<PAGE>
- BT PYRAMID MUTUAL FUNDS -
BT INVESTMENT LIMITED TERM
U.S. GOVERNMENT SECURITIES FUND
SEMI-ANNUAL REPORT
------------------
MARCH - 1997
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS. . . . . . . . . . . . . . . . . . . . . 3
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
Statement of Assets and Liabilities. . . . . . . . . . . . 5
Statement of Operations. . . . . . . . . . . . . . . . . . 5
Statement of Changes in Net Assets . . . . . . . . . . . . 6
Financial Highlights . . . . . . . . . . . . . . . . . . . 7
Notes to Financial Statements. . . . . . . . . . . . . . . 8
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
Schedule of Portfolio Investments. . . . . . . . . . . . . 9
Statement of Assets and Liabilities. . . . . . . . . . . . 9
Statement of Operations. . . . . . . . . . . . . . . . . . 9
Statement of Changes in Net Assets . . . . . . . . . . . .10
Financial Highlights . . . . . . . . . . . . . . . . . . .10
Notes to Financial Statements. . . . . . . . . . . . . . .11
2
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
We are pleased to present you with this semi-annual report for the BT Investment
Limited Term U.S. Government Securities Fund, providing a review of the market,
the portfolio, and our outlook as well as a complete financial summary of the
Fund's operations and a listing of the Portfolio's holdings.
The Limited Term U.S. Government Securities Fund (the "Fund") returned 2.31%*
for the six months ended March 31, 1997, as compared to 2.55% for the Lehman 1-3
Year Government Bond Index** and 2.25% for the Lipper Short/Intermediate U.S.
Government Funds Average+. Since its inception on August 24, 1992, the Fund has
returned 23.08% cumulatively, or 4.62% annualized. The Fund returned 4.52% for
the year ended March 31, 1997.
OBJECTIVE
Seeks high level of current income with the preservation of capital.
MARKET ACTIVITY
The rally that had begun in the third calendar quarter of 1996 continued through
the beginning of the fourth quarter, with the 5-year Treasury bond yield
dropping 0.25%. The 2-year U.S. Treasury Note rallied even longer--through mid-
February, as market participants adopted the view that the U.S. economy was
growing at a modest pace and inflation was benign. In late February and March,
however, a number of economic statistics signaled accelerating growth, and
investors began to anticipate an official rate increase by the Federal Reserve
Board at its March 25, 1997 meeting. In fact, the Federal Reserve Board did
tighten monetary policy at that meeting, raising the federal funds rates by
0.25% to 5.50%. As a result, the U.S. Treasury market overall continued to sell
off through March 31st, ending the first quarter of 1997 approximately 0.50%
higher than its opening levels.
More specifically, the 2-year yield reached its low of 5.76% for the period on
February 17, based largely on a lower than expected Producer Price Index. But
it retreated from there to close at a high yield of 6.42% on March 31st. From
the beginning to the end of the first calendar quarter, the rise in 2-year
yields was 0.54%, equal to the change in the 5-year Treasury, leaving the 2 to 5
year spread virtually unchanged from the Fund's September 30 fiscal year-end at
0.34%. Clearly, the whole short end of the yield curve had already priced in
some future interest rate tightening.
INVESTMENT REVIEW
The Fund closely tracked its benchmark and slightly outperformed its category
average for the semi-annual period. This competitive performance was primarily
due to our duration positioning and flexibility to adjust such positioning
quickly in light of changing market conditions. For example, the Fund began
the period neutral to the benchmark with a duration of 1.75 years. Given the
modest growth of the economy and our belief that the Federal Reserve Board would
not take action for a while, we then moved the Fund's average duration to longer
than the benchmark, reaching 1.86 years.
Then, in December and January, when most experts anticipated that the Federal
Reserve Board would raise rates, we shortened duration again to 1.50 years.
Given that this action did not take place then and given that our technical
statistics model indicated an opportunity to move slightly longer, we then moved
back to a neutral duration position in February. Finally, as economic growth
seemed to accelerate and an imminent move by the Federal Reserve Board seemed
almost certain, we shortened the Fund's duration relative to the Index in March,
ending the semi-annual period with a duration of 1.46 years.
