<PAGE>
GOVERNMENT INCOME PORTFOLIO
NEUBERGER&BERMAN
ADVISERS MANAGEMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1996
NBAMT0101296
<PAGE>
PORTFOLIO MANAGERS' COMMENTARY
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Government Income Portfolio
For fixed income investors, 1996 was a thrilling roller coaster ride that
kept participants gripping their seats while wondering what was around the next
turn. The first six months of 1996 surprised the market with a dramatic increase
in interest rates that resulted in negative returns for most long-term bond
indices through the first six months of the year. Just as investors were
preparing for more of the same, the bond market reversed course, sending
participants on another exciting ride for the last six months of 1996. This
time, however, interest rates declined dramatically, allowing long-term bond
indices to post positive returns for the full year. We are happy to report that
the AMT Government Income Portfolio benefited significantly from the bond market
rally over the last six months of 1996.
Given the tremendous unpredictability of the bond market over the past six
months, we targeted a strategy of building as much yield as possible into the
Portfolio. Our objective was to create the highest probability of delivering
substantial and positive returns in an environment in which knowing the
direction of future interest rate movement was difficult. We accomplished this
by increasing our commitments to the mortgage-backed and asset-backed sectors at
the expense of generic U.S. Treasury securities. These sectors have provided
long-term value to patient investors, particularly in uncertain interest rate
environments. Since the asset-backed and mortgage-backed securities that we
purchased were rated either "AAA" or guaranteed by U.S. agencies, the fund's
credit quality remained stellar.
Since interest rates changed during 1996, we managed the fund's duration --
or its sensitivity to interest movements -- with the same prudent,
value-oriented approach that has served our shareholders so well over the years.
We attempted to discern the major trends in interest rates during the year in an
effort to avoid a significant portion of the first half's back-up yields while
catching most of the second half's bond market rally. As a result, we increased
the duration of the Portfolio during September and October as the burgeoning
bond market rally gained momentum. When the rally began to fade in December, we
reduced duration back to approximately the same level at which we ended the
first half of 1996. The net impact of our prudent duration strategy was a
positive contribution to performance.
As we all celebrate the hope for a happy and healthy new year -- particularly
in the bond market -- we cannot help but reflect with pride on the Portfolio's
success in navigating through a difficult year for fixed income investors. While
we hope that some of the success experienced in the equity markets will make its
way around to the bond market in 1997, we can honestly say that we will be
working every day to attempt to deliver to you the most that the fixed income
markets have to offer -- regardless of the environment.
William Cunningham Ted Giuliano
The composition and holdings of the Portfolio are subject to change. Shares of
the separate Portfolios of Neuberger&Berman Advisers Management Trust are sold
only through the currently effective prospectus and are not available to the
general public. Shares of the Government Income, Growth, Limited Maturity Bond,
Liquid Asset and Partners Portfolios may be purchased only by life insurance
companies to be used with their separate accounts which fund variable annuity
and variable life insurance policies. The views of the portfolio managers
expressed in this report are as of the date written above. The managers' views
are subject to change at any time based on market and other conditions.
2
<PAGE>
COMPARISON OF A $10,000 INVESTMENT
Neuberger&Berman Advisers Management Trust December 31, 1996
- --------------------------------------------------------------------------------
Government Income Portfolio
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
Average Annual Total Return (1) Salomon Brothers Government Income
Mortgage Index (2) Portfolio
1 Year +5.37% +1.32%
Life of Fund +8.01% +5.13%
Salomon Brothers Government Income
Mortgage Index (2) Portfolio
03/22/1994 $10,000.00 $10,000.00
12/31/1994 $10,068.73 $10,150.00
1995 $11,757.16 $11,343.69
1996 $12,388.62 $11,493.79
</TABLE>
The inception date of Government Income Portfolio (the "Fund") is 3/22/94.
Neuberger&Berman Management Inc.-Registered Trademark- has voluntarily
undertaken to reimburse Government Income Portfolio for its operating expenses
and its pro rata share of AMT Government Income Investments' (the "Series")
operating expenses which, in the aggregate, exceed 1.0% per annum of the Fund's
average daily net assets. This arrangement can be terminated upon 60 days'
notice. Absent such arrangement, the average annual total returns would have
been less.
