MARCH 31, 1999
[GRAPHIC] BT Mutual Funds
BT PreservationPlus Fund
Semi-Annual Report
TRUST: BT PYRAMID MUTUAL FUNDS
INVESTMENT ADVISOR: BANKERS TRUST COMPANY
<PAGE>
BT PreservationPlus Fund
Table of Contents
Letter to Shareholders ................................................ 3
BT PreservationPlus Fund
Statement of Assets and Liabilities ................................ 7
Statement of Operations ............................................ 8
Statements of Changes in Net Assets ................................ 9
Financial Highlights ............................................... 10
Notes to Financial Statements ...................................... 11
BT PreservationPlus Portfolio
Schedule of Portfolio Investments .................................. 13
Statement of Assets and Liabilities ................................ 15
Statement of Operations ............................................ 16
Statements of Changes in Net Assets ................................ 17
Financial Highlights ............................................... 17
Notes to Financial Statements ...................................... 18
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The Fund is not insured by the FDIC and is not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
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2
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BT PreservationPlus Fund
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the period ended
March 31, 1999 for the BT PreservationPlus Fund (the "Fund"). It provides a
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.
It is well worth noting that the BT PreservationPlus Fund is the first SEC
registered mutual fund specifically designed as an investment alternative to
traditional GIC commingled funds and other stable value products. The Fund is
open to investors in participant-directed employee benefit plans that meet
certain eligibility criteria, including corporate 401(k), public 457, and
not-for-profit 403(b) plans.
MARKET ACTIVITY
During the six months ending March 31, 1999, the U.S. bond market, with the
exception of U.S. Treasuries, rallied, as investors returned with confidence.
Yield spreads in the corporate, mortgage, and asset-backed sectors tightened
substantially with the return of liquidity to the fixed income markets and
volatility seemed to decline with the unwinding of the global crisis
environment. This relative outperformance made what are known as the "spread
sectors" even more attractive.
The U.S. Treasury sector's performance was impacted by reduced concerns over
international turmoil and increased investor demand for the higher yields
offered by other fixed income sectors. Specifically, over the six months, the
2-year Treasury bond yield rose 0.71% to 4.98%. The 5-year Treasury bond yield
rose even more, increasing 0.88% to 5.10%. This movement brought the
short-to-intermediate portion of the yield curve back to normalcy from the
inverted shape created by the tremendous flight to quality during the global
turmoil in the third calendar quarter of 1998. Thus, the 2 to 5 year spread
widened from -0.05% on September 30, 1998 to 0.12% on March 31, 1999. Longer
term interest rates also moved higher, with the 30-year Treasury bond yield
moving up approximately 0.70% to 5.68% over the six months.
The Treasury market actually returned -0.15% for the fourth calendar quarter of
1998, its first negative performance since the first quarter of 1997. The U.S.
Treasury Index was dragged down even further in the first quarter of 1999, with
the birth of the Euro currency, Brazilian devaluation, NATO military action in
the Balkans, and in the U.S., heavy merger activity and booming debt
origination.
In contrast, the corporate bond market produced strong relative performance, as
investors looked favorably upon several domestic and international events.
o Citing the prospective effects the global crisis could have on the U.S.
economy, the Federal Reserve Board stepped in by lowering interest rates in a
series of three rapid bursts of 0.25% each from September 29th through
November 17th.
o Interest rate cuts in a number of other countries also helped, as did better
coordination of International Monetary Fund policy moves to address Brazilian
economic woes and Japanese banking reform.
o New issuance was lower than expected.
The mortgage sector also rebounded as market sentiment toward the "spread
sectors" of the fixed income market improved.
o A drop in the MBA Refinancing Index from its record high in October 1998
implied subsiding refinancing worries and thus boosted the sector.
o Robust demand, particularly at the end of 1998, also contributed to this
sector's outperformance of U.S. Treasuries.
INVESTMENT REVIEW
Despite significant market volatility, the Fund met its objective of maintaining
a stable value per share and produced a high level of current income. The Fund's
NAV has stayed steady at $10 per share every day since inception.
The Fund is diversified across the major sectors of the investment grade fixed
income market. As of March 31, 1999, the portfolio is allocated 41% to corporate
bonds, 26% to mortgage-backed securities, 6% to U.S. Treasuries and 27% to cash
equivalents. This allocation of fixed income securities is intentionally
weighted towards the corporate, asset-backed and mortgage sectors, as these
sectors have historically offered a higher yield than U.S. government
securities. Additionally, the Fund has entered into Wrapper Agreements that are
intended to stabilize the value per share of the Fund.
The Fund is the first SEC registered mutual fund to make use of Wrapper
Agreements to seek to maintain principal stability in the face of fluctuations
in values due to changes in yields. To date, we have entered the Portfolio into
four Wrapper Agreements, each of which covers approximately one quarter of the
fixed income securities in the Portfolio covered by such Agreements. Generally
speaking, Wrapper Agreements are issued by insurance companies, banks and other
financial institutions. The Wrapper Agreements held by the Portfolio as of March
31, 1999 are issued by Bank of America NT&SA, National Westminster Bank PLC,
Credit Suisse Financial Products, and Transamerica Life Insurance & Annuity Co.
This continued to be a successful strategy for the Fund.
The Fund has maintained a high quality portfolio. The average credit quality of
the investments in the Fund at the end of the semi-annual period was AA+, as
measured by Standard & Poor's. The average quality of the issuers of the Wrapper
Agreements at that time was AA, as measured by Standard & Poor's. The Fund's
duration at March 31, 1999 stood at 3.0 years.
3
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BT PreservationPlus Fund
Letter to Shareholders
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<TABLE>
<CAPTION>
Periods ended March 31, 1999 (unaudited) Cumulative Total Returns Average Annual Total Returns
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Past 6 Past 1 Since Past 1 Since
months year inception(3) year inception(3)
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<S> <C> <C> <C> <C> <C>
BT PreservationPlus Fund Investment Class Shares(1)
(inception 10/1/97) 2.75% 5.67% 8.68% 5.67% 5.72%
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Lehman 1-3 Year Government/ Corporate Index(2) 1.52% 6.19% 9.51% 6.19% 6.24%
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Ryan Labs 5 Year GIC Index(2) 2.95% 6.09% 9.39% 6.09% 6.17%
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IBC First Tier Retail Money Fund Universe(2) 2.25% 4.79% 7.42% 4.79% 4.89%
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BT PreservationPlus Fund Institutional Class Shares(1)
(inception 12/14/97) 2.83% 5.83% 7.63% 5.83% 5.87%
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Lehman 1-3 Year Government/Corporate Index(2) 1.52% 6.19% 7.72% 6.19% 6.13%
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Ryan Labs 5 Year GIC Index(2) 2.95% 6.09% 7.71% 6.09% 6.14%
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IBC First Tier Retail Money
Fund Universe(2) 2.25% 4.79% 6.08% 4.79% 4.85%
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BT PreservationPlus Fund Institutional
Service Class Shares(1)
(inception 4/1/98) 2.75% -- 5.65% -- --
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Lehman 1-3 Year Government/Corporate Index(2) 1.52% -- 6.19% -- --
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Ryan Labs 5 Year GIC Index(2) 2.95% -- 6.09% -- --
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IBC First Tier Retail Money Fund Universe(2) 2.25% -- 4.79% -- --
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BT PreservationPlus Fund Service Class Shares(1)
(inception 9/23/98) 2.63% -- 2.74% -- --
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Lehman 1-3 Year Government/Corporate Index(2) 1.52% -- 1.52% -- --
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Ryan Labs 5 Year GIC Index(2) 2.95% -- 2.95% -- --
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IBC First Tier Retail Money Fund Universe(2) 2.25% -- 2.25% -- --
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</TABLE>
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(1) Performance quoted represents past performance. Investment return and
principal value may fluctuate, so that an investor's shares, when redeemed,
may be worth more or less than their original cost. The Fund seeks to
maintain a constant $10.00 share net asset value. The Fund is not a money
market fund, and there can be no assurance that it will be able to do so.
