<PAGE>
LIMITED MATURITY BOND PORTFOLIO
NEUBERGER&BERMAN
ADVISERS MANAGEMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1997
NBAMT0231297
<PAGE>
PORTFOLIO MANAGERS' COMMENTARY
Neuberger&Berman Advisers Management Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Portfolio
AMT LIMITED MATURITY BOND PORTFOLIO IS CO-MANAGED BY THEODORE P. GIULIANO AND
TOM WOLFE. THEY EMPLOY THREE BASIC STRATEGIES TO ADD VALUE TO THE FIXED INCOME
INVESTMENT PROCESS. THE FIRST IS ACTIVE TREND-FOLLOWING DURATION
MANAGEMENT -- LENGTHENING PORTFOLIO DURATION AS INTEREST RATES DECLINE TO
ENHANCE PORTFOLIO YIELD, AND SHORTENING DURATION AS INTEREST RATES RISE TO
MINIMIZE PRICE EROSION. SECONDLY, THEY FOCUS ON THOSE SECTORS WITHIN THE BROAD
FIXED INCOME MARKET THAT THEY BELIEVE HAVE THE BEST RISK ADJUSTED RETURN
POTENTIAL. FINALLY, THE PORTFOLIO MANAGEMENT TEAM ANALYZES ISSUERS' MANAGEMENT
QUALITY, PRODUCTS AND PRODUCT CYCLES, BALANCE SHEETS AND INCOME STATEMENTS TO
IDENTIFY BONDS WITH REALISTIC PROSPECTS FOR CREDIT UPGRADES AND TO AVOID THOSE
THAT MAY NOT DESERVE THEIR CURRENT CREDIT QUALITY RATINGS.
In 1997, bonds benefited from low inflation and reduced inflationary
expectations, benign monetary and fiscal policies, and favorable supply/demand
factors in the fixed income marketplace. Let's begin with inflation. The notion
that a strong economy leads to a pick-up in inflation was called into question.
With this historically unprecedented economic expansion, many economists and
market observers predicted that a rise in inflation in 1997 was inevitable. It
didn't happen. Inflation remained at 3% or lower and the Federal Reserve, which
would have normally tightened credit at this stage of the business cycle,
remained justifiably quiescent. As we write, investors now seem to believe the
Fed's next adjustment of short-term rates will be down -- a 180 degree shift
from consensus expectations earlier in 1997.
In 1997, we also saw increasing evidence that the federal budget deficit was
shrinking substantially. In fact, some economists are now forecasting a budget
surplus within the next several years. This would be the first budget surplus in
over three decades. The decline in the budget deficit, accompanied by reduced
issuance of government bonds, seemed to convince a growing number of investors
here and overseas that the United States' fiscal house is in order.
The Treasury Department's funding policy, highlighted by its desire to sell
more floating rate debt (the new Treasury Inflation Protection Securities or
"TIPS") and fewer fixed-rate securities, helped create a "scarcity" value for
traditional fixed rate securities. In fourth quarter 1997, extreme volatility in
the U.S. equity market sent investors scurrying to the relative safety of bonds,
and economic upheaval in Asia helped attract even more foreign investors to the
U.S. bond market. Strong demand and limited supply, particularly in the U.S.
Treasuries market, helped fuel the strong bond rally at the close of the year.
Our sector allocation did not change dramatically throughout the year. We
favored the corporate sector, which offered a material yield advantage to
Treasuries. Our high-yield investments (approximately 10% of the portfolio)
performed well. So well, in fact, that we took some profits in high-yield bonds
that had become fully valued, and replaced them with more opportunistically
priced high-yield securities.
One of our most successful strategies in 1997 was something we didn't
do -- namely invest in Southeast Asia. While the Portfolio is permitted to buy
U.S. dollar-denominated bonds of foreign issuers, we are very careful in our
credit analysis. In recent years countries such as Thailand, Korea, Malaysia and
Indonesia have been major issuers of dollar-denominated debt in the U.S. bond
market. All of these countries had strong investment grade ratings from the
major rating agencies and powerful sponsorship from the key Wall Street
underwriters. We took a hard look at these offerings and our analysis showed
these bonds to have below investment grade risk characteristics with huge
downside risk if the supply of external capital dried up. Our concerns were
confirmed when currency turmoil, which began in July and accelerated through
year end 1997, overwhelmed these countries and sent bonds plummeting.
A-2
<PAGE>
In the corporate sector, we modestly increased our exposure to utility
company bonds, which until quite recently, have been out of favor with the
credit rating agencies and investors due to concerns about the deregulation of
the industry. The dust is now settling and we are seeing evidence that the
financially strong and well managed utilities companies can survive and prosper
in this new environment. In addition, regulators thus far appear disposed to
protecting bond holders during this transition period.
In closing, we are gratified by the Portfolio's performance in 1997. Can we
expect an equally gratifying year in 1998? The fundamental outlook for bonds
remains appealing. Inflation remains low and disinflationary forces resulting
from Asian economic turmoil should help keep the lid on inflation for the
foreseeable future. We believe fiscal and monetary policy should continue to be
benign. However, much if not all of this good news may already be baked into
bond prices. So, we doubt 1998 bond returns will be as robust as they were in
1997. This does not mean bonds aren't still an important ingredient in a
diversified investment portfolio. Yield and relative safety of principal are
always attractive in their own right. They may be even more attractive if we
continue to see extreme volatility in equities markets here and overseas.
