<PAGE>
LIMITED MATURITY BOND PORTFOLIO
NEUBERGER BERMAN
ADVISERS MANAGEMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1998
NMAAR1111298
<PAGE>
PORTFOLIO MANAGERS' COMMENTARY
Neuberger Berman Advisers Management Trust December 31, 1998
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Portfolio
THE AMT LIMITED MATURITY BOND PORTFOLIO IS CO-MANAGED BY THEODORE P. GIULIANO
AND CATHERINE WATERWORTH. 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.
The title of Shakespeare's play ALL'S WELL THAT ENDS WELL aptly describes
1998's fixed income markets. Strong first half returns set the stage for the
high drama of August-September, when the global economic plot thickened and all
sectors of the fixed income market except U.S. Treasuries declined. Then in the
fourth act (fourth quarter), the hero appeared (Federal Reserve Chairman Alan
Greenspan) and three Fed rate cuts produced a very happy ending. In fact, when
the curtain came down on 1998, fixed income patrons had enjoyed the best year
since 1991.
Following a good first half, corporate bonds ran into some trouble in late
summer/early fall, when the potential for a deteriorating world economy and
technical factors, namely the unwinding of leveraged hedge funds, panicked
investors. However, in the fourth quarter a supportive Federal Reserve and more
stable capital markets resulted in strong rebound for corporate bonds. Despite
this late rally, corporate bonds underperformed comparable duration Treasuries
by about 200 basis points (2%) for the year.
We significantly reduced our allocation to corporate bonds during the worst
turmoil of the late summer and early fall, ending the year with 59.9% of the
portfolio in this sector compared to 72.3% at the beginning of 1998. In the
process, the credit quality of the portfolio improved from A- to A.
Looking ahead, given historically wide yield spreads for a non-recession
environment, and an accommodative Fed, we continue to be moderately conservative
on the corporate bond sector. However, investors should expect continued
volatility. We will continue our rigorous credit monitoring process, which is
all the more important in these still turbulent markets.
The asset-backed sector, once the darling of the fixed income market, also
experienced some difficulty in early fall before rallying in the fourth quarter.
At year-end 1998, approximately 13.2% of the portfolio was in asset backed
securities, primarily AAA rated bonds secured by either credit card or auto loan
receivables.
Mortgage bonds underperformed U.S. Treasury securities in 1998. This was due
more to the sharp rise in Treasury bond prices as investors sought the safety of
the world's most liquid and secure credit, than any real problems in the
mortgage sector. While we may see periodic "flights to quality" enhancing
Treasury bond returns in 1999, we are still attracted to mortgage securities'
materially higher yields. We believe our positioning in the mortgage sector --
favoring lower coupon mortgages less sensitive to prepayment risk -- will
continue to work to our advantage. At the close of this reporting period,
mortgage securities comprised approximately 6.7% of the portfolio.
In conclusion, as we enter 1999, inflation is at its lowest level in three
decades and economic conditions appear to be balanced. However, interest rates
and bond yields are also at or near historic lows, and the introduction of the
new
A-2
<PAGE>
Euro may siphon some money from the U.S. bond market. This could make for choppy
fixed income markets in the year ahead. We will continue to strive to select
attractive sectors, find values, and most importantly, to deliver competitive
returns with low principal risk.
Sincerely,
/s/ Catherine Waterworth /s/ Theodore P. Giuliano
Theodore P. Giuliano
Catherine Waterworth
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.
Past performance is no guarantee of future results and shares when redeemed may
be worth more or less than their original cost.
The investments for the Portfolio are managed by the same portfolio manager(s)
who manage one or more other mutual funds that have similar names, investment
objectives and investment styles as the Portfolio. You should be aware that the
Portfolio is likely to differ from the other mutual funds in size, cash flow
pattern and tax matters. Accordingly, the holdings and performance can be
expected to vary from those of the other mutual funds.
A-3
<PAGE>
COMPARISON OF A $10,000 INVESTMENT
Neuberger Berman Advisers Management Trust December 31, 1998
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
Merrill Lynch 1-3 Year Treasury
Index Limited Maturity Bond Portfolio
12/31/88 10,000 10,000
12/31/89 11,087 11,077
12/31/90 12,165 11,999
12/31/91 13,586 13,360
12/31/92 14,442 14,052
12/31/93 15,224 14,983
12/31/94 15,310 14,960
12/31/95 16,994 16,596
12/31/96 17,840 17,311
12/31/97 19,028 18,478
12/31/98 20,359 19,289
Average Annual Total Return(1)
Merrill Lynch 1-3 Year Treasury Index
Limited Maturity Bond Portfolio (2)
1 Year 4.39% 7.00%
5 Year 5.18% 5.99%
10 Year 6.79% 7.37%
Life Of Fund 7.89% 8.21%
</TABLE>
Neuberger Berman Advisers Management Trust Limited Maturity Bond
Portfolio-SM- (the "Fund") commenced operations on 9/10/84.
