[Deutsche Asset Management logo omitted]
[graphic omitted]
Mutual Fund
Semi-Annual Report
March 31, 2000
PreservationPlus Income
Formerly BT PreservationPlus Income Fund
[Deutsche Bank Group omitted]
<PAGE>
PreservationPlus Income
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS................................................... 3
PRESERVATIONPLUS INCOME
Statement of Assets and Liabilities................................... 7
Statement of Operations............................................... 8
Statements of Changes in Net Assets................................... 9
Financial Highlights.................................................. 10
Notes to Financial Statements......................................... 11
PRESERVATIONPLUS INCOME PORTFOLIO
Schedule of Portfolio Investments..................................... 13
Statement of Assets and Liabilities................................... 15
Statement of Operations............................................... 16
Statements of Changes in Net Assets................................... 17
Financial Highlights.................................................. 18
Notes to Financial Statements......................................... 19
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The Fund is not insured by the FDIC and is not a deposit,
obligation of or guaranteed by Deutsche Bank. The Fund is
subject to investment risks, including possible loss of
principal amount invested.
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PreservationPlus Income
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for PreservationPlus
Income Fund (the "Fund"), providing a detailed review of the market, the
Portfolio, and our outlook. Included are a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.
The name of the Fund has changed to PreservationPlus Income, to reflect the
acquisition of Bankers Trust by Deutsche Bank. The Fund's investment objectives,
policies and strategies, as well as its portfolio managers, remain the same.
The Fund was the first SEC registered mutual fund specifically designed as an
investment alternative for individuals with IRAs previously invested in money
market funds, savings accounts and CDs,1 as well as rollovers from retirement
programs invested in traditional GIC commingled funds and other stable value
products. Until this Fund was introduced in December 1998, the only alternative
retirement plan rollovers had for their conservative stable value assets was
money market funds. The Fund seeks to deliver returns above those of money
market funds while maintaining a constant share price. The Fund is offered to
Traditional IRAs, Roth IRAs, Education IRAs, Simplified Employee Pension IRAs
(SEP IRAs), Savings Incentive Match Plan for employees (SIMPLE IRAs), 401(k)
plans, and Keogh plans.
MARKET ACTIVITY
OVERALL, THE U.S. BOND MARKET WAS DOMINATED BY THREE ADDITIONAL INTEREST RATE
HIKES BY THE FEDERAL RESERVE BOARD DURING THE SIX MONTHS ENDED MARCH 31, 2000. o
The U.S. economy remained vibrant with GDP growth in excess of 7% in the fourth
quarter of 1999, its fastest pace in almost sixteen years, and what is estimated
to be more than 5% in the first quarter of 2000. But the GDP deflator rose by
less than 2%, lower than expected, suggesting overall inflation remained benign.
Crude oil prices reached a high of $35/barrel but, following an agreement with
OPEC, declined to $27/barrel by the end of the semi-annual period. o Still, the
Federal Reserve Board argued that the pace of the economy could not be
indefinitely supported by labor force growth and productivity and thus may
rekindle inflation. It continued tightening monetary policy.
<TABLE>
<CAPTION>
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
Periods ended Past Past Since Past Since
March 31, 2000 6 months 1 year inception(4) 1 year inception(4)
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PreservationPlus Income(2)
(inception 12/23/98) 3.20% 6.34% 7.80% 6.34% 6.09%
-----------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/
Corporate Index(3) (since 12/31/98) 1.89% 3.72% 4.46% 3.72% 3.55%
-----------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate
Aggregate Index(3) (since 12/31/98) 2.85% 5.68% 7.08% 5.68% 5.63%
-----------------------------------------------------------------------------------------------------------------
iMoneyNet First Tier Retail Money
Fund Universe(3) (since 12/31/98) 2.55% 4.82% 5.94% 4.82% 4.72%
-----------------------------------------------------------------------------------------------------------------
<FN>
(1) Unlike CDs and bank savings accounts, shares of the Fund are not deposits or
obligations of, or guaranteed by any bank and the shares are not federally
insured or guaranteed by the U.S. government, the Federal Deposit Insurance
Corporation, the Federal Reserve Board or any other agency.
(2) PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value of the funds will fluctuate so that when redeemed,
investor's shares may be worth more or less than their original cost.
Returns would have been lower during the specified period if certain fees
and expenses had not been waived by the Fund. Performance assumes
reinvestment of dividends and capital gain distributions excluding 3%
maximum redemption fee. The Fund seeks to maintain a constant $10.00 per
share net asset value. The Fund is not a money market fund, and there can be
no assurance that it will be able to maintain a stable share value. The Fund
will hold fixed income securities, money market instruments, futures,
options, and other instruments, and contracts with financial institutions,
such as insurance companies and banks that are intended to stabilize the
value per share. Advance notice of plan withdrawal may be necessary to avoid
a redemption fee (see the Fund's prospectus for details).
(3) In addition to the iMoneyNet Fund Average, we use two alternative
benchmarks. The Lehman 1 to 3 Year Government/Corporate Index, our primary
benchmark, is an unmanaged total return index consisting of all U.S.
Government agency securities, U.S. Government Treasury securities, and all
investment grade corporate debt securities with maturities of one to three
years. The Wrapped Lehman Intermediate Aggregate Index is an unmanaged index
that closely reflects the market sectors in which the Fund invests.IBCFirst
Tier Retail Money Fund Universe changed its name to iMoneyNet First Tier
Retail Money Fund Universe.
(4) The benchmarks for the Since Inception time period are calculated from
December 31, 1998.
</FN>
</TABLE>
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LETTER TO SHAREHOLDERS
PORTFOLIO DIVERSIFICATION
By Theme as of March 31, 2000 (percentages are based on market value)
Money Market Fund ..................... 31.95%
Mortgage Backed........................ 25.91
Financial Services..................... 16.09
Asset Backed........................... 9.82
Other.................................. 7.33
Industrial............................. 4.29
Utilities.............................. 2.19
Foreign Debt........................... 1.32
U.S. Treasury Bills.................... 0.81
U.S. Treasury.......................... 0.29
o For the six-month period, the 2-year and 5-year U.S. Treasury yields rose by
0.88% and 0.56%, respectively. But the 30-year Treasury rallied, with yields
declining by 0.22%. Yield spreads widened for all three of the
credit-dependent "spread sectors," (i.e. corporate mortgage and asset-backed)
primarily as a result of a flight to quality that favored U.S. Treasuries.
