Deutsche Asset Management
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Mutual Fund
Semi-Annual Report
June 30, 2000
Premier Class
U.S. Bond Index
Formerly BT Advisor U.S. Bond Index Fund -- Institutional Class
A Member of the
Deutsche Bank Group
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U.S. Bond Index -- Premier Class
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TABLE OF CONTENTS
LETTER TO SHAREHOLDERS ..................................... 3
U.S. BOND INDEX -- PREMIER CLASS
Statement of Assets and Liabilities ...................... 6
Statement of Operations .................................. 7
Statements of Changes in Net Assets ...................... 8
Financial Highlights ..................................... 9
Notes to Financial Statements ............................ 10
U.S. BOND INDEX PORTFOLIO
Schedule of Portfolio Investments ........................ 12
Statement of Assets and Liabilities ...................... 18
Statement of Operations .................................. 19
Statements of Changes in Net Assets ...................... 20
Financial Highlights ..................................... 21
Notes to Financial Statements ............................ 22
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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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U.S. Bond Index -- Premier Class
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LETTER TO SHAREHOLDERS
We are pleased to present you with this semi-annual report for U.S. Bond Index
-- Premier Class (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.
With the acquisition of Bankers Trust by Deutsche Bank, the name of your Fund
has changed to U.S. Bond Index -- Premier Class. However, the Fund's investment
objectives, policies and strategies, as well as its portfolio manager, remain
the same.
MARKET ACTIVITY
In contrast to the weak performance of 1999, the U.S. bond markets overall
performed strongly during the first half of 2000. The Lehman Brothers Aggregate
Bond Index produced a positive 3.99% return for the six months ended June 30,
2000. Yields on two-year Treasury notes rose 0.12% to 6.36% on June 30, 2000,
but Treasuries along the rest of the yield curve rallied. Specifically, over the
six months ended June 30, 2000, 5-year Treasury yields fell 0.12% to 6.18%,
10-year Treasury yields declined 0.41% to 6.03%, and 30-year Treasury bond
yields dropped 0.58% to 5.89%. On an annualized basis, Treasuries are shaping up
to have their best yearly return since 1995. This strong performance was
especially notable in light of the many complexities facing the U.S. bond
markets during the semi-annual period.
IN AN ATTEMPT TO QUELL RISING INFLATION AND UNSUSTAINABLE STRONG GDP GROWTH, THE
FEDERAL RESERVE BOARD RAISED INTEREST RATES BY 1.00% DURING THE FIRST HALF OF
2000.
o Continuing their gradual approach from the second half of 1999, the Federal
Reserve Board began 2000 by raising the targeted federal funds rate by 0.25%
at both their February 2 and March 21 meetings.
o Then, stronger economic numbers in April led policymakers to believe that
inflation was accelerating and the economy not slowing, prompting the Federal
Reserve Board to take a more aggressive stance by raising interest rates by
0.50% on May 16.
o At its June meeting, the Federal Reserve Board refrained from raising interest
rates, as preliminary signs of a moderating U.S. economy emerged. However, the
Federal Reserve Board reiterated that core inflation was rising and warned
that such a neutral stance was "tentative and preliminary."
o At June 30, 2000, the targeted federal funds rate stood at 6.50%.
IN RESPONSE TO AN AGGRESSIVE FEDERAL RESERVE BOARD, A DIMINISHING SUPPLY OF
LONGER-DATED TREASURIES, AND THE U.S. TREASURY'S DEBT BUYBACK PROGRAM, THE
TREASURY YIELD CURVE BECAME SIGNIFICANTLY INVERTED FOR THE FIRST TIME SINCE
1990.
o The U.S. Treasury commenced its buyback program, whereby the U.S. Treasury
would buy back its own 30-year issues with budget surplus monies, beginning in
mid-March, and continued it through the semi-annual period. By June 30, 2000,
the Treasury had purchased $15 billion of outstanding debt, on schedule to
meet its previously announced $30 billion target for the year.
o This, along with the U.S. Treasury's announcement that it would reduce the
number of auctions held, resulted in less supply and an even greater perceived
scarcity value.
o The longer end of the U.S. Treasury market also benefited from high volatility
within the global equity markets.
o By early March 2000, 30-year, 10-year and 5-year Treasury yields were all
lower than 2-year yields.
o During the semi-annual period, the 2 to 30 year Treasury yield curve inverted
by as much as 0.76%, and at June 30, the yield curve was inverted by 0.46%.
OVERALL, ON A DURATION-ADJUSTED BASIS, U.S. TREASURIES OUTPERFORMED ALL FIXED
INCOME SECTORS IN THE LEHMAN AGGREGATE BOND INDEX FOR THE SEMI-ANNUAL PERIOD,
PRIMARILY AS A RESULT OF THE INVERTED YIELD CURVE AND THE UNCERTAINTY
SURROUNDING THE LENGTH AND EXTENT OF THE FEDERAL RESERVE BOARD'S TIGHTENING
CAMPAIGN.
o U.S. Treasuries had a six-month nominal return of 5.37%.
o Investment grade corporate bonds yielded an average 1.92% over 10-year U.S.
Treasuries on June 30, 2000, as compared to 1.27% at the end of 1999. For the
period, corporates returned 2.68% nominally, underperforming comparable
duration Treasuries by 2.65%.
o In contrast to 1999, higher quality corporate credits significantly
outperformed lower quality credits, as investors sought the relative safety of
these higher quality securities.
o The mortgage-backed sector returned 3.66% nominally, underperforming U.S.
Treasuries by 0.51% on a relative basis.
o Asset-backed securities returned 3.32% nominally, underperforming U.S.
Treasuries by 0.26% on a relative basis.
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U.S. Bond Index -- Premier Class
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LETTER TO SHAREHOLDERS
The Fund's benchmark, the Lehman Brothers Aggregate Bond Index 2, is a broad
market-weighted index, which encompasses U.S. Treasury and agency securities,
corporate investment grade bonds, international (dollar-denominated) investment
grade bonds, and mortgage-backed securities, with maturities greater than one
year.
MANAGER OUTLOOK
As the second half of 2000 begins, signs point to a continuation of the first
half's strong performance for the U.S. bond markets. In our view, the Federal
Reserve Board may be close to the end of their tightening campaign, as recent
economic data point to a moderate slowing in the U.S. economy. While there may
be another 0.25% interest rate hike, a "soft landing" psychology is beginning to
take hold in the financial markets. Budget surplus and Treasury buyback
forecasts for 2001 will likely mount over the second half. In turn, barring the
onset of a recession or a dramatic increase in inflation, we expect the U.S.