1. "Total Return" includes reinvestment of all income dividends and capital gain
distributions. Results represent past performance and do not indicate 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 to 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,
1998
--------------
<S> <C>
ASSETS
Investment in Series, at value (Note A) $ 276,698,419
Receivable for Trust shares sold 1,284,374
--------------
277,982,793
--------------
LIABILITIES
Payable for Trust shares redeemed 498,284
Payable to administrator (Note B) 93,746
Accrued expenses 45,024
--------------
637,054
--------------
NET ASSETS at value $ 277,345,739
--------------
NET ASSETS consist of:
Par value $ 20,064
Paid-in capital in excess of par value 274,084,911
Accumulated undistributed net investment
income 15,054,976
Accumulated net realized losses on
investment (11,847,411)
Net unrealized appreciation in value of
investment 33,199
--------------
NET ASSETS at value $ 277,345,739
--------------
SHARES OUTSTANDING
($.001 par value; unlimited shares
authorized) 20,064,168
--------------
NET ASSET VALUE, offering and redemption price per
share $13.82
--------------
</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,
1998
------------
<S> <C>
INVESTMENT INCOME
Investment income from Series (Note A) $17,501,122
------------
Expenses:
Administration fee (Note B) 1,062,209
Shareholder reports 74,031
Legal fees 12,460
Trustees' fees and expenses 10,945
Custodian fees 10,000
Auditing fees 2,276
Registration and filing fees 194
Miscellaneous 1,659
Expenses from Series (Notes A & B) 834,977
------------
Total expenses 2,008,751
Expenses reduced by custodian fee expense
offset arrangement (Note B) (163)
------------
Total net expenses 2,008,588
------------
Net investment income 15,492,534
------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS FROM
SERIES (NOTE A)
Net realized loss on investment securities (99,989)
Net realized loss on financial futures
contracts (2,805,121)
Net realized loss on foreign currency
transactions (414,176)
Change in net unrealized appreciation of
investment securities, financial futures
contracts, translation of assets and
liabilities in foreign currencies, and
foreign currency contracts (833,356)
------------
Net loss on investments from Series (Note
A) (4,152,642)
------------
Net increase in net assets resulting from
operations $11,339,892
------------
</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,
1998 1997
-----------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 15,492,534 $ 15,838,527
Net realized loss on investments
from Series (Note A) (3,319,286) (1,645,464)
Change in net unrealized
appreciation (depreciation) of
investments from Series (Note A) (833,356) 2,314,612
-----------------------------
Net increase in net assets resulting
from operations 11,339,892 16,507,675
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (15,689,177) (14,960,978)
-----------------------------
FROM TRUST SHARE TRANSACTIONS:
Proceeds from shares sold 112,009,422 70,296,568
Proceeds from reinvestment of
dividends 15,689,177 14,960,978
Payments for shares redeemed (97,115,316) (92,593,520)
-----------------------------
Net increase (decrease) from Trust
share transactions 30,583,283 (7,335,974)
-----------------------------
NET INCREASE (DECREASE) IN NET ASSETS 26,233,998 (5,789,277)
NET ASSETS:
Beginning of year 251,111,741 256,901,018
-----------------------------
End of year $ 277,345,739 $ 251,111,741
-----------------------------
Accumulated undistributed net
investment income at end of year $ 15,054,976 $ 15,665,795
-----------------------------
NUMBER OF TRUST SHARES:
Sold 8,173,628 5,085,945
Issued on reinvestment of dividends 1,173,461 1,119,834
Redeemed (7,069,183) (6,709,733)
-----------------------------
Net increase (decrease) in shares
outstanding 2,277,906 (503,954)
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-4
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Neuberger Berman Advisers Management Trust December 31, 1998
- --------------------------------------------------------------------------------
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 seven 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 (the
"Series"), a series of Advisers Managers Trust 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, 1998). 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 as indicated in the notes
following the Series' Schedule of Investments.
