March 31, 1999
[GRAPHIC] BT Mutual Funds
BT Institutional Asset
Management Fund
Annual Report
TRUST: BT PYRAMID MUTUAL FUNDS
INVESTMENT ADVISOR: BANKERS TRUST COMPANY
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BT Institutional Asset Management Fund
Table of Contents
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Letter to Shareholders ................................................. 3
BT Institutional Asset Management Fund
Statement of Assets and Liabilities ................................. 7
Statement of Operations ............................................. 7
Statements of Changes in Net Assets ................................. 8
Financial Highlights ................................................ 9
Notes to Financial Statements ....................................... 10
Report of Independent Accountants ................................... 12
Asset Management Portfolio
Schedules of Portfolio Investments .................................. 13
Statement of Assets and Liabilities ................................. 16
Statement of Operations ............................................. 16
Statements of Changes in Net Assets ................................. 17
Financial Highlights ................................................ 17
Notes to Financial Statements ....................................... 18
Report of Independent Accountants ................................... 21
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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 Institutional Asset Management Fund
Letter to Shareholders
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We are pleased to present you with this annual report for the BT Institutional
Asset Management Fund (the "Fund"), providing a review of the markets, 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.
MARKET ACTIVITY
Economic and financial market performance ran on parallel tracks in the
industrial countries for most of the Fund's fiscal year.
o In the U.S., an exuberant, low-inflation economy, an easier monetary policy,
and a safe-haven status in a sea of global turmoil helped spark rallies in
Treasury securities and a fourth consecutive year of double-digit gains in
major stock indices.
o U.S. Treasuries outperformed other fixed income sectors for the year, but
they suffered in the first quarter of 1999, as concerns over international
turmoil lessened and investor demand for the higher yields offered by
other fixed income sectors increased.
o The Euro-zone also turned in a fine economic performance for the year.
Growth was solid and inflation continued to edge lower, prompting declines
in interest rates and substantial rallies in equity markets. Optimism
about the advent of the single currency buttressed European financial
markets.
o Bringing up the rear of the world's advanced economies once again was
Japan, as the nation showed no sign of breaking out of its slump in a
meaningful way.
U.S. Equities
Overall, the fiscal year witnessed a continuation of significant
volatility, but at the same time U.S. equity markets in general were strong.
Concerns over both foreign and domestic economies kept investor preference
toward the liquidity and perceived safety of large-capitalization stocks.
o Large cap stocks, as measured by the S&P 500 Index, produced a one year
return of 18.46%, leading the U.S. equity market. Midcap and small cap
stocks rallied in the second half of the fiscal year, but impacted by
global economic turmoil in the third calendar quarter of 1998, returned
0.45% and -16.26% for the twelve months ended March 31, 1999,
respectively.
o The third calendar quarter was highlighted by several factors which
combined to cause all U.S. equity markets to tumble:
-Russia's financial collapse
-a weakening economic outlook in Latin America
-ongoing economic woes in Asia
-the collapse of a high profile hedge fund
-lower corporate profits and expectations of slower growth in the U.S.
o Fears of global recession and financial market instability prompted three
quick interest rate cuts of 0.25% each by the Federal Reserve Board
beginning in late September. This demonstrated commitment to maintain
global financial stability--along with a lack of panic among small market
investors after the summer plunge--was all the markets needed to spark a
powerful rally that fueled the strongest fourth quarter returns in some
twenty years for most of the major U.S. large cap equity indices. The
quarter was led by the technology sector in general and internet-related
stocks in particular.
Five Largest Common Stock Holdings
Pfizer, Inc.
Cisco Systems, Inc.
General Electric Co.
Merck & Co., Inc.
BankAmerica Corp.
o Equity markets continued to rally in the first quarter of 1999, buoyed by
strength in economic growth, consumer spending, and fourth quarter
earnings reports as well as by low inflation and interest rates. Many
companies, especially in the technology arena, expressed upbeat outlooks.
U.S. Bonds
The U.S. bond market rallied, continuing the bullish trend in place since early
1997 and trading up even further as investors sought a haven of safety from the
worldwide economic uncertainty. However, the year was split between the U.S.
Treasury rally in the first half and the "spread sectors" rally in the second.
o For the first six months of the annual period:
- -- U.S. Treasuries were the primary beneficiary of the high-volume flight to
quality, benefiting from both foreign investors and domestic equity
investors seeking relative stability.
- -- Municipal bonds rallied as well, though not quite to the same extent.
- -- Yield spreads on corporate and asset-backed securities widened with
investor concerns about the negative domestic credit implications of the
financial crisis in foreign markets. The mortgage-backed sector lagged, as
the expectation of high prepayments was renewed.
o In the six months ending March 31, 1999:
- -- 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.
- -- These very same factors led to a U.S. Treasury market performance of
-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, and in the U.S., heavy
merger activity and booming debt origination.
- -- Municipal bond yields moderately increased, demonstrating less
volatility than other fixed income sectors primarily because they are
less impacted by overseas turmoil.
3
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BT Institutional Asset Management Fund
Letter to Shareholders
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International Markets
Most of the world's developed equity markets enjoyed a record-setting pace
through mid-July, but emerging market uncertainties and many of the same factors
that led to third calendar quarter troubles for the U.S. equity markets spoiled
this trend. In the second half of the fiscal year, world equity markets in
general rebounded sharply from the summer's painful sell-off, as several events
combined to improve investor sentiment.
o Unexpected rate reductions by the U.S. Federal Reserve Board relieved
emerging market tensions.
o Congressional approval of International Monetary Fund (IMF) rescue funds for
Brazil was seen as helpful in restoring confidence.
o Initial pessimism that Japan would endure a deep and prolonged recession
took the Nikkei Index to 13 year lows. But even there, the subsequent flow
of restructuring announcements by Japanese corporations combined with bank
capital injections led foreign investors to return to Japan despite anemic
economic conditions.
o Emerging markets as a whole reversed their sharp losses of the previous
half-year, staging a broad recovery as a result of a more favorable
interest rate environment and evidence that economic conditions have
bottomed, particularly in Asia.