1. "Total Return" includes reinvestment of all income dividends and capital
gain distributions. Results represent past performance and do not guarantee
future results. The value of an investment in the Fund and the return on the
investment both will fluctuate, and redemption proceeds may
be higher or lower than an investor's original cost.
2. The Salomon Brothers Mortgage Index is an unmanaged total return index
consisting of all Agency pass-throughs, GNMA, FNMA, and FHLMC securities and
75-day, 30- and 15-year securities, and FHA and GNMA project loans. Please note
that indices do not take into account any fees and expenses of investing in the
individual securities that they track, and that individuals cannot invest
directly in any index. Data about the performance of this index are prepared or
obtained by Neuberger&Berman Management Inc. and include reinvestment of all
dividends and capital gain distributions. The Series invests in many securities
not included in the above-described index.
Performance data are historical and include changes in share price and
reinvestment of dividends and capital gain distributions. Performance numbers
are net of all Fund operating expenses, but do not include any insurance charges
imposed by your insurance company's variable annuity or variable life insurance
policy. If this performance information included the effect of the insurance
charges, performance numbers would be lower.
3
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Government Income Portfolio
<TABLE>
<CAPTION>
December 31,
1996
--------------
<S> <C>
ASSETS
Investment in Series, at value (Note A) $ 3,460,909
Receivable from administrator -- net (Note
B) 7,559
Deferred organization costs (Note A) 6,407
--------------
3,474,875
--------------
LIABILITIES
Accrued expenses 20,092
Payable for Trust shares redeemed 3,048
--------------
23,140
--------------
NET ASSETS at value $ 3,451,735
--------------
NET ASSETS consist of:
Par value $ 325
Paid-in capital in excess of par value 3,320,464
Accumulated undistributed net investment
income 158,992
Accumulated net realized losses on
investment (15,099)
Net unrealized depreciation in value of
investment (12,947)
--------------
NET ASSETS at value $ 3,451,735
--------------
SHARES OUTSTANDING
($.001 par value; unlimited shares
authorized) 324,721
--------------
NET ASSET VALUE, offering and redemption price per
share $10.63
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
4
<PAGE>
STATEMENT OF OPERATIONS
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Government Income Portfolio
<TABLE>
<CAPTION>
For the
Year Ended
December 31,
1996
------------
<S> <C>
INVESTMENT INCOME
Investment income from Series (Note A) $ 191,105
------------
Expenses:
Administration fee (Note B) 11,557
Shareholder reports 20,713
Custodian fees 10,000
Amortization of deferred organization and
initial offering expenses (Note A) 2,897
Legal fees 250
Trustees' fees and expenses 143
Registration and filing fees 97
Auditing fees 32
Miscellaneous 732
Expenses from Series (Notes A & B) 38,868
------------
Total expenses 85,289
Deduct -- expenses reimbursed by
administrator (Note B) (55,692)
------------
Total net expenses 29,597
------------
Net investment income 161,508
------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS FROM
SERIES (NOTE A)
Net realized loss on investment securities (15,099)
Change in net unrealized appreciation
(depreciation) of investment securities (63,858)
------------
Net loss on investments from Series (Note
A) (78,957)
------------
Net increase in net assets resulting from
operations $ 82,551
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Government Income Portfolio
<TABLE>
<CAPTION>
Year Ended
December 31,
1996 1995
-----------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 161,508 $ 84,106
Net realized gain (loss) on
investments from Series (Note A) (15,099) 6,989
Change in net unrealized
appreciation (depreciation) of
investments from Series (Note A) (63,858) 73,552
-----------------------------
Net increase in net assets resulting
from operations 82,551 164,647
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (84,129) (38,686)
Net realized gain on investments (8,629) --
-----------------------------
Total distributions to shareholders (92,758) (38,686)
-----------------------------
FROM TRUST SHARE TRANSACTIONS:
Proceeds from shares sold 1,829,330 1,157,027
Proceeds from reinvestment of
dividends and distributions 92,758 38,686
Payments for shares redeemed (651,702) (163,457)
-----------------------------
Net increase from Trust share
transactions 1,270,386 1,032,256
-----------------------------
NET INCREASE IN NET ASSETS 1,260,179 1,158,217
NET ASSETS:
