<PAGE>
o BT INSURANCE FUNDS TRUST o
EAFE(R) EQUITY INDEX FUND
ANNUAL REPORT
- --------------------------------------------------------------------------------
DECEMBER o 1999
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Table of Contents
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
LETTER TO SHAREHOLDERS ........................ 3
EAFE(R) EQUITY INDEX FUND
Schedule of Investments ..................... 6
Statement of Assets and Liabilities ......... 14
Statement of Operations ..................... 15
Statements of Changes in Net Assets ......... 16
Financial Highlights ........................ 17
Notes to Financial Statements ............... 18
Report of Independent Auditors .............. 20
Proxy Voting Results ........................ 21
</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 EAFE(R) EQUITY INDEX FUND
Letter to Shareholders
- --------------------------------------------------------------------------------
MARKET ACTIVITY
Overall, 15 of the 20 EAFE(R) markets posted gains for the annual period ended
December 31, 1999 in U.S. dollar terms, and twelve had double-digit returns.
Equities accounted for most of the advance of the MSCI EAFE(R)(1) Index(2),
gaining in eight of the twelve months; currencies lost ground in all but the
third calendar quarter, when both the yen and Euro rallied.
The major story of 1999 was the rather significant market rotations in the
EAFE(R) markets, as Asian and Pacific Rim markets outpaced European markets.
The three biggest influences on EAFE(R) Index performance were the stunning
reversal of the Japanese equity market, the introduction of the Euro, and the
global markets' focus on U.S. Federal Reserve Board interest rate policy.
EUROPE
Regionally, Europe rose 15.9% in U.S. dollar terms during the annual period.
The markets were affected by a strong U.S. dollar, slowing domestic growth
rates, increased competition resulting from the January 1, 1999 introduction of
the common Euro currency, and, during the second half of the year in
particular, concerns about interest rate hikes both from the U.S. Federal
Reserve Board and the European Central Bank. Even so, the European markets
rallied back from a negative first half of 1999 to end the year with
double-digit returns competitive with those of the U.S. equity indices.
o GREAT EXPECTATIONS FOR THE MUCH-ANTICIPATED INTRODUCTION OF THE EURO IN
JANUARY HAD FUELED A STRONG EUROPEAN MARKET IN 1998 AND INTO JANUARY 1999,
ONLY TO DISAPPOINT LATER. Strategists expected impressive capital flows
into Europe as the unified market promoted a more stable economic
environment and greater transparency in financial reporting. However, the
Euro's value versus the U.S. dollar declined by about 14.0% during the
year. Such Euro weakness fueled prospects of export growth on the one hand
but worried many as it approached parity with the dollar, undermining
confidence in the new currency. The Euro's lack of strength, of course,
also dampened European equity returns in U.S. dollar terms.
o EUROPEAN MARKETS ALSO WERE IMPACTED BY INVESTORS' CONCERNS ABOUT THE
POSSIBILITY OF U.S. FEDERAL RESERVE BOARD ACTION.
- During the first half of the year, several European governments cut
interest rates, including Norway, the United Kingdom, Switzerland, and the
European Central Bank. This had prompted several equity markets to rally in
response. In June 1999, European markets rallied further based on lower
than expected U.S. inflation figures and the perception that the Federal
Reserve Board would not necessarily be inclined to raise U.S. interest
rates further.
- However, following its initial June 30th tightening, investors felt further
interest rate increases by the Federal Reserve Board would contribute to a
slowdown in European economic growth amidst an already soft environment.
After the Bank of England raised rates by 0.25% in September, the markets
looked toward a possible interest rate rise by the European Central Bank
during the fourth quarter. Global inflation concerns caused further
uneasiness and market volatility, as each new piece of economic data
changed inflation sentiment.
o ON THE OTHER HAND, EUROPEAN MARKETS RESPONDED POSITIVELY TO RISING MERGER
ACTIVITY, AS COMPANIES SOUGHT ECONOMIES OF SCALE IN AN ENLARGED "DOMESTIC"
MARKET.
- Ongoing merger and acquisition activity also helped to shore up European
markets by limiting redundancy and raising long-term profit expectations
within many industries, perhaps most especially the telecommunications
industry. For example, in April, Deutsche Telecom and Telecom Italia
announced a merger in an attempt to fend off Olivetti's bid for the Italian
phone company. By the end of June, Olivetti had won the battle for Telecom
Italia in the largest leveraged buyout in European history, buoying
somewhat the European markets overall. During the fourth quarter, too,
merger and acquisition speculation in the telecommunications sector pushed
prices higher across Europe.
- Other activity during the year included Zeneca PLC's (UK) agreement to buy
Astra (Sweden) and Ford Motor's bid to buy Volvo's car unit in January.
France's Societe Generale bought competitor Paribas in February, and other
bank stocks rose as investors felt there would be more mergers in the
fragmented European banking sector. Also in June, Repsol, the Spanish
energy firm, received shareholder approval for its bid to buy YPF, the
Argentinian oil company.
o MANY EUROPEAN COMPANIES ALSO CONTINUED TO ANNOUNCE BETTER THAN EXPECTED
EARNINGS. For instance, Finland was a top performing market through much of
1999, rising on better than expected earnings from Nokia, the global
telecommunications company whose shares account for more than 70% of the
Finnish market. Austria was the top performing market in February, rising on
better than expected earnings from Bank Austria, the country's largest bank.
Ericsson of Sweden, a cellular phone provider, fueled strong Scandinavian
returns in December.
PACIFIC BASIN
The Pacific Basin rose 57.6% in U.S. dollar terms during the annual period. The
previously struggling Asian and Pacific Rim markets rallied back from 1998's
global economic woes primarily due to falling domestic interest rates, stable
currencies, strong domestic consumption, and improving exports.
o JAPAN HAD A PARTICULARLY STRONG SHOWING, WITH ITS EQUITY MARKET RISING BASED
LARGELY ON STRONG FOREIGN BUYING AND ONGOING GAINS IN BUSINESS SENTIMENT.
- The bullishness arose after several companies announced restructuring
plans, with the goal of increasing profitability. Some of the companies
included Sony, Oji Paper, and Japan Airlines.
- By May, the Japanese market reversed some of its earlier gains, as foreign
demand for stock turned negative after four consecutive months of
aggressive buying by foreign hedge funds, asset allocators and active
managers.
- In June, Japan's equity market rallied back, spurred on by signs of
economic recovery and continued foreign buying of Japanese shares. At June
30, 1999, Japan's EAFE(R) market weight was 24%, the highest level in
recent years.
- The rally continued in July, spurred on by positive earnings reports from
Sony and the brokerage firms. Its equity index, the Nikkei, reached its
highest level since 1997.
- Positive economic data continued. The announcement of the mega-merger
between Dai Ichi Kangyo, Industrial Bank of Japan, and Fuji Bank was a
major step in the much needed restructuring of the Japanese banking system.
Industrial production showed increases and GDP growth indicated strength.
- In December, Japanese technology stocks rallied mid-month after fears of
U.S. interest rate hikes were abated and continued strong demand for
Japanese products was forecast. Kyocera,
3
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
an electronics maker, rallied over 125% that month after announcing it is
buying U.S. mobile phone giant Qualcomm's phone making unit, giving it a
strong foothold in the North American cellular phone market.
o HONG KONG'S EQUITY MARKET ROSE, AS INVESTORS BECAME MORE OPTIMISTIC ABOUT
CORPORATE EARNINGS. -- In addition, the Hong Kong government announced in
March that it would be selling its $23 billion stock portfolio over the
next three years. In April, Hong Kong was the best performing EAFE(R)
market, as foreigners increased their equity allocation to the market when
the Hong Kong central bank cut its interest rates by 0.25% to 8.5% and the
property market strengthened.
o ENCOURAGED BY INVESTOR CONFIDENCE OF ECONOMIC RECOVERY IN THE REGION, OTHER
ASIAN EQUITY MARKETS ALSO PERFORMED WELL FOR THE ANNUAL PERIOD. --
Singapore, Australia, and New Zealand were among the stronger performing
markets in the region.
INVESTMENT REVIEW (3)
<TABLE>
<CAPTION>
AVERAGE
CUMULATIVE ANNUAL
PERIODS ENDED DECEMBER 31, 1999 TOTAL RETURNS TOTAL RETURNS
- --------------------------------- ------------------------- -------------------------
<S> <C> <C> <C> <C>
Past 1 Since Past 1 Since
year inception year inception
- --------------------------------- ----- --------- ------- ---------
BT EAFE(R)(1)Equity Index
Fund(4) (inception 8/22/97) 27.60% 44.93% 27.60% 17.05%
- --------------------------------- ----- ----- ----- -----
MSCI EAFE(R) Index(2) 26.96% 43.42% 26.96% 16.71%
</TABLE>
MANAGER OUTLOOK
Global markets appear poised for another interesting year, especially as the
recent exponential growth of the technology industry continues to impact equity
investments worldwide. Furthermore, economic growth continues to improve
globally, a positive indicator, in our view, that corporate profits will do
likewise.