The Fund will hold fixed income securities, money market instruments,
futures, options, and other instruments, and contracts with financial
institutions, such as insurance companies and banks that are intended to
stabilize the value per share. The Fund is not insured by the FDIC and is
not a deposit, obligation of, or guaranteed by Bankers Trust Company. The
Fund is subject to investment risks, including possible loss of principal
amount invested.
(2) In addition to the IBC Money Fund Averages, we have selected two alternative
benchmarks, as indicated in our September 1998 Shareholder Letter. The
Lehman 1 to 3 Year Government/Corporate Index, our primary benchmark, is a
total return index consisting of all U.S. Government agency securities, U.S.
Government Treasury securities, and all investment grade corporate debt
securities with maturities of one to three years. We also compare our
performance to the Ryan Labs 5 Year GIC Index, a custom index consisting of
an arithmetic mean to 5 year GIC contract rates, assuming each contract is
held to full term. This index more closely reflects the market sector in
which the Fund invests. Indexes are unmanaged, and investments cannot be
made in an index. 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.
(3) The benchmarks for the Since Inception time periods are calculated from
September 30, 1997 for the Investment Class, from December 31, 1997 for the
Institutional Class, from March 31, 1998 for the Institutional Service
Class, and from September 30, 1998 for the Service Class comparisons.
4
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BT PreservationPlus Fund
Letter to Shareholders
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Diversification of Portfolio Investments
By Theme as of March 31, 1999
(percentages are based on market value)
In the printed version there appears a pie chart
depicting the following percentages:
Mortgage Backed 26%
Foreign Debt 1%
Utility 3%
Industrial 8%
U.S.Treasury 6%
Money Market
Mutual Fund 12%
Short-Term
U.S. Government 14%
Financial Services 30%
MANAGER OUTLOOK
We anticipate that despite softness in some key employment statistics toward the
end of the Fund's semi-annual period, the U.S. labor market and the U.S. economy
will remain strong. Consumer fundamentals remain favorable, consumer spending
shows no signs of slowing, and housing activity is still high. Indeed, even the
industrial sector, which has been the weak link in the U.S. economic juggernaut,
has begun to show signs of life. Further, we do not expect anything dramatic on
the inflation front soon. Given this scenario, we believe the Federal Reserve
Board is likely to stay on hold at least into the summer, keeping market
interest rates moving within a fairly narrow range.
Thus, for the near term, we expect yield spreads in the corporate, mortgage, and
asset-backed sectors to remain firm as technicals strengthen, high quality issue
supply slows, and economic storm clouds dissipate. We believe, in turn, that
these conditions should present us with attractive, though limited,
opportunities to invest new cash flows at higher yield spreads.
Over the longer-term horizon, we maintain our generally positive outlook on the
U.S. fixed income markets. More than ever, the U.S. economy and financial
markets serve as an engine for the rest of the world. To be sure, strong growth
and low inflation are helping the U.S. equity markets, but there are concerns.
First, rising commodity prices and some evidence of manufacturing price
pressures suggest some greater inflation down the road. Second, there is
palpable concern about narrowing corporate profit margins. Technical
uncertainties, such as those presented by Y2K concerns, as well as fundamental
anxieties over possible negative surprises from Japan/China and the ongoing
bullishness of the equity markets, are also calling for increased diligence and
vigilance over portfolio management. Given all of this, we believe that the
corporate, mortgage, and asset-backed sectors of the fixed income markets should
continue to be attractive investments and thus, that the PreservationPlus Fund
is well positioned.
We will maintain our long-term perspective for the Fund, monitoring economic
conditions and how they affect the financial markets, as we seek to provide a
high level of current income while seeking to maintain a stable value per share.
We value your support of the PreservationPlus Fund and look forward to serving
your investment needs in the years ahead.
/s/ Eric Kirsch
/s/ John Axtell /s/ Louis R. D'Arienzo
Eric Kirsch, John Axtell and Louis R. D'Arienzo
Portfolio Managers of the
PreservationPlus Portfolio
March 31, 1999
5
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BT PreservationPlus Fund
Performance Comparison
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Comparison of Change
in Value of a $10,000
Investment in the BT
PreservationPlus Fund
Investment Class, Lehman,
IBC and Ryan.
In the printed version there appears a line graph
with the following plot points depicted:
BT Lehman
PreservationPlus 1-3 Year IBC Ryan Labs
Fund Government/ First Tier 5 Year
Investment Corporate Market GIC
Class Index Universe Index
---------- ---------- ----------- ----------
Oct-97 10000 10000 10000 10000
Mar-98 10284 10313 10251 10250
Sep-98 10576 10787 10506 10625
Mar-99 10868 10951 10741.69 10939
Past performance is not indicative of future performance. The above graph
represents performance information of Investment Class Shares (the sole class of
shares prior to the other classes). Performance of the other classes will vary
based on differences in fees and expenses paid by shareholders investing in the
different classes. Performance figures assume the reinvestment of dividends and
capital gain distributions.
Average Annual Total Return for the Period Ended March 31, 1999
Inception Date Since Inception One Year
Investment Class 10/1/97 5.72% 5.67%
Institutional Class 12/14/97 5.87% 5.83%
Institutional Service Class 4/1/98 5.65% --
Service Class 9/23/98 2.74% --
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. Returns for less
than 1 year are not annualized.
6
<PAGE>
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BT PreservationPlus Fund
Statement of Assets and Liabilities March 31, 1999 (unaudited)
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<TABLE>
<S> <C>
Assets
Investment in PreservationPlus Portfolio, at Value ........................ $ 292,435,124
Receivable for Shares of Beneficial Interest Subscribed ................... 335,863
Prepaid Expenses and Other ................................................ 304,791
Due from Bankers Trust .................................................... 5,723
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Total Assets ................................................................. 293,081,501
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Liabilities
Payable for Shares of Beneficial Interest Redeemed ........................ 6,360
Dividend Payable .......................................................... 1,331,163
Accrued Expenses and Other ................................................ 107,540
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Total Liabilities ............................................................ 1,445,063
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Net Assets ................................................................... $ 291,636,438
=============
Composition of Net Assets
Paid-in Capital ........................................................... $ 292,900,686
Net Unrealized Depreciation on Investment ................................. (414,879)
Accumulated Net Realized Loss on Investment ............................... (577,342)
Unrealized Depreciation on Wrapper Agreements ............................. (272,027)
-------------
Net Assets ................................................................... $ 291,636,438
=============
Net Asset Value, Offering and Redemption Price Per Share (net assets divided by
shares outstanding) Shares Outstanding:
Investment Class Shares(1) ............................................. $ 10.00
Institutional Class Shares(2) .......................................... $ 10.00
Institutional Service Class Shares(3) .................................. $ 10.00
Service Class Shares(4) ................................................ $ 10.00
</TABLE>
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(1) Net asset value, offering and redemption price per share (based on net
assets of $18,655,153 and 1,865,515 shares of beneficial interest
outstanding; $.001 par value, unlimited number of shares of beneficial
interest authorized)
(2) Net asset value, offering and redemption price per share (based on net
assets of $182,411,742 and 18,241,174 shares of beneficial interest
outstanding; $.001 par value, unlimited number of shares of beneficial
interest authorized)
(3) Net asset value, offering and redemption price per share (based on net
assets of $78,854,173 and 7,885,417 shares of beneficial interest
outstanding; $.001 par value, unlimited number of shares of beneficial
interest authorized)
(4) Net asset value, offering and redemption price per share (based on net
assets of $11,715,370 and 1,171,537 shares of beneficial interest
outstanding; $.001 par value, unlimited number of shares of beneficial
interest authorized)
See Notes to Financial Statements.