Treasury yield curve to remain inverted through the rest of 2000. Furthermore,
the "spread sectors"--i.e. the corporate, mortgage, and asset-backed
sectors--should perform better during the second half of the year, as we expect
them to cyclically revert back toward their historical return averages.
PORTFOLIO DIVERSIFICATION
By Sector as of June 30, 2000
(percentages are based on market value of total investments in the Portfolio)
U.S. Government & Agency ..................... 39%
U.S. Treasury Securities ..................... 29
Industrial ................................... 9
Cash & Other Assets .......................... 6
Financial .................................... 5
Foreign Finance .............................. 3
Medium-Term Notes ............................ 3
Utility ...................................... 2
Foreign Government ........................... 2
Asset Backed Securities ...................... 1
Collateralized Mortgage Obligations .......... 1
INVESTMENT REVIEW
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
Periods ended Past 6 Past 1 Since Past 1 Since
June 30, 2000 months year inception year inception
U.S. Bond Index 1
Premier Class Shares
(inception 6/30/97) 4.00% 4.55% 18.96% 4.55% 5.96%
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Lehman Brothers Aggregate
Bond Index 2 3.99% 4.56% 19.22% 4.56% 6.04%
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Lipper Corporate Debt
BBB-Rated
Funds Average 3 2.24% 2.29% 13.35% 2.29% 4.24%
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1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. Performance figures assume
the reinvestment of dividend and capital gain distributions. During the period
the Fund waived certain fees and expenses. Had these fees and expenses not
been waived, the Fund `s return would have been lower. There is no guarantee
that the Fund will be able to mirror the Lehman Brother Aggregate Bond Index
closely enough to track its performance.
2 Lehman Brothers AggregateBond Index is unmanaged and represents U.S. domestic
taxable investment-grade bonds including U.S. Treasuries, agencies, corporate,
mortgage-backed securities with an average maturity and duration in the
intermediate range. Index returns do not reflect expenses, which have been
deducted from the Fund's return.
3 Lipper figures represent the average of the total returns, reported by all of
the mutual funds designated by Lipper Inc. as falling into the respective
category indicated. These figures do not reflect sales charges.
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U.S. Bond Index -- Premier Class
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LETTER TO SHAREHOLDERS
As an index fund, we seek to replicate as closely as possible (before deduction
of expenses) the investment performance of the Lehman Brothers Aggregate Bond
Index, we neither evaluate short-term fluctuations in the Fund's performance nor
manage according to a given outlook for the bond markets or the economy in
general. Still, we will continue monitoring economic conditions and how they
affect the financial markets, as we seek to closely track the performance of the
broad U.S. bond market.
We appreciate your support of the U.S. Bond Index -- Premier Class and look
forward to continuing to serve your investment needs for many years ahead.
/S/ SIGNATURE LOUIS R. D'ARIENZO
Louis R. D'Arienzo
Portfolio Manager of
U.S. BOND INDEX PORTFOLIO
June 30, 2000
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PERFORMANCE COMPARISON
U.S. BOND INDEX -- PREMIER CLASS AND
LEHMAN BROTHERS AGGREGATE BOND INDEX
GROWTH OF A $10,000 INVESTMENT (SINCE JUNE 30, 1997)
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
U.S. Bond Index Fund Lehman Brothers Aggregate Bond Index
6/97 10,000 10,000
12/97 10,652 10,636
6/98 11,072 11,054
12/98 11,588 11,560
6/99 11,379 11,402
12/99 11,437 11,456
6/00 11,896 11,922
Average Annual Total Return for the Periods Ended June 30, 2000
One Year 4.55% Since 6/30/971 5.96%
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1 The Fund's inception date.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. 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
dividend and capital gain distributions. During the period the Fund waived
certain fees and expenses.
Lehman Brothers AggregateBond Index is unmanaged and represents U.S. domestic
taxable investment-grade bonds including U.S. Treasuries, agencies, corporate,
mortgage-backed securities with an average maturity and duration in the
intermediate range.
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U.S. Bond Index -- Premier Class
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STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investment in U.S. Bond Index Portfolio, at Value ........ $ 100,345,888
Receivable for Shares of Beneficial Interest
Subscribed ............................................ 3,524,170
Due from Bankers Trust ................................... 6,984
Prepaid Expenses and Other ............................... 34,978
-------------
Total Assets ................................................ 103,912,020
-------------
LIABILITIES
Payable for Shares of Beneficial Interest Redeemed ....... 4,679,446
Dividends Payable ........................................ 32,329
Accrued Expenses ......................................... 23,012
-------------
Total Liabilities ........................................... 4,734,787
-------------
NET ASSETS .................................................. $ 99,177,233
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COMPOSITION OF NET ASSETS
Paid-in Capital .......................................... $ 101,369,635
Undistributed NetInvestment Income ....................... 28,146
Accumulated Net Realized Loss from
Investment Transactions ................................ (874,832)
Net Unrealized Depreciation on Investment ................ (1,345,716)
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NET ASSETS .................................................. $ 99,177,233
=============
SHARES OUTSTANDING ($0.001 par value per share,
unlimited number of shares of beneficial
interest authorized) ..................................... 10,080,198
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding) $ 9.84
==============
See Notes to Financial Statements.
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U.S. Bond Index -- Premier Class
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Income Allocated from U.S. Bond Index Portfolio, net ....... $3,075,214
----------
EXPENSES
Administration and Services Fees ........................... 97,656
Registration Fees .......................................... 21,006
Professional Fees .......................................... 12,918
Printing and Shareholder Reports ........................... 8,730
Trustees Fees .............................................. 3,506
Miscellaneous .............................................. 1,781
----------
Total Expenses ................................................ 145,597
Less: Fee Waivers or Expense Reimbursements ................... (121,249)
----------
Net Expenses .................................................. 24,348
----------
NET INVESTMENT INCOME ......................................... 3,050,866
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss from Investment Transactions ............. (301,599)
Net Change in Unrealized Appreciation/Depreciation
of Investment ........................................... 1,147,794
----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENT ................ 846,195
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS .................... $3,897,061
==========
See Notes to Financial Statements.