International bond markets were impacted by most of the same factors as the U.S.
and international equity markets. During the third calendar quarter of 1998,
these markets were shaken by Russia defaulting on its domestic debt only weeks
after entering into a new IMF-assisted bailout. In response to signs of a global
economic slowdown, central banks around the world eased monetary policy to
stimulate credit expansion, triggering an extensive bond rally in the last
months of 1998. However, European interest rates backed up in the first quarter
of 1999, as a result of the same happening in the U.S.
Five Largest Fixed Income Securities
FNMA TBA, 7.5%, 9/1/21
U.S. Treasury Bond, 8.125%, 8/15/19
FNMA TBA, 6.5%, 4/1/23
U.S. Treasury Note, 4.75%, 11/15/08
FHLB, 5.125%, 9/15/03
Cash
The U.S. dollar was rather irrepressible for most of the first half of the
fiscal year, standing strong versus most currencies, including the Japanese yen,
the German deutschemark, and the British pound. Toward the end of the third
calendar quarter, even the U.S. dollar temporarily joined the ranks of
dramatically plunging assets, adding further confusion to the already volatile
financial markets. In the fourth calendar quarter, the U.S. dollar continued to
weaken--sharply against the Japanese yen and moderately against the German
deutschemark. Reasons included:
o perceptions that the U.S. has the burden of bailing out global financial
markets, especially Latin America
o the announcement of an aggressive stimulus package to push Japan out of
recession
o the anticipation of a strong euro, the European economic and monetary
union (EMU) common currency
o political instability surrounding the Clinton impeachment proceedings.
As 1999 began, the U.S. dollar was steadily strong against the euro and
volatile against the yen.
<TABLE>
<CAPTION>
Periods ended March 31, 1999 Cumulative Total Returns Average Annual Total Returns
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Past 1 Past 3 Past 5 Since Past 1 Past 3 Past 5 Since
year years years inception year years years inception
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<S> <C> <C> <C> <C> <C> <C> <C> <C>
BT Institutional
Asset Management Fund(1)
(inception 9/16/93) 12.83% 73.27% 122.32% 114.98% 12.83% 20.11% 17.33% 14.83%
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Asset Allocation Index--
Long Range(2) 13.42% 63.81% 118.26% 113.60% 13.42% 18.63% 17.59% 15.52%
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S&P 500 Index(2) 18.46% 110.09% 220.73% 215.72% 18.46% 28.08% 26.25% 23.25%
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Salomon Broad Investment
Grade (BIG) Index(3) 6.50% 25.10% 45.64% 41.60% 6.50% 7.75% 7.81% 6.53%
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Lipper Flexible
Portfolio Average(4) 6.20% 52.47% 104.18% 102.16% 6.20% 14.88% 14.99% 13.31%
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</TABLE>
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1 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.
2 Indices are unmanaged, and investments cannot be made in an index. The S&P
500 is an index of common stocks in industry, transportation, and
financial and public utility companies. Total return for the Fund assumes
reinvestment of dividends and distributions. During the period the Fund
waived certain fees and expenses. Had these fees and expenses not been
waived, the Fund's return would have been lower.
3 The Salomon Broad Investment Grade Index covers an all-inclusive universe of
institutionally-traded U.S. Treasury, agency, mortgage and corporate
securities.
4 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.
4
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BT Institutional Asset Management Fund
Letter to Shareholders
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Diversification of Portfolio Investments
By Asset Class as of March 31, 1999
(percentages are based on Net Assets)
The printed version contains a pie chart
depicting the following percentages:
Stocks 56%
Bonds 39%
Short Term Instruments 5%
This pie chart shows the Fund's investment exposure to different asset classes
(i.e. stocks, bonds and short term instruments) based on the risk
characteristics of the asset class rather than the actual instrument. For
example, the Fund may buy or sell a futures contract to increase or decrease the
Fund's exposure to the stock market.
INVESTMENT REVIEW
The Fund outperformed its category average for the annual period ended March 31,
1999. This strong relative performance was due primarily to superior asset
allocation. While the Fund slightly underperformed its benchmark, investment
management fees accounted for the small difference. Adjusting for this factor,
the Fund would have slightly outperformed its benchmark returns.
The Fund started the fiscal year with a higher allocation to U.S. equities than
its benchmark weighting and conversely a lower than benchmark allocation to U.S.
bonds. This served the Fund well for the second calendar quarter of 1998, as
stock performance bettered bonds by about 1%. Over the summer, we reduced the
Fund's allocation to U.S. stocks somewhat in favor of European stock markets
like France and Germany. After the correction in global equity markets toward
the end of the third calendar quarter, the Fund shifted out of European stocks
and again overweighted U.S. equities.(1) Throughout, the Fund maintained an
underweight allocation to U.S. bonds, while investing internationally in
government bonds from Japan, France and Germany.
Though the U.S. equity portion of the Fund's portfolio did not match S&P 500
Index performance for the fiscal year, it did manage to beat the performance of
broader indices like the Russell 3000 Index. The fixed income portion of the
Fund's portfolio closely tracked the Salomon Broad Investment Grade (BIG) Index
for the fiscal year. Overall, individual stock selection detracted from relative
performance while asset allocation and country selection decisions had a
positive impact on the Fund's returns.
