ------------------
<S> <C> <C>
COMMON STOCKS -- 94.94%
4,300 3Com Corp. (a) ................................. $ 114,756
16,800 Abbott Laboratories ............................ 764,400
2 Abercrombie & Fitch Co. - Class A (a) .......... 96
600 Adobe Systems, Inc. ............................ 49,294
300 Adolph Coors Co. - Class B ..................... 14,850
1,400 Advanced Micro Devices, Inc. (a) ............... 25,288
2,300 AES Corp. (a) .................................. 133,688
1,700 Aetna, Inc. .................................... 152,044
2,700 Aflac, Inc. .................................... 129,263
2,800 Air Products & Chemicals, Inc. ................. 112,700
1,200 Alberto-Culver Co. ............................. 31,950
5,142 Albertsons, Inc. ............................... 265,134
2,600 Alcan Aluminum Ltd. ADR ........................ 83,038
1,600 Allegheny Teledyne, Inc. ....................... 36,200
800 Allergan, Inc. ................................. 88,800
6,100 AlliedSignal, Inc. ............................. 384,300
9,600 Allstate Corp. ................................. 344,400
3,200 ALLTEL Corp. ................................... 228,800
3,900 Alcoa, Inc. .................................... 241,313
1,300 ALZA Corp. (a) ................................. 66,138
1,200 Amerada Hess Corp. ............................. 71,400
1,200 Ameran Corp. ................................... 46,050
12,100 America Online, Inc. (a) ....................... 1,337,050
1,800 American Electric Power Co. .................... 67,613
5,000 American Express Co. ........................... 650,625
2,700 American General Corp. ......................... 203,513
900 American Greetings Corp. - Class A ............. 27,113
14,500 American Home Products Corp. ................... 833,750
13,619 American International Group, Inc. ............. 1,594,274
12,100 Ameritech Corp. ................................ 889,350
5,900 Amgen, Inc. (a) ................................ 359,163
1,800 AMR Corp. (a) .................................. 122,850
1,500 AmSouth Bancorp ................................ 34,781
1,100 Anadarko Petroleum Co. ......................... 40,494
800 Andrew Corp. (a) ............................... 15,150
5,500 Anheuser-Busch Cos., Inc. ...................... 390,156
2,600 Aon Corp. ...................................... 107,250
1,400 Apache Corp. ................................... 54,600
1,500 Apple Computer, Inc. (a) ....................... 69,469
4,200 Applied Materials, Inc. (a) .................... 310,275
5,595 Archer-Daniels-Midland Co. ..................... 86,373
400 Armstrong World Industries, Inc. ............... 23,125
300 ASARCO, Inc. ................................... 5,644
700 Ashland, Inc. .................................. 28,088
8,394 Associates First Cap Corp. ..................... 371,959
35,039 AT&T Corp. ..................................... 1,955,614
3,800 Atlantic Richfield Co. ......................... 317,538
500 Autodesk, Inc. ................................. 14,781
7,200 Automatic Data Processing, Inc. ................ 316,800
1,300 AutoZone, Inc. (a) ............................. 39,163
1,300 Avery Dennison Corp. ........................... 78,488
3,100 Avon Products, Inc. ............................ 172,050
3,940 Baker Hughes, Inc. ............................. 131,990
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ------------------------------------------------ ------------------
<S> <C> <C>
200 Ball Corp. ..................................... $ 8,450
12,900 Banc One Corp. ................................. 768,356
8,100 Bank of New York Co., Inc. ..................... 297,169
19,171 Bank of America Corp. .......................... 1,405,474
3,600 BankBoston Corp. ............................... 184,050
500 Bard (C. R.), Inc. ............................. 23,906
5,000 Barrick Gold Corp. ............................. 96,875
800 Bausch & Lomb .................................. 61,200
3,000 Baxter International, Inc. ..................... 181,875
3,000 BB&T Corp. ..................................... 110,063
1,340 Bear Stearns Cos., Inc. ........................ 62,645
2,800 Becton, Dickinson & Co. ........................ 84,000
17,700 Bell Atlantic Corp. ............................ 1,157,138
21,600 BellSouth Corp. ................................ 1,012,500
500 Bemis Co., Inc. ................................ 19,875
1,900 Best Buy Co., Inc. ............................. 128,250
3,500 Bestfoods ...................................... 173,250
1,100 Bethlehem Steel Corp. (a) ...................... 8,456
1,500 Biomet, Inc. ................................... 59,625
1,000 Black & Decker Corp. ........................... 63,125
900 Block (H&R), Inc. .............................. 45,000
2,700 BMC Software, Inc. ............................. 145,800
10,200 Boeing Co. ..................................... 450,713
500 Boise Cascade Corp. ............................ 21,437
4,600 Boston Scientific Corp. (a) .................... 202,113
1 BP Amoco Plc. .................................. 109
22,000 Bristol-Myers Squibb Co. ....................... 1,549,625
700 Brown-Forman Corp. ............................. 45,631
1,800 Browning Ferris Industries, Inc. ............... 77,400
1,000 Brunswick Corp. ................................ 27,875
5,500 Burlington Northern Santa Fe Corp. ............. 170,500
1,900 Burlington Resources, Inc. ..................... 82,175
2,300 Cabletron Systems, Inc. (a) .................... 29,900
5,300 Campbell Soup Co. .............................. 245,788
2,200 Capital One Financial Corp. .................... 122,513
3,300 Cardinal Health, Inc. .......................... 211,613
6,900 Carnival Corp. ................................. 334,650
1,400 Carolina Power & Light Co. ..................... 59,938
900 Case Corp. ..................................... 43,313
4,200 Caterpillar, Inc. .............................. 252,000
7,700 CBS Corp. (a) .................................. 334,469
9,080 Cendant Corp. (a) .............................. 186,140
500 Centex Corp. ................................... 18,781
1,800 Central & South West Corp. ..................... 42,075
1,850 CenturyTel, Inc. ............................... 73,538
1,400 Ceridian Corp. (a) ............................. 45,763
1,300 Champion International Corp. ................... 62,238
9,300 Chase Manhattan Corp. .......................... 805,613