DURING THE FOURTH QUARTER OF 1999, THE FEDERAL RESERVE BOARD FOLLOWED UP ITS
JUNE 30 AND AUGUST 24 RATE HIKES BY RAISING THE FED FUNDS RATE BY ANOTHER 0.25%
ON NOVEMBER 16TH IN AN ATTEMPT TO REIN IN ECONOMIC GROWTH AND KEEP INFLATION IN
CHECK.
o U.S. Treasuries suffered and yields rose, as investors grew increasingly
concerned over the ongoing extraordinary performance of the U.S. economy,
expectations of further Fed tightening, and liquidity shortages surrounding
the Y2K phenomenon. Yields on the 5-year Treasury note ended the quarter up
0.59% to a level of 6.34%, and the 30-year Treasury yield rose 0.43% to 6.48%.
The U.S. Treasury market returned -0.75% for the quarter.
o In contrast, the "spread sectors" benefited from the strength of the economy
and experienced positive relative performance. The increase in the general
level of interest rates, a reduction in volatility, and a slowdown in
prepayments benefited mortgage securities. Asset-backed securities benefited
as increased investor demand wrestled with favorable supply technicals.
Investment grade corporate bonds posted the best excess return performance
since 1991 on the U.S.' economic strength. For the fourth quarter,
mortgage-backed securities, asset-backed securities and corporate bonds
recorded positive returns of 0.38%, 0.27% and 0.03%, respectively.
DURING THE FIRST QUARTER OF 2000, THE FEDERAL RESERVE BOARD RAISED RATES AGAIN
ON FEBRUARY 2 AND MARCH 21 BY ANOTHER 0.25% EACH TIME, AND LONG-TERM U.S.
TREASURIES IN PARTICULAR BENEFITED FROM SEVERAL UNEXPECTED CHANGES.
o U.S. Treasury bonds gained the most during the first quarter than they had in
more than a decade, with a return of 3.79%. This outperformance was primarily
triggered by three factors. First, the U.S. Treasury market benefited from a
flight to quality based on high volatility within the global equity markets,
especially at the end of March. Second, the flight to quality was buttressed
by concerns regarding a pull-back of the credit line from what are known as
Government Sponsored Entities, i.e. the U.S. agency sector of the fixed income
market. Third, the U.S. Treasury announced its decision to reduce the number
of auctions held and to institute a buyback program, whereby the U.S. Treasury
would buy back its own 30-year issues with budget surplus monies. The result
was a perceived scarcity value-and a rally-for U.S. Treasuries.
o Still, yields were mixed with the 30-year Treasury bond declining by 0.65% but
the 2-year Treasury note yield rising by 0.25%. This caused the Treasury yield
curve to invert.
o The "spread sectors" had positive nominal returns but underperformed
comparable duration Treasuries. Asset-backed securities, mortgage-backed
securities and corporate bonds returned 1.52%, 1.38% and 1.43%, respectively,
for the quarter.
INVESTMENT REVIEW
THE FUND IS INVESTED ACROSS MAJOR SECTORS OF THE INVESTMENT GRADE FIXED INCOME
MARKET. As of March 31, 2000, the portfolio is allocated 30% to corporate bonds,
26% to mortgage-backed securities, 10% to asset-backed securities, 1% to U.S.
Treasuries/agencies, 1% to foreign debt and 32% to cash equivalents. This
allocation of fixed income securities is intentionally weighted towards the
corporate and mortgage sectors, as these sectors have historically offered
higher yields than U.S. government securities. The Fund has employed its Global
Asset Allocation (GAA) overlay strategy, which evaluates equity, bond, cash, and
currency opportunities across
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LETTER TO SHAREHOLDERS
domestic and international markets. Additionally, the Fund has entered into
Wrapper Agreements that are intended to stabilize the Fund's NAV.
During the first quarter of 2000, the Portfolio received subscriptions for
approximately $97 million. Depositing the money in this high rate environment
caused the yield of the Fund to increase by approximately 0.12%.
THE FUND IS THE FIRST SEC REGISTERED MUTUAL FUND FOR IRA INVESTORS TO MAKE USE
OF WRAPPER AGREEMENTS TO SEEK TO MAINTAIN PRINCIPAL STABILITY IN THE FACE OF
FLUCTUATIONS IN VALUES DUE TO CHANGES IN YIELDS. To date, we have negotiated
three Wrapper Agreements, each of which covers approximately one third of the
fixed income securities and GAA strategy in the Portfolio covered by such
Agreements. Generally speaking, Wrapper Agreements are issued by insurance
companies, banks and other financial institutions. The Wrapper Agreements held
by the Portfolio as of March 31, 2000 are issued by Bank of America NT&SA,
TransAmerica Life Insurance & Annuity Co. and Caisse des Depots et
Consignations. This was a successful strategy for the Fund.
THE FUND HAS MAINTAINED A HIGH QUALITY PORTFOLIO. The average credit quality of
investments in the Fund improved during the six month period from AA on
September 30, 1999 to A+ at March 31, 2000, as measured by Standard & Poor's.
The average quality of the issuers of the Wrapper Agreements also improved from
AA to AA+ over the semi-annual period, as measured by Standard & Poor's. The
Fund's duration at March 31, 2000 stood at 3.57 years.
MANAGER OUTLOOK
We believe that unless the laws of supply and demand are repealed, the growth of
U.S. demand must eventually stop outstripping the growth of what the economy's
available workers can supply. Even with fantastic gains in productivity, the
U.S. economy's supply side has been unable to keep up with the breakneck pace of
domestic demand, so it has to stretch its labor resources even further and rely
increasingly on foreign production. Obviously, this can not go on forever. What
is less clear, however, is what will drive the inevitable realignment of supply
and demand, whether it will proceed smoothly, what the consequences will be for
the financial markets, and how those consequences will feed back into the real
economy.