As of March 31, 1999, the Fund's asset weightings were 56% in equities,
39% in bonds and 5% in cash and other short-term instruments.
MANAGER OUTLOOK
We believe the U.S. economic juggernaut, combining solid growth with low
inflation, should continue unabated and remain a key sustaining element for the
global economic environment. By skirting the typical inflationary ambush points
as the economic expansion matures, the U.S. not only has created unusual
domestic prosperity, but it also has helped a number of nations overseas to
regain some of their equilibrium, though growth outside the U.S. remains quite
mediocre. We are optimistic about continued U.S. economic strength and its
favorable affect on the international markets, as the proverbial rising tide
does finally appear to be lifting all ships.
o The strongest labor market in 30 years, higher personal incomes, and
brimming confidence levels keep the U.S. appetite for imports at a fevered
pitch.
o Ironically, the U.S. economy has benefited, too, from the prior slump in
Asia and sluggishness in Europe. Ample spare capacity overseas has acted
as a safety valve, keeping a lid on global prices and allowing the U.S.
economy to grow briskly without sparking inflationary pressures.
o Tame inflation is the primary factor keeping the Federal Reserve Board
from raising interest rates and preserving the bullish sentiment in U.S.
financial markets. Also, over the past three years, the growth of
productivity has roughly doubled to 2% a year, and some are greeting this
news as the beginning of a long-term trend which will permanently quicken
the rate of improvement of living standards while temporarily helping hold
down inflation.
Aggressive monetary easing by the European Central Bank has heightened hopes
that the soggy pattern of economic activity in Europe during late 1998 and early
this year will pick up soon. There seems to be significant monetary easing built
into the pipeline at this point, as many of the peripheral countries in the EMU
lowered interest rates dramatically to meet the January 1 target for monetary
union. In addition, the Bank of England has been dropping rates forcefully for
some months now. We expect the European policy-makers to meet with reasonably
good success as they try to breathe a little more vitality into the region. So
far, however, the European expansion remains listless, especially in Germany.
Japan's economic travails have been more dramatic and prolonged than Europe's,
of course, but the recent rally in its stock market and liberal doses of
government spending and monetary easing are triggering forecasts of an upturn.
However, we still believe that Japan's GDP will not break into positive
territory this fiscal year. The wobbly labor market gives off alarming signals
to wary Japanese consumers. Unemployment, already at record levels, is likely to
rise further as corporations restructure, streamline, and adjust to the
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(1) Foreign investing involves special risks, including currency risk,
increased volatility of foreign securities and differences in auditing and
other financial standards.
5
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BT Institutional Asset Management Fund
Letter to Shareholders
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rigors of global competition and a lackluster domestic marketplace. We
anticipate that a lift-off in consumer and business sentiment will be required
to place the economy on a self-sustaining recovery track.
Given this outlook, we intend to keep the Fund's portfolio overweighted in U.S.
equities for the foreseeable future. It is hard to be bearish on U.S. stocks
despite their high valuations, because the U.S. economy is itself a formidable
growth machine that continues to help companies generate relatively high levels
of revenue and profits. Rising labor costs and limited pricing power are
chipping away at profit margins, but this has been a gradual process, and labor
costs are still relatively restrained. It probably will require some fairly
dramatic event, such as a monetary tightening, to dampen the spirits of the U.S.
stock market, and we believe the Federal Reserve Board is not going to undertake
such a move until it has definitive evidence that inflation has returned. For
now, steady monetary policy is likely to keep U.S. interest rates moving in a
narrow range. In Europe, recent monetary measures should, in our opinion, speed
up the rate of economic activity and give a lift to equity markets in the
region. We remain skeptical about the recently more favorable economic outlook
in Japan, and we believe the equity market there may get a little uneasy if
growth does not pick up soon.
We will, of course, continue to closely observe economic conditions and how they
affect the financial markets, as we seek to provide high total return with
reduced risk over the long term.
/s/ Philip Green
Philip Green
Portfolio Manager of the
BT Institutional Asset Management Portfolio
March 31, 1999
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Performance Comparison
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Comparison of Change in Value of a $10,000 Investment in the BT
Institutional Asset Management Fund, the Asset Allocation Index-Long Range
and the S&P 500 Index since September 30, 1993
Total Return for the Year
Ended March 31, 1999
1 Year 5 Year Since 9/16/93*
12.83% 17.33%** 14.83%**
* The Fund's inception date.
** Annualized.
Investment return and principal value
may fluctuate so that shares, when
redeemed, may be worth more or less
than their original cost.
In the printed version there appears a line
graph with the following plot points depicted:
BT Institutional Asset Allocation
Asset Management Fund Index--Long Range(1) S&P 500 Index
--------------------- -------------------- -------------
Sep-93 10000 10000 10000
Mar-94 9672 9837 9844
Sep-94 9718 10132 10369
Mar-95 10361 10896 11377
Sep-95 11540 12316 13454
Mar-96 12409 13245 15030
Sep-96 13202 13957 16190
Mar-97 14185 14981 18009
Sep-97 16915 17518 22737
Mar-98 19053 19496 26652
Sep-98 18805 19192 24792
Mar-99 21498 21360 31572
Past performance is not indicative of future performance. The S&P 500 Index is
unmanaged, and investments may not be made in an index. Performance figures
assume the reinvestment of dividends and capital gain distributions.