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U.S. Bond Index -- Premier Class
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STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ..................... $ 3,050,866 $ 3,602,090
Net Realized Loss from Investment
Transactions ............................ (301,599) (569,891)
Net Change in Unrealized
Appreciation/Depreciation
on Investment ........................... 1,147,794 (3,268,117)
------------ ------------
Net Increase (Decrease) in Net Assets
from Operations ............................ 3,897,061 (235,918)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ..................... (3,050,866) (3,602,090)
------------ ------------
Total Distributions .......................... (3,050,866) (3,602,090)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from Sales of Shares ............. 16,200,820 71,404,613
Dividend Reinvestments .................... 3,233,961 3,209,245
Cost of Shares Redeemed ................... (13,761,090) (17,908,628)
------------ ------------
Net Increase from Capital Transactions
in Shares of Beneficial Interest .......... 5,673,691 56,705,230
------------ ------------
TOTAL INCREASE IN NET ASSETS ................. 6,519,886 52,867,222
NET ASSETS
Beginning of Period ....................... 92,657,347 39,790,125
------------ ------------
End of Period (includes undistributed
net investment income of $28,146 and
$28,147, respectively) .................. $ 99,177,233 $ 92,657,347
============ ============
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1 Unaudited.
See Notes to Financial Statements.
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U.S. Bond Index -- Premier Class
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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 U.S. Bond Index -- Premier Class.
<TABLE>
<CAPTION>
PREMIER CLASS SHARES 1 FOR THE
SIX MONTHS FOR THE PERIOD
ENDED FOR THE YEARS JUNE 30, 1997 3
JUNE 30, ENDED DECEMBER 31, THROUGH
2000 2 1999 1998 DEC. 31, 1997
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 9.76 $10.47 $10.29 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ........................... 0.30 0.57 0.59 0.33
Net Realized and Unrealized Gain (Loss)
on Investment Transactions .................... 0.08 (0.70) 0.29 0.32
------ ------ ------ ------
Total from Investment Operations ................... 0.38 (0.13) 0.88 0.65
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ........................... (0.30) (0.58) (0.61) (0.32)
Net Realized Gain from Investment
Transactions .................................. -- -- (0.09) (0.04)
------ ------ ------ ------
Total Distributions ................................ (0.30) (0.58) (0.70) (0.36)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD ..................... $ 9.84 $ 9.76 $10.47 $10.29
====== ====== ====== ======
TOTAL INVESTMENT RETURN ............................ 4.00% (1.30)% 8.78% 6.52%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period
(000s omitted) ................................ $99,177 $92,657 $39,790 $8,119
Ratios to Average Net Assets:
Net Investment Income ......................... 6.28%4 5.79% 5.70% 6.32%4
Expenses After Waivers,
Including Expenses of the
U.S. Bond Index Portfolio .................. 0.15%4 0.15% 0.15% 0.15%4
Expenses Before Waivers,
Including Expenses of the
U.S. Bond Index Portfolio .................. 0.56%4 0.56% 0.90% 0.86%4
<FN>
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1 On April 30, 2000, the Institutional Class was renamed the Premier Class.
2 Unaudited.
3 Commencement of operations.
4 Annualized.
</FN>
</TABLE>
See Notes to Financial Statements.
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U.S. Bond Index -- Premier Class
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NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Advisor 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 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. U.S. Bond Index -- Premier Class (the "Fund") is
one of the funds offered to investors by the Trust.
The Fund offers one class of shares to investors, the Premier Class. The Premier
Class began operations and offering shares of beneficial interest on June 30,
1997.
The Fund seeks to achieve its investment objective by investing all of its
investable assets in the U.S. Bond Index Portfolio, a series of BTInvestment
Portfolios (the "Portfolio"). The Portfolio 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, which was approximately 86% at June 30, 2000.
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. VALUATION OF SECURITIES
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the securities transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
D. DISTRIBUTIONS
It is the Fund's policy to declare dividends daily and pay them monthly to
shareholders from net investment income. Dividends and distributions 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 at least annually to the extent they exceed any capital loss
carryforwards.
E. 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 all of its
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 differences in the characterization and allocation of
certain income and capital gain distributions determined annually in accordance
with federal tax regulations which may differ from accounting principles
generally accepted in the United States.
F. 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 that 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
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U.S. Bond Index -- Premier Class
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NOTES TOFINANCIAL STATEMENTS (Unaudited)
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 .20% of the Fund's
average daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of the Fund through April 30, 2001, to the extent necessary, to limit the
expenses of the Fund to .05% of the average daily net assets of the Fund,
excluding expenses of the Portfolio, and .15% of the average daily net assets of
the Fund, including expenses of the Portfolio.
ICC Distributors, Inc. provides distribution services to the Fund.
NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At June 30, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
PREMIER CLASS SHARES 1
-----------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE YEAR ENDED
JUNE 30, 2000 DECEMBER 31, 1999
------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
Sold 1,657,702 $ 16,200,820 7,130,789 $ 71,404,613
Reinvested 331,521 3,233,961 321,587 3,209,245
Redeemed (1,405,879) (13,761,090) (1,754,698) (17,908,628)
---------- ------------ ---------- ------------
Net Increase 583,344 $ 5,673,691 5,697,678 $ 56,705,230
========== ============ ========== ============
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1 On April 30, 2000, the Institutional Class was renamed the Premier Class.
NOTE 4 -- CAPITAL LOSS CARRYFORWARD
At June 30, 2000, capital loss carryforward available as a reduction against
future net realized capital gains consisted of $246,297, which will expire in
2007.
NOTE 5 -- CLASS NAME CHANGE
On April 30, 2000, the Class changed its name from U.S. Bond Index Fund
Institutional Class to U.S. Bond Index -- Premier Class.