In Europe, the impact of monetary union will continue to ripple through the
various nations' economies. Mergers and acquisitions are likely to continue and
perhaps even accelerate across most sectors, providing upward price momentum.
In our opinion, in the year 2000, the Euro may recover some of the ground lost
against the dollar during the first tumultuous year since its introduction.
Appreciation of the Euro is particularly likely during the months ahead if
European investors take home some of the profits made in 1999 in the U.S.
equity market and if the U.S. economy begins to lose some of its luster.
In Japan, the forces of modernization will likely continue their battle against
the inertial forces of "Japan, Inc." Following Japan's best annual stock market
performance since 1986 this past year, global investors, still underweighted in
this market, may continue to provide positive price pressure in 2000, as Japan
continues to seek to control costs, improve productivity, and increase the
viability of its banks. Outside of Australia and New Zealand, the rest of
developed Asia may, in our view, increasingly look to the U.S. in 2000, both as
a market for its exports as well as an economic bellwether, especially given
the strong links between their currencies and the dollar.
Of course, as an index fund, designed to replicate as closely as possible,
before expenses, the broad diversification and total return of the MSCI EAFE(R)
Index with net dividends, we neither evaluate short-term fluctuations in the
Fund's performance nor manage according to a given outlook for the equity
markets or the economies in general. Still, we will continue monitoring
economic conditions and how they affect the financial markets.
[SIGNATURE APPEARS HERE]
Steven Wetter
PORTFOLIO MANAGER OF THE EAFE(R) EQUITY INDEX FUND
December 31, 1999
- ----------
(1)The EAFE(R) Index is the exclusive property of Morgan Stanley. Morgan Stanley
Capital International is a service mark of Morgan Stanley and has been
licensed for use by Bankers Trust Company.
(2)The MSCI EAFE(R) Index is an unmanaged capitalization-weighted index
containing approximately 1,100 equity securities of companies located outside
the United States. Investments cannot be made in an index.
(3)Foreign investing involves special risks, including currency risk, increased
volatility of foreign securities, and differences in auditing and other
financial standards.
(4)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 Fund is not insured
by the FDIC 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.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
Diversification of Portfolio Investments
By Sector as of December 31, 1999
[PIE CHART APPEARS HERE]
Finland 3% Other (dagger) 17%
Italy 4% Spain 3%
Switzerland 5% Sweden 3%
Netherlands 5%
France 9% Japan 24%
Germany 9% United Kingdom 18%
(dagger) Consists of countries less than 3%.
- --------------------------------------------------------------------------------
Performance Comparison
- --------------------------------------------------------------------------------
[BAR CHART APPEARS HERE]
6/97 12/97 6/98 12/98 6/99 12/99
___ EAFE(R) Equity Index Fund - $14,493
$15,000 --- MSCI EAFE(R) Index - $14,342
14,493.00
$14,000 14,342.00
$13,000
$12,000 11,825.00
11,743.00
11,358.00
$11,000 11,296.00
10,920.00
10,915.00
$10,000 10,000.00
10,000.00
9340.00
$9,000 9415.00
Past performance is not indicative of future
performance. The MSCI EAFE(R) Index is unmanaged and
investments may not be made in an index.
Comparison of Change in Value of a $10,000 Investment in the EAFE(R) Equity
Index Fund and the MSCI EAFE(R) Index from August 22, 1997, through December
31, 1999.
Average Annual Total Returns
for the Periods Ended
December 31, 1999
<TABLE>
<S> <C>
One Year Since 8/22/97*
27.60% 17.05%
</TABLE>
* 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.
5
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ------------------------------------------------- ---------------
<S> <C> <C>
COMMON STOCKS - 90.40%
AUSTRALIA - 2.06%
3,241 Amcor Ltd. ...................................... $ 15,179
5,866 AMP Ltd. ........................................ 64,813
1,870 Australian Gas and Light Co., Ltd. .............. 10,975
4,787 Boral Ltd. ...................................... 7,417
962 Brambles Industries Ltd. ........................ 26,603
9,327 Broken Hill Proprietary Co., Ltd. ............... 122,470
6,882 Coca Cola Amatil Ltd. ........................... 18,795
5,020 Coles Myer Ltd. ................................. 25,930
6,026 Colonial Ltd. (144A) ............................ 26,941
918 CSL Ltd. ........................................ 13,198
8,533 CSR Ltd. ........................................ 20,727
12,474 Foster's Brewing Group Ltd. ..................... 35,787
7,956 General Property Trust .......................... 12,953
2,508 Gio Australia Holdings Ltd. ..................... 3,836
2,191 Lend Lease Corp., Ltd. .......................... 30,695
7,838 National Australia Bank Ltd. .................... 119,894
10,454 News Corp., Ltd. ................................ 101,505
6,733 Normandy Mining Ltd. ............................ 4,774
1,209 Orica Ltd. ...................................... 6,516
4,100 Pacific Dunlop Ltd. ............................. 5,803
3,110 Pioneer International Ltd. ...................... 9,372
1,251 Rio Tinto Ltd. .................................. 26,873
5,051 Southcorp Holdings Ltd. ......................... 17,807
2,112 Suncorp-Metway Ltd .............................. 11,383
2,540 TABCORP Holdings Ltd. ........................... 17,199
39,111 Telstra Corp., Ltd. ............................. 212,600
1,663 Wesfarmers Ltd. ................................. 13,723
9,458 Westfield Trust Ltd. ............................ 18,566
9,925 Westpac Banking Corp., Ltd. ..................... 68,461
5,497 WMC Ltd. ........................................ 30,314
6,460 Woolworths Ltd. ................................. 22,223
----------
1,123,332
----------
AUSTRIA - 0.10%
260 Austrian Airlines Osterreichische
Luftverkehrs AG ................................. 4,923
140 Austria Tabakwerke AG ........................... 6,769
40 Generali Holding Vienna AG ...................... 6,706
150 Oesterreichische Elektrizitaetswirtschafts
AG-A ............................................ 21,077
70 VA Technologie AG ............................... 4,618
400 Wienerberger Baustoffindustrie AG ............... 8,699
----------
52,792
----------
BELGIUM - 0.84%
76 Barco N.V. ...................................... 10,641
140 Colruyt SA ...................................... 8,038
371 Delhaize Le Lion SA ............................. 27,952
25 D' Ieteren NV SA ................................ 10,244
14 Dolmen Computer Applications NV (a) ............. 423
285 Electrabel SA ................................... 93,297
3,731 Fortis (B) (a) .................................. 134,613
1,008 Fortis B-Strip VVPR (a) ......................... 10
120 Groupe Bruxelles Lambert SA ..................... 24,174
1,560 KBC Bancassurance Holding ....................... 84,065
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ------------------------------------------------- ---------------
<S> <C> <C>
426 Solvay SA ....................................... $ 35,185
700 UCB SA .......................................... 30,353
----------
458,995
----------
DENMARK - 0.70%
200 Carlsberg AS-A .................................. 7,362
200 Carlsberg AS-B .................................. 7,579
4 A/S Dampskibsselskabet Svendborg ................ 66,586
301 Danisco AS ...................................... 11,732
300 Den Danske Bank ................................. 32,887
5 D/S 1912-B ...................................... 58,872
281 ISS International Service Systems AS-B .......... 18,901
96 Navision Software AS (a) ........................ 6,951
422 Novo Nordisk AS-B ............................... 55,971
1,108 Tele Danmark AS-B ............................... 82,325
300 Unidanmark AS-A ................................. 21,113
44 Vestas Wind Systems AS (a) ...................... 7,801
55 William Demant AS ............................... 5,211
----------
383,291
----------
FINLAND - 2.87%
700 Kemira Oyj ...................................... 4,266
500 Kesko Oyj ....................................... 6,345
4,500 Merita Ltd. ..................................... 26,470
200 Metra Oyj-B ..................................... 3,727
1,200 Metso Oyj (a) ................................... 15,592
6,100 Nokia Oyj-A ..................................... 1,105,961
600 Outokumpu Oyj-A ................................. 8,491
200 Pohjola Group Insurance Corp. ................... 12,087
600 Sampo Insurance Co., Ltd.-A ..................... 20,971
19 Sanitec Oyj ..................................... 244
50 SGL Carbon AG ................................... 3,324
3,800 Sonera Group Oyj (a) ............................ 260,465
600 Tieto Corp. - B SHS (a) ......................... 37,470