We suspect that a combination of higher interest rates and less frothy equity
markets will be necessary to realign domestic demand with supply. The recent
rise in energy prices, if sustained, might also help restrain demand a bit by
cutting into domestic purchasing power. It is hard to say exactly how much of
each will be required, and there are many permutations that could potentially do
the trick. One scenario that makes sense to us is another 0.50% of rate hikes by
the Federal Reserve Board, relatively flat equity markets for the rest of the
year, and the persistence of the recent spike in energy prices at least through
the summer. This combination should be enough to slow domestic demand growth by
late 2000/2001 to a rate at, or slightly below, the economy's supply potential.
In our view, this "soft landing" would ease pressures on productive resources
and prevent incipient inflation pressures from becoming too deeply entrenched.
Given this outlook, we believe the first quarter of 2000 fixed income rally may
slow. We anticipate that fixed income yields may drift a bit higher and yield
spreads may widen over the near term. These conditions should present us with
attractive, but limited, opportunities to invest new cash flows at higher
yields. Over the longer term, we maintain a generally positive but cautious
outlook for the U.S. fixed income markets.
We maintain our long-term perspective for the Fund, monitoring economic
conditions and how they affect the financial markets, as we seek to provide a
high level of current income while seeking to maintain a stable value per share.
Our strategy is to continue to focus on selecting the highest quality spread
sector assets at the maximum yield possible, while normally maintaining a 10%
cash allocation to provide liquidity. This liquidity facilitates effective
wrapper agreement management while seeking to maximize the return volatility of
the fixed income securities. Additionally, we expect the GAA overlay to boost
returns, as world economic momentum continues to build.
We value your support of the PreservationPlus Income Fund and look forward to
serving your investment needs in the years ahead.
/s/SIGNATURES Eric Kirsch, John Axtell and Louis R. D'Arienzo
Eric Kirsch, John Axtell and Louis R. D'Arienzo
Portfolio Managers of the
PRESERVATIONPLUS INCOME PORTFOLIO
March 31, 2000
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PreservationPlus Income
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PERFORMANCE COMPARISON
PRESERVATIONPLUS INCOME
GROWTH OF A $10,000 INVESTMENT (SINCE DECEMBER 23, 1998(1))
[line graph omitted]
plot points as follows:
PreservationPlus Lehman 1-3 Year IBC First Tier Wrapped Lehman
Income Fund Government/Corporate Retail Money Intermediate
Index Market Universe Aggregate Index
Dec-98 10000 10000 10000 10000
Mar-99 10137 10071 10107 10146
Sep-99 10446 10252 10330 10415
Mar-00 10780 10446 10574 10708
Average Annual Total Return for Periods through March 31, 2000(2)
(excluding 3% maximum redemption fee)
One Year 6.34% Since 12/23/981 6.09%
--------------------------------------------------------------------------------
(1) The Fund's inception date.
(2) Unaudited.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. Performance figures assume the reinvestment of
dividends and capital gains distributions. Performance figures also include the
effect of any income received by the Fund if redemption fees are paid by fund
shareholders, however, they do not reflect a deduction for a redemption fee
assessed at the end of the periods shown. Benchmark returns are for the period
beginning September 30, 1998.
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PreservationPlus Income
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
AS OF
MARCH 31, 2000
ASSETS
Investment in PreservationPlus Income Portfolio, at Value ...... $371,954
Due from Bankers Trust ......................................... 5,227
--------
Total Assets ...................................................... 377,181
--------
LIABILITIES
Dividend Payable ............................................... 196
Accrued Expenses and Other ..................................... 78,933
--------
Total Liabilities ................................................. 79,129
--------
NET ASSETS ........................................................ $298,052
========
COMPOSITION OF NET ASSETS
Paid-in Capital ................................................ $298,052
Accumulated Net Realized Gain from Investment,
Foreign Futures, Foreign Currency and Forward
Foreign Currency Transactions ................................ 570
Net Unrealized Depreciation on Investment,
Foreign Futures, Foreign Currency and Forward
Foreign Currency Contracts ................................... (1,323)
Unrealized Appreciation on Wrapper Agreements .................. 753
--------
NET ASSETS ........................................................ $298,052
========
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares of beneficial
interest authorized) ........................................... 29,805
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) ..................... $ 10.00
========
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See Notes to Financial Statements.
7
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PreservationPlus Income
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
MARCH 31, 2000
INVESTMENT INCOME
Income allocated from PreservationPlus
Income Portfolio, net .................................... $ 3,800
--------
EXPENSES
Printing and Shareholder Reports ........................... 19,535
Professional Fees .......................................... 8,268
Trustees Fees .............................................. 1,967
Administration and Services Fees ........................... 190
Miscellaneous .............................................. 1,426
--------
Total Expenses ................................................ 31,386
Less: Fee Waivers or Expense Reimbursements ................... (31,039)
--------
Net Expenses .................................................. 347
--------
NET INVESTMENT INCOME ......................................... 3,453
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY,
FOREIGN AND DOMESTIC FUTURES AND WRAPPER AGREEMENTS
Net Realized Gain (Loss) from:
Investment Transactions .................................. --
Foreign Currency Transactions ............................ 103
Forward Foreign Currency Transactions .................... (88)
Foreign and Domestic Futures Transactions ................ 725
Net Change in Unrealized Appreciation/Depreciation
on Investment, Foreign Currency, Forward Foreign
Currency and Foreign and Domestic Futures Contracts ...... (1,676)
Net Change in Unrealized Appreciation on
Wrapper Agreements ....................................... 936
--------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY, FOREIGN
AND DOMESTIC FUTURES AND WRAPPER AGREEMENTS ................ --
--------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................... $ 3,453
========
See Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD
DECEMBER 23,
FOR THE SIX 1998(1) THROUGH
MONTHS ENDED SEPTEMBER 30,
MARCH 31, 2000(2) 1999
INCREASE IN NET ASSETS:
OPERATIONS
Net Investment Income .......................... $ 3,453 $ 2,824
Net Realized Gain (Loss) from Investment,
Foreign Currencies, Forward Foreign
Currency and Foreign and Domestic
Futures Transactions ......................... 740 (170)
Net Change in Unrealized Appreciation/
Depreciation on Investment, Foreign
Currencies, Forward Foreign Currency
Contracts and Foreign and Domestic Futures ... (1,676) 353
Net Change in Unrealized Appreciation/
Depreciation on Wrapper Agreements ........... 936 (183)
-------- --------
Net Increase in Net Assets Resulting
from Operations .............................. 3,453 2,824
-------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .......................... (3,453) (2,824)
-------- --------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Sales of Shares .................. 200,892 447,190
Dividend Reinvestments ......................... 4,048 1,781
Cost of Shares Sold ............................ (24,477) (331,382)
-------- --------
Net Increase in Net Assets from Capital
Transactions in Shares of Beneficial Interest .. 180,463 117,589
-------- --------
TOTAL INCREASE IN NET ASSETS ...................... 180,463 117,589
NET ASSETS
Beginning of Period ............................ 117,589 --
-------- --------
End of Period .................................. $298,052 $117,589
======== ========
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1 Commencement of operations.