3) FEDERAL INCOME TAXES: The Funds 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, $1,871,355, and $2,478,607 expiring in
2002, 2004, 2005, and 2006, respectively, determined as of December 31,
1998), 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, 1998
- --------------------------------------------------------------------------------
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.
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 ("Management") as
its administrator under an Administration Agreement ("Agreement"). Pursuant to
this Agreement the Fund pays Management an administration fee at the annual rate
of 0.40% 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.
Management has voluntarily undertaken to limit the Fund's expenses by
reimbursing the Fund for its operating expenses plus its pro rata share of its
Series' operating expenses (excluding the fees payable to 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 Management upon at least
60 days' prior written notice to the Fund. For the year ended December 31, 1998,
no reimbursement to the Fund was required.
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, was a reduction of $163.
NOTE C -- INVESTMENT TRANSACTIONS:
During the year ended December 31, 1998, additions and reductions in the
Fund's investment in its Series amounted to $72,773,079 and $59,246,056,
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,
1998(2) 1997(2) 1996(2) 1995(2) 1994
-----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $ 14.12 $ 14.05 $ 14.71 $ 14.02 $ 14.66
-----------------------------------------------------------
Income From Investment Operations
Net Investment Income .80 .88 .92 .82 .78
Net Gains or Losses on Securities
(both realized and unrealized) (.21) .02 (.34) .65 (.80)
-----------------------------------------------------------
Total From Investment Operations .59 .90 .58 1.47 (.02)
-----------------------------------------------------------
Less Distributions
Dividends (from net investment
income) (.89) (.83) (1.24) (.78) (.55)
Distributions (from net capital
gains) -- -- -- -- (.07)
-----------------------------------------------------------
Total Distributions (.89) (.83) (1.24) (.78) (.62)
-----------------------------------------------------------
Net Asset Value, End of Year $ 13.82 $ 14.12 $ 14.05 $ 14.71 $ 14.02
-----------------------------------------------------------
Total Return(3) +4.39% +6.74% +4.31% +10.94% -0.15%
-----------------------------------------------------------
Ratios/Supplemental Data
Net Assets, End of Year (in
millions) $ 277.3 $ 251.1 $ 256.9 $ 238.9 $ 344.8
-----------------------------------------------------------
Ratio of Gross Expenses to Average
Net Assets(4) .76% .77% .78% .71% --
-----------------------------------------------------------
Ratio of Net Expenses to Average Net
Assets .76% .77% .78% .71% .66%
-----------------------------------------------------------
Ratio of Net Investment Income to
Average Net Assets 5.83% 6.27% 6.01% 5.99% 5.42%
-----------------------------------------------------------
Portfolio Turnover Rate(5) -- -- -- 27% 90%
-----------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL HIGHLIGHTS
B-7
<PAGE>
NOTES TO FINANCIAL HIGHLIGHTS
Neuberger Berman Advisers Management Trust December 31, 1998
- --------------------------------------------------------------------------------
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) 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 for all fiscal
periods shown.
4) 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.
5) 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 constituting the Neuberger
Berman Advisers Management Trust (the "Trust"), as of December 31, 1998, 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 five years in the period then ended.
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, 1998, 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 five years in the period then
ended, in conformity with generally accepted accounting principles.
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 29, 1999
B-9
<PAGE>
SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
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
(5.2%)
$ 8,880,000 U.S. Treasury Notes, 5.75%,
due 11/15/00 TSY TSY $ 9,056,446
5,640,968 U.S. Treasury
Inflation-Indexed Notes,
3.375%, due 1/15/07 TSY TSY 5,455,831
------------------
TOTAL U.S. TREASURY SECURITIES
(COST $14,492,985) 14,512,277
------------------
U.S. GOVERNMENT AGENCY
SECURITIES (11.0%)
10,366,478 Freddie Mac, Discount Notes,
4.50% & 5.07%, due 1/4/99 &
1/8/99 AGY AGY 10,366,478
20,000,000 Fannie Mae, Discount Notes,
5.09%, due 1/7/99 AGY AGY 19,992,000
------------------
TOTAL U.S. GOVERNMENT AGENCY
SECURITIES (COST $30,345,292) 30,358,478
------------------
MORTGAGE-BACKED SECURITIES
(6.7%)
772,401 BA Mortgage Securities, Inc.,
Mortgage Pass-Through
Certificates, Ser. 1998-6,
6.25%, due 12/26/28 BB 538,024(3)
755,745 Morgan Stanley Capital I Inc.,
Commercial Mortgage
Pass-Through Certificates,
Ser. 1998-HF2, 6.01%, due
11/15/30 BB(4) 539,413(3)
FANNIE MAE
4,872,001 Pass-Through Certificates,
7.00%, due 6/1/11 AGY AGY 5,010,025
4,213,402 Pass-Through Certificates,
6.50%, due 5/1/13 AGY AGY 4,273,611
FREDDIE MAC
55,044 Mortgage Participation
Certificates, 10.00%, due
4/1/20 AGY AGY 59,428
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
8,000,000 Pass-Through Certificates,
7.00%, TBA, 30 Year Maturity AGY AGY 8,182,480
------------------
TOTAL MORTGAGE-BACKED
SECURITIES (COST $18,347,319) 18,602,981
------------------
ASSET-BACKED SECURITIES
(13.2%)
3,771,450 PNC Student Loan Trust I, Ser.