1,400 UPM-Kymmene Oyj ................................. 56,406
----------
1,561,819
----------
FRANCE - 9.06%
1,175 Accor SA ........................................ 56,773
1,084 Alcatel Alsthom ................................. 248,944
1,878 AXA-UAP ......................................... 261,800
2,241 Banque Nationale de Paris ....................... 206,764
244 BIC ............................................. 11,104
158 Bouygues ........................................ 100,421
588 Canal Plus ...................................... 85,582
465 Cap Gemini Sogeti ............................... 118,030
1,835 Carrefour Supermarche SA ........................ 338,424
437 Compagnie de Saint Gobain ....................... 82,179
417 Danone .......................................... 98,285
155 Eridania Beghin-Say SA .......................... 16,674
50 Essilor International ........................... 15,512
393 Establissements Economiques du Casino
Guichard-Perrachon SA ........................... 45,008
5,147 France Telecom SA ............................... 680,701
645 LaFarge SA ...................................... 75,103
259 Lagardere S.C.A. ................................ 14,087
412 L'Air Liquide ................................... 68,971
361 L'OREAL ......................................... 289,621
</TABLE>
See Notes to Financial Statements
6
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ---------------------------------------------- ---------------
<S> <C> <C>
533 LVMH (Moet-Hennessy Louis Vuitton) ........... $ 238,744
934 Michelin-B ................................... 36,690
127 Pechiney SA .................................. 9,076
643 Pinault-Printemps-Redoute SA ................. 169,687
267 PSA Peugeot Citroen .......................... 60,618
3,298 Rhone-Poulenc-A .............................. 191,674
3,956 Sanofi SA .................................... 164,727
961 Schneider SA ................................. 75,453
51 Sidel SA ..................................... 5,265
115 Simco SA ..................................... 9,307
581 Societe Generale ............................. 135,184
186 Sodexho Alliance SA .......................... 32,917
697 Suez Lyonnaise des Eaux ...................... 111,697
408 Suez Lyonnaise des Eaux SA (a) ............... 65,712
408 Suez Lyonnaise des Eaux SA VVPR (a) .......... 4
73 Technip ...................................... 7,485
468 Total Fina SA VVPR (a) ....................... 5
3,785 Total SA-B ................................... 505,149
600 Usinor Sacilor ............................... 11,271
444 Valeo SA ..................................... 34,257
2,862 Vivendi ...................................... 258,439
---------
4,937,344
---------
GERMANY - 9.47%
200 Adidas AG .................................... 15,008
1,216 Allianz AG ................................... 408,476
3,200 BASF AG ...................................... 164,383
4,000 Bayer AG ..................................... 189,363
2,296 Bayerische Hypotheken-und
Wechsel-Bank AG .............................. 156,797
250 Beiersdorf AG ................................ 16,786
350 Continental AG ............................... 6,998
5,137 DaimlerChrysler AG (a) ....................... 399,452
3,277 Deutsche Bank AG ............................. 276,769
2,450 Deutsche Lufthansa AG ........................ 57,005
15,329 Deutsche Telekom AG .......................... 1,091,618
2,400 Dresdner Bank AG ............................. 130,540
450 EM.TV & Merchandising AG ..................... 29,009
250 Fresenius Medical Care AG .................... 21,379
275 Heidelberger Zement AG ....................... 21,606
50 Heidelberger Zement AG (a) ................... 3,928
50 Heidelberger Zement AG VVPR (a) .............. 5
250 Hochtief AG .................................. 9,317
500 Karstadt AG .................................. 20,044
466 Linde AG ..................................... 25,487
500 MAN AG ....................................... 18,785
2,500 Mannesmann AG ................................ 609,386
1,050 Merck KGaA ................................... 32,574
1,360 Metro AG ..................................... 73,151
924 Muenchener Rueckversicherungs-
Gesellschaft AG .............................. 234,350
843 Preussag AG .................................. 46,956
2,600 RWE AG ....................................... 101,873
350 SAP AG ....................................... 172,391
400 Schering AG .................................. 48,348
3,050 Siemens AG ................................... 388,008
3,100 Thyssen AG ................................... 94,455
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ---------------------------------------------- ---------------
<S> <C> <C>
2,800 VEBA AG ...................................... $ 136,079
2,600 Viag AG ...................................... 47,663
1,610 Volkswagen AG ................................ 90,733
500 WCM Beteiligungs-und Grundbesitz AG .......... 19,591
---------
5,158,313
---------
HONG KONG - 2.14%
4,510 Bank of East Asia Ltd. ....................... 12,532
21,000 Cathay Pacific Airways ....................... 37,416
12,000 Cheung Kong Holdings Ltd. .................... 152,441
10,000 CLP Holdings Ltd. ............................ 46,054
10,200 Hang Seng Bank Ltd. .......................... 116,453
64,382 Hong Kong Telecommunications Ltd. ............ 185,936
20,234 Hong Kong and China Gas Co., Ltd. ............ 27,721
20,000 Hutchison Whampoa Ltd. ....................... 290,731
6,000 Johnson Electric Holdings Ltd. ............... 38,516
11,682 New World Development Co., Ltd. .............. 26,299
2,000 Television Broadcasts Ltd. ................... 13,636
10,000 Shangri-La Asia Ltd. ......................... 11,449
13,191 Sun Hung Kai Properties Ltd. ................. 137,451
7,000 Swire Pacific Ltd.-A ......................... 41,333
12,693 Wharf Holdings Ltd. .......................... 29,473
---------
1,167,441
---------
IRELAND - 0.35%
3,985 Allied Irish Banks Plc. ...................... 45,437
2,184 CRH Plc. ..................................... 47,077
10,700 eircom Plc. .................................. 45,805
1,349 Independent Newpapers Plc. ................... 8,846
1,179 Irish Life & Permanent Plc. .................. 11,163
3,447 Jefferson Smurfit Group Plc. ................. 10,416
1,068 Kerry Group Plc.-A ........................... 12,801
933 Ryanair Holdings Plc. (a) .................... 10,196
---------
191,741
---------
ITALY - 3.88%
9,313 Alitalia SPA (a) ............................. 22,185
5,507 Assicurazioni Generali ....................... 181,939
1,601 Banca Commerciale Italiana ................... 8,708
25,219 Banca di Roma ................................ 32,413
22,120 Banca Intesa SPA (a) ......................... 89,790
13,214 Benetton Group SPA ........................... 30,346
26,557 Credito Italiano SPA ......................... 130,538
38,403 Enel SPA (a) ................................. 160,915
42,359 ENI SPA ...................................... 232,957
2,153 Fiat SPA ..................................... 61,480
23,317 Istituto Nazionale delle Assicurazioni
(INA) ........................................ 61,768
2,884 Italgas SPA .................................. 10,923
6,872 Mediaset SPA ................................. 106,873
2,824 Mediobanca SPA ............................... 28,815
13,013 Montedison SPA ............................... 21,299
18,111 Olivetti Group SPA (a) ....................... 52,447
6,909 Parmalat Finanziaria SPA ..................... 8,838
795 Rinascente SPA ............................... 5,101
3,061 Riunione Adriatica di Sicurta SPA ............ 30,709
7,794 San Paolo-IMI SPA ............................ 105,903
11,016 Telecom Italia Mobile RCN .................... 52,483
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------- --------------------------------------------------- ---------------
<S> <C> <C>
35,248 Telecom Italia Mobile SPA ......................... $ 393,734
1,179 Telecom Italia RCN ................................ 7,185
19,230 Telecom Italia SPA ................................ 271,172
17,860 Unione Immobiliare SPA ............................ 8,275
---------
2,116,796
---------
JAPAN - 23.77%
2,000 77 Bank Ltd. ...................................... 20,965
800 Acom Co., Ltd. .................................... 78,379
500 Advantest Corp. ................................... 132,133
4,000 Ajinomoto Co., Inc. ............................... 41,695
1,000 Alps Electric Co. ................................. 15,259
2,000 Amada Co., Ltd. ................................... 10,943
500 Aoyamma Trading Co., Ltd. ......................... 10,620
15,000 Asahi Bank Ltd. ................................... 92,493
3,000 Asahi Breweries Ltd. .............................. 32,828
9,000 Asahi Chemical Industry Co., Ltd. ................. 46,246
6,000 Asahi Glass Co., Ltd. ............................. 46,452
2,000 Bank of Fukuoka Ltd. .............................. 13,879