7
<PAGE>
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BT PreservationPlus Fund
Statement of Operations For the six months ended March 31, 1999(1) (unaudited)
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<TABLE>
<S> <C>
Investment Income
Income net of expenses allocated from PreservationPlus Portfolio ......... $ 7,462,164
-----------
Expenses
Administration and Service Fees - Investment Class ....................... 22,258
Administration and Service Fees - Institutional Class .................... 219,728
Administration and Service Fees - Institutional Service Class ............ 55,272
Administration and Service Fees - Service Class .......................... 7,451
Shareholder Service Fee - Institutional Service Class .................... 25,047
Shareholder Service Fee - Service Class .................................. 7,451
Registration Fees ........................................................ 60,238
Printing and Shareholder Reports ......................................... 17,914
Trustees Fees ............................................................ 1,957
Professional Fees ........................................................ 24,073
Miscellaneous Fees ....................................................... 2,128
Organization Expenses .................................................... 55,012
-----------
Total Expenses ........................................................... 498,529
Less: Expenses absorbed by Bankers Trust (exclusive of portfolio waivers):
Investment Class ...................................................... (37,739)
Institutional Class ................................................... (259,115)
Institutional Service Class ........................................... (52,816)
Service Class ......................................................... (9,440)
-----------
Net Expenses ............................................................. 139,419
-----------
Net Investment Income ....................................................... 7,322,745
-----------
Net Change in Unrealized Appreciation/Depreciation on:
Investment ............................................................ (4,366,871)
Wrapper Agreements .................................................... 4,671,851
Realized Loss from Investment Transactions ............................... (304,980)
-----------
Net Realized and Unrealized Gain (Loss) on Investment
and Wrapper Agreements ................................................... --
-----------
Net Increase in Net Assets from Operations .................................. $ 7,322,745
===========
</TABLE>
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(1) The Investment, Institutional, Institutional Service, and Service Classes
commenced operations on October 1, 1997, December 14, 1997, April 1, 1998
and September 23, 1998, respectively.
See Notes to Financial Statements.
8
<PAGE>
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BT PreservationPlus Fund
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the For the
six months ended year ended
March 31, 1999(1) September 30, 1998(2)
----------------- ---------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ............................... $ 7,322,745 $ 7,381,741
Net Change in Unrealized Appreciation/Depreciation
on Investment .................................... (4,366,871) 3,951,992
Net Change in Unrealized Appreciation/Depreciation
on Wrapper Agreements ............................ 4,671,851 (4,943,878)
Net Realized Gain (Loss) from Investment Transactions (304,980) 991,886
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Net Increase in Net Assets Resulting from Operations 7,322,745 7,381,741
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Distributions to Shareholders(3)
Net Investment Income
Investment Class ................................. (487,131) (528,312)
Institutional Class .............................. (4,925,913) (5,716,544)
Institutional Service Class ...................... (1,751,391) (1,136,465)
Service Class .................................... (158,310) (420)
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Net Realized Gain (Note 4)
Investment Class ................................. (90,966) --
Institutional Class .............................. (874,487) --
Institutional Service Class ...................... (284,725) --
Service Class .................................... (14,071) --
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Total Income Distributions ............................. (8,586,994) (7,381,741)
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Per Share Impact of Reserve Stock Split (Note 4)
Investment Class ................................. 90,966 --
Institutional Class .............................. 874,487 --
Institutional Service Class ...................... 284,725 --
Service Class .................................... 14,071 --
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Total .................................................. 1,264,249 --
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Capital Transactions in Shares of Beneficial Interest
Net Increase Resulting from Investment Class Shares . 3,651,820 15,003,333
Net Increase Resulting from Institutional
Class Shares ...................................... 20,218,884 162,192,860
Net Increase Resulting from Institutional
Service Class Shares .............................. 23,717,614 55,136,558
Net Increase Resulting from Service Class Shares .... 11,310,939 404,430
------------- -------------
Net Increase from Capital Transactions in Shares
of Beneficial Interest ........................... 58,899,257 232,737,181
------------- -------------
Total Increase in Net Assets ........................... 58,899,257 232,737,181
Net Assets
Beginning of Period .................................... 232,737,181 --
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End of Period .......................................... $ 291,636,438 $ 232,737,181
============= =============
</TABLE>
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(1) Unaudited
(2) The Investment, Institutional, Institutional Service and Service Classes
commenced operations on October 1, 1997, December 14, 1997, April 1, 1998
and September 23, 1998, respectively.
(3) See Note 4.
See Notes to Financial Statements.
9
<PAGE>
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BT PreservationPlus Fund
Financial Highlights
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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.
<TABLE>
<CAPTION>
Investment Class Shares Institutional Class Shares
------------------------------------- ---------------------------------------
For the For the period For the For the period
six months October 1, 1997(1) six months December 14, 1997(1)
ended through ended through
March 31, 1999(3) Sept. 30, 1998 March 31, 1999(3) Sept. 30, 1998
----------------- ------------------ ----------------- -------------------
<S> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period .......... $ 10.00 $ 10.00 $ 10.00 $ 10.00
--------- --------- ---------- ----------
Income from Investment Operations
Net Investment Income ...................... 0.27 0.56 0.28 0.46
Distributions to Shareholders(4)
Net Investment Income ...................... (0.27) (0.56) (0.28) (0.46)
Net Realized Gains ......................... 0.05 -- -- --
Per Share Impact of Reverse Stock Split ....... (0.05) -- -- --
--------- --------- ---------- ----------
Net Asset Value, End of Period ................ $ 10.00 $ 10.00 $ 10.00 $ 10.00
========= ========= ========== ==========
Total Investment Return ....................... 5.52%(2) 5.76% 5.66%(2) 5.91%(2)
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ... $ 18,655 $ 15,003 $ 182,412 $ 162,193
Ratios to Average Net Assets:
Net Investment Income ................... 5.45%(2) 5.65% 5.60%(2) 5.79%(2)
Net Expenses, Including Expenses of the
PreservationPlus Portfolio ............ 0.55%(2) 0.55% 0.40%(2) 0.40%(2)
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses
by Bankers Trust ...................... 0.60%(2) 0.51% 0.47%(2) 0.50%(2)
</TABLE>
<TABLE>
<CAPTION>
Institutional Service Class Shares Service Class Shares
------------------------------------- ------------------------------------------
For the For the period For the For the period
six months April 1, 1998(1) six months September 23, 1998(1)
ended through ended through
March 31, 1999(3) Sept. 30, 1998 March 31, 1999(3) Sept. 30, 1998
----------------- ---------------- ----------------- ---------------------
<S> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period .......... $ 10.00 $ 10.00 $ 10.00 $ 10.00
--------- ---------- ---------- -------
Income from Investment Operations
Net Investment Income ...................... 0.27 0.28 0.26 0.01
Distributions to Shareholders(4)
Net Investment Income ...................... (0.27) (0.28) (0.26) (0.01)
--------- ---------- ---------- -------
Net Asset Value, End of Period ................ $ 10.00 $ 10.00 $ 10.00 $ 10.00
========= ========== =========== =======
Total Investment Return ....................... 5.52%(2) 5.78%(2) 5.27%(2) 5.42%(2)
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ... $ 78,854 $ 55,137 $ 11,715 $ 404
Ratios to Average Net Assets:
Net Investment Income ................... 5.44%(2) 5.66%(2) 5.17%(2) 5.42%(2)
Net Expenses, Including Expenses of the
PreservationPlus Portfolio ............ 0.55%(2) 0.55%(2) 0.80%(2) 0.80%(2)
Decrease Reflected in Above Expense Ratio
Due to Absorption of Expenses
by Bankers Trust ...................... 0.34%(2) 0.39%(2) 0.49%(2) 0.43%(2)
</TABLE>
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(1) Commencement of operations
(2) Annualized
(3) Unaudited
(4) Per share information has not been restated to reflect the reverse stock
split. See note 4.