1997-2, Class A-2, 6.138%, due
1/25/00 Aaa AAA 3,833,943
2,198,650 Money Store Auto Grantor
Trust, Ser. 1997-2, Class A-1,
6.17%, due 3/20/01 Aaa AAA 2,221,736
5,070,000 Ford Credit Auto Loan Master
Trust, Auto Loan Certificates,
Ser. 1996-1, 5.50%, due
2/15/03 Aaa AAA 5,101,586
1,537,336 Navistar Financial Owner
Trust, Ser. 1996-B, Class A-3,
6.33%, due 4/21/03 Aaa AAA 1,552,233
3,790,000 Chemical Master Credit Card
Trust 1, Ser. 1995-2, Class A,
6.23%, due 6/15/03 Aaa AAA 3,854,733
4,948,670 World Omni Automobile Lease
Securitization Trust, Ser.
1997-A, Class A-3, 6.85%, due
6/25/03 Aaa AAA 5,044,031
1,908,505 Chevy Chase Auto Receivables
Trust, Ser. 1996-2, Class A,
5.90%, due 7/15/03 Aaa AAA 1,906,577
</TABLE>
B-10
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- -------- ------------------
<C> <S> <C> <C> <C>
$ 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 $ 6,951,750
3,014,497 ContiMortgage Net Interest
Margin Notes, Ser. 1998-A,
Class A, 7.92%, due 3/16/28 BBB(4) 2,983,629(3)
3,094,116 IMC Excess Cashflow Trust,
Ser. 1997-A, 7.41%, due
11/26/28 BBB(4) 2,940,710(3)
------------------
TOTAL ASSET-BACKED SECURITIES
(COST $36,516,909) 36,390,928
------------------
BANKS & FINANCIAL INSTITUTIONS
(24.2%)
4,760,000 Merrill Lynch & Co., Inc.,
Medium-Term Notes, Ser. B,
6.28%, due 6/25/99 Aa3 AA- 4,776,755
4,420,000 Chase Manhattan Bank USA,
Senior Global Bank Notes,
5.875%, due 8/4/99 Aa2 AA- 4,441,039
5,020,000 CIT Group Holdings, Inc.,
Medium-Term Notes, 6.25%, due
10/25/99 Aa3 A+ 5,070,652
3,690,000 First National Bank of
Commerce, Senior Bank Notes,
6.50%, due 1/14/00 Aa2 AA- 3,746,346
3,700,000 HomeSide Lending, Inc., Notes,
6.875%, due 5/15/00 A1 A+ 3,769,227
4,730,000 Salomon Smith Barney Holdings
Inc., Notes, 7.00%, due
5/15/00 Aa3 A 4,818,073
5,120,000 Comdisco, Inc., Notes, 6.50%,
due 6/15/00 Baa1 BBB+ 5,173,555
6,050,000 Associates Pass-Through Asset
Trust, Ser. 1997-1, 6.45%, due
9/15/00 Aa3 AA- 6,159,565(3)
4,180,000 Lehman Brothers Holdings Inc.,
Medium-Term Notes, Ser. E,
6.89%, due 10/10/00 Baa1 A 4,217,871
2,900,000 Countrywide Home Loans, Inc.,
Notes, 5.62%, due 10/16/00 A3 A 2,901,653
2,570,000 Lehman Brothers Holdings Inc.,
Medium-Term Notes, Ser. E,
6.65%, due 11/8/00 Baa1 A 2,583,338
5,200,000 Capital One Bank, Bank Notes,
5.95%, due 2/15/01 Baa3 BBB- 5,223,088
3,760,000 Morgan Stanley, Dean Witter,
Discover & Co., Global
Medium-Term Notes, Ser. C,
6.09%, due 3/9/01 Aa3 A+ 3,796,886
4,870,000 Household Finance Corp.,
Senior Medium-Term Notes,
6.06%, due 5/14/01 A2 A 4,929,073
3,040,000 Riggs National Corp.,
Subordinated Notes, 8.50%, due
2/1/06 Ba1(5) BB+(5) 3,184,400
2,075,000 Riggs National Corp.,
Subordinated Debentures,
9.65%, due 6/15/09 Ba1(5) BB+(5) 2,308,438
------------------
TOTAL BANKS & FINANCIAL
INSTITUTIONS (COST
$66,661,228) 67,099,959
------------------
CORPORATE DEBT SECURITIES
(35.7%)
2,520,000 Arkla, Inc., Notes, 8.875%,
due 7/15/99 Baa1 BBB 2,561,000
4,080,000 Time Warner Pass-Through Asset
Trust, Ser. 1997-2, 4.90%, due
7/29/99 Baa3 BBB 4,070,453(3)
2,890,000 Commonwealth Edison Co., First
Mortgage Bonds, Ser. 90,
6.50%, due 4/15/00 Baa2 BBB 2,929,044
4,450,000 Norfolk Southern Corp., Notes,
6.70%, due 5/1/00 Baa1 BBB+ 4,526,229
</TABLE>
B-11
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- -------- ------------------
<C> <S> <C> <C> <C>
$ 4,760,000 Sears Roebuck Acceptance
Corp., Medium-Term Notes, Ser.
IV, 6.23%, due 7/12/00 A2 A- $ 4,814,692
4,000,000 Ford Motor Credit Co.,
Medium-Term Notes, 6.84%, due