2 Unaudited.
See Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for PreservationPlus Income.
FOR THE PERIOD
DECEMBER 23,
FOR THE SIX 1998(1) THROUGH
MONTHS ENDED SEPTEMBER 30,
MARCH 31, 2000(4) 1999
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.32 0.44
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.32) (0.44)
---- ------
NET ASSET VALUE, END OF PERIOD $10.00 $10.00
====== ======
TOTAL INVESTMENT RETURN 3.20% 4.46%(2)
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $ 298 $118
Ratios to Average Net Assets:
Net Investment Income 6.30%(3) 5.85%(3)
Expenses After Waivers, Including Expenses
of the PreservationPlus Income Portfolio 1.00%(3) 0.89%(3)
Expenses Before Waivers, Including Expenses
of the PreservationPlus Income Portfolio 57.35%(3) 228.89%(3)
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(1) Commencement of operations.
(2) Return is not annualized.
(3) Annualized.
(4) Unaudited.
See Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Investment Funds (the "Trust") is registered under the Investment Company Act
of 1940 (the "Act"), as amended, as an open-end management investment company.
The Trust was organized on July 21, 1986, as a business trust under the laws of
the Commonwealth of Massachusetts. PreservationPlus Income (the "Fund") is one
of the funds offered to investors by the Trust. The Fund began operations on
December 23, 1998. The Fund seeks to achieve its investment objective by
investing substantially all of its assets in the PreservationPlus Income
Portfolio (the "Portfolio"). The Portfolio, a series of investment portfolios,
is an open-end management investment company registered under the Act. The value
of the Fund's investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. At March 31, 2000, the Fund's
investment was approximately 0.002% of the Portfolio.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and net realized and unrealized
gains and losses (including Wrapper Agreements) of the Portfolio are allocated
pro rata among the investors in the Portfolio on a daily basis.
Security transactions are accounted for on a trade date basis. Realized gains
and losses on investments sold are computed on the basis of identified cost. The
realized and unrealized gains and losses in the Statement of Operations
represent the Fund's pro rata interest in the realized and unrealized gains and
losses of the Portfolio including the offsetting valuation charge of the Wrapper
Agreements.
C. DISTRIBUTIONS
It is the Fund's policy to declare dividends daily and distribute dividends
monthly to shareholders from net investment income. Dividends payable to
shareholders are recorded by the Fund on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any, earned by the Fund
are made annually to the extent they exceed capital loss carry forwards.
D. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of the differences in the
characterization and allocation of certain income and capital gains
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles.
E. OTHER
The Trust accounts separately for the assets, liabilities, and operations of
each of its funds. Expenses directly attributable to a fund are charged to that
fund, while expenses which are attributable to the Trust are allocated among the
funds in the Trust.
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
Actual results could differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of Deutsche
Bank A.G. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Fund in return for a fee
computed daily and paid monthly at an annual rate of .35% of average daily net
assets.
Bankers Trust has contractually agreed to waive its fees through January 31,
2010 and reimburse expenses of the Fund and the Portfolio, to the extent
necessary, to limit all expenses to 1.50%. Furthermore, Bankers Trust has
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PreservationPlus Income
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
agreed to waive its fees voluntarily and reimburse expenses of the Fund, to the
extent necessary, to limit all expenses to .65% of the average daily net assets
of the Fund, excluding expenses of the Portfolio and 1.00% of the average daily
net assets of the Fund, including expenses of the Portfolio. Bankers Trust may
terminate these voluntary waivers and reimbursements at anytime without notice
to the shareholders.
The Fund is also subject to shareholder servicing fees in the maximum amount of
.25% of average daily net assets.
Shareholder transaction expenses are charges paid when investors buy, redeem or
exchange shares. Under normal circumstances, redemptions of shares that are
qualified are not subject to a redemption fee. Redemptions of shares or
redemptions from 401(k) plans or IRA's that are not qualified are subject to a
3% fee if the interest rate trigger is active.
ICC Distributors, Inc. provides distribution services to the Fund.
NOTE 3--SHARES OF BENEFICIAL INTEREST
At March 31, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest for the six
months ended March 31, 2000 were as follows:
FOR THE SIX MONTHS
ENDED MARCH 31, 2000(2)
----------------------------
SHARES AMOUNT
------- --------
Sold 20,089 $200,892
Reinvested 404 4,048
Redeemed (2,447) ((24,477)
------- --------
Net Increase 18,046 $180,463
======= ========
FOR THE PERIOD
DECEMBER 23, 1998(1)
TO SEPTEMBER 30, 1999
---------------------------
SHARES AMOUNT
------- ---------
Sold 44,719 $ 447,190
Reinvested 178 1,781
Redeemed (33,138) (331,382)
------- ---------
Net Increase 11,759 $ 117,589
======= =========
--------------------------------------------------------------------------------
(1) Commencement of operations.
(2) Unaudited.
NOTE 4--FUND NAME CHANGE
On January 31, 2000, the Fund changed its name from BT PreservationPlus Income
Fund to PreservationPlus Income.