MANAGER OUTLOOK
While the flattening of the yield curve would indicate that investors had
anticipated a modest rate increase by the Federal Reserve Board, we believe that
additional tightening will be further incorporated into the rate structure as we
move through the second quarter of 1997. This may be particularly evident if
there is a continuation of strong growth in the coming months, though it may be
moderated by tame inflation statistics.
INVESTMENT INSTRUMENTS
Direct obligations issued or guaranteed by the U.S. Government or its
agencies and instrumentalities, including repurchase agreements
collateralized by U.S. Government obligations. The average weighted
maturity of securities will range from two to five years.
Given this outlook, we intend to maintain our somewhat defensive posture with a
shorter-than-Index duration until there are clear indicators that the economy
has slowed down and that the Federal Reserve Board action is working. These
indicators would include among others, shrinking non-farm payrolls, increasing
unemployment figures, and decreasing retail sales.
We will, of course, continue monitoring economic conditions and how they affect
the financial markets, as we seek to provide high levels of current income with
the preservation of capital.
We value your ongoing support of theDiversification of Portfolio Investments BT
Investment Limited Term U.S. Government Securities Fund and look forward to
serving your investment needs in the years ahead.
/s/ Louis Hudson
Louis Hudson
Portfolio Manager of the
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
March 31, 1997
- ---------------
* Performance quoted represents past performance. 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.
** Indexes are unmanaged, and investments cannot be made in an index.
+ Lipper figures represent the average of the total returns reported by all
of the mutual funds designated by Lipper Analytical Services, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges.
3
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
DIVERSIFICATION OF PORTFOLIO INVESTMENTS
BY ASSET TYPE AS OF MARCH 31, 1997
(PERCENTAGES ARE BASED ON MARKET VALUE)
[CHART]
U.S. Treasury Notes 87%
Repurchase Agreements 13%
PERFORMANCE COMPARISON
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE BT INVESTMENT
LIMITED TERM U.S. GOVERNMENT SECURITIES FUND AND THE LEHMAN 1-3 YEAR GOVT. BOND
INDEX AS OF AUGUST 31, 1992.
TOTAL RETURN FOR THE PERIOD
ENDED MARCH 31, 1997
Six Months Since 8/24/92*
2.31% 23.08%
* The Fund's inception date.
Investment return and principal value may fluctuate so that shares,
when redeemed, may be worth more or less than their original cost.
[GRAPH]
BT Investment Limited
Term U.S. Govt. Lehman 1-3 Year Govt.
Securities Fund - $12,273 Bond Index - $12,559
Aug-92 10000 10000
Sep-92 10111 10094
Dec-92 10044 10115
Mar-93 10310 10333
Jun-93 10404 10448
Sep-93 10613 10592
Dec-93 10666 10659
Mar-94 10597 10607
Jun-94 10614 10607
Sep-94 10630 10714
Dec-94 10659 10714
Mar-95 10958 11070
Jun-95 11307 11421
Sep-95 11440 11591
Dec-95 11704 11876
Mar-96 11742 11921
Jun-96 11846 12046
Sep-96 11996 12247
Dec-96 12224 12479
Mar-97 12273 12559
Past performance is not indicative of future performance.
