<PAGE>
LIMITED MATURITY BOND PORTFOLIO
NEUBERGER BERMAN
ADVISERS MANAGEMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1999
NMAAR0730200
<PAGE>
PORTFOLIO MANAGERS' COMMENTARY
Neuberger Berman Advisers Management Trust December 31, 1999
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
TED GIULIANO & CATHERINE WATERWORTH, PORTFOLIO CO-MANAGERS
The Portfolio provided a 1.48% total return during the one-year period ended
December 31, 1999, while its benchmark, the Merrill Lynch 1-3 Year Treasury
Index, provided a 3.06% total return(1). The portfolio's 30-day yield at the end
of the quarter was 6.22%.
Overall, 1999 was an unrewarding one for most segments of the U.S.
fixed-income market, including the limited-maturity sector. The Federal Reserve
Board implemented three interest-rate hikes between June and November in an
attempt to forestall a reacceleration of inflation in a fast-growing economy.
Although these influences did not inhibit a relatively broad-based rally in the
U.S. stock market, the bond market continued to deteriorate amid fears that
inflationary pressures might re-emerge.
In this unfriendly interest rate environment, bond returns were lackluster.
In fact, the 30-year U.S. Treasury bond had a -14.9% rate of return in 1999, its
worst performance since issuance began in 1977. The portfolio co-managers, Ted
Giuliano and Catherine Waterworth, believe that the recent market environment
highlights the advantage of a limited-maturity investment strategy. When
longer-term and riskier sectors of the bond market lose money, limited-maturity
portfolios are better positioned to deliver positive returns as income offsets
the price depreciation caused by rising interest rates.
The portfolio co-managers attribute the portfolio's relative under
performance to its average duration, which was more than a year longer than the
benchmark during mid-year. The portfolio's duration was longer than the
benchmark's because, in the portfolio co-managers' view, bond yields adequately
reflected a possible tightening by the Federal Reserve. However, as growth
continued to accelerate and stock indices moved to record highs, bond yields
moved higher as investors became concerned that Federal Reserve action would be
more drastic. Therefore, the portfolio's longer duration affected relative
performance.
The bond rally prior to the Federal Reserve meeting in November provided the
opportunity to begin shortening the portfolio's duration. With the Federal
Reserve concerned about how fast the economy can grow without re-igniting
inflation, the portfolio co-managers maintained the portfolio's defensive
posture through the end of the year.
Sectors other than the U.S. Treasury sectors provided an area of opportunity
in the domestic fixed-income market toward the end of the year. Specifically,
corporate bonds, mortgage-backed and asset-backed securities returned to favor
and outperformed U.S. Treasury securities. Investors had previously shunned
these securities because of fears over heavy issuance and a liquidity preference
for Treasuries due to Y2K concerns. When issuance was less than expected and
liquidity concerns dissipated, spreads on these securities contracted. The
portfolio had substantial exposure to corporate bonds (39.3% of net assets as of
December 31, 1999) and mortgage-backed securities (23.1% of net assets), and it
benefited from their yield advantage.
Although it was a difficult quarter and year for bond investors, the
portfolio co-managers remain optimistic about the fixed-income markets going
into the new year. Giuliano and Waterworth point out that fixed-income returns
have been sub-par over the last two years, but long bond rates have risen almost
1.80% from their trough reached in October 1998 and inflation remains tame.
A-1
<PAGE>
(1)1.48%, 5.52%, and 5.86% were the average annual total returns for the 1-, 5-,
and 10-year periods ended December 31, 1999. Neuberger Berman Management Inc.
("NBMI") has agreed to absorb certain expenses of the AMT Portfolios. Without
this arrangement, which is subject to change, the total returns of the
Portfolios would be less. Results are shown on a "total return" basis and
include reinvestment of all dividends and capital gains distributions.
Performance data quoted represents past performance, which is no guarantee of
future results. The investment return and principal value of an investment
will fluctuate so that an investor's shares, when redeemed, may be worth more
or less than their original cost. The performance information does not
reflect fees and expenses of the insurance companies.
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 NBMI and include reinvestment of all dividends and capital
gains distributions. The Portfolio may invest in many securities not included
in the above-described index.
The composition, industries and holdings of the Portfolio are subject to
change.