23,000 Bank of Tokyo-Mitsubishi Ltd. ..................... 320,564
5,000 Bank of Yokohama Ltd. ............................. 23,050
300 Benesse Corp. ..................................... 72,233
4,000 Bridgestone Corp. ................................. 88,088
4,000 Canon, Inc. ....................................... 158,951
2,000 Casio Computer Co., Ltd. .......................... 16,639
11 Central Japan Railway Co. ......................... 69,012
4,000 Chichibu Onoda Cement Corp. ....................... 7,634
1,000 Chugai Pharmaceutical Co., Ltd. ................... 10,815
1,000 Citizen Watch Co., Ltd. ........................... 6,362
500 Credit Saison Co., Ltd. ........................... 8,711
4,000 Dai Nippon Printing Co., Ltd. ..................... 63,815
2,000 Daiei, Inc. ....................................... 7,928
2,000 Daiichi Pharmaceutical ............................ 26,015
2,000 Daikin Industries, Ltd. ........................... 27,210
6,000 Dainippon Ink & Chemicals, Inc. ................... 17,794
1,000 Daito Trust Construction Co., Ltd. ................ 11,158
3,000 Daiwa House Industry Co., Ltd. .................... 22,316
7,000 Daiwa Securities Co., Ltd. ........................ 109,553
5,000 Denso Corp. ....................................... 119,409
22 East Japan Railway Co. ............................ 118,645
2,000 Ebara Corp. ....................................... 22,316
2,000 Eisai Co., Ltd. ................................... 38,465
1,300 Fanuc ............................................. 165,538
18,000 Fuji Bank Ltd. .................................... 174,944
3,000 Fuji Photo Film Co. ............................... 109,523
9,000 Fujitsu Ltd. ...................................... 410,492
4,000 Furukawa Electric Co., Ltd. ....................... 60,683
4,000 Gunma Bank ........................................ 26,035
200 Hirose Electric Co., Ltd. ......................... 44,847
17,000 Hitachi Ltd. ...................................... 272,879
3,000 Hitachi Zosen Corp. ............................... 2,261
5,000 Honda Motor Co., Ltd. ............................. 185,965
1,000 House Foods Corp. ................................. 15,171
14,000 Industrial Bank of Japan .......................... 134,971
8,000 Ishikawajima-Harima Heavy Industries Co.,
Ltd. .............................................. 9,239
8,000 ITOCHU Corp. ...................................... 39,855
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------- --------------------------------------------------- ---------------
<S> <C> <C>
2,000 Ito-Yokado Co., Ltd. .............................. $ 217,285
8,000 Japan Airlines .................................... 23,725
5,000 Japan Energy Corp. ................................ 4,551
9 Japan Tobacco, Inc. ............................... 68,885
3,000 Joyo Bank ......................................... 13,800
2,000 JUSCO Co. ......................................... 34,863
5,000 Kajima Corp. ...................................... 14,926
2,000 Kaneka Corp. ...................................... 25,585
5,400 Kansai Electric Power Co., Inc. ................... 94,131
3,000 Kao Corp. ......................................... 85,593
8,000 Kawasaki Heavy Industries Ltd. .................... 10,649
20,000 Kawasaki Steel Corp. .............................. 35,823
2,000 Kinden Corp. ...................................... 15,367
8,000 Kinki Nippon Railway .............................. 32,103
6,000 Kirin Brewery Co., Ltd. ........................... 63,130
1,000 Kokuyo ............................................ 13,311
5,000 Komatsu Ltd. ...................................... 23,001
300 Konami Co., Ltd. .................................. 53,587
7,000 Kubota Corp. ...................................... 26,789
2,000 Kuraray Co., Ltd. ................................. 20,260
2,000 Kyowa Hakko Kogyo ................................. 12,000
7,000 Marubeni Corp. .................................... 29,392
2,000 Marui Co., Ltd. ................................... 29,872
10,000 Matsushita Electric Industrial Co., Ltd. .......... 276,989
2,000 Meiji Seika Kaisha Ltd. ........................... 11,373
2,000 Minabea Co., Ltd. ................................. 34,315
10,000 Mitsubishi Chemical Corp. ......................... 35,235
9,000 Mitsubishi Corp. .................................. 69,502
12,000 Mitsubishi Electric Corp. ......................... 77,518
7,000 Mitsubishi Estate Co., Ltd. ....................... 68,308
19,000 Mitsubishi Heavy Industries Ltd. .................. 63,414
4,000 Mitsubishi Materials Corp. ........................ 9,788
7,000 Mitsubishi Trust & Banking Corp. .................. 61,662
9,000 Mitsui & Co. ...................................... 62,983
5,000 Mitsui Fudosan Co., Ltd. .......................... 33,865
4,000 Mitsui Marine & Fire Insurance Co., Ltd. .......... 23,725
2,000 Mitsui Mining & Smelting Co., Ltd. ................ 9,455
3,000 Mitsui Trust & Banking Co., Ltd. .................. 6,783
4,000 Mitsukoshi Ltd. ................................... 14,094
1,000 Murata Manufacturing Co., Ltd. .................... 234,903
1,000 Mycal Corp. ....................................... 4,355
200 Namco Ltd. ........................................ 12,959
8,000 NEC Corp. ......................................... 190,663
2,000 NGK Insulators .................................... 14,858
400 Nichiei Co., Ltd. ................................. 8,691
2,000 Nikon Corp. ....................................... 58,726
700 Nintendo Co., Ltd. ................................ 116,335
7,000 Nippon Express Co., Ltd. .......................... 38,710
2,000 Nippon Meat Packers, Inc. ......................... 25,937
9,000 Nippon Oil Co., Ltd. .............................. 39,640
5,000 Nippon Paper Industries Co. ....................... 27,552
34,000 Nippon Steel Corp. ................................ 79,534
64 Nippon Telegraph & Telephone Corp. ................ 1,096,212
6,000 Nippon Yusen Kabushiki Kaisha ..................... 24,547
19,000 Nissan Motor Co., Ltd. ............................ 74,758
10,000 Nomura Securities Co., Ltd. ....................... 180,581
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ----------------------------------------------- ---------------
<S> <C> <C>
3,000 NSK, Ltd. ..................................... $ 20,525
4,000 Obayashi Corp. ................................ 18,910
5,000 Oji Paper Co., Ltd. ........................... 30,097
1,000 Olympus Optical Co., Ltd. ..................... 14,143
1,000 Omron Corp. ................................... 23,050
1,000 Onward Kashiyama Co., Ltd. .................... 13,703
500 Oriental Land Co., Ltd. ....................... 42,968
400 Orix Corp. .................................... 90,124
11,000 Osaka Gas Co., Ltd. ........................... 26,485
1,000 Pioneer Electronic Corp. ...................... 26,426
600 Promise Co., Ltd. ............................. 30,537
600 Rohm Co., Ltd. ................................ 246,648
2,000 Sankyo Co., Ltd. .............................. 41,108
10,000 Sanyo Electric Co., Ltd. ...................... 40,619
1,000 Secom Co., Ltd. ............................... 110,111
3,000 Sekisui Chemical Co., Ltd. .................... 13,301
4,000 Sekisui House Ltd. ............................ 35,431
6,000 Sharp Corp. ................................... 153,568
200 Shimamura Co., Ltd. ........................... 31,712
1,000 Shimano, Inc. ................................. 17,618
5,000 Shimizu Corp. ................................. 16,541
2,000 Shin-Etsu Chemical Co., Ltd. .................. 86,131
1,000 Shionogi & Co., Ltd. .......................... 12,146
2,000 Shiseido Co., Ltd. ............................ 29,167
4,000 Shizuoka Bank ................................. 41,030
1,000 SKYLARK Co., Ltd. ............................. 23,539
400 SMC Corp. ..................................... 88,519
500 Softbank Corp. ................................ 478,614
2,100 Sony Corp. .................................... 622,786
16,000 Sumitomo Bank Ltd. ............................ 219,086
8,000 Sumitomo Chemical Co. ......................... 37,584
5,000 Sumitomo Corp. ................................ 48,498
4,000 Sumitomo Electric Industries .................. 46,237
4,000 Sumitomo Heavy Industries Ltd. ................ 10,962
3,000 Sumitomo Marine & Fire Insurance Co. .......... 18,499
14,000 Sumitomo Metal Industries ..................... 10,551
2,000 Sumitomo Metal Mining Co. ..................... 4,463
3,000 Taisei Corp. .................................. 5,696
2,000 Taisho Pharmaceutical Co. ..................... 58,726
1,000 Takara Shuzo Co., Ltd. ........................ 15,768
1,000 Takashimaya Co., Ltd. ......................... 6,890
4,000 Takeda Chemical Industries .................... 197,710
800 Takefuji Corp. ................................ 100,147
5,000 Teijin Ltd. ................................... 18,450
1,000 Terumo Corp. .................................. 26,720