4
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in Short/Intermediate U.S. Government Securities Portfolio, at Value . . . . . . . . . . . . . $51,177,410
Receivable for Shares of Beneficial Interest Subscribed . . . . . . . . . . . . . . . . . . . . . . . . . 15,927
Deferred Organization and Prepaid Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,494
-----------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,207,831
-----------
LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,445
Payable for Shares of Beneficial Interest Redeemed. . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000
Dividends Payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,563
Accrued Expenses and Other. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,543
-----------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,551
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $51,166,280
-----------
-----------
COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $51,596,022
Accumulated Net Realized Loss from Investment Transactions. . . . . . . . . . . . . . . . . . . . . . . . (385,027)
Net Unrealized Depreciation on Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (44,715)
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $51,166,280
-----------
-----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE (NET ASSETS DIVIDED BY SHARES OUTSTANDING). . . . . . $ 9.76
-----------
-----------
SHARES OUTSTANDING ($0.001 PAR VALUE PER SHARE, UNLIMITED NUMBER OF SHARES OF BENEFICIAL INTEREST AUTHORIZED). 5,240,683
-----------
-----------
</TABLE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Allocated from Short/Intermediate U.S. Government Securities Portfolio, net. . . . . . . . . . . . $ 1,456,556
-----------
EXPENSES
Administration and Services Fees. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,535
Registration Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,108
Printing and Shareholder Reports. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,501
Professional Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,233
Trustees Fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,952
Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,794
-----------
Total Expenses. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108,123
Less Expenses Absorbed by Bankers Trust . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (31,588)
-----------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76,535
-----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,380,021
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investment Transactions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108,075
Net Change in Unrealized Depreciation on Investments. . . . . . . . . . . . . . . . . . . . . . . . . . . (311,110)
-----------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (203,035)
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,176,986
-----------
-----------
</TABLE>
See Notes to Financial Statements on Page 8
5
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED JANUARY 1, 1996 TO
MARCH 31, 1997+ SEPTEMBER 30, 1996*
---------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,380,021 $ 1,515,597
Net Realized Gain (Loss) from Investment Transactions . . . . . . . . . . . . . 108,075 (405,643)
Net Change in Unrealized Appreciation (Depreciation) on Investments . . . . . . (311,110) 23,331
----------- -----------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . 1,176,986 1,133,285
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,380,021) (1,515,597)
Net Realized Gain from Investment Transactions. . . . . . . . . . . . . . . . . -- (113,083)
----------- -----------
TOTAL DISTRIBUTIONS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,380,021) (1,628,680)
----------- -----------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 3)
Net Proceeds from Shares Issued in Merger Transactions. . . . . . . . . . . . . -- 26,715,127
Net Decrease from Capital Transactions in Shares of Beneficial Interest . . . . (367,348) (4,352,961)
----------- -----------
Net Increase (Decrease) from Capital Transactions in Shares of Beneficial Interest . (367,348) 22,362,166
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . . . (570,383) 21,866,771
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,736,663 29,869,892
----------- -----------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $51,166,280 $51,736,663
----------- -----------
----------- -----------
</TABLE>
- ---------------
+ Unaudited
* The Board of Trustees approved the change of the Fund's fiscal year end
from December 31 to September 30.
See Notes to Financial Statements on Page 8
6
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for the periods
indicated for the BT Investment Limited Term U.S. Government Securities Fund.
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE FOR THE PERIOD DECEMBER 31,
SIX MONTHS ENDED JANUARY 1, 1996 TO ---------------------------
MARCH 31, 1997+ SEPTEMBER 30, 1996* 1995 1994 1993
---------------- ------------------- ---- ---- ----
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . . . . $9.80 $9.96 $9.61 $10.06 $ 9.93
----- ----- ----- ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income. . . . . . . . . . . . . . . . 0.27 0.38 0.57 0.44 0.41
Net Realized and Unrealized Gain (Loss) on
Investment Transactions. . . . . . . . . . . . . . (0.04) (0.14) 0.35 (0.45) 0.20
----- ----- ----- ------ ------
Total Income (Loss) from Investment Operations . . . . 0.23 0.24 0.92 (0.01) 0.61
----- ----- ----- ------ ------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income. . . . . . . . . . . . . . . . (0.27) (0.38) (0.57) (0.44) (0.41)
Net Realized Gain from Investment Transactions . . . -- (0.02) -- -- (0.07)
----- ----- ----- ------ ------
Total Distributions. . . . . . . . . . . . . . . . . . (0.27) (0.40) (0.57) (0.44) (0.48)
----- ----- ----- ------ ------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . . . . $9.76 $9.80 $9.96 $ 9.61 $10.06
----- ----- ----- ------ ------
----- ----- ----- ------ ------
TOTAL INVESTMENT RETURN. . . . . . . . . . . . . . . . 2.31% 2.50% 9.81% (0.08)% 6.21%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . . $51,166 $51,737 $29,870 $31,302 $3,462
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 5.41%** 5.22%** 5.81% 4.69% 4.35%
Expenses, including Expenses of the Short/
Intermediate U.S. Government Securities
Portfolio . . . . . . . . . . . . . . . . . . . . 0.60%** 0.60%** 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust . . . . . . . . . . . . . . . . . . 0.17%** 0.40%** 0.24% 0.34% 1.43%
</TABLE>
- ---------------
+ Unaudited
* Board of Trustees approved the change of the Fund's fiscal year end from
December 31 to September 30.