Beginning of year 2,191,556 1,033,339
-----------------------------
End of year $ 3,451,735 $ 2,191,556
-----------------------------
Accumulated undistributed net
investment income at end of year $ 158,992 $ 83,300
-----------------------------
NUMBER OF TRUST SHARES:
Sold 176,971 110,418
Issued on reinvestment of dividends
and distributions 9,023 3,853
Redeemed (61,852) (15,500)
-----------------------------
Net increase in shares outstanding 124,142 98,771
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
6
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Neuberger&Berman Advisers Management Trust December 31, 1996
- --------------------------------------------------------------------------------
Government Income Portfolio
NOTE A -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES:
1) GENERAL: Government Income Portfolio (the "Fund") is a separate operating
series of Neuberger&Berman Advisers Management Trust (the "Trust"), a
Delaware business trust organized pursuant to a Trust Instrument dated May
23, 1994. The Trust is currently comprised of six separate operating series
(the "Funds"). The Trust is registered as a diversified, open-end management
investment company under the Investment Company Act of 1940, as amended, and
its shares are registered under the Securities Act of 1933, as amended. The
predecessors of the Funds were converted into the Funds after the close of
business on April 28, 1995 (the "conversion"); these conversions were
approved by the shareholders of the predecessors of the Funds in August,
1994. The trustees of the Trust may establish additional series or classes of
shares without the approval of shareholders.
The assets of each fund belong only to that fund, and the liabilities of
each fund are borne solely by that fund and no other.
The Fund seeks to achieve its investment objective by investing all of its
net investable assets in AMT Government Income Investments, a series of
Advisers Managers Trust (the "Series") having the same investment objective
and policies as the Fund. The value of the Fund's investment in the Series
reflects the Fund's proportionate interest in the net assets of the Series
(100% at December 31, 1996). The performance of the Fund is directly affected
by the performance of the Series. The financial statements of the Series,
including the Schedule of Investments, are included elsewhere in this report
and should be read in conjunction with the Fund's financial statements.
2) PORTFOLIO VALUATION: The Fund records its investment in the Series at value.
Investment securities held by the Series are valued by Advisers Managers
Trust as indicated in the notes following the Series' Schedule of
Investments.
3) FEDERAL INCOME TAXES: The Fund and the other series of the Trust are treated
as separate entities for Federal income tax purposes. It is the policy of the
Fund to continue to qualify as a regulated investment company by complying
with the provisions available to certain investment companies, as defined in
applicable sections of the Internal Revenue Code, and to make distributions
of investment company taxable income and net capital gains (after reduction
for any amounts available for Federal income tax purposes as capital loss
carryforwards) sufficient to relieve it from all, or substantially all,
Federal income taxes. Accordingly, the Fund paid no Federal income taxes and
no provision for Federal income taxes was required.
4) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: The Fund earns income, net of
Series expenses, daily on its investment in the Series. Dividends and
distributions from net realized capital gains, if any, are normally
distributed in February. Income dividends and capital gain distributions to
shareholders are recorded on the ex-dividend date. To the extent the Fund's
net realized capital gains, if any, can be offset by capital loss
carryforwards ($14,997 expiring in 2004, determined as of December 31, 1996),
it is the policy of the Fund not to distribute such gains.
The Fund distinguishes between dividends on a tax basis and a financial
reporting basis and only distributions in excess of tax basis earnings and
profits are reported in the financial statements as a return of capital.
Differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Neuberger&Berman Advisers Management Trust December 31, 1996
- --------------------------------------------------------------------------------
Government Income Portfolio
5) ORGANIZATION EXPENSES: Expenses incurred by the Fund in connection with its
organization are being amortized by the Fund on a straight-line basis over a
five-year period. At December 31, 1996, the unamortized balance of such
expenses amounted to $6,407.