Sincerely,
[SIGNATURE] [SIGNATURE]
Theodore P. Giuliano and Thomas Wolfe
PORTFOLIO CO-MANAGERS
The composition, industries and holdings of the Portfolio are subject to change.
The Portfolio is invested in a wide array of securities and no single holding
makes up more than a small fraction of its total assets.
A-3
<PAGE>
COMPARISON OF A $10,000 INVESTMENT
Neuberger&Berman Advisers Management Trust December 31, 1997
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
Average Annual Total Return (1)
Limited Maturity Merrill Lynch 1-3 Year
Bond Portfolio Treasury Index (2)
1 Year +6.74% +6.66%
5 Year +5.63% +5.67%
10 Year +7.07% +7.29%
Life of Fund +8.16% +8.30%
Merrill Lynch 1-3 Year Limited Maturity
Treasury Index Bond Portfolio
1987 $10,000 $10,000
1988 $10,623 $10,717
1989 $11,777 $11,871
1990 $12,923 $12,859
1991 $14,432 $14,318
1992 $15,341 $15,059
1993 $16,171 $16,057
1994 $16,263 $16,032
1995 $18,052 $17,785
1996 $18,951 $18,551
1997 $20,212 $19,802
</TABLE>
The inception date of Neuberger&Berman Advisers Management Trust Limited
Maturity Bond Portfolio-SM-(the "Fund") is 9/10/84.
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 Merrill Lynch 1-3 Year Treasury Index is an unmanaged total return market
value index consisting of all coupon-bearing U.S. Treasury publicly placed debt
securities with maturities between 1 and 3 years. 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.-Registered Trademark- 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
or other expenses imposed by your insurance company's variable annuity or
variable life insurance policy. If this performance information included the
effect of the insurance charges and other expenses, performance numbers would be
lower.
B-1
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
<TABLE>
<CAPTION>
December 31,
1997
------------
<S> <C>
ASSETS
Investment in Series, at value (Note A) $250,657,730
Receivable for Trust shares sold 653,439
------------
251,311,169
------------
LIABILITIES
Payable to administrator (Note B) 85,772
Payable for Trust shares redeemed 71,950
Accrued expenses 41,706
------------
199,428
------------
NET ASSETS at value $251,111,741
------------
NET ASSETS consist of:
Par value $ 17,786
Paid-in capital in excess of par value 243,503,906
Accumulated undistributed net investment income 15,665,795
Accumulated net realized losses on investment (8,942,301)
Net unrealized appreciation in value of investment 866,555
------------
NET ASSETS at value $251,111,741
------------
SHARES OUTSTANDING
($.001 par value; unlimited shares authorized) 17,786,262
------------
NET ASSET VALUE, offering and redemption price per share $14.12
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-2
<PAGE>
STATEMENT OF OPERATIONS
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
<TABLE>
<CAPTION>
For the
Year Ended
December 31,
1997
------------
<S> <C>
INVESTMENT INCOME
Investment income from Series (Note A) $17,774,605
------------
Expenses:
Administration fee (Note B) 1,010,775
Shareholder reports 65,750
Legal fees 15,314
Trustees' fees and expenses 11,404
Custodian fees 10,000
Auditing fees 2,377
Miscellaneous 1,950
Expenses from Series (Notes A & B) 819,643
------------
Total expenses 1,937,213
Expenses reduced by custodian fee expense offset arrangement
(Note B) (1,135)
------------
Total net expenses 1,936,078
------------
Net investment income 15,838,527
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS FROM SERIES (NOTE
A)
Net realized gain on investment securities 362,764
Net realized loss on financial futures contracts (2,024,013)
Net realized gain on foreign currency transactions 15,785
Change in net unrealized appreciation (depreciation) of investment
securities and financial futures contracts 2,314,612
------------
Net gain on investments from Series (Note A) 669,148
------------
Net increase in net assets resulting from operations $16,507,675
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-3
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
<TABLE>
<CAPTION>
Year Ended
December 31,
1997 1996
--------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 15,838,527 $ 14,885,903
Net realized loss on investments from Series (Note A) (1,645,464) (325,078)
Change in net unrealized appreciation (depreciation) of
investments from Series (Note A) 2,314,612 (4,051,303)
--------------------------
Net increase in net assets resulting from operations 16,507,675 10,509,522
--------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (14,960,978) (20,590,149)
--------------------------
FROM TRUST SHARE TRANSACTIONS:
Proceeds from shares sold 70,296,568 82,039,951
Proceeds from reinvestment of dividends 14,960,978 20,590,149
Payments for shares redeemed (92,593,520) (74,546,900)
--------------------------
Net increase (decrease) from Trust share transactions (7,335,974) 28,083,200
--------------------------
NET INCREASE (DECREASE) IN NET ASSETS (5,789,277) 18,002,573
NET ASSETS:
Beginning of year 256,901,018 238,898,445
--------------------------
End of year $251,111,741 $256,901,018
--------------------------
Accumulated undistributed net investment income at end of year $ 15,665,795 $ 14,772,461
--------------------------
NUMBER OF TRUST SHARES:
Sold 5,085,945 5,921,768
Issued on reinvestment of dividends 1,119,834 1,528,593
Redeemed (6,709,733) (5,404,104)
--------------------------
Net increase (decrease) in shares outstanding (503,954) 2,046,257
--------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-4
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Neuberger&Berman Advisers Management Trust December 31, 1997
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
NOTE A -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES:
1) GENERAL: Limited Maturity Bond 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 eight 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
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 Limited Maturity Bond 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, 1997). 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. Income 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 ($6,955,974, $296,579, and $1,871,355 expiring in 2002, 2004,
and 2005, respectively, determined as of December 31, 1997), 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.