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PreservationPlus Income Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
ASSET-BACKED SECURITIES - 11.2%
$2,000,000 California Infrastructure PG&E,
6.42%, 9/25/08 .............................. $ 1,928,210
3,000,000 Chase Funding Mortgage Loan,
7.674%, 10/25/19 ............................ 3,000,000
1,191,715 First Union National Bank Commercial
Mortgage, 7.184%, 9/15/08 ................... 1,177,718
927,643 GE Capital Mortgage Services, Inc.,
6.00%, 7/25/29 .............................. 869,280
3,003,408 Lb Comm Conduit Mortgage Trust,
6.41%, 8/15/07 .............................. 2,882,038
1,015,000 Norwest Asset Securities Corp.,
6.75%, 8/25/29 .............................. 975,867
2,500,000 Providian Master Trust, 7.49%, 8/17/09 ....... 2,534,313
937,460 Residential Funding Mortgage I
Securities, 6.75%, 4/25/29 .................. 888,183
150,000 Vendee Mortgage Trust,
7.50%, 8/15/17 .............................. 150,353
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $14,445,444) ................................... 14,405,962
-----------
CORPORATE DEBT - 34.1%
FINANCIAL SERVICES - 18.3%
1,000,000 Abbey National PLC, 6.69%, 10/17/05 .......... 952,626
1,000,000 ABN Amro Bank, NV, 7.25%, 5/31/05 ............ 984,814
1,000,000 Allstate Corp., 7.20%, 12/1/09 ............... 955,780
1,440,000 American General Finance,
5.875%, 12/15/05 ............................ 1,325,052
1,500,000 Associates Corp., 8.55%, 7/15/09 ............. 1,585,889
1,000,000 Bank of Tokyo - Mitsubishi,
8.40%, 4/15/10 .............................. 1,014,602
1,000,000 BankBoston, 6.50%, 12/19/07 .................. 919,548
1,000,000 Bear Stearns Co., Inc., 7.625%, 2/1/05 ....... 994,840
114,545 Bear Stearns Commercial Mortgage
Securities, 7.64%, 2/15/09 .................. 115,600
1,000,000 CIT Group, Inc., 7.125%, 10/15/04 ............ 986,303
1,000,000 CNA Financial, 6.45%, 1/15/08 ................ 891,638
1,000,000 Everest Reins Holding, Co.,
8.75%, 3/15/10 .............................. 1,044,000
360,887 First Union, Lehman Brothers Bank of
America, 6.28%, 6/18/07 ..................... 346,307
2,000,000 Ford Motor Credit Co.,
7.375%, 10/28/09 ............................ 1,956,400
2,000,000 General Motors Acceptance Corp.,
7.75%, 1/19/10 .............................. 2,001,480
1,000,000 Household Finance Corp.,
6.50%, 11/15/08 ............................. 920,601
1,000,000 J.P. Morgan & Co., Inc., 6.00%, 1/15/09 ...... 889,987
950,000 Lehman Brothers Holdings,
6.625%, 12/27/02 ............................ 923,842
1,600,000 Morgan Stanley Dean Witter,
7.00%, 10/1/13 .............................. 1,509,438
1,000,000 Paine Webber Group, Inc.,
6.375%, 5/15/04 ............................. 947,548
1,500,000 Santander Finance Issuance,
6.80%, 7/15/05 .............................. 1,436,955
1,000,000 Westdeutsche Landesbank NY,
6.05%, 1/15/09 .............................. 899,500
-----------
23,602,750
-----------
INDUSTRIAL - 4.9%
1,000,000 Delphi Auto Systems Corp.,
6.50%, 5/1/09 ............................... 899,548
1,000,000 Laidlaw, Inc., 7.70%, 8/15/02 ................ 550,000
1,000,000 News America Holdings,
8.50%, 2/15/05 .............................. 1,027,489
1,000,000 Northrop-Grumman Corp.,
7.00%, 3/1/06 ............................... 940,519
1,000,000 Time Warner, Inc., 7.48%, 1/15/08 ............ 982,111
1,000,000 TYCO International Group,
5.875%, 11/1/04 ............................. 932,500
1,000,000 Union Pacific Corp., 7.25%, 11/1/08 .......... 956,029
-----------
6,288,196
-----------
UTILITIES - 2.5%
1,000,000 Dynegy Holdings, Inc.,
8.125%, 3/15/05 ............................. 1,017,800
1,000,000 MCI Worldcom, Inc., 6.95%, 8/15/06 ........... 974,541
1,250,000 Tosco Corp., 7.625%, 5/15/06 ................. 1,227,983
-----------
3,220,324
-----------
OTHER - 8.4%
1,000,000 Cox Communication, Inc.,
7.50%, 8/15/04 .............................. 992,349
1,000,000 Delta Airlines, 7.90%, 12/15/09 .............. 955,756
1,000,000 Duke Capital Corp., 7.50%, 10/1/09 ........... 982,168
1,000,000 Federated Dept Stores, 6.90%, 4/1/29 ......... 858,986
1,000,000 Goodyear Tire & Rubber,
8.50%, 3/15/07 .............................. 1,012,536
1,000,000 Kroger Co., 7.45%, 3/1/08 .................... 975,000
1,137,000 Lockheed Martin Corp.,
7.25%, 5/15/06 .............................. 1,089,587
1,000,000 Marriot International, 6.875%, 11/15/05 ...... 949,800
1,000,000 Sears Roebuck Acceptance,
6.00%, 3/20/03 .............................. 958,157
1,000,000 TRW, Inc., 6.50%, 6/1/02 ..................... 969,990
1,000,000 Vodafone Airtouch PLC,
7.75%, 2/15/10 .............................. 1,007,911
-----------
10,752,240
-----------
TOTAL CORPORATE DEBT
(Cost $44,438,869) ................................... 43,863,510
-----------
See Notes to Financial Statements.