See Notes to Financial Statements.
10
<PAGE>
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BT PreservationPlus 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 PreservationPlus Fund (the
"Fund") is one of the Funds offered to investors by the Trust.
The Preservation Plus Fund offers four classes of shares to investors;
Investment Class, Institutional Class, Service Class and Institutional Service
Class shares (the "Classes"). All classes of shares have identical rights to
earnings, assets and voting privileges, except that each class has certain
expenses directly attributable to that particular class and exclusive voting
rights with respect to matters affecting a single class.
The Investment, Institutional, Institutional Service, and Service Classes
commenced operations and began offering shares of beneficial interest on October
1, 1997, December 14, 1997, April 1, 1998 and September 23, 1998, respectively.
The Fund seeks to achieve its investment objective by investing all of its
investable assets in the PreservationPlus Portfolio (the "Portfolio"). The
Portfolio is an open-end management investment company registered under the Act.
The value of such investment in the Portfolio reflects the Fund's proportionate
interest in the net assets of the Portfolio. At March 31, 1999, the Fund's
investment was approximately 100% of the Portfolio.
The financial statements of the Portfolio, including a list of assets held are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date. Realized gains and
losses on investments sold are computed on the basis of identified cost. The
realized and unrealized gains and losses in the Statement of Operations
represent the results related to the Fund's underlying assets and the offsetting
valuation change of the Wrapper Agreements.
The Fund earns income, net of expenses, on its investment in the Portfolio. All
of the net investment income and net realized and unrealized gains and losses
(including Wrapper Agreements) of the Portfolio are allocated pro rata among the
investors in the Portfolio on a daily basis.
C. Distributions
It is the Fund's policy to declare dividends daily and distribute dividends
monthly to shareholders from net investment income. Dividends payable to
shareholders are recorded by the Fund on the ex-dividend date. Distributions of
net realized short-term and long-term capital gains, if any earned by the Fund,
are made annually to the extent they are not offset by capital loss
carryforwards.
D. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code and distribute 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 gains determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles.
E. Other
The Trust accounts separately for the assets, liabilities and operations of the
Fund. Expenses directly attributable to the 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 generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The 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 0.25% of average daily net assets for the
Investment and Service classes and 0.10% of average daily net assets for the
Institutional and Institutional Service classes. Prior to August 5, 1998, the
Administration and Service Fee for the Institutional and Institutional Service
Classes was 0.25% of average daily net assets.
The Service and Institutional Service Classes are also subject to shareholder
servicing fees in the maximum amount of 0.25% and 0.15% of average daily net
assets, respectively.
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of each Class, to the extent necessary to limit all expenses as
follows: Investment Class of Shares to 0.20% of the average daily net assets of
the Class, excluding expenses of the Portfolio and 0.55% of the average daily
net assets of the Class, including expenses of the Portfolio; Service Class of
Shares to 0.45% of the average daily net assets of the Class, excluding expenses
of the Portfolio and 0.80% of the average daily net assets of the Class,
including expenses of the Portfolio; Institutional Class of Shares to 0.05% of
the average daily net assets of the Class, excluding expenses of the Portfolio
and 0.40% of the average daily net assets of the Class, including expenses of
the Portfolio; and Institutional
11
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Fund
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Service Class to 0.20% of the average daily net assets of the Class, excluding
expenses of the Portfolio and 0.55% of the average daily net assets of the
Class, including expenses of the Portfolio.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
On November 30, 1998, Bankers Trust Corporation entered into an Agreement and
Plan of Merger with Deutsche Bank AG under which Bankers Trust Corporation would
merge with and into a subsidiary of Deutsche Bank AG. Deutsche Bank AG is a
major global banking institution that is engaged in a wide range of financial
services, including investment management, mutual funds, retail and commercial
banking, investment banking and insurance. The transaction is contingent upon
various regulatory approvals, and continuation of the Fund's advisory
relationship with Bankers Trust thereafter is subject to the approval of Fund
shareholders. If the transaction is approved and completed, Deutsche Bank AG, as
Bankers Trust's new parent company, will control its operations as investment
adviser. Bankers Trust believes that, under this new arrangement, the services
provided to the Fund will be maintained at their current level.
Note 3--Shares of Beneficial Interest
At March 31, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Investment Class Shares Institutional Class Shares
------------------------------------------------------ --------------------------------------------------------
For the six For the period For the six For the period
months ended October 1, 1997(1) through months ended December 14, 1997(1) through
March 31, 1999 September 30, 1998 March 31, 1999 September 30, 1998
------------------------------------------------------ --------------------------------------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
-------- ---------- ---------- ----------- ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 960,421 $9,604,207 3,085,270 $30,852,705 3,022,630 $ 30,226,301 18,237,037 $182,370,372
Reinvested(2) 46,539 465,393 44,831 448,308 482,759 4,827,591 496,228 4,962,280
Redeemed (641,778) (6,417,780) (1,629,768) (16,297,680) (1,483,501) (14,835,008) (2,513,979) (25,139,792)
-------- ---------- ---------- ----------- ---------- ----------- ---------- -----------
365,182 $3,651,820 1,500,333 $15,003,333 2,021,888 $ 20,218,884 16,219,286 $162,192,860
======== ========== ========== =========== ========== =========== ========== ===========
<CAPTION>
Institutional Service Class Shares Service Class Shares
---------------------------------------------------- --------------------------------------------------------
For the six For the period For the six For the period
months ended April 1, 1998(1) through months ended September 23, 1998(1) through
March 31, 1999 September 30, 1998 March 31, 1999 September 30, 1998
------------------------- ------------------------ ------------------------- ------------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
---------- ----------- --------- ----------- --------- ------------ ------ ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 4,042,810 $40,428,106 6,774,020 $67,740,195 1,190,852 $ 11,908,515 40,443 $ 404,430
Reinvested(2) 162,155 1,621,547 91,836 918,362 11,059 110,596 -- --
Redeemed (1,833,204) (18,332,039) (1,352,200) (13,521,999) (70,817) (708,172) -- --
--------- ----------- --------- ----------- --------- ------------ ------ ----------
2,371,761 $23,717,614 5,513,656 $55,136,558 1,131,094 $ 11,310,939 40,443 $ 404,430
========= =========== ========= =========== ========= ============ ====== ==========
</TABLE>
- -----------------------
(1) Commencement of operations
(2) See Note 4.