7,500 Chevron Corp. .................................. 713,906
2,000 Chubb Corp. .................................... 139,000
2,200 CIGNA Corp. .................................... 195,800
1,600 Cincinnati Financial Corp. ..................... 60,100
1,900 CINergy Corp. .................................. 60,800
1,100 Circuit City Stores, Inc. ...................... 102,300
35,200 Cisco Systems, Inc. (a) ........................ 2,270,400
</TABLE>
See Notes to Financial Statements
5
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ----------------------------------------------- ------------------
<S> <C> <C>
37,578 Citigroup, Inc. ............................... $1,784,955
3,800 Clear Channel Communications, Inc. (a) ........ 261,963
1,400 Clorox Co. .................................... 149,538
1,000 CMS Energy Corp. .............................. 41,875
2,200 Coastal Corp. ................................. 88,000
27,600 Coca-Cola Co. ................................. 1,725,000
4,400 Coca-Cola Enterprises, Inc. ................... 130,900
3,300 Colgate-Palmolive Co. ......................... 325,875
1,150 Columbia Energy Group ......................... 72,091
6,800 Columbia/HCA Healthcare Corp. ................. 155,125
8,600 Comcast Corp. - Class A ....................... 330,563
1,400 Comerica, Inc. ................................ 83,213
19,283 Compaq Computer Corp. ......................... 456,766
6,250 Computer Associates International, Inc. ....... 343,750
1,900 Computer Sciences Corp. ....................... 131,456
4,200 Compuware Corp. (a) ........................... 133,613
5,900 ConAgra, Inc. ................................. 157,088
3,467 Conseco, Inc. ................................. 105,515
Consolidated Edison Co. of New York,
2,300 Inc. .......................................... 104,075
1,000 Consolidated Natural Gas Co. .................. 60,750
900 Consolidated Stores Corp. (a) ................. 24,300
1,200 Constellation Energy Group .................... 35,550
1,000 Cooper Industries, Inc. ....................... 52,000
400 Cooper Tire & Rubber Co. ...................... 9,450
2,900 Corning, Inc. ................................. 203,363
2,600 Costco Cos., Inc. (a) ......................... 208,163
1,500 Countrywide Credit Industries ................. 64,125
400 Crane Co. ..................................... 12,575
1,500 Crown Cork & Seal Co., Inc. ................... 42,750
2,200 CSX Corp. ..................................... 99,688
300 Cummins Engine, Inc. .......................... 17,138
4,600 CVS Corp. ..................................... 233,450
800 Cyprus Amax Minerals Co. ...................... 12,150
2,086 Dana Corp. .................................... 96,080
1,700 Danaher Corp. ................................. 98,813
1,400 Darden Restaurants, Inc. ...................... 30,538
500 Data General Corp. (a) ........................ 7,281
4,700 Dayton Hudson Corp. ........................... 305,500
2,900 Deere & Co. ................................... 114,913
28,800 Dell Computer Corp. (a) ....................... 1,065,600
6,873 Delphi Automotive Systems Corp. ............... 127,580
1,600 Delta Air Lines, Inc. ......................... 92,200
700 Deluxe Corp. .................................. 27,256
900 Dillard Department Stores, Inc. - Class A...... 31,613
23,300 Disney (Walt) Co. ............................. 717,931
2,218 Dollar General Corp. .......................... 64,322
2,700 Dominion Resources, Inc. ...................... 116,944
1,400 Donnelley (R.R.) & Sons Co. ................... 51,888
2,200 Dover Corp. ................................... 77,000
2,600 Dow Chemical Co. .............................. 329,875
900 Dow Jones & Co., Inc. ......................... 47,756
1,700 DTE Energy Co. ................................ 68,000
12,500 Du Pont (E.I.) de Nemours & Co. ............... 853,906
4,200 Duke Energy Corp. ............................. 228,375
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ----------------------------------------------- ------------------
<S> <C> <C>
1,600 Dun & Bradstreet Corp. ........................ $ 56,700
200 Eastern Enterprises ........................... 7,950
700 Eastman Chemical Co. .......................... 36,225
3,500 Eastman Kodak Co. ............................. 237,125
1,000 Eaton Corp. ................................... 92,000
1,200 Ecolab, Inc. .................................. 52,350
4,500 Edison International .......................... 120,375
300 EG&G, Inc. .................................... 10,688
5,700 Electronic Data Systems Corp. ................. 322,406
11,100 EMC Corp. (a) ................................. 610,500
5,100 Emerson Electric Co. .......................... 320,663
1,200 Engelhard Corp. ............................... 27,150
3,900 Enron Corp. ................................... 318,825
3,500 Entergy Corp. ................................. 109,375
1,400 Equifax, Inc. ................................. 49,963
27,000 Exxon Corp. ................................... 2,082,375
11,400 Fannie Mae .................................... 779,475
3,560 FDX Corp. (a) ................................. 193,130
2,500 Federated Department Stores, Inc. (a) ......... 132,344
7,800 Freddie Mac ................................... 452,400
3,200 Fifth Third Bancorp ........................... 213,000
4,600 First Data Corp. .............................. 225,113
11,548 First Union Corp. ............................. 542,756
8,000 Firstar Corp. ................................. 224,000
2,200 FirstEnergy Corp. ............................. 68,200
6,800 Fleet Financial Group, Inc. ................... 301,750
200 Fleetwood Enterprises, Inc. ................... 5,288
1,100 Florida Progress Corp. ........................ 45,444
1,100 Fluor Corp. ................................... 44,550
300 FMC Corp. ..................................... 20,494
13,300 Ford Motor Co. ................................ 750,619
2,200 Fort James Corp. .............................. 83,325
2,200 Fortune Brands, Inc. .......................... 91,025
200 Foster Wheeler Corp. .......................... 2,825
2,000 FPL Group, Inc. ............................... 109,250
3,100 Franklin Resources, Inc. ...................... 125,938
Freeport-McMoRan Copper & Gold, Inc. -
1,600 Class B ....................................... 28,700
2,100 Frontier Corp. ................................ 123,900
800 Fruit of the Loom Inc. - Class A (a) .......... 7,800