8/16/00 A1 A 4,090,560
2,780,000 MedPartners, Inc., Senior
Subordinated Notes, 6.875%,
due 9/1/00 Caa1 B 2,321,300
1,970,000 Chesapeake Corp., Notes,
10.375%, due 10/1/00 Baa3 BBB 2,132,052
1,610,000 BHP Finance (USA) Ltd.,
Guaranteed Notes, 5.625%, due
11/1/00 A3 A 1,597,667
2,027,000 Safeway Inc., Notes, 5.75%,
due 11/15/00 Baa2 BBB 2,030,365
1,670,000 Fort James Corp., Notes,
6.234%, due 3/15/01 Baa2 BBB- 1,671,987
1,535,000 Revlon Worldwide Corp., Senior
Secured Notes, Ser. B,
Zero-Coupon, Yielding 10.75%,
due 3/15/01 B3 B- 874,950
1,940,000 Colonial Realty Limited
Partnership, Senior Notes,
7.50%, due 7/15/01 Baa3 BBB- 2,034,944
910,000 USA Waste Services, Inc.,
Senior Notes, 6.125%, due
7/15/01 Baa3 BBB+ 908,617
2,625,000 Texas Utilities Co., Notes,
5.94%, due 10/15/01 Baa3 BBB 2,624,081
4,000,000 Tyco International Ltd.,
Notes, 6.50%, due 11/1/01 A3 A- 4,090,200
1,855,000 Marlin Water Trust, Senior
Secured Notes, 7.09%, due
12/15/01 Baa2 BBB 1,853,516(3)
2,800,000 ICI Wilmington Inc.,
Guaranteed Notes, 7.50%, due
1/15/02 Baa1 A- 2,972,452
1,950,000 Fort James Corp., Senior
Notes, 6.50%, due 9/15/02 Baa2 BBB- 1,981,005
3,250,000 Stewart Enterprises, Inc.,
Notes, 6.40%, due 5/1/03 Baa3 BBB 3,350,133
440,000 Core-Mark International, Inc.,
Senior Subordinated Notes,
11.375%, due 9/15/03 B3 B 447,700
2,000,000 Akzo Nobel Inc., Guaranteed
Notes, 6.00%, due 11/15/03 A2 A 2,006,520(3)
2,450,000 Cendant Corp., Notes, 7.75%,
due 12/1/03 Baa1 BBB 2,471,340
505,000 Loomis Fargo & Co., Senior
Subordinated Notes, 10.00%,
due 1/15/04 B3 B 498,687
570,000 EOP Operating Limited
Partnership, Notes, 6.625%,
due 2/15/05 Baa1 BBB 572,069
355,000 Earle M. Jorgensen Co., Senior
Notes, Ser. B, 9.50%, due
4/1/05 B3 B- 338,138
1,360,000 Protection One, Inc., Senior
Notes, 7.375%, due 8/15/05 Ba1 BBB- 1,370,785(3)
1,300,000 Burlington Industries, Inc.,
Notes, 7.25%, due 9/15/05 Baa3 BBB- 1,272,960
3,680,000 Heritage Media Corp., Senior
Subordinated Notes, 8.75%, due
2/15/06 B1 BB+ 3,956,000
3,630,000 Mark IV Industries, Inc.,
Senior Subordinated Notes,
7.75%, due 4/1/06 Ba2(6) BB+(6) 3,530,175
655,000 Federal-Mogul Corp., Notes,
7.75%, due 7/1/06 Ba2(6) BB+(6) 657,031
610,000 Printpack, Inc., Senior
Subordinated Notes, Ser. B,
10.625%, due 8/15/06 Caa1 B+ 596,275
2,130,000 Time Warner Inc., Notes,
8.11%, due 8/15/06 Baa3 BBB 2,423,706
325,000 Commonwealth Aluminum Corp.,
Senior Subordinated Notes,
10.75%, due 10/1/06 B2 B- 324,594
</TABLE>
B-12
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- -------- ------------------
<C> <S> <C> <C> <C>
$ 25,000 Newport News Shipbuilding
Inc., Senior Subordinated
Notes, 9.25%, due 12/1/06 B1 B+ $ 26,563
800,000 Safelite Glass Corp., Senior
Subordinated Notes, 9.875%,
due 12/15/06 B3 B- 742,000(3)
990,000 Pen-Tab Industries, Inc.,
Senior Subordinated Notes,
Ser. B, 10.875%, due 2/1/07 B3 B- 831,600
690,000 Fonda Group, Inc., Senior
Subordinated Notes, Ser. B,
9.50%, due 3/1/07 B3 B- 574,425
885,000 GFSI Inc., Senior Subordinated
Notes, 9.625%, due 3/1/07 B3 B- 829,687
90,000 French Fragrances, Inc.,
Senior Notes, Ser. B, 10.375%,
due 5/15/07 B2 B+ 89,662
2,240,000 Owens-Illinois, Inc., Senior
Debentures, 8.10%, due 5/15/07 Ba1(7) BB+(7) 2,399,734
300,000 AmeriServe Food Distribution,
Inc., Senior Subordinated
Notes, 10.125%, due 7/15/07 B3 B- 267,000
100,000 Safety Components
International, Inc., Senior
Subordinated Notes, 10.125%,
due 7/15/07 B3 B- 100,625
585,000 HydroChem Industrial Services,
Inc., Senior Subordinated