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(1) Asset allocation Index-Long Range is comprised of the following:
55% S&P 500 Index
35% Salomon Broad Investment Grade Bond Index
10% T-Bill 3-Month Index
6
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BT Institutional Asset Management Fund
Statement of Assets and Liabilities March 31, 1999
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Assets
Investment in Portfolio, at Value ...................... $ 570,626,680
Due from Bankers Trust ................................. 30,823
Prepaid Expenses and Other ............................. 16,419
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Total Assets .............................................. 570,673,922
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Liabilities
Payable for Shares of Beneficial Interest Redeemed ..... 413,640
Accrued Expenses and Other ............................. 139,923
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Total Liabilities ......................................... 553,563
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Net Assets ................................................ $ 570,120,359
=============
Composition of Net Assets
Paid-in Capital ........................................ $ 524,324,934
Distribution in Excess of Net Investment Income ........ (7,866,774)
Undistributed Net Realized Gain from Investments,
Foreign Currency Transactions, Forward Foreign
Currency Contracts and Futures Contracts ............. 8,215,057
Net Unrealized Appreciation on:
Investments, Forward Foreign Currency, Forward Foreign
Currency Contracts and Futures Contracts ........... 45,447,142
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Net Assets ................................................ $ 570,120,359
=============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) .............. $ 13.11
=============
Shares Outstanding ($0.001 par value per share, unlimited
number of shares of beneficial interest authorized) ..... $ 43,487,295
=============
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Statement of Operations For the year ended March 31, 1999
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Investment Income
Income Allocated from Asset Management Portfolio, net ......... $15,627,927
-----------
Expenses
Administration and Services Fees .............................. 804,556
Registration Fees ............................................. 35,457
Printing and Shareholder Reports .............................. 17,075
Professional Fees ............................................. 16,271
Trustees Fees ................................................. 12,743
Miscellaneous ................................................. 6,779
-----------
Total Expenses ................................................ 892,881
Less Expenses absorbed by Bankers Trust ....................... (892,881)
-----------
Net Expenses ............................................... 0
-----------
Net Investment Income ............................................ 15,627,927
-----------
Realized and Unrealized Gain on Investments, Foreign
Currency Transactions, Forward Foreign Currency Contracts,
and Futures Contracts Net Realized Gain from:
Investment, Foreign Currency and Forward Foreign
Currency Transactions ................................... 1,991,561
Futures Transactions ....................................... 22,486,042
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Foreign Currency Transactions, Forward
Foreign Currency Contracts and Futures Contracts ........ 23,824,973
-----------
Net Realized and Unrealized Gain on Investments, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts ...... 48,302,576
-----------
Net Increase in Net Assets from Operations ....................... $63,930,503
===========
See Notes to Financial Statements.
7
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BT Institutional Asset Management Fund
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the For the
year ended year ended
March 31, 1999 March 31, 1998
-------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .............................. $ 15,627,927 $ 10,772,493
Net Realized Gain from Investment, Foreign Currency,
Forward Foreign Currency and Futures Transactions 24,477,603 79,087,419
Net Change in Unrealized Appreciation/Depreciation
on Investment, Foreign Currency, Forward
Foreign Currency Contracts and Futures Contracts . 23,824,973 15,983,859
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Net Increase in Net Assets from Operations ............ 63,930,503 105,843,771
------------- -------------
Distributions to Shareholders
Net Investment Income .............................. (16,476,947) (10,455,723)
Distributions in Excess of Investment Income ....... (9,837,496) --
Net Realized Gain .................................. (86,420,823) (30,108,358)
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Total Distributions ................................... (112,735,266) (40,564,081)
------------- -------------
Capital Transactions
Proceeds from Sales of Shares ...................... 194,100,376 203,101,614
Dividend Reinvestments ............................. 112,725,716 40,563,144
Cost of Shares Redeemed ............................ (184,698,805) (82,461,234)
------------- -------------
Net Increase from Capital Transactions in Shares of
Beneficial Interest ................................. 122,127,287 161,203,524
------------- -------------
Total Increase in Net Assets .......................... 73,322,524 226,483,214
Net Assets
Beginning of Year ..................................... 496,797,835 270,314,621
------------- -------------
End of Year (including (overdistributed)/undistributed
net investment income of $(7,866,774)
and $849,020, respectively) ......................... $ 570,120,359 $ 496,797,835
============= =============
</TABLE>
See Notes to Financial Statements.
8
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BT Institutional Asset Management Fund
Financial Highlights
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Contained below are selected data for a share outstanding, total investment
return, other supplemental data and ratios to average net assets for each period
indicated for the Institutional Asset Management Fund.
<TABLE>
<CAPTION>
For the years ended March 31,
-----------------------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Year ................ $ 14.50 $ 12.05 $ 11.25 $ 9.99 $ 9.61
-------- -------- -------- -------- -------
Income from Investment Operations
Net Investment Income .......................... 0.47 0.37 0.38 0.41 0.36
Net Realized and Unrealized Gain on Investment,
Foreign Currency, Forward Foreign Currency
Contracts and Futures Contracts ............. 1.29 3.60 1.19 1.52 0.30
-------- -------- -------- -------- -------
Total from Investment Operations .................. 1.76 3.97 1.57 1.93 0.66
-------- -------- -------- -------- -------
Distributions to Shareholders
Net Investment Income .......................... (0.45) (0.37) (0.45) (0.42) (0.28)
Distributions in Excess of Net Investment Income (0.27) -- -- -- --
Net Realized Gain .............................. (2.43) (1.15) (0.32) (0.25) --
-------- -------- -------- -------- -------
Total Distributions ............................... (3.15) (1.52) (0.77) (0.67) (0.28)
-------- -------- -------- -------- -------
Net Asset Value, End of Year ...................... $ 13.11 $ 14.50 $ 12.05 $ 11.25 $ 9.99
======== ======== ======== ======== =======
Total Investment Return ........................... 12.83% 34.34% 14.31% 19.77% 7.13%
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) ......... $570,120 $496,798 $270,315 $183,767 $83,201
Ratios to Average Net Assets:
Net Investment Income ....................... 2.89% 2.97% 3.12% 3.99% 3.78%
Expenses, Including Expenses of the Asset
Management 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 ............................. 0.33% 0.32% 0.36% 0.39% 0.43%
</TABLE>
See Notes to Financial Statements.