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 of the Portfolio can be expected to vary from those of the other
mutual funds.
Shares of the separate Portfolios of Neuberger Berman Advisers Management
Trust are sold only through the currently effective prospectus and are not
available to the general public. Shares of the AMT Portfolios may be
purchased only by life insurance companies to be used with their separate
accounts that fund variable annuity and variable life insurance policies and
by qualified pension and retirement plans.
A-2
<PAGE>
COMPARISON OF A $10,000 INVESTMENT
Neuberger Berman Advisers Management Trust December 31, 1999
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LIMITED MATURITY MERRILL LYNCH 1-3
BOND PORTFOLIO YEAR TREASURY INDEX
<S> <C> <C>
1989 $10,000 $10,000
1990 $10,832 $10,973
1991 $12,061 $12,254
1992 $12,686 $13,026
1993 $13,526 $13,731
1994 $13,505 $13,809
1995 $14,982 $15,328
1996 $15,627 $16,091
1997 $16,681 $17,162
1998 $17,413 $18,363
1999 $17,670 $18,925
AVERAGE ANNUAL TOTAL RETURN(1)
LIMITED MATURITY MERRILL LYNCH
BOND PORTFOLIO 1-3(2) YEAR
TREASURY INDEX
1 Year +1.48% +3.06%
5 Year +5.52% +6.51%
10 Year +5.86% +6.59%
Life of Fund +7.46% +7.87%
</TABLE>
Neuberger Berman Advisers Management Trust Limited Maturity Bond Portfolio
(the "Fund") commenced operations on 9/10/84.
1. "Total Return" includes reinvestment of all dividends and 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. and include reinvestment of all dividends and
distributions. The Series may invest 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 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,
1999
<S> <C>
-------------
ASSETS
Investment in Series, at value (Note A) $247,740,557
Receivable for Trust shares sold 824,764
-------------
248,565,321
-------------
LIABILITIES
Payable to administrator (Note B) 84,517
Accrued expenses 67,616
Payable for Trust shares redeemed 57,093
-------------
209,226
-------------
NET ASSETS at value $248,356,095
-------------
NET ASSETS consist of:
Par value $ 18,759
Paid-in capital in excess of par value 256,514,043
Accumulated undistributed net investment
income 15,290,489
Accumulated net realized losses on
investment (16,574,078)
Net unrealized depreciation in value of
investment (6,893,118)
-------------
NET ASSETS at value $248,356,095
-------------
SHARES OUTSTANDING
($.001 par value; unlimited shares
authorized) 18,758,629
-------------
NET ASSET VALUE, offering and redemption price per
share $13.24
-------------
</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,
1999
<S> <C>
------------
INVESTMENT INCOME
Investment income from Series (Note A) $17,199,080
------------
Expenses:
Administration fee (Note B) 1,045,756
Shareholder reports 73,402
Legal fees 16,134
Trustees' fees and expenses 13,170
Custodian fees 10,000
Auditing fees 4,363
Registration and filing fees 211
Miscellaneous 2,553
Expenses from Series (Notes A & B) 831,953
------------
Total expenses 1,997,542
Expenses reduced by custodian fee expense
offset arrangement (Note B) (8,453)
------------
Total net expenses 1,989,089
------------
Net investment income 15,209,991
------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS FROM
SERIES (NOTE A)
Net realized loss on investment securities (4,081,516)
Net realized loss on financial futures
contracts (496,794)
Net realized loss on foreign currency
transactions (7,562)
Change in net unrealized appreciation
(depreciation) of investment securities,
financial futures contracts, translation of
assets and liabilities in foreign currencies,
and foreign currency contracts (6,926,317)
------------
Net loss on investments from Series
(Note A) (11,512,189)
------------
Net increase in net assets resulting from
operations $ 3,697,802
------------
</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,
1999 1998
<S> <C> <C>
--------------------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 15,209,991 $ 15,492,534
Net realized loss on investments
from Series (Note A) (4,585,872) (3,319,286)
Change in net unrealized
appreciation (depreciation) of
investments from Series (Note A) (6,926,317) (833,356)
--------------------------
Net increase in net assets resulting
from operations 3,697,802 11,339,892
--------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (15,115,273) (15,689,177)
--------------------------
FROM TRUST SHARE TRANSACTIONS:
Proceeds from shares sold 68,525,498 112,009,422
Proceeds from reinvestment of
dividends 15,115,273 15,689,177
Payments for shares redeemed (101,212,944) (97,115,316)
--------------------------
Net increase (decrease) from Trust
share transactions (17,572,173) 30,583,283
--------------------------
NET INCREASE (DECREASE) IN NET ASSETS (28,989,644) 26,233,998
NET ASSETS:
Beginning of year 277,345,739 251,111,741
--------------------------
End of year $248,356,095 $277,345,739
--------------------------
Accumulated undistributed net
investment income at end of year $ 15,290,489 $ 15,054,976
--------------------------
NUMBER OF TRUST SHARES:
Sold 5,175,651 8,173,628
Issued on reinvestment of dividends 1,162,713 1,173,461
Redeemed (7,643,903) (7,069,183)
--------------------------
Net increase (decrease) in shares
outstanding (1,305,539) 2,277,906
--------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-4
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Neuberger Berman Advisers Management Trust December 31, 1999
- --------------------------------------------------------------------------------
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 (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, 1999). 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) TAXES: The Funds are treated as separate entities for U.S. 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 U.S.