3,100 Gannet Co., Inc. .............................. 221,263
9,825 Gap, Inc. ..................................... 494,937
1,700 Gateway 2000 (a) .............................. 100,300
1,300 General Dynamics Corp. ........................ 89,050
36,500 General Electric Co. .......................... 4,124,500
1,700 General Instrument Corp. (a) .................. 72,250
1,600 General Mills, Inc. ........................... 128,600
7,200 General Motors Corp. .......................... 475,200
2,200 Genuine Parts Co. ............................. 77,000
2,200 Georgia-Pacific (Georgia Pacific Group) ....... 104,225
12,100 Gillette Co. .................................. 496,100
600 Golden West Financial Group ................... 58,800
1,100 Goodrich (B.F.) Co. ........................... 46,750
1,900 Goodyear Tire & Rubber Co. .................... 111,744
1,800 GPU, Inc. ..................................... 75,938
</TABLE>
See Notes to Financial Statements
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ------------------
<S> <C> <C>
500 Grace (W.R.) & Co. (a) ............................ $ 9,187
1,100 Grainger (W.W.) Inc. .............................. 59,194
300 Great Atlantic & Pacific Tea Co., Inc. ............ 10,144
500 Great Lakes Chemical Corp. ........................ 23,031
11,000 GTE Corp. ......................................... 833,250
3,600 Guidant Corp. ..................................... 185,175
4,800 Halliburton Co. ................................... 217,200
600 Harcourt General, Inc. ............................ 30,938
1,300 Harrah's Entertainment, Inc. (a) .................. 28,600
800 Harris Corp. ...................................... 31,350
2,700 Hartford Financial Services Group, Inc. ........... 157,444
2,100 Hasbro, Inc. ...................................... 58,669
1,100 HCR Manor Care, Inc. (a) .......................... 26,606
5,200 HEALTHSOUTH Corp. (a) ............................. 77,675
4,200 Heinz (H. J.) Co. ................................. 210,525
400 Helmerich & Payne, Inc. ........................... 9,525
900 Hercules, Inc. .................................... 35,381
1,600 Hershey Foods Corp. ............................... 95,000
11,500 Hewlett-Packard Co. ............................... 1,155,750
2,700 Hilton Hotels Corp. ............................... 38,306
16,300 Home Depot, Inc. .................................. 1,050,331
2,400 Homestake Mining Co. .............................. 19,650
1,500 Honeywell, Inc. ................................... 173,812
5,607 Household International, Inc. ..................... 265,616
1,700 Humana, Inc. (a) .................................. 21,994
1,940 Huntington Bancshares, Inc. ....................... 67,900
1,500 Ikon Office Solutions, Inc. ....................... 22,500
2,800 Illinois Tool Works, Inc. ......................... 229,600
3,900 IMS Health, Inc. .................................. 121,875
1,800 Inco Ltd. ADR ..................................... 32,400
2,000 Ingersoll-Rand Co. ................................ 129,250
37,200 Intel Corp. ....................................... 2,213,400
20,600 International Business Machines Corp. ............. 2,662,550
900 International Flavors & Fragrances, Inc. .......... 39,937
4,591 International Paper Co. ........................... 231,845
1,400 Interpublic Group of Cos., Inc. ................... 121,275
600 ITT Industries, Inc. .............................. 22,875
1,100 Jefferson-Pilot Corp. ............................. 72,806
14,900 Johnson & Johnson Co. ............................. 1,460,200
800 Johnson Controls, Inc. ............................ 55,450
300 Jostens, Inc. ..................................... 6,319
1,300 Kansas City Southern Industries, Inc. ............. 82,956
400 Kaufman and Broad Home Corp. ...................... 9,950
4,200 Kellogg Co. ....................................... 138,600
736 Kerr-McGee Corp. .................................. 36,938
5,500 KeyCorp ........................................... 176,687
6,300 Kimberly-Clark Corp. .............................. 359,100
1,100 King World Productions, Inc. (a) .................. 38,294
1,100 KLA-Tencor Corp. (a) .............................. 71,363
6,100 Kmart Corp. (a) ................................... 100,269
1,100 Knight-Ridder, Inc. ............................... 60,431
1,700 Kohl's Corp. (a) .................................. 131,219
8,600 Kroger Co. (a) .................................... 240,262
2,600 Laidlaw, Inc. ADR ................................. 19,175
1,300 Lehman Brothers Holdings, Inc. .................... 80,925
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- --------------------------------------------------- ------------------
<S> <C> <C>
12,200 Lilly (Eli) & Co. ................................. $ 873,825
2,188 Limited, Inc. ..................................... 99,280
2,400 Lincoln National Corp. ............................ 125,550
600 Liz Claiborne, Inc. ............................... 21,900
4,700 Lockheed Martin Corp. ............................. 175,075
1,300 Loews Corp. ....................................... 102,862
200 Longs Drug Stores Corp. ........................... 6,913
1,600 Louisiana-Pacific Corp. ........................... 38,000
4,000 Lowe's Cos., Inc. ................................. 226,750
1,500 LSI Logic Corp. (a) ............................... 69,188
33,360 Lucent Technologies, Inc. ......................... 2,249,715
700 Mallinckrodt, Inc. ................................ 25,462
2,600 Marriot International, Inc. - Class A ............. 97,175
3,050 Marsh & McLennan Cos., Inc. ....................... 230,275
4,100 Masco Corp. ....................................... 118,387
4,600 Mattel, Inc. ...................................... 121,612
4,250 May Department Stores Co. ......................... 173,719
1,000 Maytag Corp. ...................................... 69,687
1,300 MBIA, Inc. ........................................ 84,175
9,125 MBNA Corp. ........................................ 279,453
600 McDermott International, Inc. ..................... 16,950
15,300 McDonald's Corp. .................................. 632,081
2,500 McGraw-Hill Cos., Inc. ............................ 134,844
20,412 MCI Worldcom, Inc. (a) ............................ 1,756,708
3,025 McKesson HBOC, Inc. ............................... 97,178
1,000 Mead Corp. ........................................ 41,750