9,000 The Daiwa Bank Ltd. ........................... 26,426
22,000 The Sakura Bank Ltd. .......................... 127,474
918 Thomson CSF ................................... 30,319
3,000 Tobu Railway Co., Ltd. ........................ 8,809
100 Toho Co. ...................................... 14,623
2,600 Tohoku Electric Power ......................... 38,681
11,000 Tokai Bank .................................... 69,335
8,000 Tokio Marine & Fire Insurance Co. ............. 93,569
1,000 Tokyo Broadcasting System, Inc. ............... 33,865
1,000 Tokyo Dome Corp. .............................. 4,796
7,200 Tokyo Electric Power Co. ...................... 193,090
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ----------------------------------------------- ---------------
<S> <C> <C>
17,000 Tokyo Gas Co., Ltd. ........................... $ 41,431
5,000 Tokyu Corp. ................................... 12,186
4,000 Toppan Printing Co., Ltd. ..................... 39,933
8,000 Toray Industries, Inc. ........................ 31,007
17,000 Toshiba Corp. ................................. 129,784
3,000 Tosoh Corp. ................................... 11,451
1,000 Tostem Corp. .................................. 17,960
2,000 Toto Ltd. ..................................... 12,097
1,000 Toyo Seikan Kaisha ............................ 14,486
19,000 Toyota Motor Corp. ............................ 920,525
300 Uni-Charm Corp. ............................... 17,295
1,000 Uny Co., Ltd. ................................. 9,778
1,000 Wacoal Corp. .................................. 8,799
200 World Co., Ltd. ............................... 24,860
1,000 Yakult Honsha Co., Ltd. ....................... 8,711
1,000 Yamaha Corp. .................................. 6,499
2,000 Yamanouchi Pharmaceutical Co., Ltd. ........... 69,883
2,000 Yamato Transport Co., Ltd. .................... 77,518
1,000 Yamazaki Baking Co., Ltd. ..................... 10,854
----------
12,955,164
----------
NETHERLANDS - 5.27%
7,728 ABN Amro Holdings NV .......................... 193,044
3,478 AEGON NV ...................................... 335,958
1,622 Akzo Nobel .................................... 81,361
610 ASM Lithography Holding NV (a) ................ 67,771
3,416 Elsevier NV ................................... 40,808
619 Getronics NV .................................. 49,380
1,344 Heineken NV ................................... 65,548
4,910 ING Groep NV .................................. 296,439
3,492 Koninklijke Ahold NV (a) ...................... 103,374
2,244 Koninklijke KPN NV ............................ 219,020
1,796 Philips Electronics NV ........................ 244,218
158 Oce NV ........................................ 2,671
10,806 Royal Dutch Petroleum Company ................. 662,312
1,344 STMicroelectronics (a) ........................ 206,852
2,718 TNT Post Group NV ............................. 77,888
3,041 Unilever NV-CVA ............................... 167,978
1,634 Wolters Kluwer NV-CVA ......................... 55,300
----------
2,869,922
----------
NEW ZEALAND - 0.14%
12,304 Brierley Investments Ltd. ..................... 2,571
6,498 Carter Holt Harvey Ltd. ....................... 8,488
3,488 Contact Energy Ltd. ........................... 6,105
2,801 Lion Nathan Ltd. .............................. 6,513
10,619 Telecom Corp. of New Zealand Ltd. ............. 49,936
----------
73,613
----------
NORWAY - 0.33%
300 Bergesen d.y. ASA-A ........................... 5,464
1,950 Christiania Bank Og Kreditkasse ............... 9,609
3,600 Den Norske Bank ASA ........................... 14,776
300 Elkem ASA ..................................... 6,924
210 Kvaerner ASA-A ................................ 4,428
400 Merkantildata ASA ............................. 4,841
1,450 Norsk Hydro ASA ............................... 60,601
200 Norske Skogsindustrier ASA 'A' Free ........... 10,430
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------- -------------------------------------------------- ---------------
<S> <C> <C>
1,314 Orkla ASA-A ...................................... $ 22,623
600 Petroleum-Geo Services ASA (a) ................... 10,704
350 Schibsted ASA .................................... 6,506
2,000 Storebrand ASA-A (a) ............................. 15,221
400 Tomra Systems ASA ................................ 6,787
---------
178,914
---------
PORTUGAL - 0.43%
5,835 Banco Comercial Portugues, SA (BCP) .............. 32,384
662 Banco Espirito Santo e Comercial de
Lisboa, SA ....................................... 18,604
2,170 BPI-SGPS, SA ..................................... 9,246
1,500 Brisa Auto-Estradas de Portugal, SA .............. 11,513
800 Cimpor-Cimentos de Portugal, SA .................. 13,296
3,337 Electricidade de Portugal, SA .................... 58,249
400 Jeronimo Martins, SGPS, SA ....................... 10,234
5,785 Portugal Telecom, SA ............................. 63,455
290 Sonae Investimentos, SGPS, SA .................... 15,306
---------
232,287
---------
SINGAPORE - 0.94%
5,000 City Developments Ltd. ........................... 29,270
5,349 DBS Group Holdings Ltd. .......................... 87,678
6,250 DBS Land Ltd. .................................... 12,309
5,000 Keppel Corp., Ltd. ............................... 13,089
7,000 Neptune Orient Lines Ltd. (a) .................... 9,372
7,294 Oversea-Chinese Banking Corp., Ltd. .............. 67,006
15,000 Sembcorp Industries Ltd. ......................... 20,444
7,000 Singapore Airlines Ltd. .......................... 79,436
2,048 Singapore Press Holdings Ltd. - 100 .............. 44,514
19,000 Singapore Technologies Enginnering Ltd. .......... 29,433
30,000 Singapore Telecommunications Ltd. ................ 61,963
5,168 United Overseas Bank Ltd. ........................ 45,614
1,000 Venture Manufacturing (Singapore) Ltd. ........... 11,468
---------
511,596
---------
SLOVAKIA - 0.08%
4,200 Skandinaviska Enskilda Ban-A ..................... 42,454
---------
SPAIN - 2.51%
2,560 Argentaria, Caja Postal y Banco
Hipotecario de Espana, SA ........................ 60,158
1,578 Autopistas Concesionaria Espanola SA ............. 15,338
9,710 Banco Bilbao Vizcaya SA .......................... 138,295
19,850 Banco Santander SA ............................... 224,732
810 Corporacion Financiera Alba SA ................... 27,707
933 Dragados & Construcciones SA ..................... 8,232
5,207 Endesa SA ........................................ 103,374
732 Fomento de Construcciones y Contratas
SA ............................................... 14,893
2,169 Gas Natural SDG, SA .............................. 49,965
5,460 Iberdrola SA ..................................... 75,674
6,670 Repsol SA ........................................ 154,657
948 Sociedad General de Aguas de Barcelona
SA ............................................... 13,884
1,443 Sol Melia, S.A. .................................. 16,351
2,148 Tabacalera SA-A .................................. 30,723
16,574 Telefonica SA .................................... 414,015
555 Vallehermoso SA .................................. 3,902
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------- -------------------------------------------------- ---------------
<S> <C> <C>
592 Union Electrica Fenosa SA ........................ $ 10,340
805 Zaradoya Otis SA ................................. 7,922
---------
1,370,162
---------
SWEDEN - 2.57%
703 ABB Ltd. (a) ..................................... 85,685
1,028 Atlas Copco AB-A ................................. 30,388
600 Drott AB (a) ..................................... 6,841
1,800 Electrolux AB-Ser. B ............................. 45,275
2,600 Forenings Sparbanken AB .......................... 38,199
1,500 Gambro AB-A ...................................... 13,487
4,400 Hennes & Mauritz AB-B ............................ 147,391
700 Netcom Systems AB (a) ............................ 49,201
1,000 Sandvik AB-A ..................................... 31,324
1,600 Securitas AB-B ................................... 28,961
3,000 Skandia Forsakrings AB ........................... 90,621
600 Skanska AB-B ..................................... 22,355
1,166 Svenska Cellulosa AB-B ........................... 34,536
4,000 Svenska Handelsbanken-A .......................... 50,306
9,800 Telefonaktiebolaget LM Ericsson (Ericsson
AB) .............................................. 630,066
700 Volvo AB-A ....................................... 17,689
1,800 Volvo AB-B ....................................... 46,544
500 WM-Data AB-B ..................................... 30,912
---------
1,399,781
---------
SWITZERLAND - 5.05%
886 ABB Ltd. (a) ..................................... 108,364
80 Adecco SA ........................................ 62,300
30 Alusuisse-Lonza Holdings AG ...................... 22,119
1,370 Credit Suisse Group .............................. 272,313
31 Holderbank Financiere Glarus AG-B ................ 42,442
31 Holderbank Financiere Glarus AG-Reg .............. 11,000