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U.S. Bond Index Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
CORPORATE DEBT
NON-CONVERTIBLE -- 16.5%
FINANCIAL -- 5.2%
Allstate Corp.,
$ 100,000 7.20%, 12/1/09 ............ $ 95,454
American General Finance,
225,000 7.25%, 5/15/05 ............ 221,520
Aristar, Inc.,
200,000 6.00%, 5/15/02 ............ 195,123
Associates Corp. NA,
250,000 6.75%, 7/15/01 ............ 248,757
Bank of America Corp.:
200,000 7.125%, 5/12/05 ........... 196,889
200,000 7.125%, 5/1/06 ............ 194,924
Bank of New York,
65,000 7.30%, 12/1/09 ............ 63,072
Bank One Corp.,
200,000 7.125%, 5/15/07 ........... 192,447
Bear Stearns Co., Inc.:
40,000 6.15%, 3/2/04 ............. 37,934
400,000 7.08%, 6/15/09 ............ 390,763
Chase Manhattan Corp.,
300,000 7.125%, 6/15/09 ........... 286,395
Chrysler Financial Co., LLC,
100,000 6.95%, 3/25/02 ............ 99,512
CIT Group, Inc.,
75,000 7.125%, 10/15/04 .......... 72,903
Citigroup, Inc.,
200,000 8.625%, 2/1/07 ............ 212,003
Countrywide Funding Corp.,
500,000 6.875%, 9/15/05 ........... 474,617
First Union Corp.,
100,000 7.50%, 7/15/06 ............ 98,037
Fleet Boston Corp.,
65,000 7.375%, 12/1/09 ........... 62,707
Ford Motor Credit Co.:
100,000 7.25%, 1/15/03 ............ 99,158
200,000 7.20%, 6/15/07 ............ 194,378
200,000 7.375%, 10/28/09 .......... 194,004
General Electric Capital Corp.,
500,000 8.125%, 4/1/08 ............ 520,764
Goldman Sachs Group, Inc.:
15,000 6.65%, 5/15/09 ............ 13,762
50,000 7.35%, 10/1/09 ............ 48,004
Heller Financial, Inc.,
30,000 6.00%, 3/19/04 ............ 28,123
J.P. Morgan & Co., Inc.,
100,000 6.00%, 1/15/09 ............ 88,781
Keycorp,
100,000 7.50%, 6/15/06 ............ 98,435
PRINCIPAL
AMOUNT SECURITY VALUE
Lehman Brothers Holdings, Inc.:
$ 10,000 7.00%, 5/15/03 ............. $ 9,767
100,000 6.625%, 4/1/04 ............ 95,530
50,000 7.75%, 1/15/05 ............ 49,572
50,000 8.25%, 6/15/07 ............ 50,109
150,000 7.875%, 11/1/09 ........... 145,903
MBIA, Inc.,
125,000 9.375%, 2/15/11 ........... 137,259
Merrill Lynch & Co.,
300,000 6.64%, 9/19/02 ............ 296,393
NationsBank Corp.,
100,000 6.50%, 3/15/06 ............ 94,718
Norwest Corp.,
200,000 6.75%, 6/15/07 ............ 191,406
Pitney Bowes CRD,
100,000 8.55%, 9/15/09 ............ 107,712
PNC Funding Corp.,
300,000 6.875%, 7/15/07 ........... 284,748
PP&L Capital Funding, Inc.,
25,000 8.375%, 6/15/07 ........... 25,060
Prologis Trust,
10,000 7.10%, 4/15/08 ............ 9,190
Spieker Properties LP,
10,000 6.80%, 5/1/04 ............. 9,591
U.S. Bancorp,
110,000 8.125%, 5/15/02 ........... 111,378
-----------
6,046,802
-----------
INDUSTRIAL -- 9.1%
AT&T Corp.:
100,000 6.00%, 3/15/09 ............ 89,309
35,000 6.50%, 3/15/29 ............ 29,398
Ahold Finance USA, Inc.,
10,000 6.25%, 5/1/09 ............. 8,939
Amoco Co.,
250,000 6.50%, 8/1/07 ............. 240,796
Campbell Soup Co.,
250,000 4.75%, 10/1/03 ............ 233,539
Case Corp.,
35,000 6.25%, 12/1/03 ............ 32,892
Chesapeake & Potomac Telephone,
200,000 7.125%, 1/15/02 ........... 199,314
Chevron Corp.,
100,000 6.625%, 10/1/04 ........... 98,841
Coca-Cola Enterprises,
500,000 8.50%, 2/1/22 ............. 530,252
Comcast Cable Communication,
100,000 6.20%, 11/15/08 ........... 90,243
Conagra, Inc.,
100,000 7.125%, 10/1/26 ........... 95,464
See Notes to Financial Statements
--------------------------------------------------------------------------------
12
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
Corning, Inc.,
$100,000 6.85%, 3/1/29 ............. $ 90,671
Cox Communications, Inc.,
10,000 6.15%, 8/1/03 ............. 9,500
Dana Corp.,
45,000 6.50%, 3/1/09 ............. 40,341
Dayton Hudson Corp.,
200,000 9.75%, 7/1/02 ............. 208,828
Delphi Auto Systems Corp.:
5,000 6.125%, 5/1/04 ............ 4,716
5,000 7.125%, 5/1/29 ............ 4,303
Delta Air Lines,
100,000 10.375%, 12/15/22 ......... 109,514
Dial Corp.,
10,000 6.50%, 9/15/08 ............ 9,134
Duke Capital Corp.,
150,000 7.50%, 10/1/09 ............ 147,824
E.I. duPont de Nemours:
400,000 8.125%, 3/15/04 ........... 412,813
150,000 6.875%, 10/15/09 .......... 146,125
Electronic Data Systems,
55,000 7.125%, 10/15/09 .......... 53,589
Federated Department Stores,
300,000 7.45%, 7/15/17 ............ 274,935
Ford Motor Co.:
200,000 8.875%, 1/15/22 ........... 214,948
100,000 6.625%, 10/1/28 ........... 84,657
500,000 7.75%, 6/15/43 ............ 472,830
IBM Corp.,
100,000 6.50%, 1/15/28 ............ 90,591
Gap, Inc.,
250,000 6.90%, 9/15/07 ............ 241,949
General Motors,
200,000 8.80%, 3/1/21 ............. 218,668
Goodyear Tire & Rubber,
50,000 8.50%, 3/15/07 ............ 51,361
GTE California, Inc.,
75,000 5.50%, 1/15/09 ............ 64,426
GTE North, Inc.,
100,000 5.65%, 11/15/08 ........... 86,997
GTE South, Inc.,
200,000 7.25%, 8/1/02 ............. 199,813
Hanson Overseas BV,
300,000 6.75%, 9/15/05 ............ 286,678
Hertz Corp.,
200,000 7.00%, 7/15/03 ............ 197,283
ICI Wilmington,
100,000 6.95%, 9/15/04 ............ 96,512
J. Seagram & Sons,
150,000 9.65%, 8/15/18 ............ 166,577
PRINCIPAL
AMOUNT SECURITY VALUE
John Deere Capital Corp.,
$ 35,000 6.00%, 2/15/09 ............ $ 30,701
Lockheed Martin Corp.,
200,000 7.25%, 5/15/06 ............ 194,299
Lucent Technologies:
100,000 5.50%, 11/15/08 ........... 89,254
50,000 6.45%, 3/15/29 ............ 44,294
Marriot International, Inc.