Note 4--Additional Distributions
In order to comply with requirements of the Internal Revenue Code applicable to
regulated investment companies, the Fund is required to distribute accumulated
net realized gains, if any, on an annual basis. When such distributions are
made, the immediate impact is a corresponding reduction in the net asset value
per share of each Class. Given the objective of the Fund to maintain a stable
net asset value of $10 per share, the Fund intends to declare a reverse stock
split immediately subsequent to any such distributions at a rate that will cause
the total number of shares held by each shareholder, including shares acquired
on reinvestment of that distribution, to remain the same as before the
distribution was paid and, in effect reinstate a net asset value of $10 per
share.
On December 4, 1998, the Fund declared a capital gain distribution of $.05 per
share and a corresponding reverse stock split of $.05 per share. There was no
effect on the value of the total holdings of each shareholder (assuming
reinvestment of such distributions) as a result of this activity.
12
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Schedule of Portfolio Investments March 31, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Security Value
------ -------- -----
CORPORATE DEBT NON-CONVERTIBLE - 48.6%
Financial Services - 35.4%
$1,000,000 ABN Amro Bank, 7.55%, 6/28/06 .................... $1,067,960
2,000,000 ACCMT 1996 - AA1, 6.00%, 11/15/05 ................ 2,023,630
2,000,000 American Express Master Trust,
7.60%, 8/15/02 ................................. 2,086,216
1,000,000 American General Finance, 5.90%, 1/15/03 ......... 999,970
1,000,000 AMXMT 98-1 A, 5.90%, 4/15/04 ..................... 1,008,425
1,000,000 Asian Development Bank, 5.75%, 5/19/03 ........... 1,000,614
1,000,000 Associates Corp., 9.125%, 4/1/00 ................. 1,032,471
1,500,000 6.68%, 9/17/99 ................................. 1,509,513
1,000,000 AT&T Corp., 5.625%, 3/15/04 ...................... 996,354
2,000,000 AT&T MT 1995 - 2A, 5.95%, 10/17/02 ............... 2,018,690
300,000 BankAmerica Corp., 7.50%, 10/15/02 ............... 316,380
400,000 7.125%, 5/12/05 ................................ 418,332
3,000,000 California Infrastructure PG&E - Class A6,
6.38%, 9/25/08 ................................. 3,058,785
2,000,000 California Infrastructure PG&E - Class A7,
6.42%, 9/25/08 ................................. 2,047,050
1,000,000 Capital Auto Receivables Asset Trust ............. 1,002,995
2,000,000 Capital One-4, 5.43%, 1/15/07 .................... 1,986,210
500,000 Carco Auto Loan Master Trust ..................... 503,438
2,000,000 CCIMT 98-6 A, 5.85%, 4/10/03 ..................... 2,012,510
1,500,000 CHAMT 98-3 A, 6.00%, 4/15/03 ..................... 1,518,008
2,000,000 Chase Manhattan Corp., 7.125%, 2/1/07 ............ 2,087,460
100,000 Chase Manhattan Corp., 10.00%, 6/15/99 .......... 100,895
2,300,000 Chase Manhattan Credit Card Master Trust -
Class A, 6.73%, 2/15/03 ........................ 2,306,590
1,000,000 6.30%, 4/15/03 ................................. 1,013,575
1,000,000 Citibank Credit Card Master Trust - Class A,
5.75%, 1/15/03 ................................. 998,695
1,000,000 5.875%, 3/10/11 ................................ 995,735
1,000,000 CNA Financial, 6.45%, 1/15/08 .................... 967,708
1,000,000 COMED 1998-1 A5, 5.44%, 3/25/07 .................. 979,265
2,000,000 DHMT 1998-1 A, 5.90%, 5/25/06 .................... 2,016,930
1,000,000 Discover Card Master Trust - Class A,
5.60%, 5/15/03 ................................. 993,215
2,000,000 5.80%, 9/16/03 ................................. 2,008,120
1,000,000 5.85%, 1/17/06 ................................. 1,004,725
2,000,000 6.20%, 5/16/06 ................................. 2,071,302
1,000,000 EQCC Home Equity Loan Trust,
6.54%, 4/15/11 ................................. 1,009,715
3,000,000 First Bank Corporate Card Master Trust -
Class A, 6.40%, 2/15/03 ........................ 3,058,275
300,000 First Union National Bank, 7.125%,
10/15/06 ....................................... 315,126
1,000,000 First USA Credit Card Master Trust -
Class A, 5.28%, 9/18/06 ........................ 982,455
5,000,000 6.42%, 3/17/05 ................................. 5,118,975
3,000,000 Ford Credit Auto Loan Master Trust -
Class A, 6.50%, 8/15/02 ........................ 3,045,585
375,000 Ford Motor Credit, 9.00%, 9/15/01 ................ 402,825
2,000,000 6.00%, 1/14/03 ................................. 2,007,200
1,300,000 GMAC, 6.875%, 7/15/01 ............................ 1,331,132
500,000 6.675%, 1/10/02 ................................ 511,087
1,000,000 6.75%, 3/15/03 ................................. 1,023,680
1,000,000 7.125%, 5/1/03 ................................. 1,041,445
150,000 Heller Financial, 6.00%, 3/19/04 ................. 148,682
1,000,000 Household Finance Co., 8.375%, 11/15/01 .......... 1,062,670
1,000,000 Interamer Dev Bank, 6.125%, 3/8/06 ............... 1,022,675
750,000 5.375%, 11/18/08 ............................... 723,620
200,000 Intl Lease Fin Corp., 6.375%, 2/15/02 ............ 202,972
1,000,000 J P Morgan, 6.70%, 11/1/07 ....................... 1,014,060
Principal
Amount Security Value
------ -------- -----
$ 120,000 KFW International Finance, 8.20%, 6/1/06 ....... $ 134,345
MBNA Master Credit Card Trust - Class A,
1,000,000 6.60%, 1/15/03 ............................... 1,017,545
3,000,000 6.55%, 1/15/07 ............................... 3,106,026
450,000 5.90%, 8/15/11 ............................... 444,516
2,000,000 McDonald's Corp., 6.50%, 8/1/07 ................ 2,056,292
1,000,000 Mellon Financial, 6.375%, 2/15/10 .............. 1,006,014
1,000,000 Merrill Lynch & Co., 6.00%, 2/12/03 ............ 1,003,615
500,000 6.875%, 3/1/03 ............................... 514,799
750,000 Morgan Stanley Group, 8.33%, 1/15/07 ........... 836,381
1,250,000 6.875%, 3/1/07 ............................... 1,293,218
1,000,000 NationsBank, 5.75%, 3/15/01 .................... 1,002,396
3,000,000 NationsBank Credit Card Master Trust -
Class A, 6.00%, 12/15/05 ..................... 3,037,695
1,000,000 Norwest Corp., 8.15%, 11/1/01 .................. 1,059,812
1,000,000 Premier Auto Trust - Class A,
5.78%, 4/8/03 ................................ 990,455
2,000,000 5.96%, 10/8/02 ............................... 2,018,650
750,000 5.82%, 12/6/02 ............................... 754,684
2,000,000 Prime Credit Card Master Trust,
6.75%, 11/15/05 .............................. 2,064,786
1,000,000 Providian Master Trust, 6.23%, 6/15/07 ......... 1,019,785
2,000,000 Rockwell International, 6.15%, 1/15/08 ......... 1,999,700
2,000,000 Salomon Smith Barney, 7.98%, 3/1/00 ............ 2,045,540
1,000,000 SCAMT 98-1 A, 5.80%, 8/15/05 ................... 1,003,695
1,000,000 Sears Credit Account Master Trust - Class A,
6.05%, 1/16/08 ............................... 1,013,615
500,000 5.65%, 3/15/09 ............................... 496,094
200,000 Society National Bank, 7.25%, 6/1/05 ........... 208,577