7,000 MediaOne Group, Inc. (a) .......................... 520,625
6,700 Medtronic, Inc. ................................... 521,762
5,600 Mellon Bank Corp. ................................. 203,700
2,000 Mercantile Bancorp, Inc. .......................... 114,250
26,500 Merck & Co., Inc. ................................. 1,961,000
500 Meredith Corp. .................................... 17,312
3,800 Merrill Lynch & Co., Inc. ......................... 303,762
1,000 MGIC Investment ................................... 48,625
2,600 Micron Technology, Inc. (a) ....................... 104,812
56,400 Microsoft Corp. (a) ............................... 5,086,575
300 Millipore Corp. ................................... 12,169
4,700 Minnesota Mining & Manufacturing Co. .............. 408,606
2,100 Mirage Resorts, Inc. (a) .......................... 35,175
8,600 Mobil Corp. ....................................... 851,400
7,300 Monsanto Co. ...................................... 287,894
2,000 Morgan (J.P.) & Co., Inc. ......................... 281,000
6,400 Morgan Stanley, Dean Witter,
Discover & Co. .................................... 656,000
6,600 Motorola, Inc. .................................... 625,350
4,000 Nabisco Group Holdings Corp. ...................... 78,250
500 Nalco Chemical Co. ................................ 25,938
3,900 National City Corp. ............................... 255,450
2,200 National Semiconductor Corp. (a) .................. 55,688
700 Navistar International Corp. (a) .................. 35,000
800 Network Appliance, Inc. ........................... 44,700
1,700 New Century Energies, Inc. ........................ 65,981
2,200 New York Times Co. - Class A ...................... 80,987
3,424 Newell Rubbermaid, Inc. ........................... 159,216
1,900 Newmont Mining Corp. .............................. 37,762
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ---------------------------------------------- ------------------
<S> <C> <C>
3,400 Nextel Communication, Inc. - Class A (a)...... $ 170,637
1,300 Niagara Mohawk Power Corp. (a) ............... 20,881
400 Nicor, Inc. .................................. 15,225
3,400 Nike, Inc. - Class B ......................... 215,262
1,700 Nordstrom, Inc. .............................. 56,950
4,600 Norfolk Southern Corp. ....................... 138,575
7,520 Nortel Networks Corp. ........................ 652,830
1,200 Northern States Power Co. .................... 29,025
1,400 Northern Trust Corp .......................... 135,800
900 Northrop Grumman Corp. ....................... 59,681
4,100 Novell, Inc. (a) ............................. 108,650
1,100 Nucor Corp. .................................. 52,181
4,100 Occidental Petroleum Corp. ................... 86,612
4,200 Office Depot, Inc. ........................... 92,662
1,900 Omnicom Group, Inc. .......................... 152,000
200 ONEOK, Inc. .................................. 6,350
16,400 Oracle Corp. (a) ............................. 608,850
500 Owens Corning ................................ 17,187
1,400 Owens-Illinois, Inc. (a) ..................... 45,762
1,100 PACCAR, Inc. ................................. 58,712
3,200 PacifiCorp ................................... 58,800
1,700 Paine Webber Group, Inc. ..................... 79,475
1,000 Pall Corp. ................................... 22,187
3,000 Parametric Technology Corp. (a) .............. 41,625
1,400 Parker-Hannifin Corp. ........................ 64,050
3,100 Paychex, Inc. ................................ 98,812
2,400 PECO Energy Co. .............................. 100,500
600 PE Corp-PE Biosystems Group .................. 68,850
3,100 Penney (J.C.) Co., Inc. ...................... 150,544
300 Peoples Energy Corp. ......................... 11,306
3,000 PeopleSoft, Inc. (a) ......................... 51,750
100 Pep Boys-Manny, Moe & Jack ................... 2,162
16,900 PepsiCo, Inc. ................................ 653,819
14,400 Pfizer, Inc. ................................. 1,580,400
4,400 PG&E Corp. ................................... 143,000
5,900 Pharmacia & Upjohn, Inc. ..................... 335,194
800 Phelps Dodge Corp. ........................... 49,550
27,300 Philip Morris Cos., Inc. ..................... 1,097,119
2,600 Phillips Petroleum Co. ....................... 130,812
2,540 Pioneer Hi-Bred International, Inc. .......... 98,901
3,300 Pitney Bowes, Inc. ........................... 212,025
3,200 Placer Dome, Inc. ADR ........................ 37,800
3,300 PNC Bank Corp. ............................... 190,162
700 Polaroid Corp. ............................... 19,337
200 Potlatch Corp. ............................... 8,787
1,260 PP&L Resources, Inc. ......................... 38,745
2,200 PPG Industries, Inc. ......................... 129,937
1,900 Praxair, Inc. ................................ 92,981
14,700 Procter & Gamble Co. ......................... 1,311,975
700 Progressive Corp. ............................ 101,500
1,300 Provident Cos., Inc. ......................... 52,000
1,750 Providian Financial Corp. .................... 163,625
2,600 Public Service Enterprise Group, Inc. ........ 106,275
900 Pulte Corp. .................................. 20,756
1,600 Quaker Oats Co. .............................. 106,200
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------- ---------------------------------------------- ------------------
<S> <C> <C>
4,100 Ralston-Purina Group ......................... $ 124,794
1,200 Raychem Corp. ................................ 44,400
3,800 Raytheon Co. - Class B ....................... 267,425
500 Reebok International, Ltd. (a) ............... 9,312
2,800 Regions Financial Corp. ...................... 107,625
2,700 Reliant Energy, Inc. ......................... 74,587
1,400 Republic New York Corp. ...................... 95,462
1,000 Reynolds Metals Co. .......................... 59,000
3,100 Rite Aid Corp. ............................... 76,337
2,300 Rockwell International Corp. ................. 139,725
2,642 Rohm & Haas Co. .............................. 113,299
700 Rowan Cos., Inc. (a) ......................... 12,906
24,100 Royal Dutch Petroleum Co. ADR ................ 1,452,025
300 Russell Corp. ................................ 5,850
600 Ryder System, Inc. ........................... 15,600
1,800 SAFECO Corp. ................................. 79,425
5,700 Safeway, Inc. (a) ............................ 282,150