50,000 7.875%, 9/15/09 ........... 49,178
Mattel, Inc.,
250,000 6.125%, 7/15/05 ........... 221,938
McDonalds Corp.,
300,000 8.875%, 4/1/11 ............ 336,391
Merck & Co., Inc.,
500,000 6.40%, 3/1/28 ............. 451,920
Motorola, Inc.,
200,000 7.60%, 1/1/07 ............. 204,820
Nippon Telegraph & Telephone,
10,000 6.00%, 3/25/08 ............ 9,224
Norfolk Southern Corp.,
100,000 6.95%, 5/1/02 ............. 99,232
Potash Corp. Saskatchewan,
300,000 7.125%, 6/15/07 ........... 285,697
Proctor & Gamble Co.,
250,000 5.25%, 9/15/03 ............ 239,084
Raytheon Co.,
100,000 7.90%, 3/1/03 ............. 100,535
Republic Services, Inc.,
10,000 7.125%, 5/15/09 ........... 8,881
Safeway, Inc.:
30,000 6.05%, 11/15/03 ........... 28,645
40,000 7.50%, 9/15/09 ............ 39,218
Sears, Roebuck & Co.,
300,000 8.30%, 10/26/04 ........... 307,101
Sony Corp.,
100,000 6.125%, 3/4/03 ............ 97,610
Southwest Airlines Co.,
500,000 8.00%, 3/1/05 ............. 508,629
Southwestern Bell,
200,000 7.625%, 3/1/23 ............ 186,792
Sprint Capital Corp.,
100,000 6.50%, 11/15/01 ........... 98,858
TCI Communication,
100,000 7.125%, 2/15/28 ........... 90,981
Texaco Capital, Inc.,
100,000 8.50%, 2/15/03 ............ 102,878
Time Warner, Inc.,
100,000 6.625%, 5/15/29 ........... 84,337
Tosco Corp.,
50,000 7.625%, 5/15/06 ........... 49,488
See Notes to Financial Statements
--------------------------------------------------------------------------------
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U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
Union Pacific Corp.:
$ 80,000 6.40%, 2/1/06 ............. $ 75,057
16,000 6.79%, 11/9/07 ............ 14,974
United Technologies Corp.:
50,000 7.00%, 9/15/06 ............ 49,263
10,000 6.70%, 8/1/28 ............. 8,981
Viacom, Inc.:
30,000 6.875%, 9/1/03 ............ 29,562
30,000 7.75%, 6/1/05 ............. 30,239
Vodafone Airtouch PLC,
50,000 7.75%, 2/15/10 ............ 49,655
Wal Mart Stores, Inc.:
300,000 6.50%, 6/1/03 ............. 296,226
90,000 6.875%, 8/10/09 ........... 88,232
Walt Disney Co.:
100,000 6.375%, 3/30/01 ........... 99,766
100,000 6.75%, 3/30/06 ............ 97,997
Worldcom, Inc.,
150,000 6.40%, 8/15/05 ............ 142,333
-----------
10,576,840
-----------
UTILITY -- 2.2%
Baltimore Gas & Electric Co.,
300,000 8.375%, 8/15/01 ........... 303,566
Burlington Resources, Inc.
50,000 7.375%, 3/1/29 ............ 46,670
Columbia Energy Group,
100,000 7.62%, 11/28/25 ........... 92,085
Conoco, Inc.,
140,000 6.35%, 4/15/09 ............ 130,671
Consolidated Edison, Inc.
100,000 6.45%, 12/1/07 ............ 93,483
Consolidated Natural Gas Co.,
200,000 6.625%, 12/1/08 ........... 185,649
El Paso Energy Corp.,
75,000 6.75%, 5/15/09 ............ 69,995
National Rural Utilities
Cooperative Finance Corp.,
100,000 5.75%, 11/1/08 ............ 88,179
Niagara Mohawk Power,
50,000 7.75%, 10/1/08 ............ 48,816
Pacific Gas and Electric,
100,000 6.25%, 8/1/03 ............. 97,156
Potomac Electric Power,
100,000 6.25%, 10/15/07 ........... 95,475
Public Service Co. of Colorado,
100,000 6.00%, 4/15/03 ............ 96,860
Southern California Edison Co.,
200,000 6.375%, 1/15/06 ........... 190,606
South Carolina Electric & Gas,
20,000 7.50%, 6/15/05 ............ 20,036
U.S. West Communications,
500,000 6.875%, 9/15/33 ........... 426,668
PRINCIPAL
AMOUNT SECURITY VALUE
Virginia Electric and Power Co.,
$100,000 7.625%, 7/1/07 ............ $ 98,648
Wisconsin Electric Power Co.,
500,000 7.25%, 8/1/04 ............. 504,091
-----------
2,588,654
-----------
TOTAL CORPORATE DEBT NON-CONVERTIBLE
(Cost $20,329,416) ................... 19,212,296
-----------
ASSET-BACKED SECURITIES -- 1.3%
American Express Credit
Account Master Trust,
50,000 5.95%, 12/15/06 ........... 47,949
Chase Credit Card Master Trust,
100,000 6.66%, 1/15/07 ............ 98,160
Chemical Master Credit Card Trust I,
200,000 7.09%, 2/15/09 ............ 198,359
Citibank Credit Card Master Trust I,
250,000 6.65%, 11/15/06 ........... 244,531
First Union National Bank
Commercial Mortgage,
147,769 7.184%, 9/15/08 ........... 147,043
Fleet Credit Card Master Trust II,
40,000 6.90%, 4/16/07 ............ 39,614
MBNA Master Credit Card Trust:
100,000 6.40%, 1/18/05 ............ 98,702
150,000 6.60%, 4/16/07 ............ 146,879
50,000 5.90%, 8/15/11 ............ 45,739
100,000 7.00%, 2/15/12 ............ 98,339
Peco Energy Transition Trust:
50,000 6.05%, 3/1/09 ............. 46,721
50,000 6.13%, 3/1/09 ............. 46,124
West Penn Funding LLC
Transition Bonds,
250,000 6.98%, 12/26/08 ........... 244,266
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $1,534,721) .................... 1,502,426
-----------
FOREIGN DEBT -- 5.2%
FINANCE -- 3.0%
Abbey National, PLC,
50,000 6.69%, 10/17/05 ........... 47,998
ABN Amro Bank,
540,000 7.125%, 6/18/07 ........... 524,023
Asian Development Bank,