6) EXPENSE ALLOCATION: Expenses directly attributable to a fund are charged to
that fund. Expenses not directly attributed to a fund are allocated, on the
basis of relative net assets, to each of the funds of the Trust.
7) OTHER: All net investment income and realized and unrealized capital gains
and losses of the Series are allocated pro rata among the Fund and any other
investors in the Series.
NOTE B -- ADMINISTRATION FEES, DISTRIBUTION ARRANGEMENTS, AND OTHER TRANSACTIONS
WITH AFFILIATES:
Fund shares are issued and redeemed in connection with investments in and
payments under certain variable annuity contracts and variable life insurance
policies issued through separate accounts of life insurance companies.
The Fund retains Neuberger&Berman Management Incorporated ("Management") as
its administrator under an Administration Agreement ("Agreement") dated as of
May 1, 1995. Pursuant to this Agreement the Fund pays Management an
administration fee at the annual rate of .40% of the Fund's average daily net
assets and indirectly pays for investment management services through its
investment in the Series (see Note B of Notes to Financial Statements of the
Series). Prior to conversion, the predecessor of the Fund paid Management for
investment advisory and administrative services a fee at the annual rate of .60%
of its average daily net assets.
On April 16, 1993, the shareholders of the Trust adopted a distribution plan
("Plan") which provided that the predecessor to the Trust, on behalf of any of
its series, could reimburse Management after each calendar quarter for certain
distribution expenses in an amount not to exceed .25%, on an annual basis, of
that series' average daily net assets as of the close of such calendar quarter.
The Plan became effective on May 1, 1993, was implemented on November 1, 1993,
and was terminated on April 30, 1995. Effective May 1, 1995, the trustees of the
Trust adopted a non-fee distribution plan for each series of the Trust.
Management has voluntarily undertaken to limit the Fund's expenses by
reimbursing the Fund for its operating expenses and its pro rata share of its
Series' operating expenses (including the fees payable to Management but
excluding interest, taxes, brokerage commissions, extraordinary expenses, and
transaction costs) which exceed, in the aggregate, 1% per annum of the Fund's
average daily net assets. This undertaking is subject to termination by
Management upon at least 60 days' prior written notice to the Fund, as it was
for its predecessor prior to the conversion. For the year ended December 31,
1996, such excess expenses amounted to $55,692.
All of the capital stock of Management is owned by individuals who are also
principals of Neuberger&Berman, LLC ("Neuberger"), a member firm of The New York
Stock Exchange and sub-adviser to the Series. Several individuals who are
officers and/or trustees of the Trust are also principals of Neuberger and/or
officers and/or directors of Management.
The Series has an expense offset arrangement in connection with its custodian
contract. The impact of this arrangement, reflected in the Statement of
Operations under the caption Expenses from Series, is $783, which is less than
.03% of the Fund's average daily net assets.
NOTE C -- INVESTMENT TRANSACTIONS:
During the year ended December 31, 1996, additions and reductions in the
Fund's investment in its Series amounted to $1,830,526, and $636,770,
respectively.
8
<PAGE>
FINANCIAL HIGHLIGHTS
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Government Income Portfolio
The following table includes selected data for a share outstanding throughout
each year and other performance information derived from the Financial
Statements. It should be read in conjunction with its Series' Financial
Statements and notes thereto.(1)
<TABLE>
<CAPTION>
Period
from
March
22,
1994(3)
to
Year Ended December December
31, 31,
1996(2) 1995(2) 1994
-------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Year $10.93 $10.15 $10.00
-------------------------------
Income From Investment Operations
Net Investment Income .67 .70 .37
Net Gains or Losses on Securities
(both realized and unrealized) (.54) .46 (.22)
-------------------------------
Total From Investment Operations .13 1.16 .15
-------------------------------
Less Distributions
Dividends (from net investment
income) (.39) (.38) --
Distributions (from capital gains) (.04) -- --
-------------------------------
Total Distributions (.43) (.38) --
-------------------------------
Net Asset Value, End of Year $10.63 $10.93 $10.15
-------------------------------
Total Return(4) +1.32% +11.76% +1.50%(5)
-------------------------------
Ratios/Supplemental Data
Net Assets, End of Year (in
millions) $ 3.5 $ 2.2 $ 1.0
-------------------------------
Ratio of Expenses to Average Net
Assets(6) 1.02% 1.05% 1.09%(7)
-------------------------------
Ratio of Net Investment Income to
Average Net Assets(6) 5.59% 5.71% 4.78%(7)
-------------------------------
Portfolio Turnover Rate(8) -- 2% 3%
-------------------------------
</TABLE>
SEE NOTES TO FINANCIAL HIGHLIGHTS
9
<PAGE>
NOTES TO FINANCIAL HIGHLIGHTS
Neuberger&Berman Advisers Management Trust December 31, 1996
- --------------------------------------------------------------------------------
Government Income Portfolio
1) The per share amounts which are shown have been computed based on the average
number of shares outstanding during each year.