9
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BT Institutional Asset Management Fund
Notes to Financial Statements
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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 Institutional Asset
Management 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 September 16, 1993. The Fund invests substantially all of its
investable assets in the Asset Management 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, 1999, the Fund's investment was approximately 81% 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 Valuation
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. Investment Income
The Fund earns income, net of expenses, daily on its investment in the Asset
Management 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.
D. Distributions
It is the Fund's policy to declare and distribute dividends quarterly to
shareholders 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 to the extent they are not offset by any
capital loss carryforwards.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of differences in the
characterization and allocation of certain income and capital gains
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles. The Fund has a
deferred post October currency loss of $9,684,671 to next year.
F. Other
The Trust accounts separately for the assets, liabilities and operations of each
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. 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, transfer agency and
shareholder services to the Fund in return for a fee computed daily and paid
monthly at an annual rate of 0.15% of the Fund's average daily net assets.
ICCDistributors, 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, to the extent necessary, to eliminate all expenses of the Fund,
excluding expenses of the Portfolio and to limit all expenses to .60% of the
average daily net assets of the Fund, 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.
10
<PAGE>
- -------------------------------------------------------------------------------
BT Institutional Asset Management Fund
Notes to Financial Statements
- -------------------------------------------------------------------------------
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:
For the For the
year ended year ended
March 31, 1999 March 31, 1998
---------------------------- --------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
Sold 13,679,814 $ 194,100,376 14,789,248 $203,101,614
Reinvested 8,703,633 112,725,716 3,040,333 40,563,144
Redeemed (13,167,083) (184,698,805) (5,985,067) (82,461,234)
----------- ------------- ---------- ------------
Net Increase 9,216,364 $ 122,127,287 11,844,514 $161,203,524
=========== ============= ========== ============
11
<PAGE>
- -------------------------------------------------------------------------------
BT Institutional Asset Management Fund
Report of Independent Accountants
- -------------------------------------------------------------------------------
To the Trustees of BT Pyramid Mutual Funds and Shareholders of the BT
Institutional Asset Management Fund:
In our opinion, the accompanying statements of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the BT Institutional Asset Management Fund (one of the Funds comprising BT
Pyramid Mutual Funds, hereafter referred to as the "Fund") at March 31, 1999,
and the results of its operations, the changes in its net assets and the
financial highlights for each of the fiscal periods presented, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1999 by
correspondence with the transfer agent, provide a reasonable basis for the
opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 18, 1999
- -------------------------------------------------------------------------------
Tax Information (unaudited) For the Tax Year Ended March 31, 1999
- -------------------------------------------------------------------------------
We are providing this information as required by the Internal Revenue Code. The
amounts may differ from those elsewhere in this report because of differences
between tax and financial reporting requirements.
The Fund's distributions to shareholders included $64,726,707 from long-term
capital gains, all of which was subject to the 20% capital gains rate.
Of the ordinary distributions made during the year ended March 31, 1999, 7.06%
qualifies for the dividends received deduction available to corporate
shareholders.
Of the ordinary distributions made during the year ended March 31, 1999, 2.16%
have been derived from investments in U.S. Government and Agency Obligations.
All or a portion of the distributions from this income may be exempt from
taxation at the state level. Consult your tax advisor for state specific
information.
12
<PAGE>
- -------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments March 31, 1999
- -------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
COMMON STOCKS - 43.9%
Aerospace - 0.1%
17,600 Boeing Co. ................................. $ 600,600
2,352 Raytheon Co. - Class A ..................... 135,841
----------
736,441
----------
Airlines - 0.4%
28,600 AMR Corp.(1) ............................... 1,674,887
13,600 Delta Air Lines, Inc. ...................... 945,200
----------
2,620,087