100,000 6.50%, 10/21/02 ........... 98,457
Barclays Bank PLC,
60,000 7.40%, 12/15/09 ........... 58,603
British Gas Finance,
100,000 6.625%, 6/1/18 ............ 89,943
Deutsche Ausgleichsbank,
25,000 6.50%, 9/15/04 ............ 24,635
See Notes to Financial Statements
--------------------------------------------------------------------------------
14
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U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
Deutsche Telekom
International Finance:
$ 200,000 7.75%, 6/15/05 ............ $ 201,610
150,000 8.00%, 6/15/10 ............ 151,521
Dresdner Bank-- New York,
40,000 6.625%, 9/15/05 ........... 38,145
HSBC Holding PLC,
100,000 7.50%, 7/15/09 ............ 98,380
Inter-American Development Bank:
50,000 6.125%, 10/4/02 ........... 49,192
100,000 7.00%, 6/16/03 ............ 99,917
100,000 6.50%, 10/20/04 ........... 98,092
300,000 6.625%, 3/7/07 ............ 293,390
1,500,000 6.375%, 10/22/07 .......... 1,440,068
Korea Development Bank,
75,000 7.125%, 4/22/04 ........... 72,591
National Westminister Bank,
50,000 7.375%, 10/1/09 ........... 48,668
Santander Financial Issuances,
20,000 7.00%, 4/1/06 ............. 19,271
Toyota Motor Credit,
30,000 5.50%, 12/15/08 ........... 26,444
-----------
3,480,948
-----------
FOREIGN GOVERNMENT -- 1.8%
Canada:
50,000 6.375%, 11/30/04 .......... 48,778
100,000 5.25%, 11/5/08 ............ 89,101
Hydro-Quebec,
100,000 8.40%, 1/15/22 ............ 106,034
Kingdom of Sweden,
220,000 12.00%, 2/1/10 ............ 291,251
Malaysia,
10,000 8.75%, 6/1/09 ............. 10,294
Province of Manitoba,
200,000 5.50%, 10/1/08 ............ 178,359
Province of Ontario,
100,000 7.375%, 1/27/03 ........... 100,511
Province of Quebec:
200,000 7.00%, 1/30/07 ............ 196,218
50,000 5.75%, 2/15/09 ............ 44,773
500,000 7.125%, 2/9/24 ............ 469,614
Republic of Chile,
10,000 6.875%, 4/28/09 ........... 9,255
Republic of Finland:
50,000 7.875%, 7/28/04 ........... 51,454
200,000 5.875%, 2/27/06 ........... 187,499
Republic of Ireland,
100,000 7.875%, 12/1/01 ........... 101,035
Republic of Korea,
50,000 8.875%, 4/15/08 ........... 51,938
PRINCIPAL
AMOUNT SECURITY VALUE
United Mexican States:
$ 40,000 8.625%, 3/12/08 ........... $ 38,700
140,000 9.875%, 2/1/10 ............ 146,300
Westdeutsche Landesbank New York,
40,000 6.05%, 1/15/09 ............ 35,757
-----------
2,156,871
-----------
INDUSTRIAL -- 0.4%
Amoco Canada,
100,000 7.25%, 12/1/02 ............ 100,338
Corp. Andina De Fomento,
10,000 7.75%, 3/1/04 ............. 9,908
DaimlerChrysler NA Holdings:
150,000 7.20%, 9/1/09 ............. 145,284
100,000 8.00%, 6/15/10 ............ 101,897
TYCO International Group SA,
70,000 5.875%, 11/1/04 ........... 65,146
-----------
422,573
-----------
TOTAL FOREIGN DEBT
(Cost $6,290,951) .................... 6,060,392
-----------
MEDIUM-TERM NOTES -- 3.0%
FNMA:
1,000,000 6.625%, 1/15/02 ........... 996,235
250,000 6.25%, 11/15/02 ........... 246,384
500,000 6.50%, 8/15/04 ............ 490,739
300,000 6.94%, 3/19/07 ............ 291,425
500,000 6.96%, 4/2/07 ............. 495,819
1,000,000 6.00%, 5/15/08 ............ 932,152
50,000 7.125%, 1/15/30 ........... 50,278
-----------
TOTAL MEDIUM-TERM NOTES
(Cost $3,623,694) .................... 3,503,032
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.7%
Bear Stearns Commercial
Mortgage Securities,
150,000 7.78%, 2/15/10 ............ 153,137
First Union Lehman Brothers--
Bank of America,
100,000 6.56%, 11/18/08 ........... 94,974
LB Commercial Conduit Mortgage Trust:
150,000 6.78%, 4/15/09 ............ 143,662
147,442 7.105%, 10/15/32 .......... 146,027
Morgan Stanley Capital I:
100,000 7.11%, 7/15/09 ............ 97,537
174,097 6.34%, 11/15/07 ........... 168,442
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $813,159) ...................... 803,779
-----------
See Notes to Financial Statements
--------------------------------------------------------------------------------
15
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U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
U.S. GOVERNMENT & AGENCY OBLIGATIONS -- 38.6%
FGLMC -- 1.7%
$ 253,477 7.50%, 5/1/24 ............. $ 251,781
883,500 7.00%, 12/1/24 ............ 860,268
363,971 7.00%, 12/1/26 ............ 352,752
264,124 7.50%, 5/1/27 ............. 261,772
130,149 7.00%, 6/1/27 ............. 126,114
133,690 7.50%, 7/1/27 ............. 132,363
-----------
1,985,050
-----------
FHLB -- 1.0%
250,000 5.875%, 9/17/01 ........... 247,053
1,000,000 5.125%, 9/15/03 ........... 948,549
-----------
1,195,602
-----------
FHLMC -- 3.8%
450,000 6.25%, 10/15/02 ........... 443,778
250,000 6.25%, 7/15/04 ............ 243,289
1,400,000 6.625%, 9/15/09 ........... 1,352,441
346,851 5.50%, 11/1/13 ............ 322,453
970,504 6.50%, 12/1/14 ............ 937,951
1,000,000 6.50%, 11/1/23 ............ 943,435