10,800 Sara Lee Corp. ............................... 245,025
21,600 SBC Communications, Inc. ..................... 1,252,800
16,800 Schering-Plough Corp. ........................ 890,400
6,300 Schlumberger, Ltd. ........................... 401,231
4,400 Schwab (Charles) Corp. ....................... 483,450
700 Scientific Atlanta, Inc. ..................... 25,200
2,600 Seagate Technology, Inc. (a) ................. 66,625
4,200 Seagram Co., Ltd. ADR ........................ 211,575
1,053 Sealed Air Corp. (a) ......................... 68,313
4,300 Sears, Roebuck & Co. ......................... 191,619
3,200 Sempra Energy ................................ 72,400
3,500 Service Corp. International .................. 67,375
200 Shared Medical Systems Corp. ................. 13,050
1,700 Sherwin-Williams Co. ......................... 47,175
1,400 Sigma-Aldrich Corp. .......................... 48,212
1,900 Silicon Graphics, Inc. (a) ................... 31,112
1,900 SLM Holding Corp. ............................ 87,044
500 Snap-on, Inc. ................................ 18,094
3,000 Solectron Corp. (a) .......................... 200,062
1,400 Sonat, Inc. .................................. 46,375
8,200 Southern Co. ................................. 217,300
2,100 SouthTrust Corp. ............................. 80,587
4,100 Southwest Airlines Co. ....................... 127,612
100 Springs Industries, Inc. ..................... 4,362
9,800 Sprint Corp. ................................. 517,562
5,100 Sprint PCS (a) ............................... 291,337
886 St. Jude Medical, Inc. (a) ................... 31,564
3,112 St. Paul Cos., Inc. .......................... 98,987
700 Stanley Works ................................ 22,531
5,350 Staples, Inc. (a) ............................ 165,516
2,000 State Street Corp. ........................... 170,750
1,600 Summit Bancorp ............................... 66,900
900 Sunoco, Inc. ................................. 27,169
8,700 Sun Microsystems, Inc. (a) ................... 599,212
3,400 SunTrust Banks, Inc. ......................... 236,087
1,200 SUPERVALU, Inc. .............................. 30,825
2,250 Synovus Financial Corp. ...................... 44,719
3,500 Sysco Corp. .................................. 104,344
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Schedule of Investments JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------- --------------------------------------------- --------------
<S> <C> <C>
2,400 Tandy Corp. ................................. $ 117,300
400 Tektronix, Inc. ............................. 12,075
4,100 Tellabs, Inc. (a) ........................... 277,006
500 Temple-Inland, Inc. ......................... 34,125
3,300 Tenet Healthcare Corp. (a) .................. 61,256
2,000 Tenneco, Inc. ............................... 47,750
6,200 Texaco, Inc. ................................ 387,500
4,300 Texas Instruments, Inc. ..................... 623,500
3,500 Texas Utilities Co. ......................... 144,375
1,900 Textron, Inc. ............................... 156,394
1,400 Thermo Electron Corp. (a) ................... 28,087
500 Thomas & Betts Corp. ........................ 23,625
13,500 Time Warner, Inc. ........................... 992,250
700 Times Mirror Co. - Class A .................. 41,475
500 Timken Co. .................................. 9,750
3,900 TJX Cos., Inc. .............................. 129,919
1,500 Torchmark Corp. ............................. 51,187
3,200 Toys 'R' Us, Inc. (a) ....................... 66,200
1,600 Transamerica Corp. .......................... 120,000
1,200 Tribune Co. ................................. 104,550
1,900 Tricon Global Restaurants, Inc. (a) ......... 102,837
1,700 TRW, Inc. ................................... 93,287
400 Tupperware Corp. ............................ 10,200
9,102 Tyco International, Ltd. .................... 862,414
800 U.S. Airways Group, Inc. (a) ................ 34,850
8,600 U.S. Bancorp ................................ 292,400
2,800 Unicom Corp. ................................ 107,975
6,200 Unilever N.V. ADR ........................... 432,450
1,600 Union Carbide Corp. ......................... 78,000
2,500 Union Pacific Corp. ......................... 145,781
2,600 Union Pacific Resources Group, Inc. ......... 42,412
1,200 Union Planters Corp. ........................ 53,625
2,600 Unisys Corp. (a) ............................ 101,237
2,000 United Healthcare Corp. ..................... 125,250
5,200 United Technologies Corp. ................... 372,775
2,900 Unocal Corp. ................................ 114,912
1,800 UNUM Corp. .................................. 98,550
5,938 US West, Inc. ............................... 348,857
2,000 UST, Inc. ................................... 58,500
3,500 USX-Marathon Group .......................... 113,969
1,500 USX-U.S. Steel Group, Inc. .................. 40,500
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------- --------------------------------------------- --------------
<S> <C> <C>
1,200 V.F. Corp. .................................. $ 51,300
7,700 Viacom, Inc. - Class B (a) .................. 338,800
2,100 Wachovia Corp. .............................. 179,681
11,600 Walgreen Co. ................................ 340,750
49,600 Wal-Mart Stores, Inc. ....................... 2,393,200
1,200 Watson Pharmaceuticals, Inc. (a) ............ 42,075
9,400 Warner Lambert Co. .......................... 652,125
6,722 Washington Mutual, Inc. ..................... 237,791
6,697 Waste Management, Inc. ...................... 359,963
700 Wellpoint Health Networks, Inc.(a) .......... 59,412
18,700 Wells Fargo & Co. ........................... 799,425
1,300 Wendy's International, Inc. ................. 36,806
900 Westvaco Corp. .............................. 26,100
2,400 Weyerhauser Co. ............................. 165,000
900 Whirlpool Corp. ............................. 66,600
1,100 Willamette Industries, Inc. ................. 50,668
5,100 Williams Cos., Inc. ......................... 217,068
1,500 Winn-Dixie Stores, Inc. ..................... 55,406
300 Worthington Industries, Inc. ................ 4,931
1,300 Wrigley, (WM.) Jr., Co. ..................... 117,000
7,600 Xerox Corp. ................................. 448,875
------------
TOTAL COMMON STOCKS (Cost $110,904,926) 125,810,630
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
- ------------
<S> <C> <C>
SHORT TERM INSTRUMENTS -- 4.49%
U.S. TREASURY BILLS (C) -- 4.49%