** Annualized
See Notes to Financial Statements on Page 8
7
<PAGE>
- --------------------------------------------------------------------------------
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
BT Pyramid Mutual 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 February 28, 1992, as a business trust under
the laws of the Commonwealth of Massachusetts. The BT Investment Limited Term
U.S. Government Securities Fund (the "Fund") is one of the funds offered to
investors by the Trust. The Fund commenced operations and began offering shares
of beneficial interest on August 24, 1992. The Fund invests substantially all of
its assets in the Short/Intermediate U.S. Government Securities Portfolio (the
"Portfolio"). The Portfolio is an open-end management investment company
registered under the Act. The Fund seeks to achieve its investment objective by
investing all of its investable assets in the Portfolio. The value of such
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio. At March 31, 1997, the Fund's investment was 99.99%
of the Portfolio.
The financial statements of the Portfolio, including the Schedule of Portfolio
Investments, are contained elsewhere in this report.
B. 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 security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
C. ORGANIZATION EXPENSES
Costs incurred by the Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
D. DIVIDENDS
The Fund declares dividends daily and pays these dividends monthly from net
investment income. Dividends payable to shareholders are recorded by the Fund on
the ex-dividend date, which is the same as the declaration date. Distributions
of net realized short-term and long-term capital gains, if any, will be made
annually.
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 to distribute
substantially all of its taxable income to shareholders. Therefore, no federal
income tax provision is required.
F. OTHER
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to the Fund are charged to that Fund, while
expenses which are attributable to all of the Trust's funds are allocated among
them.
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.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this Administration and Services
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 0.30 of 1% of the Fund's average daily net assets.
For the six months ended March 31, 1997, this fee aggregated $76,535.
The Trust has entered into a Distribution Agreement with Edgewood Services, Inc.
("Edgewood"). Under the Distribution Agreement with the Trust, pursuant to Rule
12b-1 of the 1940 Act, Edgewood may seek reimbursement, at an annual rate not
exceeding 0.20 of 1% of the Fund's average daily net assets, for expenses
incurred in connection with any activities primarily intended to result in the
sale of the Fund's shares. For the six months ended March 31, 1997, there were
no reimbursable expenses incurred under this agreement.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Fund, to the extent necessary, to limit all expenses to 0.30 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio and
0.60 of 1% of the average daily net assets of the Fund, including expenses of
the Portfolio. For the six months ended March 31, 1997, expenses of the Fund
have been reduced by $31,588.
Certain trustees and officers of the Fund are also directors, officers and/or
employees of Edgewood. None of the trustees so affiliated received compensation
for services as trustee of the Fund. Similarly, none of the Fund's officers
received compensation from the Fund.
NOTE 3--SHARES OF BENEFICIAL INTEREST
At March 31, 1997, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED JANUARY 1, 1996 TO
MARCH 31, 1997 (UNAUDITED) SEPTEMBER 30, 1996
-------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold* 851,001 $ 8,375,772 3,817,849 $ 37,544,648
Reinvested 135,969 1,337,912 162,886 1,602,240
Redeemed (1,024,108) (10,081,032) (1,703,203) (16,784,722)
---------- ------------ ---------- ------------
Net Increase (Decrease) (37,138) $ (367,348) 2,277,532 $ 22,362,166
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
- ---------------
* On June 5, 1996, the BT Investment Limited Term U.S. Government Securities
Fund acquired the assets of BT Investment Short/Intermediate U.S.