----------
Auto Related - 1.0%
17,769 DaimlerChrysler AG(1)....................... 1,529,309
53,000 Dana Corp. ................................. 2,014,000
36,900 General Motors Corp. ....................... 3,205,687
----------
6,748,996
----------
Banks - 2.8%
109,765 BankAmerica Corp. .......................... 7,752,167
109,800 BankBoston Corp. ........................... 4,755,712
92,800 Chase Manhattan Corp. ...................... 7,545,800
----------
20,053,679
----------
Beverages - 1.2%
37,200 Coca-Cola Co. .............................. 2,283,150
27,400 Coca-Cola Enterprises, Inc. ................ 828,850
127,400 PepsiCo, Inc. .............................. 4,992,487
13,800 Seagram Company Ltd. ....................... 690,000
----------
8,794,487
----------
Chemicals and Toxic Waste - 1.4%
19,200 Air Products and Chemicals, Inc. ........... 657,600
82,200 Du Pont (E.I.) de Nemours & Co. ............ 4,772,737
84,500 Monsanto Co. ............................... 3,881,719
16,900 Solutia, Inc. .............................. 293,637
----------
9,605,693
----------
Computer Services - 2.1%
65,000 Cendant Corp.(1)............................ 1,023,750
117,375 Cisco Systems, Inc.(1) ..................... 12,859,898
40,700 Seagate Technology, Inc.(1)................. 1,203,194
----------
15,086,842
----------
Computer Software - 1.3%
22,800 BMC Software, Inc.(1)....................... 845,025
55,275 Computer Associates International, Inc. .... 1,965,717
56,800 Microsoft Corp.(1).......................... 5,090,700
53,437 Oracle Corp.(1)............................. 1,409,401
----------
9,310,843
----------
Diversified - 1.8%
114,900 AlliedSignal, Inc. ......................... 5,651,644
28,200 SUPERVALU, Inc. ............................ 581,625
21,400 Textron, Inc. .............................. 1,655,825
36,200 United Technologies Corp. ................. 4,902,837
----------
12,791,931
----------
Drugs - 3.9%
45,600 Lilly (Eli) & Co. .......................... 3,870,300
117,200 Merck & Co., Inc. .......................... 9,397,975
104,600 Pfizer, Inc. ............................... 14,513,250
----------
27,781,525
----------
Electrical Equipment - 1.8%
48,400 Emerson Electric Co. ....................... 2,562,175
92,200 General Electric Co. ....................... 10,199,625
----------
12,761,800
----------
Shares Description Value
------ ----------- -----
Electronics - 1.8%
51,400 Analog Devices, Inc.(1)..................... $1,529,150
46,000 Intel Corp. ................................ 5,479,750
23,900 LSI Logic Corp.(1).......................... 745,381
38,400 Motorola, Inc. ............................. 2,812,800
46,000 Xilinx, Inc.(1)............................. 1,865,875
----------
12,432,956
----------
Entertainment - 0.2%
54,081 Disney (Walt) Co. .......................... 1,683,271
----------
Environmental Control - 0.2%
47,000 U.S. Filter Corp.(1)........................ 1,439,375
----------
Financial Services - 2.5%
59,800 Associates First Capital Corp. - Class A ... 2,691,000
82,199 Citigroup .................................. 5,250,461
41,100 First Data Corp. ........................... 1,757,025
72,000 Freddie Mac ................................ 4,113,000
59,100 MBNA Corp. ................................. 1,411,012
20,400 Merrill Lynch & Co., Inc. .................. 1,804,125
21,800 T. Rowe Price Associates, Inc. ............. 749,375
----------
17,775,998
----------
Foods - 1.2%
89,000 Bestfoods .................................. 4,183,000
11,125 Corn Products International, Inc. .......... 266,305
119,000 Sara Lee Corp. ............................. 2,945,250
12,730 Tricon Global Restaurants, Inc.(1).......... 894,282
----------
8,288,837
----------
Healthcare - 1.1%
16,800 Abbott Laboratories ........................ 786,450
77,500 Johnson & Johnson .......................... 7,260,781
----------
8,047,231
----------
Hospital Supplies and Healthcare - 1.0%
36,700 Baxter International, Inc. ................. 2,422,200
39,600 Becton Dickinson & Company ................. 1,517,175
41,496 Tyco International Ltd. .................... 2,977,338
----------
6,916,713
----------
Hotel/Motel - 0.5%
87,000 Marriott International, Inc. ............... 2,925,375
10,875 Sodexho Marriott Services, Inc.(1).......... 239,930
----------
3,165,305
----------
Household Products - 1.3%
21,800 Clorox Co. ................................. 2,554,687
65,400 Procter & Gamble Co. ....................... 6,405,113
----------
8,959,800
----------
Insurance - 1.6%
63,675 American International Group, Inc. ......... 7,680,797
51 Berkshire Hathaway, Inc. - Class A(1) ...... 3,641,400
3 Berkshire Hathaway, Inc. - Class B(1) ...... 7,053
----------
11,329,250
----------
Metals - 0.1%
20,000 Alcan Aluminum Ltd. ........................ 516,250
21,600 Freeport-McMoRan Copper & Gold, Inc. -
Class B .................................. 234,900
----------
751,150
----------
Office Equipment and Computers - 1.3%
38,200 Hewlett-Packard Co. ........................ 2,590,438
26,400 International Business Machines Corp. ...... 4,679,400
31,800 Xerox Corp. ................................ 1,697,325
----------
8,967,163
----------
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Shares Description Value