B-5
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Neuberger&Berman Advisers Management Trust December 31, 1997
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
5) 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.
6) 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 ("N&B Management")
as its administrator under an Administration Agreement ("Agreement") dated as of
May 1, 1995. Pursuant to this Agreement the Fund pays N&B Management an
administration fee at the annual rate of .40% of the Fund's average daily net
assets. The Fund indirectly pays for investment management services through its
investment in the Series (see Note B of Notes to Financial Statements of the
Series).
Effective May 1, 1995, the trustees of the Trust adopted a non-fee
distribution plan for each series of the Trust.
N&B 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 (excluding the fees payable to N&B Management,
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 N&B Management upon at
least 60 days' prior written notice to the Fund. For the year ended December 31,
1997, no reimbursement to the Fund was required.
All of the capital stock of N&B 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 N&B 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, was a reduction of $1,135.
NOTE C -- INVESTMENT TRANSACTIONS:
During the year ended December 31, 1997, additions and reductions in the
Fund's investment in its Series amounted to $42,581,313 and $66,353,014,
respectively.
B-6
<PAGE>
FINANCIAL HIGHLIGHTS
Neuberger&Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Limited Maturity Bond 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>
Year Ended December 31,
1997(2) 1996(2) 1995(2) 1994 1993 1992 1991 1990 1989 1988(3)
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $14.05 $14.71 $14.02 $14.66 $14.33 $14.32 $13.62 $13.48 $13.01 $12.14
-----------------------------------------------------------------------------------------
Income From Investment Operations
Net Investment Income .88 .92 .82 .78 .84 1.03 1.04 1.15 1.12 .92
Net Gains or Losses on Securities
(both realized and unrealized) .02 (.34) .65 (.80) .08 (.33) .43 (.10)(4) .20 (.05)
-----------------------------------------------------------------------------------------
Total From Investment Operations .90 .58 1.47 (.02) .92 .70 1.47 1.05 1.32 .87
-----------------------------------------------------------------------------------------
Less Distributions
Dividends (from net investment
income) (.83) (1.24) (.78) (.55) (.52) (.66) (.77) (.91) (.85) --
Distributions (from net capital
gains) -- -- -- (.07) (.07) (.03) -- -- -- --
-----------------------------------------------------------------------------------------
Total Distributions (.83) (1.24) (.78) (.62) (.59) (.69) (.77) (.91) (.85) --
-----------------------------------------------------------------------------------------
Net Asset Value, End of Year $14.12 $14.05 $14.71 $14.02 $14.66 $14.33 $14.32 $13.62 $13.48 $13.01
-----------------------------------------------------------------------------------------
Total Return(5) +6.74% +4.31% +10.94% -.15% +6.63% +5.18% +11.34% +8.32% +10.77% +7.17%
-----------------------------------------------------------------------------------------
Ratios/Supplemental Data
Net Assets, End of Year (in
millions) $251.1 $256.9 $238.9 $344.8 $343.5 $187.0 $ 83.0 $ 46.0 $ 31.5 $ 25.4
-----------------------------------------------------------------------------------------
Ratio of Gross Expenses to Average
Net Assets(6) .77% .78% .71% -- -- -- -- -- -- --
-----------------------------------------------------------------------------------------
Ratio of Net Expenses to Average Net
Assets .77% .78% .71% .66% .64% .64% .68% .76% .88% 1.01%
-----------------------------------------------------------------------------------------
Ratio of Net Investment Income to
Average
Net Assets 6.27% 6.01% 5.99% 5.42% 5.19% 5.80% 6.61% 7.66% 8.11% 7.15%
-----------------------------------------------------------------------------------------
Portfolio Turnover Rate(7) -- -- 27% 90% 159% 114% 77% 124% 116% 197%
-----------------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL HIGHLIGHTS
B-7
<PAGE>
NOTES TO FINANCIAL HIGHLIGHTS
Neuberger&Berman Advisers Management Trust December 31, 1997
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
1) The per share amounts which are shown have been computed based on the average
number of shares outstanding during each fiscal period.
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) On May 2, 1988, the predecessor of the Fund changed its primary investment
objective to obtain the highest current income consistent with low risk to
principal and liquidity through investments in limited maturity debt
securities.
4) The amounts shown at this caption for a share outstanding throughout the year
may not accord with the change in aggregate gains and losses in securities
for the year because of the timing of sales and repurchases of Fund shares in
relation to fluctuating market values for the Fund.
5) 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 fiscal
period and assumes dividends and other 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. The total return
information shown does not reflect charges and other expenses that apply to
the separate account or the related insurance policies, and the inclusion of
these charges and other expenses would reduce the total return figures for
all fiscal periods shown.