$ 17,000 4.23%, 7/22/99 .............. 16,958
400,000 4.46%, 8/19/99 (b) .......... 397,574
599,000 4.21%, 8/26/99 .............. 595,077
2,669,000 4.51%, 9/16/99 .............. 2,642,791
2,322,000 4.61%, 9/30/99 .............. 2,294,693
-----------
TOTAL SHORT TERM INSTRUMENTS (Cost $5,947,812) 5,947,093
-----------
TOTAL INVESTMENTS (Cost $116,852,738)-- 99.43% 131,757,723
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.57% 749,371
------ -----------
NET ASSETS .............................. 100.00% $132,507,094
====== ============
</TABLE>
- ----------
(a) Non-Income producing security.
(b) Pledged as collateral for open futures contracts.
(c) Average yield at time of purchase.
ADR American Depositary Receipt.
At June 30, 1999, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
NUMBER OF NET
CONTRACTS CONTRACT EXPIRATION OPENING CURRENT UNREALIZED
PURCHASED TYPE DATE POSITION MARKET VALUE GAIN
- ----------- ---------- ------------ ------------- -------------- -----------
<S> <C> <C> <C> <C> <C>
20 S&P 500 9/16/99 $6,727,495 $6,908,500 $181,005
========== ========== ========
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Assets and Liabilities JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (cost $116,852,738)................................... $ 131,757,723
Cash ...................................................................... 2,398
Receivable for investment securities sold ................................. 677,196
Interest and dividends receivable ......................................... 104,555
Variation margin for futures contracts .................................... 125,000
Deferred organizational costs and other assets ............................ 14,058
-------------
Total Assets 132,680,930
-------------
LIABILITIES:
Invesments purchased ...................................................... 125,438
Investment advisory fee payable ........................................... 11,846
Administration fee payable ................................................ 5,338
Trustees'/Directors fee payable ........................................... 2,035
Custody fee payable ....................................................... 1,211
Other accrued expenses .................................................... 27,968
-------------
Total Liabilities 173,836
-------------
NET ASSETS $ 132,507,094
=============
COMPOSITION OF NET ASSETS:
Paid-in-capital (9,296,926 outstanding shares of beneficial interest) ..... $ 116,343,576
Undistributed net investment income ....................................... 730,822
Accumulated net realized gain on investments and futures contracts ........ 346,703
Net unrealized appreciation of investments and futures contracts .......... 15,085,993
-------------
TOTAL NET ASSETS $ 132,507,094
=============
NET ASSET VALUE $ 14.25
=============
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statement of Operations FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ...................................................................... $ 117,438
Dividends ..................................................................... 541,696
-----------
Total Investment Income ..................................................... 659,134
-----------
EXPENSES:
Advisory fees ................................................................. 85,439
Administration fees ........................................................... 43,459
Custodian fees ................................................................ 37,460
Trustees fees ................................................................. 14,179
Professional fees ............................................................. 14,158
Printing fees ................................................................. 7,519
Fund accounting fees .......................................................... 4,908
Transfer agent fees ........................................................... 3,626
Amortization of organizational costs .......................................... 2,058
Other ......................................................................... 1,087
-----------
Total expenses before waiver/reimbursement .................................. 213,893
Less waiver/reimbursement by Advisor ........................................ (72,834)
Less waiver by Administrator ................................................ (15,000)
-----------
Total expenses net of waiver/reimbursement .................................. 126,059
-----------
NET INVESTMENT INCOME 533,075
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on investments .............................................. 218,284
Net realized gain on futures contracts ........................................ 49,290
Net change in unrealized appreciation (depreciation) on investments ........... 9,145,175
Net change in unrealized appreciation (depreciation) on futures contracts ..... 170,529
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS ................................ 9,583,278
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................... $10,116,353
===========
</TABLE>
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
----------------- ------------------
<S> <C> <C>
INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income ........................................................... $ 533,075 $ 325,678
Net realized gain on investments sold, futures contracts and foreign currency
transactions ................................................................... 267,574 1,143,389
Net change in unrealized appreciation (depreciation) of investments,
assets and liabilities in foreign currency and futures contracts .............. 9,315,704 5,567,806
------------ -------------
Net increase in net assets resulting from operations ............................ 10,116,353 7,036,873
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................................................... -- (167,871)
Net realized gain on investments ................................................ -- (1,074,374)
------------ -------------
Total distributions ............................................................. -- (1,242,245)
------------ -------------
SHARE TRANSACTIONS:
Net proceeds from sale of shares ................................................ 80,239,160 44,489,580
Issued to shareholders in reinvestment of distributions ......................... -- 1,242,246