30 Lonza AG (a) ..................................... 18,238
205 Nestle SA ........................................ 375,548
345 Novartis AG-Registered ........................... 506,569
8 Roche Holdings AG-Bearer ......................... 130,629
35 Roche Holdings AG-Genusschine .................... 415,437
50 SAirGroup ........................................ 10,064
70 Schweizerische Rueckversicherungs-
Gesellschaft ..................................... 143,798
20 Sulzer AG ........................................ 13,000
410 Swisscom AG ...................................... 165,823
100 The Swatch Group AG .............................. 23,300
1,065 UBS AG ........................................... 287,603
255 Zurich Allied AG ................................. 145,412
---------
2,753,959
---------
UNITED KINGDOM - 17.84%
2,280 3i Group Plc. .................................... 40,696
7,262 Abbey National Plc. .............................. 116,130
9,125 Allied Zurich AG (a) ............................. 107,525
4,703 Amvescap Plc. .................................... 54,697
525 Anglian Water Plc. ............................... 4,817
1,422 Arjo Wiggins Appleton Plc. ....................... 4,651
470 ARM Holdings Plc. (a) ............................ 31,711
4,842 AstraZeneca Group PLC (a) ........................ 204,880
5,862 BAA Plc. ......................................... 41,190
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ---------------------------------------------- ---------------
<S> <C> <C>
8,036 Barclays Plc. ................................ $ 231,313
5,728 Bass Plc. .................................... 71,290
1,419 BBA Group Plc. ............................... 11,701
871 Berkley Group Plc. ........................... 10,060
17,500 BG Group Plc. ................................ 113,074
6,831 Blue Circle Industries Plc. .................. 39,695
2,722 BOC Group Plc. ............................... 58,478
4,798 Boots Co. Plc. ............................... 46,656
98,550 BP Amoco Plc ................................. 990,944
15,828 British Aerospace Plc. ....................... 104,825
6,794 British Airways Plc. ......................... 44,336
9,742 British American Tobacco Plc. ................ 55,352
4,462 British Land Co. Plc. ........................ 29,388
10,150 British Sky Broadcasting Group Plc. .......... 163,379
32,445 British Telecommunications Plc. .............. 792,939
2,725 Bunzl Plc. ................................... 15,010
705 Burmah Castrol Plc. .......................... 13,381
10,086 Cadbury Schweppes Plc. ....................... 60,932
3,546 Carlton Communications Plc. .................. 34,539
20,244 Centrica Plc. (a) ............................ 57,389
6,641 CGU Plc. ..................................... 107,004
4,210 Compass Group Plc. ........................... 57,804
6,485 Corus Group Plc. ............................. 16,865
19,234 Diageo Plc. .................................. 154,722
1,208 Dixons Group Plc. ............................ 29,055
3,437 Electrocomponents Plc. ....................... 38,030
5,058 EMI Group Plc. ............................... 49,634
3,896 GKN Plc. ..................................... 61,359
18,758 Glaxo Wellcome Plc. .......................... 530,247
9,691 Granada Group Plc. ........................... 98,228
6,261 Great Universal Stores Plc. .................. 36,610
451 Hagemeyer NV ................................. 10,444
9,650 Halifax Plc. ................................. 107,009
3,762 Hanson Plc. .................................. 31,538
5,252 Hays Plc. .................................... 83,648
43,026 HSBC Holdings Plc. ........................... 599,784
4,466 Imperial Chemical Industries Plc. ............ 47,287
855 Jarvis Plc. .................................. 3,204
8,248 Kingfisher Plc. .............................. 91,529
4,347 Ladbroke Group Plc. .......................... 13,921
3,923 Land Securities Plc. ......................... 43,978
2,064 Lasmo Plc. (a) ............................... 3,951
21,913 Legal & General Group Plc. ................... 59,642
27,441 Lloyds TSB Group Plc. ........................ 343,301
2,243 Logica Plc. .................................. 57,608
14,816 Marconi Plc. ................................. 261,819
12,269 Marks & Spencer Plc. ......................... 58,414
2,337 MEPC Plc. .................................... 16,742
3,671 Misys Plc. ................................... 57,222
8,911 National Grid Group Plc. ..................... 67,795
5,043 National Power Plc. .......................... 29,203
110 OMV AG ....................................... 10,692
2,613 Pearson Plc. ................................. 84,584
3,863 Peninsular and Oriental Steam Navigation
Company ...................................... 64,458
329 Pernod Ricard ................................ 18,823
13,305 Pirelli S.P.A. ............................... 36,519
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------- ---------------------------------------------- ---------------
<S> <C> <C>
1,767 Provident Financial Plc. (a) ................. $ 19,409
9,929 Prudential Corp. Plc. ........................ 195,667
2,696 Railtrack Group Plc. ......................... 45,290
1,793 Rank Group Plc. .............................. 5,720
5,839 Reed International Plc. ...................... 43,716
17,890 Rentokil Initial Plc. ........................ 65,237
8,618 Reuters Holdings Plc. ........................ 118,256
1,140 Rexam Plc. ................................... 4,604
5,479 Rio Tinto Plc. ............................... 132,311
1,460 RMC Group Plc. ............................... 19,692
133 Royal & Sun Alliance Insurance Group
Plc. ......................................... 1,013
3,816 Royal Bank of Scotland Group Plc. ............ 67,681
9,258 Sainsbury (J.) Plc. .......................... 52,228
1,500 Schroders Plc. ............................... 30,190
6,241 Scottish Power Plc. .......................... 47,280
3,157 SEMA Group Plc. .............................. 56,808
19,388 Siebe Plc. ................................... 105,540
29,487 SmithKline Beechman Plc. ..................... 376,280
851 Smiths Industries Plc. ....................... 12,475
3,669 Stagecoach Holdings Plc. ..................... 8,682
914 Tate & Lyle Plc. ............................. 5,994
39,144 Tesco Plc. ................................... 119,762
2,708 Thames Water Plc. ............................ 33,769
2,812 TI Group Plc. ................................ 20,894
16,675 Unilever Plc. ................................ 122,690
2,352 United Utilities Plc. ........................ 24,448
152,104 Vodafone Group Plc. .......................... 753,665
6,155 Williams Holding Plc. ........................ 28,136
2,166 Wolseley Plc. ................................ 15,972
4,796 WPP Group Plc. ............................... 75,998
4,337 Zeneca Group Plc. ............................ 179,903
----------
9,722,961
----------
TOTAL COMMON STOCKS (Cost $38,518,558) 49,262,677
----------
PREFERRED STOCKS - 0.61%
AUSTRALIA - 0.18%
11,332 News Corp., Ltd. ............................. 97,085
----------
AUSTRIA - 0.08%
805 Bank Austria AG .............................. 45,407
----------
GERMANY - 0.34%
550 RWE AG ....................................... 16,952
250 SAP AG-Vorzug ................................ 150,584
500 Volkswagen AG ................................ 16,015
----------
183,551
----------
ITALY - 0.01%
540 Fiat SPA ..................................... 7,805
----------
UNITED KINGDOM - 0.00%
1 British Aerospace Plc. ....................... 1
----------
TOTAL PREFERRED STOCKS (Cost $261,720) 333,849
----------
</TABLE>
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount* Description Value
- ---------- ------------------------------------------- ---------
<S> <C> <C>
BONDS - 0.02%
UNITED KINGDOM - 0.02%
GBP2,511 BG Transco Holdings plc, 7.06%, 12/14/09. $4,068
2,511 BG Transco Holdings plc, 4.19%, 12/14/22. 4,018
2,511 BG Transco Holdings plc, 7.00%, 12/16/24. 3,927
------
TOTAL BONDS (Cost $12,255) 12,013
------
</TABLE>
<TABLE>
<S> <C> <C>
SHORT-TERM INSTRUMENTS (c) - 8.23%
U.S. TREASURY BILLS - 8.23%
$1,740,000 5.25%, 1/13/2000 ............. 1,736,995
1,445,000 5.26%, 1/20/2000 ............. 1,441,084
55,000 5.14%, 1/27/2000 ............. 54,801
112,000 4.68%, 2/24/2000 ............. 111,227
780,000 4.78%, 3/23/2000 ............. 771,210
375,000 4.15%, 4/6/2000 (b) .......... 369,926
---------
TOTAL SHORT-TERM INSTRUMENTS (Cost $4,484,673) 4,485,243
---------
TOTAL INVESTMENTS (Cost $43,277,206)..... 99.26% 54,093,782
OTHER ASSETS IN EXCESS OF LIABILITIES.... 0.74% 405,024
------ ----------
NET ASSETS...............................100.00% $54,498,806
====== ===========
</TABLE>
- ---------------------
(a) Non-income producing security.
(b) Held for collateral for futures contracts.
(c) Rates shown represent effective yield at time of purchase.
* Principal amount is stated in the currency of the country in which the
security is denominated.