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
FOREIGN DEBT - 1.5%
$1,000,000 Celulosa Arauco y Constitu,
6.75%, 12/15/03 ............................. $ 944,785
1,000,000 Corp Andina de Fomento,
7.75%, 3/1/04 ............................... 990,982
-----------
TOTAL FOREIGN DEBT
(Cost $1,945,114) .................................... 1,935,767
-----------
MORTGAGE BACKED SECURITIES - 29.5%
FGLMC GOLD,
4,858,143 7.50%, 10/1/24 ............................. 4,803,539
1,028,460 8.00%, 3/1/27 .............................. 1,033,452
FHLMC,
4,000,000 6.25%, 7/15/04 ............................. 3,875,836
FNCL,
4,278,187 8.00%, 5/1/25 .............................. 4,300,357
2,380,274 8.00%, 9/1/26 .............................. 2,390,562
2,116,089 7.50%, 7/1/27 .............................. 2,080,289
5,854,478 7.50%, 9/1/27 .............................. 5,755,432
5,838,923 8.00%, 9/1/27 .............................. 5,869,225
1,022,722 6.50%, 9/1/28 .............................. 960,198
1,066,060 6.50%, 10/1/28 ............................. 1,000,887
957,553 6.50%, 12/1/28 ............................. 899,014
FNMA,
4,980,612 7.369%, 1/17/13 ............................ 5,039,817
-----------
TOTAL MORTGAGE BACKED SECURITIES
(Cost $38,270,956) ................................... 38,008,608
-----------
U.S. TREASURY SECURITY - 0.3%
440,000 U.S. Treasury Note, 5.25%, 5/15/04 ........... 422,400
-----------
TOTAL U.S. TREASURY SECURITY
(Cost $430,586) ...................................... 422,400
-----------
PRINCIPAL
AMOUNT/
SHARES DESCRIPTION VALUE
SHORT-TERM INSTRUMENTS - 37.3%
MUTUAL FUND - 36.4%
46,856,778 Institutional Cash Management ................ $ 46,856,778
------------
U.S. TREASURY BILLS - 0.9%
U.S. Treasury Bills,
$275,000 5.04%, 4/6/00 ............................... 274,880
910,000 5.36%, 4/6/00 ............................... 909,604
------------
1,184,484
------------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $48,041,276) ................................... 48,041,262
------------
TOTAL INVESTMENTS
(Cost $147,572,245) ......................... 113.9% $146,677,509
------------
WRAPPER AGREEMENTS* - 0.4%
Bank of America NT&SA .................................. 182,782
Caisse des Depots et Consignations ..................... 182,716
TransAmerica LifeInsurance &AnnuityCo. ................. 182,767
------------
TOTAL WRAPPER AGREEMENTS ................................ 548,265
------------
LIABILITIES IN EXCESS OF OTHER ASSETS .......... (14.3) (18,461,863)
----- ------------
NET ASSETS ..................................... 100.0% $128,763,911
===== ============
--------------------------------------------------------------------------------
The following abbreviations are used in portfolio descriptions:
FGLMC -- Federal Government Loan Mortgage Company
FHLMC -- Federal Home Loan Mortgage Corp.
FNMA -- Federal National Mortgage Association
FNCL -- Federal National Mortgage Association Class Loan
*Wrapper Agreements - Each Wrapper Agreements obligates the wrapper provider to
maintain the book value of a portion of the Portfolio's assets up to a specified
maximum dollar amount, upon the occurrence of certain specified events.
See Notes to Financial Statements.
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PreservationPlus Income Portfolio
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
AS OF
MARCH 31, 2000
ASSETS
Investment at Value (Cost of $147,572,245) ................ $146,677,509
Interest Receivable ....................................... 1,384,625
Prepaid Expenses and Other ................................ 69,121
Wrapper Agreements ........................................ 548,265
Due from Bankers Trust .................................... 22,679
Variation Margin Receivable ............................... 518,726
------------
Total Assets ................................................. 149,220,925
------------
LIABILITIES
Payable for Securities Purchased .......................... 20,453,125
Accrued Expenses and Other ................................ 3,889
------------
Total Liabilities ............................................ 20,457,014
------------
NET ASSETS ................................................... $128,763,911
============
COMPOSITION OF NET ASSETS
Paid in Capital ........................................... $129,453,491
Net Unrealized Appreciation/Depreciation on
Investments, Foreign Currencies, Forward
Foreign Currency Contracts, Foreign and
Domestic Futures and Wrapper Agreements ................. (689,580)
------------
NET ASSETS ................................................... $128,763,911
============
See Notes to Financial Statements.
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PreservationPlus Income Portfolio
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
MARCH 31, 2000
INVESTMENT INCOME
Interest Income .............................................. $1,250,518
Credited Rate Interest ....................................... 134,227
----------
Total Investment Income ......................................... 1,384,745
----------
EXPENSES
Advisory Fees ................................................ 129,617
Wrapper Fees ................................................. 37,536
Professional Fees ............................................ 27,288
Administration and Service Fees .............................. 9,384
Trustees Fees ................................................ 1,630
Miscellaneous ................................................ 8,088
----------
Total Expenses .................................................. 213,543
Less: Fee Waivers or Expense Reimbursements ..................... (147,889)
----------
Net Expenses .................................................... 65,654
----------
NET INVESTMENT INCOME ........................................... 1,319,091
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY,
FOREIGN AND DOMESTIC FUTURES AND
WRAPPER AGREEMENTS
Net Realized Gain (Loss) from:
Investment Transactions .................................... --
Foreign Currency Transactions .............................. 20,683
Forward Foreign Currency Transactions ...................... (18,568)
Foreign and Domestic Futures Transactions .................. 720,285
Net Change in Unrealized Appreciation/Depreciation
on Investments, Foreign Currency, Forward
Foreign Currency and Foreign Futures Contracts ............. (726,809)
Net Change in Unrealized Appreciation Wrapper Agreements ..... 4,409
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES, FORWARD FOREIGN CURRENCY,
FOREIGN AND DOMESTIC FUTURES AND
WRAPPER AGREEMENTS ........................................... --
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...................... $1,319,091
==========
See Notes to Financial Statements.