Costs of shares repurchased ..................................................... (7,539,769) (13,595,227)
------------ -------------
Net increase in net assets from share transactions ............................ 72,699,391 32,136,599
------------ -------------
Net increase in net assets .................................................... 82,815,744 37,931,227
------------ -------------
NET ASSETS:
Beginning of period ............................................................. 49,691,350 11,760,123
------------ -------------
End of period ................................................................... $132,507,094 $ 49,691,350
============ =============
Undistributed net investment income ............................................. $ 730,822 $ 197,747
============ =============
</TABLE>
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
<TABLE>
<CAPTION>
FOR THE SIX FOR THE PERIOD
MONTHS ENDED OCTOBER 1, 1997(1)
JUNE 30, 1999 YEAR ENDED THROUGH
(UNAUDITED) DECEMBER 31, 1998 DECEMBER 31, 1997
--------------- ------------------- ------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD .................................. $ 12.73 $ 10.19 $ 10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................................... 0.03 0.07 0.03(2)
Net realized and unrealized gain on investments
and futures contracts .............................................. 1.49 2.84 0.16
------- ------- -------
Net increase in net asset value from operations ..................... 1.52 2.91 0.19
------- ------- -------
LESS DISTRIBUTIONS:
Distributions from net investment income ............................ -- ( 0.05) --
Distributions from net realized gain on investments ................. -- ( 0.32) --
------- ------- --------
Total distributions ................................................ -- ( 0.37) --
------- ------- --------
NET ASSET VALUE, END OF PERIOD ........................................ $ 14.25 $ 12.73 $ 10.19
======= ======= ========
TOTAL RETURN(4) ....................................................... 11.94% 28.71% 1.90%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) ................................... $132,507 $49,691 $11,760
Ratios to average net assets:
Net investment income including reimbursement/waiver ................ 1.26%(3) 1.37% 1.51%(3)
Net investment income (loss) excluding reimbursement/waiver ......... 1.05%(3) 0.48% (0.99%)(3)
Operating expenses including reimbursement/waiver ................... 0.30%(3) 0.30% 0.30%(3)
Operating expenses excluding reimbursement/waiver ................... 0.51%(3) 1.19% 2.78%(3)
Portfolio turnover rate ............................................... 1% 36% 7%
</TABLE>
- ----------
(1) Commencement of operations.
(2) Based on average shares method.
(3) Annualized
(4) Total investment return is calculated assuming an initial investment made at
the net asset asset value at the beginning of the period, reinvestment of
all dividends and distributions at net asset value during the period and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized. If fees for the advisor and
administrator were not waived the total return would have been lower.
See Notes to Financial Statements
13
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Notes to Financial Statements JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The BT Insurance Funds Trust (the "Trust"), is currently comprised of seven
series: Equity 500 Index Fund, Small Cap Index Fund, EAFE Equity Index Fund,
International Equity Fund, Small Cap Fund, U.S. Bond Index Fund, and the
Managed Assets Fund. The Trust is an open-end management investment company
which is registered under the Investment Company Act of 1940 as amended (the
"Act"). The Trust was organized as a Massachusetts business trust on January
19, 1996.
The accompanying financial statements and financial highlights are those of the
Equity 500 Index Fund, (the "Fund") which commenced operations on October 1,
1997.
B. SECURITY VALUATION
The portfolio's investments, which are traded on a recognized stock exchange or
for which price quotations are available, are valued each business day on the
basis of market valuations furnished by an independent pricing service approved
by the Board of Trustees. Securities traded on national stock exchanges or
other domestic exchanges are valued based on the closing price of the security
traded on that exchange prior to the time when the Fund's assets are valued.
Short-term obligations with remaining maturities of 60 days or less are valued
at amortized cost. Other short-term debt securities are valued on a
mark-to-market basis until such time as they reach a remaining maturity of 60
days, whereupon they will be valued at amortized cost using their value on the
61st day. All other securities and other assets are valued at their fair value
as determined in good faith under procedures established by and under the
general supervision of the Board of Trustees.
C. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and discount on investments.
Realized gains and losses from securities transactions are recorded on the
identified cost basis.
D. FUTURES CONTRACTS
The Fund may enter into financial futures contracts which are contracts to buy
a standard quantity of securities at a specified price on a future date. The
Fund is required to deposit either in cash or securities an amount equal to a
certain percentage of the contract amount. Variation margin payments are made
or received by the Fund each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Fund. The Fund's investments in
financial futures contracts are designed to closely replicate the benchmark
index used by the Fund. Risks arise from possible illiquidity of the futures
market and from movements in security values.
Futures contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are traded.
E. FEDERAL INCOME TAXES
The Fund intends to continue to elect to be treated as a "regulated investment
company" under Sub-chapter M of the Internal Revenue Code and to distribute
substantially all of its net taxable income to shareholders. Accordingly, no
provision for federal income taxes has been made in the accompanying financial
statements.
F. EXPENSES
The Trust accounts separately for the assets, liabilities and operations of
each of its Series. Expenses directly attributable to a Series are charged to
that Series, while the expenses which are attributable to more than one Series
of the Trust are allocated based upon the relative net assets of each Series.