Notes, Ser. B, 10.375%, due
8/1/07 Caa1 B- 580,612
4,320,000 Interpool, Inc., Notes, 7.20%,
due 8/1/07 Ba1 BBB- 4,314,341
400,000 NBTY, Inc., Senior
Subordinated Notes, Ser. B,
8.625%, due 9/15/07 B1 B+ 392,500
2,030,000 Mirage Resorts, Inc., Notes,
6.75%, due 2/1/08 Baa2 BBB+ 1,955,560
2,060,000 IDEX Corp., Senior Notes,
6.875%, due 2/15/08 Ba1 BBB- 2,134,366
1,370,000 Central Maine Power & Co.,
General and Refunding Mortgage
Bonds, Ser. Q, 7.05%, due
3/1/08 Baa3 BBB+ 1,408,771
640,000 Thiokol Corp., Senior Notes,
6.625%, due 3/1/08 Baa3 BBB 657,114
2,845,000 Beckman Coulter, Inc., Senior
Notes, 7.45%, due 3/4/08 Ba1(7) BB+(7) 2,822,581
430,000 IMPAC Group, Inc., Senior
Subordinated Notes, 10.125%,
due 3/15/08 B3 B- 416,025
335,000 Trans-Resources, Inc., Senior
Notes, Ser. B, 10.75%, due
3/15/08 B3 B- 328,300
1,145,000 Owens-Illinois, Inc., Senior
Notes, 7.35%, due 5/15/08 Ba1(7) BB+(7) 1,173,121
200,000 U.S. Office Products Co.,
Senior Subordinated Notes,
9.75%, due 6/15/08 Caa1 CCC 131,500(3)
540,000 Aqua-Chem, Inc., Senior
Subordinated Notes, 11.25%,
due 7/1/08 B3 B- 511,650(3)
1,120,000 CSC Holdings, Inc., Senior
Notes, 7.25%, due 7/15/08 Ba2 BB+ 1,136,397
790,000 Tenet Healthcare Corp., Senior
Subordinated Notes, 8.125%,
due 12/1/08 Ba3 BB- 816,433(3)
160,000 KinderCare Learning Centers,
Inc., Senior Subordinated
Notes, Ser. B, 9.50%, due
2/15/09 B3 B- 156,000
------------------
TOTAL CORPORATE DEBT
SECURITIES (COST $98,999,202) 98,697,794
------------------
FOREIGN GOVERNMENT
SECURITIES(8) (1.8%)
SEK 38,500,000 Kingdom of Sweden, 5.50%, due
4/12/02 (COST $5,080,488) Aa1 AA+ 5,002,517
------------------
</TABLE>
B-13
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- -------- ------------------
<C> <S> <C> <C> <C>
CORPORATE COMMERCIAL PAPER
(3.6%)
$ 5,000,000 Abbott Laboratories, 5.47%,
due 1/7/99 P-1 A-1+ $ 4,995,442(9)
5,000,000 du Pont (E.I.) de Nemours &
Co., 5.70%, due 1/7/99 P-1 A-1+ 4,995,250(9)
------------------
TOTAL CORPORATE COMMERCIAL
PAPER (COST $9,990,692) 9,990,692
------------------
TOTAL INVESTMENTS (101.4%)
(COST $280,434,115) 280,655,626(10)
Liabilities, less cash,
receivables and other assets
[(1.4%)] (3,957,206)
------------------
TOTAL NET ASSETS (100.0%) $ 276,698,420
------------------
</TABLE>
SEE NOTES TO SCHEDULE OF INVESTMENTS
B-14
<PAGE>
NOTES TO SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
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 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) 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, 1998,
these securities amounted to $24,664,198 or 8.9% of net assets.
4) Not rated by Moody's; the rating shown is from Fitch Investors Services,
Inc.
5) Rated BBB by Thomson BankWatch, Inc.
6) Rated BBB- by Fitch Investors Services, Inc.
7) Rated BBB- by Duff & Phelps Credit Rating Co.
8) Principal amount is stated in the currency in which the security is
denominated.
SEK-Swedish Krona
9) At cost, which approximates market value.
10) At December 31, 1998, the cost of investments for Federal income tax
purposes was $280,434,115. Gross unrealized appreciation of investments was
$2,916,104 and gross unrealized depreciation of investments was $2,694,593,
resulting in net unrealized appreciation of $221,511, based on cost for
Federal income tax purposes.
SEE NOTES TO FINANCIAL STATEMENTS
B-15
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
December 31,
1998
--------------
<S> <C>
ASSETS
Investments in securities, at market value*
(Note A) -- see Schedule of Investments $ 280,655,626