Federal income tax purposes as capital loss carryforwards) sufficient to
relieve it from all, or substantially all, U.S. Federal income taxes.
Accordingly, the Fund paid no U.S. Federal income taxes and no provision for
U.S. 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, $2,478,607, and $3,975,890
expiring in 2002, 2004, 2005, 2006, and 2007, respectively, determined as of
December 31, 1999), 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, 1999
- --------------------------------------------------------------------------------
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 Inc. ("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 reimburse 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,
1.00% 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, 1999, no reimbursement to the Fund
was required.
Management and Neuberger Berman, LLC ("Neuberger"), a member firm of The New
York Stock Exchange and sub-adviser to the Series, are wholly owned subsidiaries
of Neuberger Berman Inc., a publicly held company. Several individuals who are
officers and/or trustees of the Trust are also employees of Neuberger and/or
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 $8,453.
NOTE C -- INVESTMENT TRANSACTIONS:
During the year ended December 31, 1999, additions and reductions in the
Fund's investment in its Series amounted to $29,703,133 and $63,524,386,
respectively.
B-6
<PAGE>
FINANCIAL HIGHLIGHTS
Neuberger Berman Advisers Management Trust
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio(1)
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.(2)
<TABLE>
<CAPTION>
Year Ended December 31,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
----------------------------------------------
Net Asset Value, Beginning of Year $13.82 $14.12 $14.05 $14.71 $14.02
----------------------------------------------
Income From Investment Operations
Net Investment Income .77 .80 .88 .92 .82
Net Gains or Losses on Securities
(both realized and unrealized) (.58) (.21) .02 (.34) .65
----------------------------------------------
Total From Investment Operations .19 .59 .90 .58 1.47
----------------------------------------------
Less Distributions
Dividends (from net investment
income) (.77) (.89) (.83) (1.24) (.78)
----------------------------------------------
Net Asset Value, End of Year $13.24 $13.82 $14.12 $14.05 $14.71
----------------------------------------------
Total Return(3) +1.48% +4.39% +6.74% +4.31% +10.94%
----------------------------------------------
Ratios/Supplemental Data
Net Assets, End of Year (in
millions) $248.4 $277.3 $251.1 $256.9 $238.9
----------------------------------------------
Ratio of Gross Expenses to Average
Net Assets(4) .76% .76% .77% .78% .71%
----------------------------------------------
Ratio of Net Expenses to Average Net
Assets .76% .76% .77% .78% .71%
----------------------------------------------
Ratio of Net Investment Income to
Average Net Assets 5.81% 5.83% 6.27% 6.01% 5.99%
----------------------------------------------
Portfolio Turnover Rate(5) -- -- -- -- 27%
----------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL HIGHLIGHTS
B-7
<PAGE>
NOTES TO FINANCIAL HIGHLIGHTS
Neuberger Berman Advisers Management Trust December 31, 1999
- --------------------------------------------------------------------------------
Limited Maturity Bond Portfolio
1) 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.