6) For fiscal periods ending after September 1, 1995, the Fund is required to
calculate an expense ratio without taking into consideration any expense
reductions related to expense offset arrangements.
7) 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 periods ending after April 28, 1995, are included in the
Financial Highlights of AMT Limited Maturity Bond Investments, which appear
elsewhere in this report.
B-8
<PAGE>
REPORT OF ERNST & YOUNG LLP,
INDEPENDENT AUDITORS
To the Board of Trustees of
Neuberger&Berman Advisers Management Trust and
Shareholders of Limited Maturity Bond Portfolio
We have audited the accompanying statement of assets and liabilities of
Limited Maturity Bond Portfolio, one of the series comprising Neuberger&Berman
Advisers Management Trust (the "Trust"), as of December 31, 1997, 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 periods indicated therein. 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
Limited Maturity Bond Portfolio of Neuberger&Berman Advisers Management Trust at
December 31, 1997, 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 periods indicated therein, in
conformity with generally accepted accounting principles.
[SIGNATURE]
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 26, 1998
B-9
<PAGE>
SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- ---------- ------- ------- ------------
<C> <S> <C> <C> <C>
U.S. TREASURY SECURITIES (1.0%)
$2,498,731 U.S. Treasury Inflation-Indexed Notes, 3.375%, due 1/15/07 (COST
$2,497,579) TSY TSY $ 2,433,139
------------
U.S. GOVERNMENT AGENCY SECURITIES (1.6%)
1,975,000 Freddie Mac, Discount Notes, 4.75%, due 1/2/98 AGY AGY 1,975,000
2,015,000 Federal Home Loan Bank, Discount Notes, 5.80%, due 1/7/98 AGY AGY 2,013,429
------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (COST $3,987,792) 3,988,429
------------
MORTGAGE-BACKED SECURITIES (7.2%)
FANNIE MAE
69,373 Balloon Pass-Through Certificates, 9.00%, due 2/1/98 AGY AGY 71,649
266,697 Balloon Pass-Through Certificates, 8.50%, due 6/1/98-11/1/98 AGY AGY 275,365
6,275,752 Pass-Through Certificates, 7.00%, due 6/1/11 AGY AGY 6,412,626
4,172,313 Pass-Through Certificates, 7.50%, due 9/1/11 AGY AGY 4,279,082
FREDDIE MAC
223,195 ARM Certificates, 7.123%, due 3/1/17 AGY AGY 226,683
153,351 ARM Certificates, 7.00%, due 4/1/17 AGY AGY 155,843
84,514 Mortgage Participation Certificates, 10.00%, due 4/1/20 AGY AGY 90,615
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
6,423,474 Pass-Through Certificates, 7.00%, due 1/15/27 AGY AGY 6,475,568
------------
TOTAL MORTGAGE-BACKED SECURITIES (COST $17,514,909) 17,987,431
------------
ASSET-BACKED SECURITIES (16.4%)
5,100,000 PNC Student Loan Trust I, Ser. 1997-2, Class A-2, 6.138%, due 1/25/00 Aaa AAA 5,118,411
3,580,000 Chase Manhattan Auto Owner Trust, Ser. 1996-C, Class A-3, 5.95%, due
11/15/00 Aaa AAA 3,581,253
5,604,223 Money Store Auto Grantor Trust, Ser. 1997-2, Class A-1, 6.17%, due 3/20/01 Aaa AAA 5,613,750
5,070,000 Ford Credit Auto Loan Master Trust, Auto Loan Certificates, Ser. 1996-1,
5.50%, due 2/15/03 Aaa AAA 5,008,805
2,510,000 Navistar Financial Owner Trust, Ser. 1996-B, Class A-3, 6.33%, due 4/21/03 Aaa AAA 2,529,728
4,970,000 World Omni Automobile Lease Securitization Trust, Ser. 1997-A, Class A-3,
6.85%, due 6/25/03 Aaa AAA 5,070,891
3,345,734 Chevy Chase Auto Receivables Trust, Ser. 1996-2, Class A, 5.90%, due
7/15/03 Aaa AAA 3,328,337
6,500,000 Standard Credit Card Master Trust I, Credit Card Participation
Certificates, Ser. 1994-4, Class A, 8.25%, due 11/7/03 Aaa AAA 6,955,000
4,004,602 IMC Excess Cashflow Trust, Ser. 1997-A, 7.41%, due 11/26/28 BBB(3) 4,000,598(4)
------------
TOTAL ASSET-BACKED SECURITIES (COST $41,296,982) 41,206,773
------------
</TABLE>
B-10
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- ---------- ------- ------- ------------
<C> <S> <C> <C> <C>
BANKS & FINANCIAL INSTITUTIONS (24.4%)