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PreservationPlus Income Portfolio
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STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD
DECEMBER 23,
FOR THE SIX 1998(1) THROUGH
MONTHS ENDED SEPTEMBER 30,
MARCH 31, 2000(2) 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ........................ $ 1,319,091 $ 597,975
Net Realized Gain (Loss) from Investments,
Foreign Currencies, Forward Foreign
Currency and Foreign and
Domestic Futures Transactions .............. 722,400 (32,820)
Net Change in Unrealized Appreciation/
Depreciation on Investments, Foreign
Currencies, Forward Foreign Currency
Contracts and Foreign and Domestic Futures.. (726,809) (329,564)
Net Unrealized Appreciation/Depreciation
on Wrapper Agreements ...................... 4,409 362,384
------------ ------------
Net Increase in Net Assets from Operations ...... 1,319,091 597,975
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ............... 190,674,551 44,761,026
Value of Capital Withdrawn ................... (89,324,728) (19,264,004)
------------ ------------
Net Increase in Net Assets from
Capital Transactions ......................... 101,349,823 25,497,022
------------ ------------
TOTAL INCREASE IN NET ASSETS .................... 102,668,914 26,094,997
NET ASSETS
Beginning of Period .......................... 26,094,997 --
------------ ------------
End of Period ................................ $128,763,911 $ 26,094,997
============ ============
--------------------------------------------------------------------------------
(1) Commencement of operations.
(2) Unaudited.
See Notes to Financial Statements.
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PreservationPlus Income Portfolio
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FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the PreservationPlus Income Portfolio.
FOR THE PERIOD
FOR THE SIX DECEMBER 23,
MONTHS ENDED 1998(1) THROUGH
MARCH 31, 2000(3) SEPTEMBER 30, 1999
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ... $128,764 $26,095
Ratios to Average Net Assets:
Net Investment Income ................... 6.95%(2) 6.47%(2)
Expenses After Waivers .................. 0.35%(2) 0.49%(2)
Expenses Before Waivers ................. 1.13%(2) 1.41%(2)
Portfolio Turnover Rate .................... 0.00% 149%
--------------------------------------------------------------------------------
(1) Commencement of operations.
(2) Annualized.
(3) Unaudited.
See Notes to Financial Statements.
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PreservationPlus Income Portfolio
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The BT Investment Portfolios (the "Portfolio Trust") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio, one of the series of the Portfolio
Trust, was organized and began operations on December 23, 1998. The Portfolio
Trust was organized as an unincorporated trust under the laws of New York. The
Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolio.
B. SECURITY VALUATION
Debt securities (other than short-term debt obligations maturing in 60 days or
less), including listed securities and securities for which price quotations are
available, will normally be valued on the basis of market valuations furnished
by a pricing service. Such market valuations may represent the last quoted price
on the securities' major trading exchange or quotes received from dealers or
market makers in the relevant securities or may be determined through the use of
matrix pricing. In matrix pricing, pricing services may use various pricing
models, involving comparable securities, historic relative price movements,
economic factors and dealer quotations. Over-the-counter securities are normally
valued at the bid price. Short-term debt obligations and money market securities
maturing in 60 days or less are valued at amortized cost. Securities for which
market quotations are not readily available are valued by Bankers Trust Company
pursuant to procedures adopted by the Portfolio's Board of Trustees.
Wrapper Agreements generally will be equal to the difference between the Book
Value and Market Value (plus the crediting rate adjustment) on the applicable
covered assets and will either be reflected as an asset or a liability of the
Portfolio. The Portfolio's Board of Trustees, in performing its fair value
determination of the Portfolio's Wrapper Agreements, considers the
creditworthiness and the ability of Wrapper Providers to pay amounts due under
the Wrapper Agreements.
C. SECURITY TRANSACTIONS AND INTEREST INCOME
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
accretion of discount on investments. Realized gains and losses from security
transactions are recorded on the identified cost basis. The credited rate
interest represents the actual interest earned on covered assets under the
Portfolio's Wrapper Agreements (the "agreements") plus or minus an adjustment
for an amount receivable from or payable to the wrapper provider based on
fluctuations in the market value of covered assets under the agreements.
All of the net investment income and net realized and unrealized gains and
losses (including the Wrapper Agreements) of the Portfolio are allocated pro
rata to the investors in the Portfolio on a daily basis.
D. TBA PURCHASE COMMITMENTS
The Portfolio may enter into "TBA" (to be announced) commitments to purchase
securities for a fixed price at a future date, typically not exceeding 45 days.
TBA purchase commitments may be considered securities in themselves, and involve
a risk of loss if the value of the security to be purchased declines prior to
settlement date. This risk is in addition to the risk of decline in the value of
the Portfolio's other assets. Unsettled TBA purchase commitments are valued at
the current market value of the underlying securities, according to the
procedures described under "Security Valuation" above.
E. FOREIGN CURRENCY TRANSACTIONS
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
F. FORWARD FOREIGN CURRENCY CONTRACTS
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Operations may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
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PreservationPlus Income Portfolio
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
G. OPTION CONTRACTS
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by the Portfolio, the premium paid is recorded as an investment
and marked-to-market daily to reflect the current market value. When a purchased
option expires, the Portfolio will realize a loss in the amount of the cost of
the option. When the Portfolio enters into a closing sale transaction, the
Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Portfolio exercises a call
option, the cost of the security which the Portfolio purchases upon exercise
will be increased by the premium originally paid.
H. FUTURES CONTRACTS
The Portfolio may enter into financial futures contracts, which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to make initial margin deposits either in cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin payments are made or received by the Portfolio each day,
depending on the daily fluctuations in the value of the underlying security, and
are recorded for financial statement purposes as unrealized gains or losses by
the Portfolio.
Futures contracts involve certain risks. These risks could include a lack of
correlation between the futures contract and the corresponding securities
market, a potential lack of liquidity in the secondary market and incorrect
assessments of market trends which may result in poorer overall performance than
if a futures contract had not been entered into.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
I. FEDERAL INCOME TAXES
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
J. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank A.G. Under this agreement, Bankers Trust provides administrative,
custody, transfer agency and shareholder services to the Portfolio in return for
a fee computed daily and paid monthly at an annual rate of .05% of the
Portfolio's average daily net assets.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .70% of the Portfolio's average daily net assets,
less advisor fees paid for the pro rata amount due to investment in the
Institutional Cash Management Fund.