2) The per share amounts which are shown have been computed based on the average
number of shares outstanding during each fiscal period.
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) 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, 1999, 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 auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. 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, 1999, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended,
and the financial highlights for each of the five years in the period then
ended, in conformity with accounting principles generally accepted in the United
States.
[SIGNATURE]
Boston, Massachusetts
January 28, 2000
B-9
<PAGE>
SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
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 (1.6%)
$ 4,155,107 U.S. Treasury Inflation-Indexed Notes, 3.375%, due 1/15/07
(COST $4,119,226) TSY TSY $ 3,914,065
------------
U.S. GOVERNMENT AGENCY SECURITIES (12.4%)
5,460,000 Fannie Mae, Discount Notes, 5.00%, due 1/6/00 AGY AGY 5,456,208
20,000,000 Freddie Mac, Discount Notes, 5.68%, due 1/13/00 AGY AGY 19,962,133
5,680,000 Fannie Mae, Notes, 5.625%, due 5/14/04 AGY AGY 5,429,013
------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (COST $31,076,986) 30,847,354
------------
MORTGAGE-BACKED SECURITIES (23.1%)
1,958,937 GE Capital Mortgage Services, Inc., REMIC Pass-Through
Certificates, Ser. 1998-25, Class B3, 6.25%, due 12/25/28 BB(3) 1,275,150(4)
763,890 BA Mortgage Securities, Inc., Mortgage Pass-Through Certificates,
Ser. 1998-6, 6.25%, due 12/26/28 BB(3) 496,051(4)
1,307,448 PNC Mortgage Securities Corp., Pass-Through Certificates,
Ser. 1999-1, Class 1B4, 6.25%, due 2/25/29 BB(3) 846,165(4)
1,145,288 GE Capital Mortgage Services, Inc., REMIC Pass-Through
Certificates, Ser. 1999-2, Class B3, 6.50%, due 4/25/29 BB(3) 766,696(4)
879,751 GE Capital Mortgage Services, Inc., REMIC Pass-Through
Certificates, Ser. 1999-11, Class B3, 6.50%, due 7/25/29 BB(3) 593,007(4)
755,745 Morgan Stanley Capital I Inc., Commercial Mortgage Pass-Through
Certificates, Ser. 1998-HF2, 6.01%, due 11/15/30 BB(3) 507,530(4)
FANNIE MAE
3,579,615 Pass-Through Certificates, 7.00%, due 6/1/11 AGY AGY 3,570,911
3,629,987 Pass-Through Certificates, 6.50%, due 5/1/13 AGY AGY 3,535,983
FREDDIE MAC
53,378 Mortgage Participation Certificates, 10.00%, due 4/1/20 AGY AGY 57,191
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
6,699,380 Pass-Through Certificates, 6.50%, due 12/15/28 AGY AGY 6,301,498
29,983,823 Pass-Through Certificates, 7.00%, due 3/15/28-1/15/29 AGY AGY 29,027,501
2,329,118 Pass-Through Certificates, 8.00%, due 12/15/22-7/15/29 AGY AGY 2,352,007
7,750,000 Pass-Through Certificates, 8.00%, TBA, 30 Year Maturity AGY AGY 7,827,500
------------
TOTAL MORTGAGE-BACKED SECURITIES (COST $59,865,871) 57,157,190
------------
</TABLE>
B-10
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- --------- ------------
<C> <S> <C> <C> <C>
ASSET-BACKED SECURITIES (4.2%)
$ 5,070,000 Ford Credit Auto Loan Master Trust, Auto Loan Certificates,
Ser. 1996-1, 5.50%, due 2/15/03 Aaa AAA $ 5,008,527
683,777 Navistar Financial Owner Trust, Ser. 1996-B, Class A-3, 6.33%,
due 4/21/03 Aaa AAA 683,726
3,790,000 Chemical Master Credit Card Trust 1, Ser. 1995-2, Class A, 6.23%,
due 6/15/03 Aaa AAA 3,790,283
919,468 Chevy Chase Auto Receivables Trust, Ser. 1996-2, Class A, 5.90%,
due 7/15/03 Aaa AAA 916,103
------------
TOTAL ASSET-BACKED SECURITIES (COST $10,521,577) 10,398,639
------------
BANKS & FINANCIAL INSTITUTIONS (12.6%)
6,050,000 Associates Pass-Through Asset Trust, Ser. 1997-1, 6.45%,