2) The per share amounts and ratios which are shown reflect income and expenses,
including the Fund's proportionate share of the Series' income and expenses.
3) The date investment operations commenced.
4) Total return based on per share net asset value reflects the effects of
changes in net asset value on the performance of the Fund during each year
and assumes dividends and capital gain distributions, if any, were
reinvested. Results represent past performance and do not guarantee future
results. Investment returns and principal may fluctuate and shares when
redeemed may be worth more or less than original cost. Total return figures
would have been lower if Management had not reimbursed certain expenses. The
total return information shown does not reflect expenses that apply to the
separate account or the related insurance policies, and the inclusion of
these charges would reduce the total return figures for all years shown.
5) Not annualized.
6) After reimbursement of expenses by Management as described in Note B of Notes
to Financial Statements. Had Management not undertaken such action the
annualized ratios to average daily net assets would have been:
<TABLE>
<CAPTION>
Period
from
March
22,
1994
to
Year Ended December
December 31, 31,
<S> <C> <C> <C>
1996 1995 1994
Expenses 2.95% 4.21% 2.57%
Net Investment Income 3.66% 2.55% 3.30%
</TABLE>
7) Annualized.
8) The Fund transferred all of its investment securities into its Series on
April 28, 1995. After that date the Fund invested only in its Series, and
that Series, rather than the Fund, engaged in securities transactions.
Therefore, after that date the Fund had no portfolio turnover rate. Portfolio
turnover rates for the periods ending after April 28, 1995, are included
elsewhere in AMT Government Income Investments' Financial Highlights.
10
<PAGE>
REPORT OF INDEPENDENT AUDITORS
To the Board of Trustees of
Neuberger&Berman Advisers Management Trust and
Shareholders of Government Income Portfolio
We have audited the accompanying Statement of Assets and Liabilities of
Government Income Portfolio, one of the series comprising Neuberger&Berman
Advisers Management Trust (the "Trust"), as of December 31, 1996, and the
related Statement of Operations for the year then ended, the Statement 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 from March 22, 1994 (Commencement of Operations) to December 31,
1994. These financial statements and financial highlights are the responsibility
of the Trust'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 generally accepted auditing
standards. 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. 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
Government Income Portfolio of Neuberger&Berman Advisers Management Trust at
December 31, 1996, 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 the financial highlights for each of the two years in the period then ended
and for the period from March 22, 1994 (Commencement of Operations) to December
31, 1994, in conformity with generally accepted accounting principles.