2,700,000 Standard Credit Card Master Trust - Class A,
5.95%, 10/7/04 ............................... 2,720,588
2,000,000 Toyota Auto Lease Trust - Class A,
6.35%, 9/25/00 ............................... 2,017,500
500,000 Toyota Motor Credit, 5.50%, 12/15/08 ........... 480,175
------------
103,520,443
------------
Industrial - 10.0%
1,000,000 Abbott Labs, 6.40%, 12/1/06 .................... 1,032,310
2,000,000 American Home Product, 7.70%, 2/15/00 .......... 2,040,838
600,000 Amoco Canada, 7.25%, 12/1/02 ................... 626,298
2,000,000 Anheuser Busch, 9.00%, 12/1/09 ................. 2,470,804
1,000,000 BP America Inc., 7.875%, 5/15/02 ............... 1,062,904
1,000,000 Diageo Captial PLC, 6.125%, 8/15/05 ............ 1,009,272
2,000,000 Dupont, 9.15%, 4/15/00 ......................... 2,075,720
1,565,000 Exxon Capital, 6.50%, 7/15/99 .................. 1,570,446
1,000,000 GTE Southwest, 6.54%, 12/1/05 .................. 1,028,237
1,000,000 6.23%, 1/1/07 ................................ 1,009,090
2,000,000 Hanson Overseas, 6.75%, 9/15/05 ................ 2,056,080
1,000,000 Lucent Technologies, 5.50%, 11/15/08 ........... 964,860
750,000 Mattel Inc., 6.125%, 7/15/05 ................... 730,853
1,000,000 Procter & Gamble, 5.25%, 9/15/03 ............... 984,630
500,000 Sears Roebuck, 6.125%, 1/15/06 ................. 494,230
2,000,000 Sears Roebuck Acceptance Corp.,
7.00%, 6/15/07 ............................... 2,086,008
1,000,000 Sony Corporation, 6.125%, 3/4/03 ............... 1,011,430
1,000,000 TCI Communications, Inc., 8.65%, 9/15/04 ....... 1,127,260
1,500,000 Texaco Capital, Inc., 8.50%, 2/15/03 ........... 1,637,610
1,000,000 TRW, 6.05%, 1/15/05 ............................ 967,940
1,890,000 Wal-Mart Stores, 9.10%, 7/15/00 ................ 1,976,573
100,000 6.50%, 6/1/03 ................................ 103,226
1,000,000 Walt Disney Co., 6.75%, 3/30/06 ................ 1,038,610
------------
29,105,229
------------
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Schedule of Portfolio Investments March 31, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Security Value
------ -------- -----
Utility - 3.2%
$ 1,000,000 Central & Southwest Corp., 7.25%, 10/1/04 ...... $ 1,061,520
800,000 Chesapeake & Potomac Telephone,
7.125%, 1/15/02 .............................. 829,576
2,000,000 Consolidated Natural Gas, 6.625%, 12/1/08 ...... 2,063,760
1,000,000 GTE North, Inc., 5.65%, 11/15/08 ............... 967,250
400,000 Illinois Power, 5.54%, 6/25/09 ................. 382,872
385,000 Peco Energy Transition Trust, 6.05%, 3/1/09 .... 382,161
1,000,000 VF Corp., 9.50%, 5/1/01 ........................ 1,074,057
1,000,000 Virginia Electric Power, 6.75%, 2/1/07 ......... 1,025,920
1,000,000 Wisconsin Electric Power, 7.25%, 8/1/04 ........ 1,062,426
570,000 Wisconsin Power & Light, 7.00%, 6/15/07 ........ 603,757
------------
9,453,299
------------
Total Corporate Debt Non-Convertible
(Cost $142,215,575) ......................................... 142,078,971
------------
FOREIGN DEBT - 1.4%
1,000,000 Alberta Providence, 9.25%, 4/1/00 .............. 1,036,980
1,000,000 Canada Government, 5.25%, 11/5/08 .............. 958,540
500,000 Province of Ontario, 7.375%, 1/27/03 ........... 532,770
1,000,000 6.00%, 2/21/06 ............................... 1,009,470
500,000 Province of Quebec, 7.00%, 1/30/07 ............. 524,290
150,000 5.75%, 2/15/09 ............................... 145,455
------------
Total Foreign Debt
(Cost $4,230,352) ........................................... 4,207,505
------------
MORTGAGE BACKED SECURITIES - 30.8%
FHLMC Gold,
500,000 5.75%, 3/15/09 ................................. 497,234
970,314 5.50%, 11/1/13 ................................. 945,746
974,612 6.00%, 12/1/13 ................................. 969,282
166,869 7.50%, 4/1/27 .................................. 171,409
324,040 7.50%, 6/1/27 .................................. 333,268
72,285 7.50%, 10/1/27 ................................. 74,253
2,934,175 6.50%, 12/1/28 ................................. 2,927,641
FHLMC TBA,
1,000,000 7.50%, 5/1/07 .................................. 1,032,812
1,000,000 6.00%, 4/1/08 .................................. 992,812
2,000,000 7.00%, 11/1/08 ................................. 2,044,375
3,000,000 6.50%, 11/1/08 ................................. 3,030,000
2,000,000 7.50%, 5/1/22 .................................. 2,056,250
2,000,000 7.50%, 5/1/22 .................................. 2,054,376
4,000,000 7.00%, 3/1/23 .................................. 4,057,500
3,000,000 6.50%, 11/2/23 ................................. 2,986,874
2,000,000 6.00%, 11/1/24 ................................. 1,945,623
FNCL,
993,622 6.50%, 1/1/14 .................................. 1,002,624
986,178 7.00%, 2/1/14 .................................. 1,007,441
1,007,647 6.00%, 12/1/28 ................................. 979,302
1,002,936 6.50%, 12/1/28 ................................. 998,233
988,654 6.00%, 12/15/28 ................................ 960,538
948,391 7.00%, 1/1/29 .................................. 962,765
2,526,044 6.50%, 2/1/29 .................................. 2,514,197
2,489,992 6.50%, 2/1/29 .................................. 2,478,314
2,512,353 6.50%, 2/1/29 .................................. 2,500,571
1,000,100 7.00%, 3/1/29 .................................. 1,013,851
FNMA,
453,626 6.50%, 5/1/05 .................................. 459,740
478,286 6.50%, 6/1/05 .................................. 484,732
368,818 7.00%, 9/1/12 .................................. 377,290
2,346,160 8.00%, 5/1/17 .................................. 2,441,565
395,482 8.50%, 1/1/20 .................................. 415,841
1,651,835 8.00%, 12/1/21 ................................. 1,719,006
472,249 8.00%, 12/1/23 ................................. 491,453
361,068 8.50%, 8/1/25 .................................. 379,656
932,453 6.50%, 10/1/27 ................................. 929,394
FNMA TBA,
1,000,000 7.00%, 9/1/06 .................................. 1,022,500
2,000,000 6.50%, 11/1/07 ................................. 2,016,876
2,000,000 6.00%, 4/1/08 .................................. 1,983,750
Principal
Amount Security Value
------ -------- -----
$ 7,000,000 7.00%, 9/1/21 .................................. $7,094,066
4,000,000 7.50%, 9/1/21 .................................. 4,107,500
2,000,000 7.50%, 9/1/21 .................................. 2,055,624
1,000,000 7.50%, 4/1/23 .................................. 1,032,500
4,000,000 6.00%, 9/2/23 .................................. 3,887,500
GNMA,
579,745 9.00%, 11/15/20 ................................ 622,676
704,360 8.00%, 5/15/22 ................................. 734,323
280,271 8.50%, 2/15/23 ................................. 296,385
372,600 8.50%, 4/15/23 ................................. 394,022
301,470 8.50%, 8/15/28 ................................. 318,332
586,853 6.50%, 10/15/28 ................................ 584,283
361,270 6.50%, 11/15/28 ................................ 359,688
40,667 6.50%, 1/15/29 ................................. 40,489