due 9/15/00 Aa3 AA- 6,061,047(4)
4,180,000 Lehman Brothers Holdings Inc., Medium-Term Notes, Ser. E, 6.89%,
due 10/10/00 A3 A 4,184,921
2,900,000 Countrywide Home Loans, Inc., Notes, 5.62%, due 10/16/00 A3 A 2,871,053
5,200,000 Capital One Bank, Bank Notes, 5.95%, due 2/15/01 Baa2 BBB- 5,125,340
3,760,000 Morgan Stanley, Dean Witter, & Co., Global Medium-Term Notes,
Ser. C, 6.09%, due 3/9/01 Aa3 A+ 3,723,996
4,870,000 Household Finance Corp., Senior Medium-Term Notes, 6.06%,
due 5/14/01 A2 A 4,808,057
1,200,000 Dime Bancorp, Inc., Notes, 7.00%, due 7/25/01 Ba1 BBB- 1,188,684
2,570,000 Lehman Brothers Holdings Inc., Medium-Term Notes, Ser. E, 7.00%,
due 5/15/03 A3 A 2,530,618
810,000 Bank United Corp., Medium-Term Notes, Ser. A, 8.00%, due 3/15/09 Ba2 BBB- 749,773
------------
TOTAL BANKS & FINANCIAL INSTITUTIONS (COST $31,531,245) 31,243,489
------------
CORPORATE DEBT SECURITIES (26.7%)
4,450,000 Norfolk Southern Corp., Notes, 6.70%, due 5/1/00 Baa1 BBB+ 4,453,001
1,970,000 Chesapeake Corp., Notes, 10.375%, due 10/1/00 Ba1 BBB 2,014,214
1,610,000 BHP Finance (USA) Ltd., Guaranteed Notes, 5.625%, due 11/1/00 A3 A- 1,594,881
2,027,000 Safeway Inc., Notes, 5.75%, due 11/15/00 Baa2 BBB 2,012,947
2,550,000 AT&T Capital Corp., Notes, 6.875%, due 1/16/01 A1 A+ 2,550,539
1,710,000 Fort James Corp., Notes, 6.234%, due 3/15/01 Baa2 BBB 1,692,719
1,345,000 CMS Energy Corp., Senior Notes, 8.00%, due 7/1/01 Ba3 BB 1,333,919
2,700,000 Telecom Argentina Stet-France SA, Medium-Term Notes, 9.75%,
due 7/12/01 B1 BBB- 2,700,000(4)
1,940,000 Colonial Realty Limited Partnership, Senior Notes, 7.50%,
due 7/15/01 Baa3 BBB- 1,922,963
910,000 USA Waste Services, Inc., Senior Notes, 6.125%, due 7/15/01 Ba1 BBB 869,068
</TABLE>
B-11
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- --------- ------------
<C> <S> <C> <C> <C>
$ 1,715,000 Cox Communications, Inc., Notes, 7.00%, due 8/15/01 Baa2 BBB+ $ 1,707,636
2,625,000 Texas Utilities Co., Notes, 5.94%, due 10/15/01 Baa3 BBB 2,579,759
410,000 Times Mirror Co., Notes, 6.65%, due 10/15/01 A2 A 407,179
2,000,000 Tyco International Ltd., Notes, 6.50%, due 11/1/01 A3 A- 1,963,264
1,499,000 Marlin Water Trust, Senior Secured Notes, 7.09%, due 12/15/01 Baa2 BBB 1,469,802(4)
2,800,000 ICI Wilmington Inc., Guaranteed Notes, 7.50%, due 1/15/02 Baa1 A- 2,794,725
870,000 Century Communications Corp., Senior Notes, 9.75%, due 2/15/02 B1 BB- 876,525
375,000 Stone Container Corp., Senior Subordinated Debentures, 12.25%,
due 4/1/02 B3 B- 375,937
800,000 Comdisco, Senior Notes, 7.25%, due 9/1/02 Baa1 BBB+ 788,947
2,855,000 Crown Cork & Seal Co., Inc., Notes, 7.125%, due 9/1/02 Baa2 BBB 2,808,484
1,950,000 Fort James Corp., Senior Notes, 6.50%, due 9/15/02 Baa2 BBB 1,904,320
2,330,000 Conseco Inc., Notes, 8.50%, due 10/15/02 Baa3 BBB+ 2,361,487
1,300,000 American Standard Inc., Senior Notes, 7.125%, due 2/15/03 Ba3 BB- 1,246,375
3,315,000 Stewart Enterprises, Inc., Notes, 6.40%, due 5/1/03 Ba2 BBB 2,794,545
440,000 Core-Mark International, Inc., Senior Subordinated Notes,
11.375%, due 9/15/03 B3 B 418,000
2,000,000 Akzo Nobel Inc., Guaranteed Notes, 6.00%, due 11/15/03 A2 A 1,895,048(4)
505,000 Loomis Fargo & Co., Senior Subordinated Notes, 10.00%,
due 1/15/04 B3 B 500,581
1,430,000 PDVSA Finance Ltd., Notes, 8.75%, due 2/15/04 A3 1,391,774(4)
570,000 EOP Operating Limited Partnership, Notes, 6.625%, due 2/15/05 Baa1 BBB+ 540,949
800,000 WestPoint Stevens Inc., Senior Notes, 7.875%, due 6/15/05 Ba3 BB 734,000
3,680,000 Heritage Media Corp., Senior Subordinated Notes, 8.75%,
due 2/15/06 Ba3 BB+ 3,749,000