$3,800,000 Household Finance Corp., Medium-Term Notes, 6.62%, due 5/28/99 A2 A $ 3,825,688
4,760,000 Merrill Lynch & Co., Inc., Medium-Term Notes, Ser. B, 6.28%, due 6/25/99 Aa3 AA- 4,779,659
4,420,000 Chase Manhattan Bank USA, Senior Global Bank Notes, 5.875%, due 8/4/99 Aa2 A+ 4,412,840
5,020,000 CIT Group Holdings, Inc., Medium-Term Notes, 6.25%, due 10/25/99 Aa3 A+ 5,034,608
3,690,000 First National Bank of Commerce, Senior Bank Notes, 6.50%, due 1/14/00 A2 A- 3,714,059
3,700,000 HomeSide Lending, Inc., Notes, 6.875%, due 5/15/00 Baa2 BBB 3,745,547
4,730,000 Salomon Smith Barney Holdings Inc., Notes, 7.00%, due 5/15/00 A2 A 4,822,708
5,120,000 Comdisco, Inc., Notes, 6.50%, due 6/15/00 Baa1 BBB+ 5,152,870
6,050,000 Associates Pass-Through Asset Trust, Ser. 1997-1, 6.45%, due 9/15/00 Aa3 AA- 6,092,169(4)
4,180,000 Lehman Brothers Holdings Inc., Medium-Term Notes, Ser. E, 6.89%, due
10/10/00 Baa1 A 4,239,983
2,570,000 Lehman Brothers Holdings Inc., Medium-Term Notes, Ser. E, 6.65%, due
11/8/00 Baa1 A 2,589,429
5,200,000 Capital One Bank, Bank Notes, 5.95%, due 2/15/01 Baa3 BBB- 5,108,792
450,000 ABN AMRO Bank N.V., Global Subordinated Notes, 6.625%, due 10/31/01 Aa3 A 454,387
3,040,000 Riggs National Corp., Subordinated Notes, 8.50%, due 2/1/06 Ba1(5) BB-(5) 3,211,000
3,925,000 Goldman Sachs Group, L.P., Global Notes, 6.75%, due 2/15/06 A1 A+ 3,975,907(4)
------------
TOTAL BANKS & FINANCIAL INSTITUTIONS (COST $60,808,766) 61,159,646
------------
CORPORATE DEBT SECURITIES (47.9%)
4,465,000 NWCG Holdings Corp., Notes, Zero-Coupon, Yielding 7.05%, due 6/15/99 Ba2 BB+ 4,018,500
4,700,000 Williams Holdings of Delaware, Inc., Medium-Term Notes, Ser. A, 6.40%, due
6/17/99 Baa2 BBB- 4,715,839
3,650,000 Chrysler Financial Corp., Medium-Term Notes, Ser. Q, 6.37%, due 6/21/99 A3 A 3,669,454
2,520,000 Arkla, Inc., Notes, 8.875%, due 7/15/99 Baa3 BBB 2,614,727
4,080,000 Time Warner Pass-Through Asset Trust, Ser. 1997-2, 4.90%, due 7/29/99 Ba1 BBB- 3,994,075(4)
4,450,000 Norfolk Southern Corp., Notes, 6.70%, due 5/1/00 Baa1 BBB+ 4,499,707
3,250,000 Cleveland Electric Illuminating Co., Secured Notes, Ser. B, 7.19%, due
7/1/00 Ba1 BB+ 3,283,637
4,760,000 Sears Roebuck Acceptance Corp., Medium-Term Notes, Ser. IV, 6.23%, due
7/12/00 A2 A- 4,771,948
4,290,000 Arvin Industries, Inc., Notes, 10.00%, due 8/1/00 Ba1 BBB- 4,643,153
4,000,000 Ford Motor Credit Co., Medium-Term Notes, 6.84%, due 8/16/00 A1 A 4,070,080
5,440,000 MedPartners, Inc., Senior Subordinated Notes, 6.875%, due 9/1/00 Ba2 BBB- 5,368,029
1,970,000 Chesapeake Corp., Notes, 10.375%, due 10/1/00 Baa3 BBB 2,166,468
1,610,000 BHP Finance (USA) Limited, Guaranteed Notes, 5.625%, due 11/1/00 A2 A 1,588,233
4,760,000 IKON Capital, Inc., Medium-Term Notes, Ser. C, 6.33%, due 12/8/00 A3 A- 4,762,190
</TABLE>
B-11
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- ---------- ------- ------- ------------
<C> <S> <C> <C> <C>
$1,770,000 Congoleum Corp., Senior Notes, 9.00%, due 2/1/01 B1 BB- $ 1,787,700
7,000,000 General Motors Acceptance Corp., Medium-Term Notes, 8.25%, due 2/8/01 A3 A- 7,393,120
3,200,000 Revlon Worldwide Corp., Senior Secured Notes, Ser. B, Zero-Coupon,
Yielding 10.75% & 10.959%, due 3/15/01 B3 B- 2,204,000
1,940,000 Colonial Realty Limited Partnership, Senior Notes, 7.50%, due 7/15/01 Baa3 BBB- 2,003,865
4,000,000 Tyco International Ltd., Notes, 6.50%, due 11/1/01 Baa2 A- 4,026,320
2,800,000 ICI Wilmington Inc., Guaranteed Notes, 7.50%, due 1/15/02 Baa1 A- 2,927,932
1,950,000 Fort James Corp., Senior Notes, 6.50%, due 9/15/02 Baa3 BBB- 1,951,111
500,000 Core-Mark International Inc., Senior Subordinated Notes, 11.375%, due
9/15/03 B3 B 528,750
4,060,000 Stewart Enterprises, Inc., Notes, 6.70%, due 12/1/03 Baa3 BBB 4,092,724
690,000 Loomis Fargo & Co., Senior Subordinated Notes, 10.00%, due 1/15/04 B3 B- 693,450
155,000 Playtex Products, Inc., Senior Notes, Ser. B, 8.875%, due 7/15/04 B1 B+ 157,325