GNMA TBA,
1,000,000 6.50%, 5/1/08 .................................. 1,013,125
2,000,000 8.00%, 8/1/21 .................................. 2,084,376
2,000,000 7.00%, 9/1/21 .................................. 2,028,750
4,000,000 7.00%, 9/1/21 .................................. 4,063,752
3,000,000 7.50%, 9/1/21 .................................. 3,090,000
1,000,000 6.50%, 6/25/23 ................................. 996,250
2,000,000 6.50%, 6/25/23 ................................. 1,990,624
-------------
Total Mortgage Backed Securities
(Cost $90,206,977) 90,053,359
-------------
U.S. TREASURY SECURITIES - 7.2%
U.S. Treasury Note,
13,400,000 5.75%, 11/15/00 ................................ 13,550,750
7,000,000 5.75%, 8/15/03 ................................. 7,142,191
200,000 5.875%, 2/15/04 ................................ 205,874
150,000 6.50%, 5/15/05 ................................. 158,859
-------------
Total U.S. Treasury Securities
(Cost $21,159,483) 21,057,674
-------------
SHORT TERM INVESTMENTS - 30.9%
Mutual Fund - 13.8%
40,479,281 BT Institutional Cash Management Fund,
4.65%, 4/1/99 .................................. 40,479,281
-------------
U.S. Government - 17.1%
50,000,000 U.S. Treasury Bill, 4.72%, 4/22/99 ............... 49,862,333
-------------
Total Short Term Investments
(Cost $90,341,614) .......................................... 90,341,614
-------------
Total Investments
(Cost $348,154,001) ................................ 118.9% 347,739,123
-------------
Wrapper Agreements(1) - 0.3%
Bank of America NT & SA ........................................ 248,273
National Westminster Bank PLC .................................. 248,273
Credit Suisse Financial Products ............................... 252,924
Transamerica Life Insurance & Annuity Co. ...................... 256,387
-------------
1,005,857
-------------
Liabilities in Excess of Other Assets ....... (19.2)% (56,308,316)
----- -------------
Net Assets .................................. 100.0% $ 292,436,664
===== =============
- ----------------
The following abbreviations are used in portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
FNCL - Federal National Mortgage Association Class Loan
GNMA - Government National Mortgage Association
TBA- To be announced securities. TBA's represent firm commitments of the
Portfolio for securities authorized for issuance but not yet actually
issued.
(1) Wrapper Agreements - Each Wrapper Agreement obligates the wrapper provider
to maintain the book value of a portion of the Portfolio's assets up to a
specified maximum dollar amount, upon the occurrence of certain specified
events.
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Statement of Assets and Liabilities March 31, 1999 (unaudited)
- --------------------------------------------------------------------------------
Assets
Investment (Cost $348,154,002) ........................ $347,739,123
Receivable for Securities Sold ........................ 38,536,953
Interest Receivable ................................... 2,538,521
Wrapper Agreements .................................... 1,005,857
------------
Total Assets ............................................. 389,820,454
------------
Liabilities
Payable for Securities Purchased ...................... 97,148,255
Due to Bankers Trust .................................. 54,309
Accrued Expenses and Other ............................ 181,226
------------
Total Liabilities ........................................ 97,383,790
------------
Net Assets ............................................... $292,436,664
============
15
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Statement of Operations For the six months ended March 31, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income
Interest Income .......................................................... $ 7,191,625
Credited Rate Interest ................................................... 733,034
-----------
Total Investment Income ..................................................... 7,924,659
-----------
Expenses
Advisory Fees ............................................................ 462,509
Wrapper Fees ............................................................. 153,737
Administration and Service Fees .......................................... 66,073
Professional Fees ........................................................ 14,110
Trustees Fees ............................................................ 1,622
Misellaneous Fees ........................................................ 819
-----------
Total Expenses ........................................................... 698,870
Less: Expenses absorbed by Bankers Trust ................................. (236,361)
-----------
Net Expenses .......................................................... 462,509
-----------
Net Investment Income ....................................................... 7,462,150
-----------
Net Realized and Unrealized Gain (Loss) on Investments and Wrapper Agreements
Net Change in Unrealized Appreciation/Depreciation on:
Investments ......................................................... (4,366,871)
Wrapper Agreements .................................................. 4,671,851
Realized Loss on Investment Transactions ................................. (304,980)
-----------
Net Realized and Unrealized Gain (Loss) on Investments and Wrapper Agreements --
-----------
Net Increase in Net Assets from Operations .................................. $ 7,462,150
===========
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the For the
six months ended year ended
March 31, 1999(2) September 30, 1998(1)
----------------- ---------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .................................................. $ 7,462,150 $ 7,494,607
Net Change in Unrealized Appreciation/Depreciation on Investments ...... (4,366,871) 3,951,992
Net Change in Unrealized Appreciation/Depreciation on Wrapper Agreements 4,671,851 (4,943,878)
Net Realized Gain (Loss) on Investments ................................ (304,980) 991,886
------------- -------------
Net Increase in Net Assets from Operations ................................ 7,462,150 7,494,607
------------- -------------
Capital Transactions
Proceeds from Capital Invested ......................................... 100,156,326 287,696,652
Value of Capital Withdrawn ............................................. (47,733,193) (62,639,878)
------------- -------------
Net Increase in Net Assets from Capital Transactions ...................... 52,423,133 225,056,774
------------- -------------
Total Increase in Net Assets .............................................. 59,885,283 232,551,381
Net Assets
Beginning of Period ....................................................... 232,551,381 --
------------- -------------
End of Period ............................................................. $ 292,436,664 $ 232,551,381
============= =============
</TABLE>
- -----------------
(1) The PreservationPlus Portfolio commenced operations on October 1, 1997.