------ ----------- -----
Oil - Domestic - 0.8%
5,800 Atlantic Richfield Co. ..................... $ 423,400
16,927 Burlington Resources, Inc. ................. 676,022
54,600 ENSCO International, Inc. .................. 726,863
26,900 Noble Drilling Corp.(1) .................... 465,706
14,300 Phillips Petroleum Co. ..................... 675,675
61,400 Unocal Corp. ............................... 2,260,288
----------
5,227,954
----------
Oil - International - 2.0%
11,518 BP Amoco PLC ADR ........................... 1,162,679
11,600 Chevron Corp. .............................. 1,025,875
41,900 Exxon Corp. ................................ 2,956,569
15,200 Mobil Corp. ................................ 1,337,600
65,600 Royal Dutch Petroleum Co. .................. 3,411,200
68,000 Texaco, Inc. ............................... 3,859,000
----------
13,752,923
----------
Oil Equipment and Services - 0.2%
25,400 Apache Corp. ............................... 661,988
13,200 Schlumberger Ltd. .......................... 794,475
----------
1,456,463
----------
Paper and Forest Products - 0.4%
29,400 Champion International Corp., .............. 1,207,238
28,900 International Paper Co. .................... 1,219,219
----------
2,426,457
----------
Printing and Publishing - 0.7%
89,000 McGraw-Hill Companies, Inc. ................ 4,850,500
----------
Railroads - 0.3%
64,800 Burlington Northern Santa Fe ............... 2,130,300
----------
Retail - 2.5%
90,672 Dollar General Corp. ....................... 3,082,865
31,200 Federated Department Stores, Inc.(1) ....... 1,251,900
61,800 Lowe's Companies, Inc. ..................... 3,738,900
18,500 Nine West Group, Inc.(1) ................... 456,719
26,400 Tiffany & Co. .............................. 1,973,400
80,000 Wal-Mart Stores, Inc. ...................... 7,375,000
----------
17,878,784
----------
Telecommunications - 2.6%
81,700 AT&T Corp. ................................. 6,520,681
58,700 Comcast Corp. - Class A .................... 3,694,431
71,399 MCI WorldCom, Inc.(1) ...................... 6,323,274
15,700 Sprint Corp. ............................... 1,540,563
7,850 Sprint PCS Group(1) ........................ 347,853
----------
18,426,802
----------
Tobacco - 0.6%
109,100 Philip Morris Companies, Inc. .............. 3,838,956
----------
Utility - Electric - 0.9%
16,900 American Electric Power Co. ................ 670,719
11,900 Dominion Resources, Inc. ................... 439,556
21,500 FirstEnergy Corp. .......................... 600,656
30,400 FPL Group, Inc. ............................ 1,618,800
36,400 PG&E Corp. ................................. 1,130,675
16,500 Public Service Enterprise Group, Inc. ...... 630,094
33,900 Texas Utilities Co. ........................ 1,413,206
----------
6,503,706
----------
Utility - Gas, Natural Gas - 0.3%
46,000 Consolidated Natural Gas Co. ............... 2,239,625
----------
Shares Description Value
------ ----------- -----
Utility - Telephone - 2.0%
19,600 Ameritech Corp. ............................ $1,134,350
15,400 Bell Atlantic Corp. ........................ 795,988
35,600 BellSouth Corp. ............................ 1,426,225
41,200 Frontier Corp. ............................. 2,137,250
81,500 GTE Corp. .................................. 4,930,750
24,256 Lucent Technologies, Inc. .................. 2,613,584
21,800 SBC Communications, Inc. ................... 1,027,325
-----------
14,065,472
-----------
Total Common Stocks (Cost $246,626,517) ..................... 308,847,315
-----------
Principal
Amount
- ---------
NON-CONVERTIBLE CORPORATE DEBT - 3.0%
Financial Services - 1.9%
$ 370,000 Abbey National Plc, 6.69%, 10/17/05 ........ 377,743
640,000 Associates Corp., 5.75%, 11/01/03 .......... 635,866
390,000 Bankamerica Corp., 5.875%, 2/15/09 ......... 377,689
400,000 BankBoston Corp., 6.38%, 8/11/00 ........... 403,900
510,000 Chrysler Financial Corp., 6.11%, 7/28/99 ... 511,499
1,450,000 Ford Motor Credit Co., 6.55%, 9/10/02 ...... 1,481,968
320,000 Ford Motor Credit Co., 5.80%, 1/12/09 ...... 308,755
300,000 General Electric Capital Corp.,
8.85%, 3/01/07 ............................. 353,355
600,000 Great Western Financial, 6.375%, 7/01/00 ... 605,518
590,000 Household Finance, 5.875%, 2/01/09 ......... 566,961
940,000 IBM Credit Corp., 5.875%, 8/25/99 .......... 942,745
820,000 Inter-American Development Bank,
5.125%, 2/05/04 ............................ 799,188
180,000 International Bank of Reconstruction and
Development, 8.875%, 3/01/26 ............... 241,564
1,375,000 KFW International Finance, 8.20%, 6/01/06 .. 1,539,373
880,000 NationsBank, 7.00%, 9/15/01 ................ 905,045
695,000 Pepsi Bottling Holdings, 5.375%, 2/17/04 ... 682,760
330,000 Progressive Corp., 6.625%, 3/01/29 ......... 316,325
560,000 Salomon Smith Barney, 6.625%, 11/15/03 ..... 572,277
850,000 Travelers Group, Inc., 7.50%, 2/01/03 ...... 891,287
413,000 Washington Mutual, 7.25%, 8/15/05 .......... 429,663
----------
12,943,481
----------
Industrial - 0.6%
300,000 Computer Science, 6.25%, 3/15/09 ........... 302,098
280,000 Corning Inc., 6.85%, 3/01/29 ............... 278,855
510,000 Diageo Capital Plc, 6.125%, 8/15/05 ........ 514,729
260,000 Ford Motor Co., 6.625%, 10/01/28 ........... 252,106
310,000 IBM Corp., 6.50%, 1/15/28 .................. 303,093