Government Securities Fund in exchange for 2,720,481 shares of beneficial
interest at the net asset value of $9.82 per share amounting to
$26,715,127.
8
<PAGE>
- --------------------------------------------------------------------------------
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS MARCH 31, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Principal
Amount Description Value
----------- ----------- -----
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 88.26%
U.S. TREASURY NOTES - 88.26%
$ 6,460,000 6.25%, 6/30/98 . . . . . . . . . . . . . . . $ 6,464,046
10,430,000 6.00%, 9/30/98 . . . . . . . . . . . . . . . 10,385,946
11,150,000 5.75%, 12/31/98. . . . . . . . . . . . . . . 11,038,458
2,390,000 6.25%, 3/31/99 . . . . . . . . . . . . . . . 2,381,965
3,240,000 6.375%, 5/15/99. . . . . . . . . . . . . . . 3,233,411
1,000,000 7.125%, 9/30/99. . . . . . . . . . . . . . . 1,013,514
10,850,000 5.875%, 2/15/00. . . . . . . . . . . . . . . 10,649,994
-----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $45,524,312) . . . . . . . . . . . . . . . . . . . . . $45,167,334
-----------
SHORT TERM INSTRUMENT - 12.91%
REPURCHASE AGREEMENT - 12.91%
$6,608,965 Repurchase Agreement with Sanwa Bank,
Dated 3/31/97, 6.30%. Principal and
Interest in the Amount of $6,610,122,
due 4/1/97. (Collateralized by U.S.
Treasury STRIPS, Par Value $6,847,000,
5.63% due 5/15/05, Value of $6,615,055)
(Cost $6,608,965). . . . . . . . . . . . . . $ 6,608,965
-----------
TOTAL INVESTMENTS (COST $52,133,277) . . . . . . 101.17% $51,776,299
Liabilities in Excess of Other Assets. . . . . . 1.17% 598,763
------- -----------
NET ASSETS . . . . . . . . . . . . . . . . . . . 100.00% $51,177,536
------- -----------
------- -----------
STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Investments, at Value (Cost of $52,133,277, including
Repurchase Agreement amounting to $6,608,965) . . . . . . $51,776,299
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . 348,526
Interest Receivable. . . . . . . . . . . . . . . . . . . . 418,257
Prepaid Expenses and Other . . . . . . . . . . . . . . . . 13,414
-----------
Total Assets . . . . . . . . . . . . . . . . . . . . . . . . 52,556,496
-----------
LIABILITIES
Due to Bankers Trust . . . . . . . . . . . . . . . . . . . 8,824
Payable for Securities Purchased . . . . . . . . . . . . . 1,355,876
Accrued Expenses and Other . . . . . . . . . . . . . . . . 14,260
-----------
Total Liabilities. . . . . . . . . . . . . . . . . . . . . . 1,378,960
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $51,177,536
-----------
-----------
COMPOSITION OF NET ASSETS
Paid-in Capital. . . . . . . . . . . . . . . . . . . . . . $51,534,514
Net Unrealized Depreciation on Investments . . . . . . . . (356,978)
-----------
NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $51,177,536
-----------
-----------
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED MARCH 31, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,533,324
-----------
EXPENSES
Advisory Fees. . . . . . . . . . . . . . . . . . . . . . . 63,970
Administration and Services Fees . . . . . . . . . . . . . 12,794
Professional Fees. . . . . . . . . . . . . . . . . . . . . 11,550
Trustees Fees. . . . . . . . . . . . . . . . . . . . . . . 1,050
Miscellaneous. . . . . . . . . . . . . . . . . . . . . . . 223
-----------
Total Expenses . . . . . . . . . . . . . . . . . . . . . . 89,587
Less Expenses Absorbed by Bankers Trust. . . . . . . . . . (12,823)
-----------
Net Expenses . . . . . . . . . . . . . . . . . . . . . . 76,764
-----------
NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . 1,456,560
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investment Transactions . . . . . . 108,072
Net Change in Unrealized Depreciation on Investments . . . (311,111)
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS. . . . . . . (203,039)
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . $ 1,253,521
-----------
-----------
See Notes to Financial Statements on Page 11
9
<PAGE>
- --------------------------------------------------------------------------------
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
SIX MONTHS ENDED JANUARY 1, 1996 TO
MARCH 31, 1997+ SEPTEMBER 30, 1996*
---------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,456,560 $ 2,201,579
Net Realized Gain (Loss) from Investment Transactions . . . . . . . . . . . . . 108,072 (543,943)
Net Change in Unrealized Depreciation on Investments. . . . . . . . . . . . . . (311,111) (220,154)