370,000 Iridium LLC, Senior Notes, Ser. C, 11.25%, due 7/15/05 B3 B- 365,375(4)
160,000 ICN Pharmaceuticals, Inc., Senior Notes, Ser. B, 9.25%, due 8/15/05 B1 BB 169,600
3,900,000 Bell Cablemedia plc, Senior Step Up Notes, Yielding 8.98%, due 9/15/05 Baa3 BBB+ 3,417,375
3,680,000 Heritage Media Corp., Senior Subordinated Notes, 8.75%, due 2/15/06 B1 BB+ 3,937,600
3,780,000 Mark IV Industries, Inc., Senior Subordinated Notes, 7.75%, due 4/1/06 Ba2(6) BB+(6) 3,827,250
795,000 Printpack, Inc., Senior Subordinated Notes, Ser. B, 10.625%, due 8/15/06 B3 B+ 844,688
2,130,000 Time Warner Inc., Notes, 8.11%, due 8/15/06 Ba1 BBB- 2,312,733
395,000 Commonwealth Aluminum Corp., Senior Subordinated Notes, 10.75%, due
10/1/06 B2 B- 423,144
85,000 Evenflo & Spalding Holdings Corp., Senior Subordinated Notes, Ser. B,
10.375%, due 10/1/06 Caa1 CCC 78,625
4,330,000 MedPartners, Inc., Senior Notes, 7.375%, due 10/1/06 Baa3 BBB 4,287,176
915,000 Motors and Gears, Inc., Senior Notes, Ser. B, 10.75%, due 11/15/06 B3 B 972,187
175,000 Newport News Shipbuilding Inc., Senior Subordinated Notes, 9.25%, due
12/1/06 B1 B+ 185,500
300,000 Safelite Glass Corp., Senior Subordinated Notes, 9.875%, due 12/15/06 B3 B 328,500(4)
823,000 AMTROL Inc., Senior Subordinated Notes, 10.625%, due 12/31/06 B3 B- 847,690
1,175,000 Pen-Tab Industries, Inc., Senior Subordinated Notes, Ser. B, 10.875%, due
2/1/07 B3 B- 1,128,000
875,000 Fonda Group, Inc., Senior Subordinated Notes, Ser. B, 9.50%, due 3/1/07 B3 B- 829,062
1,070,000 GFSI Inc., Senior Subordinated Notes, 9.625%, due 3/1/07 B3 B- 1,099,425
275,000 French Fragrances, Inc., Senior Notes, Ser. B, 10.375%, due 5/15/07 B2 B+ 289,437
2,240,000 Owens-Illinois, Inc., Senior Debentures, 8.10%, due 5/15/07 Ba1(7) BB+(7) 2,398,054
85,000 Hedstrom Corp., Senior Subordinated Notes, 10.00%, due 6/1/07 B3 B- 85,637
</TABLE>
B-12
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- ---------- ------- ------- ------------
<C> <S> <C> <C> <C>
$ 360,000 AmeriServe Food Distribution, Inc., Senior Subordinated Notes, 10.125%,
due 7/15/07 B3 B- $ 377,100
160,000 Safety Components International, Inc., Senior Subordinated Notes, 10.125%,
due 7/15/07 B3 B- 165,000
250,000 United Auto Group, Inc., Senior Subordinated Notes, 11.00%, due 7/15/07 B3 B- 244,375(4)
770,000 HydroChem Industrial Services, Inc., Senior Subordinated Notes, Ser. B,
10.375%, due 8/1/07 B3 B- 793,100
4,320,000 Interpool, Inc., Notes, 7.20%, due 8/1/07 Ba1 BBB 4,326,610(4)
220,000 Insilco Corp., Senior Subordinated Notes, 10.25%, due 8/15/07 B3 BB 230,175
460,000 NBTY, Inc., Senior Subordinated Notes, 8.625%, due 9/15/07 B1 B+ 460,000(4)
85,000 K & F Industries, Inc., Senior Subordinated Notes, 9.25%, due 10/15/07 B3 B- 87,125(4)
2,030,000 UPM-Kymmene Corp., Notes, 6.875%, due 11/26/07 Baa1 BBB+ 2,026,874(4)
1,370,000 Central Maine Power & Co., General and Refunding Mortgage Bonds, Ser. Q,
7.05%, due 3/1/08 Baa3 BB+ 1,346,162
345,000 KinderCare Learning Centers, Inc., Senior Subordinated Notes, Ser. B,
9.50%, due 2/15/09 B3 B- 343,275
------------
TOTAL CORPORATE DEBT SECURITIES (COST $119,497,717) 120,159,191
------------
TOTAL INVESTMENTS (98.5%) (COST $245,603,745) 246,934,609(8)
Cash, receivables and other assets, less liabilities (1.5%) 3,723,122
------------
TOTAL NET ASSETS (100.0%) $250,657,731
------------
</TABLE>
SEE NOTES TO SCHEDULE OF INVESTMENTS
B-13
<PAGE>
NOTES TO SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond 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 that the trustees
of Advisers Managers Trust believe accurately reflects fair value. Foreign
security prices are furnished by independent quotation services expressed in
local currency values. Foreign security prices are translated from the local
currency into U.S. dollars using current exchange rates. 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) Not rated by Moody's; the rating shown is from Fitch Investors Services, Inc.