[SIGNATURE]
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 27, 1997
11
<PAGE>
SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1996
- --------------------------------------------------------------------------------
AMT Government Income Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody'S S&P Value(2)
- --------- ----------- --------- ----------
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES
(24.4%)
$ 40,000 U.S. Treasury Notes, 6.625%,
due 6/30/01 TSY TSY $ 40,633
50,000 U.S. Treasury Notes, 6.25%,
due 10/31/01 TSY TSY 50,025
200,000 U.S. Treasury Notes, 5.875%,
due 11/30/01 TSY TSY 197,060
300,000 U.S. Treasury Notes, 7.00%,
due 7/15/06 TSY TSY 311,631
165,000 U.S. Treasury Bonds, 7.625%,
due 2/15/25 TSY TSY 183,183
60,000 U.S. Treasury Bonds, 6.75%,
due 8/15/26 TSY TSY 60,495
----------
TOTAL U.S. TREASURY SECURITIES
(COST $847,128) 843,027
----------
U.S. GOVERNMENT AGENCY
SECURITIES (20.6%)
150,000 Federal Home Loan Mortgage
Corp., Discount Notes, 5.45%,
due 1/6/97 AGY AGY 149,868
300,000 Federal Farm Credit Bank,
Discount Notes, 5.32%, due
2/7/97 AGY AGY 298,311
60,000 Federal Home Loan Bank, Bonds,
Ser. 98, 5.25%, due 5/26/98 AGY AGY 59,526
200,000 Student Loan Marketing
Association, Global Notes,
7.50%, due 3/8/00 AGY AGY 207,148
----------
TOTAL U.S. GOVERNMENT AGENCY
SECURITIES (COST $721,184) 714,853
----------
MORTGAGE-BACKED SECURITIES
(52.0%)
FEDERAL HOME LOAN MORTGAGE CORP.
94,847 Gold Mortgage Participation
Certificates, 7.00%, due
4/1/11 AGY AGY 94,818
95,927 Gold Mortgage Participation
Certificates, 7.50%, due
5/1/26 AGY AGY 96,017
FEDERAL NATIONAL MORTGAGE ASSOCIATION
24,012 Pass-Through Certificates,
6.00%, due 3/1/11 AGY AGY 23,119
48,171 Pass-Through Certificates,
7.50%, due 5/1/11 AGY AGY 48,828
49,091 Pass-Through Certificates,
9.50%, due 2/1/25 AGY AGY 52,793
78,461 Pass-Through Certificates,
6.50%, due 11/1/10 & 1/1/26 AGY AGY 76,205
331,790 Pass-Through Certificates,
7.00%, due 1/1/10-2/1/26 AGY AGY 326,934
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
136,130 Pass-Through Certificates,
8.00%, due 11/15/17 AGY AGY 140,295
243,153 Pass-Through Certificates,
7.00%, due 8/15/24 AGY AGY 238,752
358,065 Pass-Through Certificates,
7.50%, due 7/15/11-3/15/26 AGY AGY 359,392
83,961 Pass-Through Certificates,
8.50%, due 8/15/26 AGY AGY 86,978
260,000 Pass-Through Certificates,
7.00%, TBA, 30 Year Maturity AGY AGY 254,231
----------
TOTAL MORTGAGE-BACKED
SECURITIES (COST $1,797,642) 1,798,362
----------
</TABLE>
12
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1996
- --------------------------------------------------------------------------------
AMT Government Income Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody'S S&P Value(2)
- --------- ----------- --------- ----------
<C> <S> <C> <C> <C>
ASSET-BACKED SECURITIES (6.6%)
$ 100,000 Capita Equipment Receivables
Trust, Ser. 1996-1, Class A-4,
6.28%, due 6/15/00 Aaa AAA $ 100,133
50,000 Ford Credit Auto Loan Master
Trust, Auto Loan Certificates,
Ser. 1996-1, 5.50%, due
2/15/03 Aaa AAA 48,302
75,000 Standard Credit Card Master
Trust I, Credit Card
Participation Certificates,
Ser. 1994-4, Class A, 8.25%,
due 11/7/03 Aaa AAA 80,505
----------
TOTAL ASSET-BACKED SECURITIES
(COST $232,175) 228,940
----------
TOTAL INVESTMENTS (103.6%)
(COST $3,598,129) 3,585,182(3)
Liabilities, less cash,
receivables and other assets
[(3.6%)] (124,272)
----------
TOTAL NET ASSETS (100.0%) $3,460,910
----------
</TABLE>
SEE NOTES TO SCHEDULE OF INVESTMENTS
13
<PAGE>
NOTES TO SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1996
- --------------------------------------------------------------------------------
AMT Government Income Investments
1) Credit ratings are unaudited.