<TABLE>
<CAPTION>
INDUSTRY DIVERSIFICATION (AS A PERCENTAGE OF NET ASSETS):
(UNAUDITED)
INDUSTRY % OF NET ASSETS
- ----------------------------------------- ----------------
<S> <C>
Automobiles & Components ................ 4.40
Banks ................................... 12.00
Capital Goods ........................... 6.50
Commercial Services & Supplies .......... 1.30
Consumer Durables & Apparel ............. 3.80
Diversified Financials .................. 3.30
Food & Drug Retailing ................... 1.40
Food Beverage & Tobacco ................. 3.30
Hotels Restaurants & Leisure ............ 1.00
Household & Personal Products ........... 1.00
Insurance ............................... 5.00
Materials ............................... 4.70
Media ................................... 2.30
Oil & Gas ............................... 5.30
Pharmaceuticals ......................... 6.60
Real Estate ............................. 2.00
Retailing ............................... 2.30
Software & Services ..................... 2.80
Technology Hardware & Equipment ......... 10.10
Telecommunication Services .............. 14.30
Transportation .......................... 2.20
Utilities ............................... 4.40
------
100.00
======
</TABLE>
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Schedule of Investments DECEMBER 31, 1999
- --------------------------------------------------------------------------------
At December 31, 1999, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS CONTRACT EXPIRATION OPENING CURRENT UNREALIZED
PURCHASED TYPE DATE POSITION MARKET VALUE APPRECIATION
- ----------- ------------- ------------ ------------ -------------- -------------
<S> <C> <C> <C> <C> <C>
2 IBEX PLUS 1/21/00 $ 231,308 $ 236,502 $ 5,194
2 Hang Seng 1/28/00 210,843 218,306 7,463
9 TOPIX 3/9/00 1,419,309 1,508,076 88,767
23 Nikkei 300 3/9/00 691,996 725,545 33,549
10 FTSE 100 3/17/00 1,086,296 1,126,994 40,698
9 DAX 3/17/00 1,464,425 1,592,538 128,113
1 MIB30 3/17/00 202,403 218,417 16,014
4 SPI Futures 3/31/00 201,138 206,009 4,871
11 CAC 40 3/31/00 636,280 667,446 31,166
---------- ---------- --------
$6,143,998 $6,499,833 $355,835
========== ========== ========
</TABLE>
At December 31, 1999, the Fund's open forward currency exchange contracts were
as follows:
FORWARD FOREIGN CURRENCY BUY CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
CURRENCY CONTRACTS TO SETTLEMENT CONTRACTS AT IN EXCHANGE APPRECIATION
VALUE RECEIVE DATES VALUE FOR U.S. $ (DEPRECIATION)
- -------------- --------------- ------------ -------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
2,988,423 Euro Monetary 1/21/00 $3,014,956 $3,080,328 ($ 65,372)
178,878,732 Japanese Yen 1/21/00 1,756,990 1,727,079 29,911
480,678 British Pound 1/21/00 776,483 778,967 (2,484)
--------
($ 37,945)
========
</TABLE>
FORWARD FOREIGN CURRENCY SALE CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
CURRENCY CONTRACTS TO SETTLEMENT CONTRACTS AT IN EXCHANGE APPRECIATION
VALUE DELIVER DATES VALUE FOR U.S. $ (DEPRECIATION)
- ------------ --------------- ------------ -------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
475,390 Euro Monetary 1/21/00 $479,611 $481,000 $1,389
36,050,250 Japanese Yen 1/21/00 354,094 355,000 906
77,535 British Pound 1/21/00 125,250 125,000 (250)
------
$2,045
======
</TABLE>
See Notes to Financial Statements
13
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Statement of Assets and Liabilities DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investments at value (cost $43,277,206)................................................. $54,093,782
Cash, including foreign currency, at value ............................................. 427,529
Receivable for investment securities sold .............................................. 6,268
Interest and dividends receivable ...................................................... 73,806
Deferred organizational costs and other assets ......................................... 11,039
-----------
Total Assets .......................................................................... 54,612,424
-----------
LIABILITIES:
Net unrealized depreciation on forward foreign currency exchange contracts ............. 35,900
Investment Advisory fee payable ........................................................ 8,185
Administration fee payable ............................................................. 4,089
Custody fee payable .................................................................... 13,562
Other accrued expenses ................................................................. 51,882
-----------
Total Liabilities ..................................................................... 113,618
-----------
TOTAL NET ASSETS ......................................................................... $54,498,806
===========
COMPOSITION OF NET ASSETS:
Paid-in-capital (4,006,996 outstanding shares of beneficial interest) .................. $42,395,494
Distributions in excess of net investment income* ...................................... (232,283)
Accumulated net realized gain on investments and futures contracts ..................... 1,292,581
Net unrealized appreciation of investments, foreign currency transactions and futures
contracts 11,043,014
-----------
TOTAL NET ASSETS ......................................................................... $54,498,806
===========
NET ASSET VALUE PER SHARE ................................................................ $ 13.60
===========
</TABLE>
- ----------
* Undistributed net investment income includes net realized gains (losses) on
foreign currency transactions. Net realized gains on foreign currency
transactions are distributed as net investment income in accordance with
provisions of the Internal Revenue Code.
See Notes to Financial Statements
14
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Statement of Operations FOR THE YEAR ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ............................................................................... $ 172,201
Dividends .............................................................................. 765,167
Less foreign taxes withheld ........................................................... (91,167)
-----------
Total Investment Income ............................................................... 846,201
-----------
EXPENSES:
Advisory fees .......................................................................... 189,499
Administration and accounting fees ..................................................... 123,616
Custodian fees ......................................................................... 54,985
Printing fees .......................................................................... 35,012
Professional fees ...................................................................... 34,297
Trustees fees .......................................................................... 21,026
Transfer agent fees .................................................................... 9,984
Amortization of organizational costs ................................................... 4,168
Registration and filing fees ........................................................... 3,661
Other .................................................................................. 2,847
-----------
Total expenses before waiver/reimbursement ............................................ 479,095
Less waiver/reimbursement by Advisor .................................................. (179,979)
Less waiver by Administrator .......................................................... (27,500)
-----------
Total expenses net of waiver/reimbursement ............................................ 271,616
-----------
NET INVESTMENT INCOME .................................................................... 574,585
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCY TRANSACTIONS AND
FUTURES CONTRACTS
Net realized gain on investments ....................................................... 2,007,711
Net realized loss on foreign currency transactions ..................................... (156,730)
Net realized gain on futures contracts ................................................. 1,175,552
Net change in unrealized appreciation (depreciation) of investments .................... 7,560,672
Net change in unrealized appreciation (depreciation) of foreign currency transactions .. (71,984)
Net change in unrealized appreciation (depreciation) of futures contracts .............. 184,814
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, FOREIGN CURRENCY TRANSACTIONS AND
FUTURES CONTRACTS 10,700,035
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..................................... $11,274,620
===========
</TABLE>
See Notes to Financial Statements
15
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
------------------- ------------------
<S> <C> <C>
INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income ................................................................... $ 574,585 $ 280,241
Net realized gain on investments, futures contracts and foreign currency transactions ... 3,026,533 100,196
Net change in unrealized appreciation of investments, foreign currency transactions and
futures contracts ..................................................................... 7,673,502 4,388,022
------------- ------------
Net increase in net assets resulting from operations .................................. 11,274,620 4,768,459
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................................... (857,299) (492,028)
Net realized gain on investments ........................................................ (1,601,497) (30,752)
------------- ------------
Total distributions ..................................................................... (2,458,796) (522,780)
------------- ------------
SHARE TRANSACTIONS:
Net proceeds from sale of shares ........................................................ 44,827,979 18,290,262
Issued to shareholders in reinvestment of distributions ................................. 2,458,796 522,780
Costs of shares repurchased ............................................................. (37,559,393) (1,512,182)
------------- ------------
Net increase in net assets from share transactions .................................... 9,727,382 17,300,860
------------- ------------
Net increase in net assets ............................................................ 18,543,206 21,546,539
------------- ------------
NET ASSETS:
Beginning of year ....................................................................... 35,955,600 14,409,061
------------- ------------
End of year ............................................................................. $ 54,498,806 $ 35,955,600
============= ============
Undistributed (distributions in excess of) net investment income ......................... $ (232,283) $ 114,484
============= ============
</TABLE>
See Notes to Financial Statements
16
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Financial Highlights
- --------------------------------------------------------------------------------
For a share outstanding throughout each period
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31, 1999
-------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................................. $ 11.18
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................................... 0.15
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency transactions ........................ 2.92
-------
Net increase (decrease) in net asset value from operations .......... 3.07
-------
LESS DISTRIBUTIONS:
Distributions from net investment income ............................ (0.23)
Distributions from net realized gain on investments ................. (0.42)
-------
Total distributions ................................................ (0.65)
-------
NET ASSET VALUE, END OF PERIOD ....................................... $ 13.60
=======
TOTAL RETURN(4) ...................................................... 27.60%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period (in 000s) .................................. $54,499
Ratios to average net assets:
Net investment income including reimbursement/waiver ................ 1.37%
Net investment income (loss) excluding reimbursement/waiver ......... 0.88%
Operating expenses including reimbursement/waiver ................... 0.65%
Operating expenses excluding reimbursement/waiver ................... 1.15%
Portfolio turnover rate .............................................. 29%
<CAPTION>
FOR THE PERIOD
AUGUST 22, 1997(1)
YEAR ENDED THROUGH
DECEMBER 31, 1998 DECEMBER 31, 1997
------------------- -------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................................. $ 9.34 $ 10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................................... 0.12 0.02 (2)
Net realized and unrealized gain (loss) on investments, futures
contracts and foreign currency transactions ........................ 1.89 (0.68)
------- -------------
Net increase (decrease) in net asset value from operations .......... 2.01 (0.66)
------- -------------
LESS DISTRIBUTIONS:
Distributions from net investment income ............................ (0.16) 0.00
Distributions from net realized gain on investments ................. (0.01) 0.00
------- -------------
Total distributions ................................................ (0.17) 0.00
------- -------------
NET ASSET VALUE, END OF PERIOD ....................................... $ 11.18 $ 9.34
======= =============
TOTAL RETURN(4) ...................................................... 21.60% (6.60)%
RATIOS / SUPPLEMENTAL DATA
Net assets, end of period (in 000s) .................................. $35,956 $ 14,409
Ratios to average net assets:
Net investment income including reimbursement/waiver ................ 1.20% 0.72%(3)
Net investment income (loss) excluding reimbursement/waiver ......... 0.19% (1.38)%(3)
Operating expenses including reimbursement/waiver ................... 0.65% 0.65%(3)
Operating expenses excluding reimbursement/waiver ................... 1.66% 2.75%(3)
Portfolio turnover rate .............................................. 7% 0%(5)
</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.