125,000 6.75%, 9/15/29 ............ 119,902
-----------
4,363,249
-----------
FNCL -- 9.6%
252,733 8.00%, 12/1/21 ............ 255,405
231,031 7.50%, 1/1/24 ............. 229,508
95,125 8.50%, 12/1/25 ............ 97,345
308,802 8.00%, 7/1/27 ............. 310,274
473,035 7.50%, 4/1/28 ............. 467,922
58,364 6.50%, 7/1/28 ............. 55,146
816,430 6.50%, 8/1/28 ............. 771,407
953,201 6.00%, 9/1/28 ............. 874,846
996,869 6.50%, 10/1/28 ............ 941,896
958,275 6.00%, 2/1/29 ............. 878,510
955,270 6.50%, 2/1/29 ............. 902,591
1,920,095 6.00%, 7/1/29 ............. 1,760,270
2,302,395 6.50%, 7/1/29 ............. 2,174,466
1,592,475 6.50%, 8/1/29 ............. 1,503,993
218 8.50%, 4/1/30 ............. 222
-----------
11,223,801
-----------
FNMA -- 13.0%
100,000 5.375%, 3/15/02 ........... 97,612
1,000,000 4.75%, 11/14/03 ........... 934,517
1,000,000 7.00%, 9/1/06 ............. 980,935
2,000,000 6.50%, 11/1/07 (TBA) ...... 1,928,120
1,000,000 6.00%, 4/1/08 (TBA) ....... 945,935
500,000 5.25%, 1/15/09 ............ 439,501
PRINCIPAL
AMOUNT SECURITY VALUE
$ 250,000 6.625%, 9/15/09 ........... $ 241,507
1,170,026 6.00%, 10/1/09 ............ 1,125,556
307,651 7.00%, 6/1/12 ............. 301,949
136,165 7.00%, 7/1/12 ............. 133,908
4,000,000 7.00%, 9/1/21 ............. 3,859,988
2,000,000 7.50%, 9/1/21 (TBA) ....... 1,970,620
1,000,000 8.00%, 9/1/21 (TBA) ....... 1,004,060
1,000,000 6.50%, 4/1/23 (TBA) ....... 942,497
200,000 8.50%, 7/1/25 (TBA) ....... 203,624
-----------
15,110,329
-----------
GNMA -- 8.3%
3,000,000 7.00%, 9/1/21 (TBA) ....... 2,916,555
1,000,000 7.50%, 9/1/21 (TBA) ....... 992,810
634,621 8.00%, 7/15/22 ............ 645,337
165,066 9.00%, 1/15/23 ............ 171,118
1,129,905 6.50%, 11/15/23 ........... 1,080,739
181,415 7.50%, 8/15/29 ............ 180,480
989,649 6.00%, 9/15/29 ............ 912,735
178,827 7.50%, 10/15/29 ........... 177,905
635,138 7.50%, 11/15/29 ........... 631,865
914,389 8.50%, 11/15/29 ........... 937,712
1,000,000 6.50%, 6/25/23 (TBA) ...... 948,747
-----------
9,596,003
-----------
OTHER -- 1.2%
FFCB,
1,000,000 5.58%, 9/11/03 ............ 956,870
Tennessee Valley Authority,
500,000 7.25%, 7/15/43 ............ 456,824
-----------
1,413,694
-----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $45,258,907) ................... 44,887,728
-----------
U.S. TREASURY SECURITIES -- 29.1%
U.S. TREASURY NOTES -- 19.8%
500,000 5.75%, 11/15/00 ........... 499,063
800,000 5.25%, 1/31/01 ............ 795,000
2,500,000 5.625%, 2/28/01 ........... 2,487,500
1,000,000 6.625%, 6/30/01 ........... 1,001,875
150,000 6.625%, 7/31/01 ........... 150,281
2,000,000 6.25%, 1/31/02 ............ 1,993,126
500,000 6.00%, 7/31/02 ............ 495,782
6,700,000 5.50%, 5/31/03 ............ 6,551,347
3,100,000 5.75%, 8/15/03 ............ 3,047,460
2,150,000 7.25%, 5/15/04 ............ 2,217,188
1,000,000 6.875%, 5/15/06 ........... 1,029,375
1,500,000 9.875%, 11/15/15 .......... 2,032,970
700,000 6.25%, 8/15/23 ............ 704,594
53,443 3.625%, 7/15/02 (TIPS) .... 53,109
-----------
23,058,670
-----------
See Notes to Financial Statements
--------------------------------------------------------------------------------
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--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS June 30, 2000 (Unaudited)
PRINCIPAL
AMOUNT SECURITY VALUE
U.S. TREASURY BONDS -- 9.3%
$1,000,000 9.375%, 2/15/06 ........... $ 915,600
540,000 9.25%, 2/15/16 ............ 699,807
800,000 8.875%, 8/15/17 ........... 1,017,750
2,800,000 8.75%, 8/15/20 ............ 3,592,758
600,000 8.00%, 11/15/21 ........... 724,313
800,000 7.25%, 8/15/22 ............ 897,750
550,000 7.625%, 11/15/22 .......... 642,469
500,000 6.875%, 8/15/25 ........... 543,750
200,000 6.50%, 11/15/26 ........... 208,688
1,037,000 6.625%, 2/15/27 ........... 1,099,868
450,000 6.375%, 8/15/27 ........... 462,939
-----------
10,805,692
-----------
TOTAL U.S. TREASURY SECURITIES
(Cost $33,898,827) ................... 33,864,362
-----------
SHARES SECURITY VALUE
SHORT-TERM
INSTRUMENT -- 15.2%
17,750,714 Cash Management Institutional
(Cost $17,750,714) ........ 17,750,714
-----------
TOTAL INVESTMENTS
(Cost $129,500,389) ........ 109.6% $127,584,729
LIABILITIES IN EXCESS OF
OTHER ASSETS ............... (9.6) (11,172,641)
----- ------------
NET ASSETS .................... 100.0% $116,412,088
===== ============
--------------------------------------------------------------------------------
Abbreviations
FFCB -- Federal Farm Credit Bank
FGLMC -- Federal Government Loan Mortgage Company
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Company
FNCL -- Fannie Mae Conventional Loan
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To Be Announced
TIPS -- Treasury Inflation Protected Security
See Notes to Financial Statements.