Cash 3,551
Interest receivable 3,848,392
Receivable for securities sold 416,931
Deferred organization costs (Note A) 21,463
Receivable for forward foreign currency
exchange contracts sold (Note C) 14,420
Receivable for variation margin (Note A) 7,344
Prepaid expenses and other assets 3,741
--------------
284,971,468
--------------
LIABILITIES
Payable for securities purchased 8,181,250
Payable to investment manager (Note B) 58,613
Accrued expenses 33,185
--------------
8,273,048
--------------
NET ASSETS Applicable to Investors' Beneficial
Interests $ 276,698,420
--------------
NET ASSETS consist of:
Paid-in capital $ 276,665,221
Net unrealized appreciation in value of
investment securities, financial futures
contracts, translation of assets and
liabilities in foreign currencies, and
foreign currency contracts 33,199
--------------
NET ASSETS $ 276,698,420
--------------
*Cost of investments $ 280,434,115
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-16
<PAGE>
STATEMENT OF OPERATIONS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
For the
Year Ended
December 31,
1998
------------
<S> <C>
INVESTMENT INCOME
Interest income $17,501,122
------------
Expenses:
Investment management fee (Note B) 664,132
Custodian fees (Note B) 109,082
Amortization of deferred organization and
initial offering expenses (Note A) 16,119
Trustees' fees and expenses 11,407
Auditing fees 10,884
Accounting fees 10,000
Legal fees 8,546
Insurance expense 3,510
Miscellaneous 1,297
------------
Total expenses 834,977
Expenses reduced by custodian fee expense
offset arrangement (Note B) (163)
------------
Total net expenses 834,814
------------
Net investment income 16,666,308
------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized loss on investment securities
sold (99,989)
Net realized loss on financial futures
contracts (Note A) (2,805,121)
Net realized loss on foreign currency
transactions (Note A) (414,176)
Change in net unrealized appreciation of
investment securities, financial futures
contracts, translation of assets and
liabilities in foreign currencies, and
foreign currency contracts (Note A) (833,356)
------------
Net loss on investments (4,152,642)
------------
Net increase in net assets resulting from
operations $12,513,666
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-17
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Year Ended
December 31,
1998 1997
-----------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 16,666,308 $ 16,956,097
Net realized loss on investments (3,319,286) (1,645,464)
Change in net unrealized
appreciation (depreciation) of
investments (833,356) 2,314,612
-----------------------------
Net increase in net assets resulting
from operations 12,513,666 17,625,245
-----------------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Additions 72,773,079 42,581,313
Reductions (59,246,056) (66,353,014)
-----------------------------
Net increase (decrease) in net
assets resulting from transactions
in investors' beneficial interests 13,527,023 (23,771,701)
-----------------------------
NET INCREASE (DECREASE) IN NET ASSETS 26,040,689 (6,146,456)
NET ASSETS:
Beginning of year 250,657,731 256,804,187
-----------------------------
End of year $ 276,698,420 $ 250,657,731
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-18
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
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 seven 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-19
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