600,000 Calpine Corp., Senior Notes, 7.625%, due 4/15/06 Ba1 BB+ 574,500
610,000 Printpack, Inc., Senior Subordinated Notes, Ser. B, 10.625%,
due 8/15/06 Caa1 B 585,600
2,130,000 Time Warner Inc., Notes, 8.11%, due 8/15/06 Baa3 BBB 2,176,715
25,000 Newport News Shipbuilding Inc., Senior Subordinated Notes, 9.25%,
due 12/1/06 B1 B+ 25,187
645,000 GFSI Inc., Senior Subordinated Notes, 9.625%, due 3/1/07 B3 B- 388,612
720,000 Jones Intercable, Inc., Senior Notes, 8.875%, due 4/1/07 Baa3 BBB- 740,052
1,195,000 Owens-Illinois, Inc., Senior Debentures, 8.10%, due 5/15/07 Ba1(5) BB+(5) 1,142,208
100,000 Safety Components International, Inc., Senior Subordinated Notes,
10.125%, due 7/15/07 Caa1 CCC- 40,000
585,000 HydroChem Industrial Services, Inc., Senior Subordinated Notes,
Ser. B, 10.375%, due 8/1/07 Caa1 B- 510,412
1,720,000 Interpool, Inc., Notes, 7.20%, due 8/1/07 Ba1(6) BB+(6) 1,435,041
</TABLE>
B-12
<PAGE>
SCHEDULE OF INVESTMENTS (Cont'd)
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Principal Rating(1) Market
Amount Moody's S&P Value(2)
- -------------- --------- --------- ------------
<C> <S> <C> <C> <C>
$ 300,000 NBTY, Inc., Senior Subordinated Notes, Ser. B, 8.625%,
due 9/15/07 B1 B+ $ 276,000
640,000 Thiokol Corp., Senior Notes, 6.625%, due 3/1/08 Baa3 BBB 575,339
430,000 IMPAC Group, Inc., Senior Subordinated Notes, 10.125%,
due 3/15/08 B3 B- 391,837
335,000 Trans-Resources, Inc., Senior Notes, Ser. B, 10.75%, due 3/15/08 B3 B- 294,381
800,000 Global Crossing Holdings Ltd., Senior Notes, 9.625%, due 5/15/08 Ba2(5) BB(5) 796,000
540,000 Aqua-Chem, Inc., Senior Subordinated Notes, 11.25%, due 7/1/08 Caa2 CCC+ 306,450
60,000 KinderCare Learning Centers, Inc., Senior Subordinated Notes,
Ser. B, 9.50%, due 2/15/09 B3 B- 58,050
1,400,000 Liberty Media Group, Notes, 7.875%, due 7/15/09 Baa3 BBB- 1,389,345(4)
------------
TOTAL CORPORATE DEBT SECURITIES (COST $69,007,552) 66,158,317
------------
FOREIGN SECURITIES(7) (5.3%)
CAD 5,465,000 Canadian Government, 5.00%, due 12/1/00 Aa1 AAA 3,765,114
SEK 31,900,000 Kingdom of Sweden, 13.00%, due 6/15/01 Aaa AAA 4,171,106
AUD 8,300,000 Asian Development Bank, 5.375%, due 9/15/03 Aaa AAA 5,146,534
------------
TOTAL FOREIGN SECURITIES (COST $13,470,934) 13,082,754
------------
CORPORATE COMMERCIAL PAPER (16.1%)
10,000,000 Ford Motor Credit Co., 6.48%, due 1/6/00 P-1 A-1 9,991,000
10,000,000 Goldman Sachs Group, L.P., 6.45%, due 1/10/00 P-1 A-1+ 9,983,875
10,000,000 Prudential Funding Corp., 6.52%, due 1/11/00 P-1 A-1 9,981,889
10,000,000 BMW U.S. Capital Corp., 6.42%, due 1/14/00 P-1 A-1 9,976,817
------------
TOTAL CORPORATE COMMERCIAL PAPER (COST $39,933,581) 39,933,581(8)
------------
TOTAL INVESTMENTS (102.0%) (COST $259,526,972) 252,735,389(9)
Liabilities, less cash, receivables and other assets [(2.0%)] (4,994,831)
------------
TOTAL NET ASSETS (100.0%) $247,740,558
------------
</TABLE>
SEE NOTES TO SCHEDULE OF INVESTMENTS
B-13
<PAGE>
NOTES TO SCHEDULE OF INVESTMENTS
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
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 debt
securities 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, 1999,
these securities amounted to $19,391,615 or 7.8% of net assets.
5) Rated BBB- by Duff & Phelps Credit Rating Co.
6) Rated BBB by Fitch Investors Services, Inc.
7) Principal amount is stated in the currency in which the security is
denominated.
AUD-Australian Dollar
CAD-Canadian Dollar
SEK-Swedish Krona
8) At cost, which approximates market value.
9) At December 31, 1999, the cost of investments for U.S. Federal income tax
purposes was $259,526,972. Gross unrealized appreciation of investments was