Bankers Trust has contractually agreed to waive its fees through January 31,
2010 and reimburse expenses of the Portfolio, to the extent necessary, to limit
all expenses to .35% of the average daily net assets of the Portfolio.
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust Company. The Cash Management Fund is offered as a cash management option
to the Portfolio and other accounts managed by Bankers Trust. Distributions from
the Cash Management Fund to the Portfolio for the six months ended March 31,
2000 amounted to $290,703, and are included in dividend income.
At March 31, 2000, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee on the average daily amount of the
available commitment is payable on a quarterly basis and apportioned among all
participants, based on net assets. No amounts were drawn down or outstanding for
this Portfolio under the credit facility for the six months ended March 31,
2000. Subsequent to March 31, 2000,
--------------------------------------------------------------------------------
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PreservationPlus Income Portfolio
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
the revolving credit facility was renewed and increased to $200,000,000, which
expires April 27, 2001.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 2000, were
$78,269,296 and $0, respectively.
For federal income tax purposes, the tax basis of investments held at March 31,
2000, was $147,572,245. The aggregate gross unrealized appreciation was
$298,265, and the aggregate gross unrealized depreciation for all investments
was $1,193,001 as of March 31, 2000.
NOTE 4--WRAPPER AGREEMENTS
The Portfolio will enter into Wrapper Agreements with insurance companies, banks
or other financial institutions ("Wrapper Providers") that are rated, at the
time of purchase, in one of the top two long-term rating categories by Moody's
or S&P. A wrapper agreement is a derivative instrument that is designed to
protect the portfolio from investment losses and under most circumstances permit
the Fund to maintain a constant NAV per share. There is no active trading market
for Wrapper Agreements, and none is expected to develop; therefore, they are
considered illiquid.
A default by the issuer of a Portfolio Security or a Wrapper Provider on its
obligations may result in a decrease in the value of the Portfolio assets. The
Wrapper Agreements generally do not protect the Portfolio from loss if an issuer
of Portfolio Securities defaults on payments of interest or principal.
Additionally, a Fund shareholder may realize more or less than the actual
investment return on the Portfolio Securities depending upon the timing of the
shareholder's purchases and redemption of Shares, as well as those of other
shareholders.
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PreservationPlus Income Portfolio
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 5--FUTURES CONTRACTS
A summary of obligations under these financial instruments at March 31, 2000 is
as follows:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
TYPES OF FUTURES EXPIRATION CONTRACTS POSITION MARKET VALUE (DEPRECIATION)
----------------- ------------- ------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
U.S. 10 Year Note Futures June 22, 2000 82 Long $ 8,042,396 $ 207,007
U.S. 5 Year Note Futures June 22, 2000 76 Long 7,486,000 92,283
S&P/Toronto Stock Exchange
60 Index Futures June 16, 2000 53 Long 4,224,214 111,815
Euro Bond Futures June 09, 2000 21 Long 2,114,887 22,474
Dax Index Futures June 19, 2000 15 Long 2,724,687 28,836
U.S. Long Bond Futures June 22, 2000 10 Long 976,870 32,768
Tokyo Price Index Futures June 09, 2000 9 Long 1,495,906 98,733
SPI Futures July 04, 2000 3 Long 144,791 1,000
Long Gilt Futures June 29, 2000 2 Long 361,618 1,247
FTSE 100 Index Futures June 19, 2000 (1) Short (105,139) 113
Japan 10 Year Bond Futures June 12, 2000 (1) Short (1,281,926) (242)
Amsterdam Information
Technology Futures June 17, 2000 (14) Short (1,910,101) (8,141)
S&P 500 Index Futures June 16, 2000 (16) Short (6,061,200) (521,796)
CAC 40 Euro Index Futures June 30, 2000 (31) Short (1,857,903) (20,705)
U.S. 10 Year Note Futures June 22, 2000 (39) Short (3,825,042) (74,035)
Canadian 10 Year Bond Futures June 22, 2000 (72) Short (4,945,780) (47,616)
U.S. 5 Year Note Futures June 22, 2000 (76) Short (7,486,000) (66,842)
--------------------------- ---- ----------- ---------
Total 21 $ 98,278 $(143,101)
==== ==== =========== =========
</TABLE>
NOTE 6--FORWARD FOREIGN CURRENCY CONTRACTS
As of March 31, 2000, the PreservationPlus Income Portfolio had the following
open forward foreign currency contracts:
<TABLE>
<CAPTION>
NET UNREALIZED
VALUE APPRECIATION
CONTRACTS IN EXCHANGE FOR SETTLEMENT DATE (US$) (DEPRECIATION) (US$)
-----------------------------------------------------------------------------------------------------------------
SALES
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian Dollar 383,000 U.S. Dollars 233,396 4/6/00 $232,814 $ 5,582
Australian Dollar 1,350,000 U.S. Dollars 828,158 4/6/00 820,625 7,533
Canadian Dollar 259,000 U.S. Dollars 178,242 4/5/00 178,658 (416)
Canadian Dollar 918,000 U.S. Dollars 626,142 4/5/00 633,233 (7,091)
-----------------------------------------------------------------------------------------------------------------
Total Sales 608
PURCHASES
Euro 23,000 U.S. Dollars 22,299 4/6/00 $121,986 (313)
Euro 82,000 U.S. Dollars 79,621 4/6/00 78,386 (1,235)
British Pound 33,000 U.S. Dollars 52,109 4/6/00 52,566 457
British Pound 117,000 U.S. Dollars 183,975 4/6/00 186,369 2,394
-----------------------------------------------------------------------------------------------------------------
Total Purchases 1,303
-----------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation $ 1,911
-----------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE 7--PORTFOLIO NAME CHANGE
On January 31, 2000, the Portfolio changed its name from BT PreservationPlus
Income Portfolio to PreservationPlus Income Portfolio.
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22
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<PAGE>
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at:
DEUTSCHE ASSET MANAGEMENT SERVICE CENTER
P.O. BOX 219210
KANSAS CITY, MO 64121-9210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.
PreservationPlus Income CUSIP #055922660
BT INVESTMENT FUNDS 1722SA (03/00)
Distributed by:
ICC Distributors, Inc.