--------------------------------------------------------------------------------
17
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U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
JUNE 30, 2000
ASSETS
Investments at Value (Cost of $129,500,389) ............ $ 127,584,729
Receivable for Securities Sold ......................... 5,913,196
Interest Receivable .................................... 1,563,846
Due from Bankers Trust ................................. 10,432
-------------
Total Assets .............................................. 135,072,203
-------------
LIABILITIES
Payable for Securities Purchased ....................... 18,657,150
Accrued Expenses and Other ............................. 2,965
-------------
Total Liabilities ......................................... 18,660,115
-------------
NET ASSETS ................................................ $ 116,412,088
=============
COMPOSITION OF NET ASSETS
Paid-in Capital ........................................ $ 118,327,748
Net Unrealized Depreciation on Investments ............. (1,915,660)
-------------
NET ASSETS ................................................ $ 116,412,088
=============
See Notes to Financial Statements.
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U.S. Bond Index Portfolio
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STATEMENT OF OPERATIONS (Unaudited)
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
INVESTMENT INCOME
Dividends ................................................. $ 547,291
Interest .................................................. 3,124,441
-----------
Total Investment Income ...................................... 3,671,732
-----------
EXPENSES
Advisory Fees ............................................. 85,921
Administration and Services Fees .......................... 43,640
Professional Fees ......................................... 17,610
Trustees Fees ............................................. 2,656
Miscellaneous ............................................. 1,319
-----------
Total Expenses ............................................... 151,146
Less: Fee Waivers or Expense Reimbursements .................. (93,866)
-----------
Net Expenses ................................................. 57,280
-----------
NET INVESTMENT INCOME ........................................ 3,614,452
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Loss from Investment Transactions ............ (350,540)
Net Change in Unrealized Appreciation/Depreciation
on Investments ......................................... 1,362,593
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS .............. 1,012,053
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................... $ 4,626,505
===========
See Notes to Financial Statements.
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U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1 1999
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ..................... $ 3,614,452 $ 5,070,774
Net Realized Loss from Investment
Transactions ........................... (350,540) (694,632)
Net Change in Unrealized Appreciation/
Depreciation on Investments ............. 1,362,593 (4,875,488)
------------- -------------
Net Increase (Decrease) in Net Assets
from Operations ............................ 4,626,505 (499,346)
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ............ 18,777,986 83,089,901
Value of Capital Withdrawn ................ (17,061,224) (36,716,446)
------------- -------------
Net Increase in Net Assets from
Capital Transactions ...................... 1,716,762 46,373,455
------------- -------------
TOTAL INCREASE IN NET ASSETS ................. 6,343,267 45,874,109
NET ASSETS
Beginning of Period ....................... 110,068,821 64,194,712
------------- -------------
End of Period ............................. $ 116,412,088 $ 110,068,821
============= =============
--------------------------------------------------------------------------------
1 Unaudited.
See Notes to Financial Statements.
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20
<PAGE>
U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the U.S. Bond Index Portfolio.
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE PERIOD
ENDED FOR THE YEARS JUNE 10, 1997 1
JUNE 30, ENDED DECEMBER 31, THROUGH
2000 3 1999 1998 DECEMBER 31, 1997
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .... $116,412 $110,069 $64,195 $30,858
Ratios to Average Net Assets:
Net Investment Income ..................... 6.31%2 5.82% 6.02% 6.31%2
Expenses After Waivers .................... 0.10%2 0.10% 0.10% 0.10%2
Expenses Before Waivers ................... 0.26%2 0.22% 0.29% 0.28%2
Portfolio Turnover Rate ..................... 100% 224% 82% 79%
<FN>
--------------------------------------------------------------------------------
1 Commencement of operations.
2 Annualized.
3 Unaudited.
</FN>
</TABLE>
See Notes to Financial Statements.
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21
<PAGE>
U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The U.S. Bond Index Portfolio (the "Portfolio"), a series ofBTInvestment
Portfolios, is registered under the Investment Company Act of 1940 (the "Act"),
as amended, as an open-end management investment company. The Portfolio was
organized on July 1, 1996 as an unincorporated trust under the laws of New York,
and began operations on June 10, 1997. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.
B. VALUATION OF SECURITIES
The Portfolio's investments are valued each business day by independent pricing
services approved by the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost which, with accrued
interest, approximates fair market value. Securities for which quotations are
not readily available are stated at fair value as determined in good faith under
procedures established by and under the general supervision of the Board of
Trustees.
C. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities 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. Expenses are recorded as incurred.
Realized gains and losses from the securities transactions are recorded on the
identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the securities transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
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.
E. FEDERAL INCOME TAXES
The Portfolio is considered a Partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
F. OTHER
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 Portfolio has entered into an Administration and Services Agreement with the
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank AG. 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 .15% of the Portfolio's average daily net assets.
Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of the Portfolio through April 30, 2001, to the extent necessary, to limit all
expenses to .10% of the average daily net assets of the Portfolio.
The Portfolio may invest in Cash Management Institutional ("Cash Management"),
an open-end management investment company managed by Bankers Trust. Cash
Management is offered as a cash management option to the Portfolio and other
accounts managed by Bankers Trust. Distributions from Cash Management to the
Portfolio for the six months ended June 30, 2000 amounted to $547,291 and are
included in dividend income.
--------------------------------------------------------------------------------
22
<PAGE>
U.S. Bond Index Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
At June 30, 2000, the Portfolio was a participant with other affiliated entities
in a revolving credit facility in the amount of $200,000,000, which expires
April 27, 2001. 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 fund under the credit facility for the six months ended June 30, 2000.
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 June 30, 2000, were
$106,616,158 and $104,444,146, respectively.
For federal income tax purposes, the tax basis of investments held at June 30,
2000 was $129,500,389. The aggregate gross unrealized appreciation was $654,537
and aggregate gross unrealized depreciation for all investments was $2,570,197
as of June 30, 2000.
--------------------------------------------------------------------------------
23
<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.
Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management, Inc. and Deutsche Asset
Management Investment Services Limited.
U.S. Bond Index -- Premier Class CUSIP #05576L700
1711SA (06/00)
Distributed by:
ICC Distributors, Inc.