------------ ------------
Net Increase in Net Assets from Operations . . . . . . . . . . . . . . . . . . . . . 1,253,521 1,437,482
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . . . . . . . . . . . . . 9,189,537 46,130,920
Value of Capital Withdrawn. . . . . . . . . . . . . . . . . . . . . . . . . . . (11,489,647) (50,522,190)
------------ ------------
Net Decrease in Net Assets from Capital Transactions . . . . . . . . . . . . . . . . (2,300,110) (4,391,270)
------------ ------------
TOTAL DECREASE IN NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,046,589) (2,953,788)
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52,224,125 55,177,913
------------ ------------
End of Period. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 51,177,536 $ 52,224,125
------------ ------------
------------ ------------
</TABLE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Short/Intermediate U.S. Government Securities
Portfolio.
<TABLE>
<CAPTION>
FOR THE YEAR ENDED
FOR THE FOR THE PERIOD DECEMBER 31,
SIX MONTHS ENDED JANUARY 1, 1996 TO ---------------------------
MARCH 31, 1997+ SEPTEMBER 30, 1996* 1995 1994 1993
---------------- ------------------- ---- ---- ----
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) . . . . . . $51,178 $52,224 $55,178 $47,721 $17,729
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . 5.69%** 5.46%** 6.09% 4.91% 4.25%
Expenses . . . . . . . . . . . . . . . . . . . . . 0.30%** 0.30%** 0.30% 0.30% 0.30%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust . . . . . . . . . . . . . . . . . . 0.05%** 0.05%** 0.05% 0.09% 0.25%
Portfolio Turnover Rate. . . . . . . . . . . . . . . 178% 314% 246% 202% 267%
</TABLE>
- ---------------
+ Unaudited
* Board of Trustees approved the change of the Portfolio's fiscal year end
from December 31 to September 30.
** Annualized
See Notes to Financial Statements on Page 11
10
<PAGE>
- --------------------------------------------------------------------------------
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The Short/Intermediate U.S. Government Securities Portfolio (the "Portfolio") 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
December 11, 1991 as an unincorporated trust under the laws of New York and
commenced operations on August 24, 1992. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.
B. SECURITY VALUATION
The Portfolio's investments are carried at fair market value as determined by an
independent pricing service at the end of each business day. Short term
obligations with remaining maturities of 60 days or less are valued at amortized
cost which, with accrued interest, approximates value. Securities for which
quotations are not 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. SECURITY TRANSACTIONS AND INVESTMENT 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 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. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to legal
proceedings.
E. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. 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.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
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 0.05 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1997, this fee aggregated
$12,794.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.25 of 1% of the
Portfolio's average daily net assets. For the six months ended March 31, 1997,
this fee aggregated $63,970.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio to the extent necessary, to limit all expenses to 0.30 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1997, expenses of the Portfolio have been reduced by $12,823.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments of long-
term U.S. Government obligations for the six months ended March 31, 1997 were
$81,186,085 and $81,456,662, respectively.
For federal income tax purposes, the tax basis of investments held at March 31,
1997 was $52,187,247. The aggregate gross unrealized depreciation for all
investments was $410,948.
11
<PAGE>
BT PYRAMID MUTUAL FUNDS
BT INVESTMENT LIMITED TERM U.S. GOVERNMENT SECURITIES
INVESTMENT ADVISER OF THE PORTFOLIO AND ADMINISTRATOR
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
--------
For information on how to invest, shareholder account information and
current price and yield information, please contact your relationship
manager or the BT Mutual Fund Service Center at (800) 730-1313.
--------
STA461100 (5/97)