4) Security exempt from registration under the Securities Act of 1933. These
securities may be resold in transactions exempt from registration, normally
to qualified institutional buyers under Rule 144A. At December 31, 1997,
these securities amounted to $25,901,608 or 10.3% of net assets.
5) Rated BBB- by Thomson Bank Watch, Inc.
6) Rated BBB- by Fitch Investors Services, Inc.
7) Rated BBB- by Duff & Phelps Credit Rating Co.
8) At December 31, 1997, the cost of investments for Federal income tax purposes
was $245,603,745. Gross unrealized appreciation of investments was $2,281,417
and gross unrealized depreciation of investments was $950,553, resulting in
net unrealized appreciation of $1,330,864, based on cost for Federal income
tax purposes.
SEE NOTES TO FINANCIAL STATEMENTS
B-14
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
December 31,
1997
-------------
<S> <C>
ASSETS
Investments in securities, at market value* (Note A) -- see
Schedule of Investments $246,934,609
Cash 3,880
Interest receivable 3,901,246
Deferred organization costs (Note A) 37,582
Receivable for securities sold 5,244
Prepaid expenses and other assets 4,932
-------------
250,887,493
-------------
LIABILITIES
Payable for variation margin (Note A) 138,155
Payable to investment manager (Note B) 53,622
Accrued expenses 37,985
-------------
229,762
-------------
NET ASSETS Applicable to Investors' Beneficial Interests $250,657,731
-------------
NET ASSETS consist of:
Paid-in capital $249,791,176
Net unrealized appreciation in value of investment securities
and financial futures contracts 866,555
-------------
NET ASSETS $250,657,731
-------------
*Cost of investments $245,603,745
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-15
<PAGE>
STATEMENT OF OPERATIONS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
For the
Year Ended
December 31,
1997
------------
<S> <C>
INVESTMENT INCOME
Interest income $17,774,605
------------
Expenses:
Investment management fee (Note B) 631,903
Custodian fees (Note B) 128,224
Amortization of deferred organization and initial offering
expenses (Note A) 16,119
Trustees' fees and expenses 11,711
Accounting fees 10,000
Auditing fees 8,451
Legal fees 8,261
Insurance expense 4,757
Miscellaneous 217
------------
Total expenses 819,643
Expenses reduced by custodian fee expense offset arrangement
(Note B) (1,135)
------------
Total net expenses 818,508
------------
Net investment income 16,956,097
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on investment securities sold 362,764
Net realized loss on financial futures contracts (Note A) (2,024,013)
Net realized gain on foreign currency transactions (Note A) 15,785
Change in net unrealized appreciation (depreciation) of investment
securities and financial futures contracts (Note A) 2,314,612
------------
Net gain on investments 669,148
------------
Net increase in net assets resulting from operations $17,625,245
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-16
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Year Ended
December 31,
1997 1996
--------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 16,956,097 $ 16,012,909
Net realized loss on investments (1,645,464) (325,078)
Change in net unrealized appreciation (depreciation) of
investments 2,314,612 (4,051,303)
--------------------------
Net increase in net assets resulting from operations 17,625,245 11,636,528
--------------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS:
Additions 42,581,313 60,190,555
Reductions (66,353,014) (140,645,959)
--------------------------
Net decrease in net assets resulting from transactions in
investors' beneficial interests (23,771,701) (80,455,404)
--------------------------
NET DECREASE IN NET ASSETS (6,146,456) (68,818,876)
NET ASSETS:
Beginning of year 256,804,187 325,623,063
--------------------------
End of year $250,657,731 $256,804,187
--------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
NOTE A -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES:
1) GENERAL: AMT Limited Maturity Bond 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 eight separate operating series. Managers Trust is registered as
a diversified, open-end management investment company under the Investment
Company Act of 1940, as amended.
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) FOREIGN CURRENCY TRANSLATION: The accounting records of the Series are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the current rate of exchange of such currency against the U.S.
dollar to determine the value of investments, other assets and liabilities.
Purchase and sale prices of securities, and income and expenses are
translated into U.S. dollars at the prevailing rate of exchange on the
respective dates of such transactions.
4) FORWARD FOREIGN CURRENCY CONTRACTS: The Series may enter into forward foreign
currency contracts ("contracts") in connection with planned purchases or
sales of securities to hedge the U.S. dollar value of portfolio securities
denominated in a foreign currency. The gain or loss arising from the
difference between the original contract price and the closing price of such
contract is included in net realized gains or losses on foreign currency
transactions. Fluctuations in the value of forward foreign currency contracts
are recorded for financial reporting purposes as unrealized gains or losses
by the Series. The Series has no specific limitation on the percentage of
assets which may be committed to these types of contracts. The Series could
be exposed to risks if a counterparty to a contract were unable to meet the
terms of its contract or if the value of the foreign currency changes
unfavorably. The U.S. dollar value of foreign currency underlying all
contractual commitments held by the Series is determined using forward
foreign currency exchange rates supplied by an independent pricing service.