(2) Unaudited
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for the period
indicated for the PreservationPlus Portfolio.
<TABLE>
<CAPTION>
For the For the
six months ended year ended
March 31, 1999(3) September 30, 1998(1)
--------------- --------------------
<S> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) ........... $ 292,437 $ 232,551
Ratios to Average Net Assets:
Net Investment Income ........................... 5.64%(2) 5.80%
Expenses ........................................ 0.35%(2) 0.35%
Decrease Reflected in the Above Expense Ratio Due
to Absorption of Expenses by Bankers Trust .... 0.18%(2) 0.19%
Portfolio Turnover Rate ............................ 170% 428%
</TABLE>
- -----------------
(1) The PreservationPlus Portfolio commenced operations on October 1, 1997.
(2) Annualized
(3) Unaudited
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The PreservationPlus 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 and commenced
operations on October 1, 1997 as an unincorporated trust under the laws of New
York. The Declaration of Trust permits the Board of Trustees (the "Trustees") to
issue beneficial interests in the Portfolio.
B. Security Valuation
Debt securities (other than short-term debt obligations maturing in 60 days or
less), including listed securities and securities for which price quotations are
available, will normally be valued on the basis of market valuations furnished
by a pricing service. Such market valuations may represent the last quoted price
on the securities' major trading exchange or quotes received from dealers or
market makers in the relevant securities or may be determined through the use of
matrix pricing. In matrix pricing, pricing services may use various pricing
models, involving comparable securities, historic relative price movements,
economic factors and dealer quotations. Over-the-counter securities will
normally be valued at the bid price. Short-term debt obligations and money
market securities maturing in 60 days or less are valued at amortized cost.
Securities for which market quotations are not readily available are valued by
Bankers Trust pursuant to procedures adopted by the Portfolio's Trust Board.
Wrapper Agreements generally will be equal to the difference between the Book
Value and Market Value (plus the crediting rate adjustment) on the applicable
covered assets and will either be reflected as an asset or liability of the
Portfolio. The Portfolio's Trust Board in performing its fair value
determination of the Portfolio's Wrapper Agreements considers the
creditworthiness and the ability of Wrapper Providers to pay amounts due under
the Wrapper Agreements.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
discount on investments. Realized gains and losses from security transactions
are recorded on the identified cost basis. The credited rate interest represents
the actual interest earned on covered assets under the Portfolio's Wrapper
Agreements (the "agreements") plus or minus an adjustment for an amount
receivable from or payable to the wrapper provider based on fluctuation in the
market value of covered assets under the agreements.
All of the net investment income and net realized and unrealized gains and
losses (including the Wrapper Agreements) of the Portfolio are allocated pro
rata to the investors in the Portfolio on a daily basis.
D. Repurchase Agreements
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisor, 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. TBA Purchase Commitments
The Portfolio may enter into "TBA" (to be announced) purchase 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, which risk is in addition to the risk of decline in
the value of a Portfolio's other assets. Unsettled TBA purchase commitments are
valued at the current market value of the underlying securities, according to
the procedures described under "Security Valuation" above.
F. Federal Income Taxes
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
G. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, and shareholder
services to the Portfolio in return for a fee computed daily and paid monthly at
an annual rate of 0.05% of the Portfolio's average daily net assets.
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
18
<PAGE>
- --------------------------------------------------------------------------------
BT PreservationPlus Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
monthly at an annual rate of 0.35% of the Portfolio's average daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
0.35% of the average daily net assets of the Portfolio.
The Portfolio may invest in the BT Institutional Cash Management Fund (the
"Fund"), an open-end management investment company managed by Bankers Trust
Company (the "Company"). The Fund is offered as a cash management option to the
Portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio for the six month period ended March 31, 1999 amounted to
$1,236,950.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility and a discretionary demand line of credit facility (collectively
the "credit facilities") in the amounts of $50,000,000 and $100,000,000,
respectively. A commitment fee of 0.07% per annum on the average daily amount of
the available commitment is payable on a calendar quarter basis and apportioned
equally among all participants. Amounts borrowed under the credit facilities
will bear interest at a rate per annum equal to the Federal Funds Rate plus
0.45%. No amounts were drawn down or outstanding under the credit facilities as
of and for the six month period ended March 31, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
On November 30, 1998, Bankers Trust Corporation entered into an Agreement and
Plan of Merger with Deutsche Bank AG under which Bankers Trust Corporation would
merge with and into a subsidiary of Deutsche Bank AG. Deutsche Bank AG is a
major global banking institution that is engaged in a wide range of financial
services, including investment management, mutual funds, retail and commercial
banking, investment banking and insurance. The transaction is contingent upon
various regulatory approvals, and continuation of the Fund's advisory
relationship with Bankers Trust thereafter is subject to the approval of Fund
shareholders. If the transaction is approved and completed, Deutsche Bank AG, as
Bankers Trust's new parent company, will control its operations as investment
adviser. Bankers Trust believes that, under this new arrangement, the services
provided to the Fund will be maintained at their current level.
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 year ended March 31, 1999, were
$491,925,958 and $437,159,920, respectively. For federal income tax purposes,
the tax basis of investments held at March 31, 1999, was $348,167,307. The
aggregate gross unrealized appreciation was $876,584, and the aggregate gross
unrealized depreciation for all investments was $1,304,768 as of March 31, 1999.
Note 4--Wrapper Agreements
The Portfolio will enter into Wrapper Agreements with insurance companies, banks
or other financial institutions ("Wrapper Providers") that are rated, at the
time of purchase, in one of the top two long-term rating categories by Moody's
or S&P. A wrapper agreement is a derivative instrument that is designed to
protect the portfolio from investment losses and under most circumstances permit
the Fund to maintain a constant NAV per share. There is no active trading market
for Wrapper Agreements, and none is expected to develop; therefore, they will be
considered illiquid.
A default by the issuer of a Portfolio Security or a Wrapper Provider on its
obligations might result in a decrease in the value of the Portfolio assets and,
consequently, the Shares. The Wrapper Agreements generally do not protect the
Portfolio from loss if an issuer of Portfolio Securities defaults on payments of
interest or principal. Additionally, a Fund shareholder may realize more or less
than the actual investment return on the Portfolio Securities depending upon the
timing of the shareholder's purchases and redemption of Shares, as well as those
of other shareholders.
Note 5--Subsequent Event
Subsequent to period end, the portfolio has entered into a $100,000,000 364-day
senior unsecured committed revolving credit facility ("the facility") with two
lenders. The borrowings shall bear interest at a rate based on the Federal Funds
rate. A commitment fee is charged on the unused portion of the facility. The
facility replaces the revolving credit facility described in footnote 2.
19
<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Auditors
ERNST & YOUNG LLP
Two Commerce Square
2001 Market Street
Philadelphia, PA19103
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
[LOGO]
[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: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-730-1313
This report must be preceded or accompanied by a current prospectus for the
Fund.]
BT PreservationPlus Fund PreservationPlus CUSIP #055847834
BT Pyramid Mutual Funds #055847842
#055847826
#055847818
COMB PPSA (3/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