$210,190 and gross unrealized depreciation of investments was $7,001,773,
resulting in net unrealized depreciation of $6,791,583, based on cost for
U.S. 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,
1999
<S> <C>
-------------
ASSETS
Investments in securities, at market value*
(Note A) -- see Schedule of Investments $252,735,389
Cash 5,562
Interest receivable 3,041,695
Deferred organization costs (Note A) 5,344
Prepaid expenses and other assets 3,859
-------------
255,791,849
-------------
LIABILITIES
Payable for securities purchased 7,866,250
Net payable for forward foreign currency
exchange contracts purchased (Note C) 97,804
Payable to investment manager (Note B) 52,844
Accrued expenses 34,393
-------------
8,051,291
-------------
NET ASSETS Applicable to Investors' Beneficial
Interests $247,740,558
-------------
NET ASSETS consist of:
Paid-in capital $254,633,676
Net unrealized depreciation in value of
investment securities, translation of
assets and liabilities in foreign
currencies, and foreign currency contracts (6,893,118)
-------------
NET ASSETS $247,740,558
-------------
*Cost of investments $259,526,972
-------------
</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,
1999
<S> <C>
------------
INVESTMENT INCOME
Interest income $17,199,080
------------
Expenses:
Investment management fee (Note B) 653,890
Custodian fees (Note B) 110,450
Amortization of deferred organization and
initial offering expenses (Note A) 16,119
Auditing fees 14,173
Trustees' fees and expenses 13,315
Legal fees 10,953
Accounting fees 10,000
Insurance expense 2,824
Miscellaneous 229
------------
Total expenses 831,953
Expenses reduced by custodian fee expense
offset arrangement (Note B) (8,453)
------------
Total net expenses 823,500
------------
Net investment income 16,375,580
------------
REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized loss on investment securities
sold (4,081,516)
Net realized loss on financial futures
contracts (Note A) (496,794)
Net realized loss on foreign currency
transactions (Note A) (7,562)
Change in net unrealized appreciation
(depreciation) of investment securities,
financial futures contracts, translation of
assets and liabilities in foreign currencies,
and foreign currency contracts (Note A) (6,926,317)
------------
Net loss on investments (11,512,189)
------------
Net increase in net assets resulting from
operations $ 4,863,391
------------
</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,
1999 1998
<S> <C> <C>
--------------------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 16,375,580 $ 16,666,308
Net realized loss on investments (4,585,872) (3,319,286)
Change in net unrealized
appreciation (depreciation) of
investments (6,926,317) (833,356)
--------------------------
Net increase in net assets resulting
from operations 4,863,391 12,513,666
--------------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS:
Additions 29,703,133 72,773,079
Reductions (63,524,386) (59,246,056)
--------------------------
Net increase (decrease) in net
assets resulting from transactions
in investors' beneficial interests (33,821,253) 13,527,023
--------------------------
NET INCREASE (DECREASE) IN NET ASSETS (28,957,862) 26,040,689
NET ASSETS:
Beginning of year 276,698,420 250,657,731
--------------------------
End of year $247,740,558 $276,698,420
--------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
B-17
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
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) 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.