(5) Less than 1%
See Notes to Financial Statements
17
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Notes to Financial Statements DECEMBER 31, 1999
- --------------------------------------------------------------------------------
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(R) 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
EAFE(R) Equity Index Fund (the "Fund") which commenced operations on August 22,
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,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. 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. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
The Fund may enter into forward foreign currency exchange contracts. A forward
foreign currency exchange contract is an obligation to purchase or sell a
specific currency at a specified price at a future date. These contracts are
used in an attempt to protect against fluctuations in foreign currency exchange
rates that would adversely affect the portfolio position or an anticipated
investment position. Forward foreign currency exchange contracts are valued at
the daily forward exchange rate of the underlying currency. Gains or losses on
the purchase or sale of forward foreign currency exchange contracts having the
same settlement date and broker are recognized on the date of offset, otherwise
gains or losses are recognized on the settlement date. The use of forward
foreign currency exchange contracts does not eliminate fluctuations in the
underlying prices of the Fund's securities, but it does establish a rate of
exchange that can be achieved in the future. Although forward foreign currency
exchange contracts limit the risk of loss due to a decline in the value of the
hedged currency, they also limit any potential gain that might result should
the value of the currency increase. In addition, the Fund could be exposed to
risks if the counterparties to the contracts are unable to meet the terms of
their contracts.
F. FOREIGN CURRENCY TRANSLATION
Assets and liabilities denominated in foreign currencies and commitments under
forward foreign exchange currency contracts are translated into U.S. dollars at
the mean of the quoted bid and asked prices of such currencies against the U.S.
dollar. Purchases and sales of portfolio securities are translated into U.S.
dollars at the rates of exchange prevailing when such securities were acquired
or sold. Income and expenses are translated into U.S. dollars at rates of
exchange prevailing when earned or accrued.
Net foreign exchange losses of $156,730 for the year ended December 31, 1999,
represent foreign exchange gains and losses from sales and maturities of
securities, holding of foreign currencies, exchange gains or losses realized
between the trade and settlement dates on security transactions, and the
difference between the amounts of interest and dividends recorded on the Fund's
books and the U.S. dollar equivalent of the amounts actually received or paid.
Net currency gains and losses from valuing foreign currency denominated assets
and liabilities at year end exchange rates are reflected as a component of net
unrealized appreciation (depreciation) of investments, assets and liabilities
in foreign currency and futures contracts.
G. FOREIGN SECURITIES
The Fund invests in foreign securities. Investing in securities of foreign
companies involves special risks and considerations not typically associated
with investing in the securities of U.S. companies. These risks include
re-evaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. companies.
H. FEDERAL INCOME TAXES
The Fund intends to continue to elect to be treated as a "regulated investment
company" under Sup-chapter M of the Internal Revenue Code and to distribute
substantially all of its net taxable income. Accordingly, no provision for
federal income taxes has been made in the accompanying financial statements.
I. EXPENSES
The Trust accounts separately for the assets, liabilities and operations of
each of the Funds. Expenses directly attributable to a Fund are charged to that
Fund, while the expenses which are attributable to more than one Fund of the
Trust are allocated based upon the relative net assets of each Fund.
18
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Notes to Financial Statements -- continued DECEMBER 31, 1999
- --------------------------------------------------------------------------------
J. ORGANIZATION COSTS
Costs incurred in connection with the Fund's organization are being amortized
on a straight-line basis over five years commencing on August 22, 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.
K. 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.
Distributions from net realized gains for book purposes may involve short-term
capital gains, which are included as ordinary income for tax purposes.
L. 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>
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
------------------- ------------------
SHARES SHARES
------------------- ------------------
<S> <C> <C>
Shares sold 3,779,094 1,768,419
Reinvestment of
dividends 185,011 48,903
Shares redeemed (3,172,659) (143,685)
---------- ---------
Net Increase 791,446 1,673,637
========== =========
</TABLE>
M. 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 0.45% 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 will not exceed 0.65% of average daily net assets.
Effective December 1, 1999, First Data Investor Services Group, Inc. ("Investor
Services Group"), the Fund's Administrator and Transfer Agent, became a
majority-owned subsidiary of PNC Bank Corp. As a result of this transaction,
Investor Services Group is now known as PFPC Inc. For services rendered as the
Trust's Administrator, PFPC Inc. 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>
PFPC Inc. also receives a $70,000 flat fee per year, per Series of the Trust,
paid monthly.
PFPC Inc. waived $27,500 of its fees for the year ended December 31, 1999.
Bankers Trust Company also serves as custodian for the Fund and receives a fee
for this service.
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.
At December 31, 1999, the Fund was a participant with other affiliated entities
in a revolving credit facility in the amount of $150,000,000, which expires
April 29, 2000. A commitment fee of .10% per annum on the average daily amount
of the available commitment is payable on a quarterly basis and apportioned
equally among all participants. No amounts were drawn down or outstanding for
this Fund under the credit facility for the year ended December 31, 1999.
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 year ended December 31, 1999, were
$18,825,189 and $11,184,857, respectively.
The gross unrealized appreciation, gross unrealized depreciation and net
unrealized appreciation on the Fund's investments, as computed on a federal
income tax basis, at December 31, 1999 were $12,719,708, $1,926,000 and
$10,793,708, respectively. The aggregate cost of investments as computed on a
federal income tax basis at December 31, 1999 was $43,300,074.
NOTE 4 -- OTHER INFORMATION
Bankers Trust is a wholly owned subsidiary of Bankers Trust Corporation ("BT
Corp."). On June 4, 1999, BT Corp. was acquired by Deutsche Bank AG ("Deutsche
Bank"). As a result of the transaction, Bankers Trust became an indirect wholly
owned subsidiary of Deutsche Bank.
19
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Report of Independent Auditors
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
BT Insurance Funds Trust -- EAFE(R) Equity Index Fund
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of the EAFE(R) Equity Index Fund (the "Fund") as
of December 31, 1999, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the two years in
the period then ended and for the period August 22, 1997 (commencement of
operations) to December 31, 1997. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence
with the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
EAFE(R) Equity Index Fund at December 31, 1999, the results of its operations
for the year then ended, the changes in its net assets for each of the two
years in the period then ended, and its financial highlights for each of the
two years in the period then ended and for the period August 22, 1997
(commencement of operations) to December 31, 1997, in conformity with
accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG, LLP
Philadelphia, Pennsylvania
February 4, 2000
20
<PAGE>
- --------------------------------------------------------------------------------
BT INSURANCE FUNDS TRUST EAFE(R) EQUITY INDEX FUND
Proxy Voting Results (unaudited)
- --------------------------------------------------------------------------------
Pursuant to notice duly given, a Special Meeting of Shareholders of BT
Insurance Funds Trust (the "Trust") was held Thursday, September 30, 1999, at
2:00 p.m. at the offices of BT Alex.Brown Incorporated, One South Street, 30th
Floor, Baltimore, Maryland 21202.
It was reported that there were present in person or represented by proxy the
holders of 3,271,063.769 shares of the EAFE(R) Equity Index Fund, out of a
total of 3,308,232.274 shares outstanding on the record date and entitled to
vote. The results of the voting on the proposals were as follows:
PROPOSAL IA: Approval of the new investment management agreement between the
Trust and Bankers Trust Company
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.809%
AGAINST 0.062%
ABSTAIN 1.005%
</TABLE>
PROPOSAL IB: Approval of the new investment management agreement between the
Trust and Morgan Grenfell, Inc.
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.823%
AGAINST 0.049%
ABSTAIN 1.005%
</TABLE>
PROPOSAL IC: Approval of the new investment sub-management agreement among the
Trust, Morgan Grenfell, Inc. and Bankers Trust Company
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.794%
AGAINST 0.062%
ABSTAIN 1.020%
</TABLE>
PROPOSAL II: Election of Six Trustees
ROBERT R. COBY
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.726%
AGAINST 0.122%
ABSTAIN 1.028%
</TABLE>
DESMOND G. FITZGERALD
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.726%
AGAINST 0.122%
ABSTAIN 1.028%
</TABLE>
JAMES S. PASMAN, JR.
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.726%
AGAINST 0.122%
ABSTAIN 1.028%
</TABLE>
EDWARD C. SCHMULTS
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.726%
AGAINST 0.122%
ABSTAIN 1.028%
</TABLE>
WILLIAM E. SMALL
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.726%
AGAINST 0.122%
ABSTAIN 1.028%
</TABLE>
WERNER WALBROEL
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.726%
AGAINST 0.122%
ABSTAIN 1.028%
</TABLE>
PROPOSAL III: Ratification of Ernst & Young LLP as Auditors of each Fund
<TABLE>
<CAPTION>
EAFE(R) EQUITY INDEX FUND % OF SHARES OUTSTANDING
- --------------------------- ------------------------
<S> <C>
FOR 97.958%
AGAINST 0.040%
ABSTAIN 0.879%
</TABLE>
21
<PAGE>
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<PAGE>
(This Page Intentionally Left Blank)
<PAGE>
BT INSURANCE FUNDS TRUST
EAFE(R) EQUITY INDEX FUND
INVESTMENT ADVISOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
ADMINISTRATOR AND TRANSFER AGENT
PFPC INC.
3200 Horizon Drive
King of Prussia, PA 19406
DISTRIBUTOR
PROVIDENT DISTRIBUTORS, INC.
Four Falls Corporate Center
West Conshohocken, PA 19428
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.
-------------------
EAFE(R) Equity Index Fund Cusip #00576E508
INSEAFEANN (12/99)