5) FINANCIAL FUTURES CONTRACTS: The Series may buy and sell financial futures
contracts to hedge against changes in securities prices resulting from
changes in prevailing interest rates. At the time the Series enters into a
financial futures contract, it is required to deposit with its custodian a
specified amount of cash or liquid securities, known as "initial margin,"
ranging upward from 1.1% of the value of the financial futures contract being
traded. Each day, the futures contract is valued at the official settlement
price of the board of trade or U.S. commodity exchange on which such futures
contract is traded. Subsequent payments, known as "variation margin," to and
from the broker are made on a daily basis as the market price of the
financial futures contract fluctuates. Daily variation margin adjustments,
arising from this "mark to market," are recorded by the Series as unrealized
gains or losses.
Although some financial futures contracts by their terms call for actual
delivery or acceptance of financial instruments, in most cases the contracts
are closed out prior to delivery by offsetting purchases or sales of matching
financial futures contracts. When the contracts are closed, the Series
recognizes a gain or loss. Risks of entering into futures contracts include
the possibility there may be an illiquid market and/or a change in the value
of the contract may not correlate with changes in the value of the underlying
securities.
B-18
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
For Federal income tax purposes, the futures transactions undertaken by
the Series may cause the Series to recognize gains or losses from marking to
market even though its positions have not been sold or terminated, may affect
the character of the gains or losses recognized as long-term or short-term,
and may affect the timing of some capital gains and losses realized by the
Series. Also, the Series' losses on transactions involving futures contracts
may be deferred rather than being taken into account currently in calculating
the Series' taxable income.
At December 31, 1997, open positions in financial futures contracts were
as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
EXPIRATION OPEN CONTRACTS POSITION (DEPRECIATION)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
March 1998 191 U.S. Treasury Notes, 2 Year Long $ 33,813
March 1998 155 U.S. Treasury Notes, 5 Year Short (141,565)
March 1998 450 U.S. Treasury Notes, 10 Year Short (356,557)
</TABLE>
At December 31, 1997, the Series had the following securities deposited in a
segregated account to cover margin requirements on open financial futures
contracts:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT SECURITY
- ------------------------------------------------------------------------------------------------------------
<C> <S>
$1,500,000 Standard Credit Card Master Trust I, Credit Card Participation Certificates, Ser. 1994-4, Class
A, 8.25%, due 11/7/03
165,000 Fonda Group, Inc., Senior Subordinated Notes, Ser. B, 9.50%, due 3/1/07
</TABLE>
6) 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 and foreign currency transactions are recorded on the
basis of identified cost.
7) FEDERAL INCOME TAXES: Managers Trust intends to comply with the requirements
of the Internal Revenue Code. 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.
8) 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, 1997, the unamortized balance of such
expenses amounted to $37,582.
9) 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.
B-19
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1997
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
NOTE B -- MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES:
The Series retains Neuberger&Berman Management Incorporated ("N&B
Management") as its investment manager under a Management Agreement. For such
investment management services, the Series pays N&B Management a fee at the
annual rate of .25% of the first $500 million of the Series' average daily net
assets, .225% of the next $500 million, .20% of the next $500 million, .175% of
the next $500 million, and .15% of average daily net assets in excess of $2
billion.
All of the capital stock of N&B 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
N&B Management to furnish it with investment recommendations and research
information without added 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 N&B 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 Custodian fees, was a reduction of $1,135.
NOTE C -- SECURITIES TRANSACTIONS:
During the year ended December 31, 1997, there were purchase and sale
transactions (excluding short-term securities, financial futures contracts, and
forward foreign currency contracts) of $210,210,953 and $217,477,904,
respectively.
During the year ended December 31, 1997, the Series entered into various
contracts to deliver currencies at specified future dates. There were no open
positions in these contracts at December 31, 1997.
B-20
<PAGE>
FINANCIAL HIGHLIGHTS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Period from
Year Ended May 1, 1995(1)
December 31, to December 31,
1997 1996 1995
-------------------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS:
Gross Expenses(2) .32% .33% .32%(3)
-------------------------------
Net Expenses .32% .33% .32%(3)
-------------------------------
Net Investment Income 6.71% 6.46% 6.34%(3)
-------------------------------
Portfolio Turnover Rate 86% 132% 78%
-------------------------------
Net Assets, End of Year (in millions) $250.7 $256.8 $325.6
-------------------------------
</TABLE>
1) The date investment operations commenced.
2) The Series is required to calculate an expense ratio without taking into
consideration any expense reductions related to expense offset arrangements.
3) Annualized.
B-21
<PAGE>
REPORT OF ERNST & YOUNG LLP,
INDEPENDENT AUDITORS
To the Board of Trustees of
Advisers Managers Trust and
Owners of Beneficial Interest of AMT Limited Maturity Bond Investments
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of AMT Limited Maturity Bond Investments,
one of the series comprising Advisers Managers Trust ("Managers Trust"), as of
December 31, 1997, 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 periods
indicated therein. These financial statements and financial highlights are the
responsibility of Managers 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, 1997, by correspondence with the custodian.
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
Limited Maturity Bond Investments of Advisers Managers Trust at December 31,
1997, 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 periods indicated therein, in conformity with
generally accepted accounting principles.
[SIGNATURE]
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 26, 1998
B-22