2) Investment securities of the Series are valued daily by obtaining bid price
quotations from independent pricing services on selected securities available
in each service's data base. For all other securities requiring daily
quotations, bid prices are obtained from principal market makers in those
securities or, if quotations are not available, by a method the trustees of
Advisers Managers Trust believe accurately reflects fair value. Short-term
investments with less than 60 days until maturity may be valued at cost
which, when combined with interest earned, approximates market value.
3) At December 31, 1996, the cost of investments for Federal income tax purposes
was $3,598,231. Gross unrealized appreciation of investments was $11,644 and
gross unrealized depreciation of investments was $24,693, resulting in net
unrealized depreciation of $13,049, based on cost for Federal income tax
purposes.
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Government Income Investments
<TABLE>
<CAPTION>
December 31,
1996
--------------
<S> <C>
ASSETS
Investments in securities, at market value*
(Note A) -- see Schedule of Investments $ 3,585,182
Cash 18,174
Receivable for securities sold 68,897
Interest receivable 34,222
Deferred organization costs (Note A) 14,324
Prepaid expenses 43
--------------
3,720,842
--------------
LIABILITIES
Payable for securities purchased 255,450
Accrued expenses 3,426
Payable to investment manager (Note B) 1,056
--------------
259,932
--------------
NET ASSETS Applicable to Investors' Beneficial
Interests $ 3,460,910
--------------
NET ASSETS consist of:
Paid-in capital $ 3,473,857
Net unrealized depreciation in value of
investment securities (12,947)
--------------
NET ASSETS $ 3,460,910
--------------
*Cost of investments $ 3,598,129
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
STATEMENT OF OPERATIONS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Government Income Investments
<TABLE>
<CAPTION>
For the
Year Ended
December 31,
1996
------------
<S> <C>
INVESTMENT INCOME
Interest income $ 191,105
------------
Expenses:
Investment management fee (Note B) 10,138
Custodian fees (Note B) 13,729
Accounting fees 10,000
Amortization of deferred organization and
initial offering expenses (Note A) 4,311
Trustees' fees and expenses 307
Auditing fees 169
Legal fees 163
Insurance expense 47
Miscellaneous 4
------------
Total expenses 38,868
------------
Net investment income 152,237
------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized loss on investment securities
sold (15,099)
Change in net unrealized appreciation
(depreciation) of investment securities (63,858)
------------
Net loss on investments (78,957)
------------
Net increase in net assets resulting from
operations $ 73,280
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Government Income Investments
<TABLE>
<CAPTION>
Period from
May 1, 1995
(Commencement
Year Ended of Operations) to
December 31, December 31,
1996 1995
------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 152,237 $ 54,160
Net realized gain (loss) on
investments (15,099) 6,620
Change in net unrealized
appreciation (depreciation) of
investments (63,858) 53,751
------------------------------------
Net increase in net assets resulting
from operations 73,280 114,531
------------------------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Additions 1,830,526 1,132,968
Reductions (636,770) (161,213)
------------------------------------
Net increase in net assets resulting
from transactions in investors'
beneficial interests 1,193,756 971,755
------------------------------------
NET INCREASE IN NET ASSETS 1,267,036 1,086,286
NET ASSETS:
Beginning of year 2,193,874 1,107,588
------------------------------------
End of year $ 3,460,910 $ 2,193,874
------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Advisers Managers Trust December 31, 1996
- --------------------------------------------------------------------------------
AMT Government Income Investments
NOTE A -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES:
1) GENERAL: AMT Government Income Investments (the "Series") is a separate
operating series of Advisers Managers Trust ("Managers Trust"), a New York
common law trust organized as of May 24, 1994. Managers Trust is currently
comprised of six separate operating series. Managers Trust is registered as a
diversified, open-end management investment company under the Investment
Company Act of 1940, as amended. After the close of business on April 28,
1995, each series of Neuberger&Berman Advisers Management Trust invested all
of its net investable assets (cash, securities, and receivables relating to
securities) in a corresponding series of Managers Trust, receiving a
beneficial interest in that series.
The assets of each series belong only to that series, and the liabilities
of each series are borne solely by that series and no other.
2) PORTFOLIO VALUATION: Investment securities are valued as indicated in the
notes following the Series' Schedule of Investments.
3) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on a trade date basis. Interest income, including original issue
discount, where applicable, and accretion of discount on short-term
investments, is recorded on the accrual basis. Realized gains and losses from
securities transactions are recorded on the basis of identified cost.
4) FEDERAL INCOME TAXES: Managers Trust intends to comply with the requirements
of the Internal Revenue Code of 1986, as amended. Each series of Managers
Trust also intends to conduct its operations so that each of its investors
will be able to qualify as a regulated investment company. Each series will
be treated as a partnership for Federal income tax purposes and is therefore
not subject to Federal income tax.
5) ORGANIZATION EXPENSES: Expenses incurred by the Series in connection with its
organization are being amortized by the Series on a straight-line basis over
a five-year period. At December 31, 1996, the unamortized balance of such
expenses amounted to $14,324.
6) EXPENSE ALLOCATION: Expenses directly attributable to a series are charged to
that series. Expenses not directly attributed to a series are allocated, on
the basis of relative net assets, to each of the series of Managers Trust.
NOTE B -- MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES:
The Series retains Neuberger&Berman Management Incorporated ("Management") as
its investment manager under a Management Agreement dated as of May 1, 1995. For
such investment management services, the Series pays Management a fee at the
annual rate of .35% of the first $500 million of the Series' average daily net
assets, .325% of the next $500 million, .30% of the next $500 million, .275% of
the next $500 million, and .25% of average daily net assets in excess of $2
billion.
All of the capital stock of Management is owned by individuals who are also
principals of Neuberger&Berman, LLC ("Neuberger"), a member firm of The New York
Stock Exchange and sub-adviser to the Series. Neuberger is retained by
Management to furnish it with investment recommendations and research
information without cost to the Series. Several individuals who are officers
and/or trustees of Managers Trust are also principals of Neuberger and/or
officers and/or directors of Management.
18
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1996
- --------------------------------------------------------------------------------
AMT Government Income Investments
The Series has an expense offset arrangement in connection with its custodian
contract. The impact of this arrangement, reflected in the Statement of
Operations, is $783, which is less than .03% of the Series' average daily net
assets.
NOTE C -- SECURITIES TRANSACTIONS:
During the year ended December 31, 1996, there were purchase and sale
transactions (excluding short-term securities) of $7,416,415 and $6,261,676,
respectively.
19
<PAGE>
FINANCIAL HIGHLIGHTS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Government Income Investments
<TABLE>
<CAPTION>
Period from
May 1, 1995
(Commencement
of Operations)
Year Ended to
December 31, December 31,
1996 1995
---------------------------------
<S> <C> <C>
RATIOS TO AVERAGE NET ASSETS:
Expenses 1.34% 1.77%(1)
---------------------------------
Net Investment Income 5.26% 4.78%(1)
---------------------------------
Portfolio Turnover Rate 231% 64%
---------------------------------
Net Assets, End of Year (in millions) $3.5 $2.2
---------------------------------
</TABLE>
1) Annualized.
20
<PAGE>
REPORT OF INDEPENDENT AUDITORS
To the Board of Trustees of
Advisers Managers Trust and
Owners of Beneficial Interest of AMT Government Income Investments
We have audited the accompanying Statement of Assets and Liabilities,
including the Schedule of Investments, of AMT Government Income Investments, one
of the series comprising Advisers Managers Trust (the "Trust"), as of December
31, 1996, and the related Statement of Operations for the year then ended, and
the Statement of Changes in Net Assets and the Financial Highlights for the year
then ended and for the period from May 1, 1995 (Commencement of Operations) to
December 31, 1995. These financial statements and financial highlights are the
responsibility of the Trust'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 generally accepted auditing
standards. 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, 1996, by correspondence with the custodian
and brokers or other appropriate auditing procedures where replies from brokers
were not received. 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 AMT
Government Income Investments of Advisers Managers Trust at December 31, 1996,
the results of its operations for the year then ended, and the changes in its
net assets and the financial highlights for the year then ended and for the
period from May 1, 1995 (Commencement of Operations) to December 31, 1995, in
conformity with generally accepted accounting principles.
[SIGNATURE]
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 27, 1997
21