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, 1998, open positions in financial futures contracts were
as follows:
<TABLE>
<CAPTION>
UNREALIZED
EXPIRATION OPEN CONTRACTS POSITION DEPRECIATION
------------------------------------------------------------------------
<S> <C> <C> <C>
March 1999 235 U.S. Treasury Notes, 2 Year Long $198,098
</TABLE>
At December 31, 1998, the Series had deposited $515,000 Fonda Group, Inc.,
Senior Subordinated Notes, Ser. B, 9.50%, due 3/1/07, in a segregated account
to cover margin requirements on open financial futures contracts.
6) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on a trade date basis. Interest income, including accretion of
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, 1998, the unamortized balance of such
expenses amounted to $21,463.
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.
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. For such investment
management services, the Series pays Management a fee at the annual rate of
0.25% of the first $500 million of the Series' average daily net assets, 0.225%
of the next $500 million, 0.20% of the next $500 million, 0.175% of the next
$500 million, and 0.15% 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 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 Management.
B-20
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1998
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond 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 under the caption Custodian fees, was a reduction of $163.
NOTE C -- SECURITIES TRANSACTIONS:
During the year ended December 31, 1998, there were purchase and sale
transactions (excluding short-term securities, financial futures contracts, and
forward foreign currency contracts) of $101,888,260 and $103,390,255,
respectively.
During the year ended December 31, 1998, the Series had entered into various
contracts to deliver currencies at specified future dates. At December 31, 1998,
open contracts were as follows:
<TABLE>
<CAPTION>
NET
CONTRACTS IN EXCHANGE SETTLEMENT UNREALIZED
SALES TO DELIVER FOR DATE VALUE APPRECIATION
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
German Mark 8,730,000 $5,257,928 1/21/99 $ 5,243,508 $14,420
</TABLE>
B-21
<PAGE>
FINANCIAL HIGHLIGHTS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Period
from
May 1,
1995(1)
to
December
Year Ended December 31, 31,
1998 1997 1996 1995
-----------------------------------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS:
Gross Expenses(2) .31% .32% .33% .32%(3)
-----------------------------------------------
Net Expenses .31% .32% .33% .32%(3)
-----------------------------------------------
Net Investment Income 6.27% 6.71% 6.46% 6.34%(3)
-----------------------------------------------
Portfolio Turnover Rate 44% 86% 132% 78%
-----------------------------------------------
Net Assets, End of Year (in millions) $276.7 $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-22
<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 constituting the Advisers Managers Trust (the "Trust"), as of
December 31, 1998, 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. Our procedures included confirmation of
securities owned as of December 31, 1998, 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
Limited Maturity Bond Investments of Advisers Managers Trust at December 31,
1998, 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.
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 29, 1999
B-23