5) 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.
6) 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 U.S. Federal income tax purposes and is therefore not subject to U.S.
Federal income tax.
7) FOREIGN TAXES: Foreign taxes withheld represent amounts withheld by foreign
tax authorities, net of refunds recoverable.
8) ORGANIZATION EXPENSES: Organization expenses incurred by the Series are being
amortized on a straight-line basis over a five-year period. At December 31,
1999, the unamortized balance of such expenses amounted to $5,344.
B-18
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
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.
10) 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.
For U.S. 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.
During the year ended December 31, 1999, the Series had entered into
various financial futures contracts. At December 31, 1999, there were no
open positions.
NOTE B -- MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES:
The Series retains Neuberger Berman Management Inc. ("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.
Management and Neuberger Berman, LLC ("Neuberger"), a member firm of The New
York Stock Exchange and sub-adviser to the Series, are wholly owned subsidiaries
of Neuberger Berman Inc., a publicly held company. 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 employees of Neuberger
and/or 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 $8,453.
B-19
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Cont'd)
Advisers Managers Trust December 31, 1999
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
NOTE C -- SECURITIES TRANSACTIONS:
During the year ended December 31, 1999, there were purchase and sale
transactions (excluding short-term securities, financial futures contracts, and
forward foreign currency contracts) of $329,108,113 and $370,491,753,
respectively.
During the year ended December 31, 1999, the Series had entered into various
contracts to deliver currencies at specified future dates. At December 31, 1999,
open contracts were as follows:
<TABLE>
<CAPTION>
NET
CONTRACTS IN EXCHANGE SETTLEMENT UNREALIZED
SALES TO DELIVER FOR DATE VALUE DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian Dollar 4,450,000 $2,825,172 02/02/2000 $2,922,976 $97,804
</TABLE>
B-20
<PAGE>
FINANCIAL HIGHLIGHTS
Advisers Managers Trust
- --------------------------------------------------------------------------------
AMT Limited Maturity Bond Investments
<TABLE>
<CAPTION>
Period from
May 1, 1995(1) to
Year Ended December 31, December 31,
1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
RATIOS TO AVERAGE NET ASSETS:
Gross Expenses(2) .32% .31% .32% .33% .32%(3)
-------------------------------------------------------------
Net Expenses .31% .31% .32% .33% .32%(3)
-------------------------------------------------------------
Net Investment Income 6.25% 6.27% 6.71% 6.46% 6.34%(3)
-------------------------------------------------------------
Portfolio Turnover Rate 139% 44% 86% 132% 78%
-------------------------------------------------------------
Net Assets, End of Year (in millions) $247.7 $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-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 constituting the Advisers Managers Trust (the "Trust"), as of
December 31, 1999, 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 auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence with
the custodian and brokers 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,
1999, the results of its operations for the year then ended, the changes in its
net assets for each of the two years in the period then ended, and the financial
highlights for each of the periods indicated therein, in conformity with
accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
January 28, 2000
B-22