G. ORGANIZATION COSTS
Costs incurred in connection with the Fund's organization are being amortized
on a straight-line basis over five years commencing on October 1, 1997. In the
event that any of the initial shares are redeemed during such amortization
period, the redemption proceeds will be reduced for any unamortized
organization costs in the same proportion as the number of shares redeemed
bears to the number of initial shares outstanding at the time of the
redemption.
H. DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL GAINS
Dividends from net investment income and net realized gains from investment
transactions, if any, are distributed to shareholders annually.
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Income and capital gains distributions are determined in accordance with
federal tax regulations and may differ from those determined in accordance with
generally accepted accounting principles. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
their federal tax basis treatment; temporary differences do not require such
reclassification.
I. SHARES OF BENEFICIAL INTEREST
The Fund is authorized to issue an unlimited number of shares of beneficial
interest with a par value of $0.001 per share. Transactions in shares of
beneficial interest were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
------------------ ------------------
SHARES SHARES
------------------ ------------------
<S> <C> <C>
Shares sold 5,954,093 3,833,114
Reinvestment of dividends 0 101,743
Shares redeemed (560,784) (1,185,423)
--------- ----------
Net increase 5,393,309 2,749,434
========= ==========
</TABLE>
J. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts in the financial statements. Actual results
could differ from those estimates.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
Under the Advisory Agreement with Bankers Trust Company (the "Advisor"), the
Fund will pay an advisory fee at an annual percentage rate of 0.20% of the
average daily net assets of the Fund. These fees are accrued daily and paid
monthly. The Advisor has voluntarily undertaken to waive its fee and to
reimburse the Fund for certain expenses so that the Fund's total operating
expenses
14
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EQUITY 500 INDEX FUND
Notes to Financial Statements JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
will not exceed 0.30% of average daily net assets. For the six months ended
June 30, 1999, the gross Advisory fee and waiver were as follows:
<TABLE>
<CAPTION>
GROSS ADVISORY ADVISORY FEES
FEES WAIVED
- --------------- --------------
<S> <C>
$ 85,439 $72,834
</TABLE>
First Data Investor Services Group, Inc. ("Investor Services Group") serves as
Administrator and Transfer Agent of the Trust. For services rendered as the
Trust's Administrator, Investor Services Group receives the following fees,
accrued daily, and paid monthly.
<TABLE>
<CAPTION>
ADMINISTRATION FEES
- -------------------------------------------------------------
FEE % OF THE TRUST'S
DAILY NET ASSETS AVERAGE DAILY NET ASSETS
- --------------------- -------------------------------------
<S> <C>
0.02 % up to $2 billion
0.01 % over $2 billion and up to $5 billion
0.0075% over $5 billion
</TABLE>
Investor Services Group also receives a $70,000 flat fee per year, per Series
of the Trust, paid monthly.
Investor Services Group waived $15,000 of its fees for the six months ended
June 30, 1999.
The Trust does not compensate its officers or affiliated trustees. Each
independent trustee is paid $1,250 per Board of Trustees meeting attended and a
quarterly retainer of $2,500.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from the sale of investments,
other than short-term obligations, for the six months ended June 30, 1999, were
$68,814,305 and $901,239, respectively.
The aggregate gross unrealized appreciation and depreciation for all securities
as computed on a federal income tax basis, at June 30, 1999 is as follows:
<TABLE>
<CAPTION>
APPRECIATION DEPRECIATION NET COST
- -------------- ---------------- -------------- ---------------
<S> <C> <C> <C>
$16,817,427 $(1,912,442) $14,904,985 $116,852,738
</TABLE>
NOTE 4 -- OTHER INFORMATION
On November 30, 1998, BT Corporation, Deutsche Bank, A.G. ("Deutsche Bank") and
Circle Acquisition Corporation entered into an Agreement and Plan of Merger
(the "Merger Agreement"). Pursuant to the terms of the Merger Agreement, Circle
Acquisition Corporation, a wholly-owned New York subsidiary of Deutsche Bank,
merged with and into BT Corporation on June 4, 1999, with BT Corporation
continuing as the surviving entity (the "Merger"). Under the terms of the
Merger, each outstanding share of BT Corporation common stock was converted
into the right to receive $93 in cash, without interest. Since the Merger, BT
Corporation, along with its affiliates, has continued to offer the range of
financial products and services, including investment advisory services, that
it offered prior to the Merger.
As a result of the Merger, BT Corporation became a wholly-owned subsidiary of
Deutsche Bank. Deutsche Bank is a banking company with limited liability
organized under the laws of the Federal Republic of Germany. Deutsche Bank is
the parent company of a group consisting of banks, capital markets companies,
funds management companies, mortgage banks and a property finance company,
installment financing and leasing companies, insurance companies, research and
consultancy companies and other domestic and foreign companies. At March 31,
1999, the Deutsche Bank Group had total assets of US $727 billion. The Deutsche
Bank Group's capital and reserves at March 31, 1999 were US $19.6 billion.
15
<PAGE>
BT INSURANCE FUNDS TRUST
EQUITY 500 INDEX FUND
INVESTMENT ADVISOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
ADMINISTRATOR AND TRANSFER AGENT
FIRST DATA INVESTOR SERVICES GROUP, INC.
3200 Horizon Drive
King of Prussia, PA 19406
DISTRIBUTOR
FIRST DATA DISTRIBUTORS, INC.
4400 Computer Drive
Westborough, MA 01581
CUSTODIAN
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT AUDITORS
ERNST & YOUNG LLP
2001 Market Street
Philadelphia, PA 19103
COUNSEL
WILLKIE FARR & GALLAGHER
787 Seventh Avenue
New York, NY 10019
-------------------
For information on how to invest, shareholder account information
and current price and yield information, please contact your
insurance company representative. This report must be preceded or
accompanied by a current prospectus for the Fund.
-------------------
Equity 500 Index Fund Cusip #05576E607
INSEQ500200 (6/99)