300,000 Illinois Tool Works, 5.75%, 3/01/09 ........ 296,592
220,000 Lucent Technologies, Inc., 5.50%, 11/15/08 . 212,269
190,000 Markel Capital Trust, 8.71%, 1/01/46 ....... 180,121
420,000 Mutual Life Insurance
Co., 0.00%, 8/15/24 (b)(c) ................. 589,071
535,000 Texas Instruments, Inc., 6.75%, 7/15/99 .... 537,439
820,000 Walt Disney Co., 5.125%, 12/15/03 .......... 801,312
----------
4,267,685
----------
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Schedule of Portfolio Investments March 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Description Value
------ ----------- -----
Utility - 0.5%
$ 400,000 Ameritech Capital Funding Corp.,
6.55%, 1/15/28 ............................ $ 394,094
150,000 AT&T Corporation, 5.625%, 3/15/04 .......... 149,453
210,000 AT&T Corporation, 6.50%, 3/15/29 ........... 206,322
760,000 Columbus Southern Power, 6.51%, 2/01/08 .... 760,839
830,000 Consolidated Edison, 6.45%, 12/01/07 ....... 851,771
35,000 Idaho Power Co., 8.00%, 3/15/04 ............ 38,090
410,000 National Rural Utilities, 5.00%, 10/01/02 .. 402,468
140,000 Potomac Edison, 8.00%, 6/01/24 ............. 146,911
430,000 US West Communications, 5.625%,
11/15/08 ................................... 419,653
----------
3,369,601
----------
Total Non-Convertible Corporate Debt
(Cost $20,639,055) .......................................... 20,580,767
----------
ASSET-BACKED SECURITIES - 0.1%
215,000 Standard Credit Card Master Trust,
6.55%, 10/07/05 (Cost $214,883) ........... 222,356
----------
FOREIGN DEBT - 0.2%
470,000 Kingdom of Sweden, 12.00%, 2/01/10 ......... 696,822
550,000 Manitoba, (Province of), 6.12%, 1/19/04 .... 559,477
95,000 New Zealand Government,
10.625%, 11/15/05 ......................... 119,879
415,000 Quebec, (Province of), 5.75%, 2/15/09 ...... 402,426
----------
Total Foreign Debt (Cost $1,784,606) ......................... 1,778,604
----------
U.S. GOVERNMENT AND AGENCIES - 3.7%
3,100,000 FHLB, 5.125%, 9/15/03 ...................... 3,049,625
2,120,000 FNMA, 5.625%, 3/15/01 ...................... 2,136,239
150,000 FNMA, 6.35%, 11/23/01 ...................... 150,726
690,000 FNMA, 5.75%, 2/15/08 ....................... 687,141
700,000 FNMA, 6.00%, 4/01/08 ....................... 694,313
325,000 FNMA, 8.625%, 11/10/04 ..................... 332,016
1,400,000 FNMA, TBA, 7.00%, 9/01/21 .................. 1,418,813
9,400,000 FNMA, TBA, 7.50%, 9/01/21 .................. 9,654,406
6,200,000 FNMA, TBA, 6.50%, 4/01/23 .................. 6,169,000
2,000,000 GNMA, TBA, 7.50%, 9/01/21 .................. 2,060,000
----------
Total U.S. Government and Agencies
(Cost $26,386,204) .......................................... 26,352,279
----------
U.S. TREASURY SECURITIES - 2.5%
5,080,000 U.S. Treasury Bond, 8.125%, 8/15/19 ........ 6,396,838
310,000 U.S. Treasury Bond, 5.25%, 2/15/29 ......... 293,046
840,000 U.S. Treasury Note, 5.875%, 11/30/01 ....... 856,145
260,000 U.S. Treasury Note, 6.25%, 8/31/02 ......... 268,611
960,000 U.S. Treasury Note, 5.375%, 6/30/03 ........ 966,000
860,000 U.S. Treasury Note, 4.75%, 2/15/04 ......... 846,833
90,000 U.S. Treasury Note, 7.25%, 8/15/04 ......... 98,269
810,000 U.S. Treasury Note, 6.50%, 10/15/06 ........ 862,901
2,140,000 U.S. Treasury Note, 6.125%, 8/15/07 ........ 2,240,302
1,655,000 U.S. Treasury Note, 5.50%, 2/15/08 ......... 1,673,619
270,000 U.S. Treasury Note, 5.625%, 5/15/08 ........ 274,852
3,229,000 U.S. Treasury Note, 4.75%, 11/15/08 ........ 3,110,431
---------
Total U.S. Treasury Securities (Cost $18,480,485) ........... 17,887,897
----------
Shares/
Principal
Amount Description Value
------ ----------- -----
SHORT TERM INSTRUMENTS - 51.9%
Mutual Fund - 8.6%
60,890,063 BT Institutional Cash Management Fund ...... $ 60,890,063
-------------
U.S. Treasury Securities - 43.3% (d)
$35,000,000 U.S. Treasury Bill, 4.51%, 4/01/99 ......... 35,000,000
20,000,000 U.S. Treasury Bill, 4.37%, 4/08/99 ......... 19,981,920
15,000,000 U.S. Treasury Bill, 4.09%, 4/15/99 ......... 14,971,890
20,000,000 U.S. Treasury Bill, 4.38%, 4/15/99 ......... 19,962,520
35,000,000 U.S. Treasury Bill, 4.38%, 5/06/99 ......... 34,848,240
1,200,000 U.S. Treasury Bill, 4.36%, 5/20/99 (a) ..... 1,192,781
6,300,000 U.S. Treasury Bill, 4.40%, 5/20/99 (a) ..... 6,262,099
510,000 U.S. Treasury Bill, 4.50%, 5/20/99 (a) ..... 506,932
35,000,000 U.S. Treasury Bill, 4.38%, 6/17/99 ......... 34,672,855
35,000,000 U.S. Treasury Bill, 4.39%, 7/15/99 ......... 34,565,125
35,000,000 U.S. Treasury Bill, 4.41%, 8/12/99 ......... 34,433,630
35,000,000 U.S. Treasury Bill, 4.56%, 9/02/99 ......... 34,344,205
35,000,000 U.S. Treasury Bill, 4.05%, 10/11/99 ........ 34,162,508
-------------
304,904,705
-------------
Total Short Term Instruments (Cost $365,779,043) ............ 365,794,768
-------------
Total Investments (Cost $679,910,793) ..................105.3% 741,463,936
Liabilities in excess of other assets ..................(5.3)% (37,336,439)
----- -------------
Net Assets .............................................100.0% $704,127,497
===== =============
- --------------
1 Non-income producing security
(a) Held as collateral for Futures Contracts
(b) Step Bond. On 8/15/99 this security will begin accruing interest at a rate
of 11.25% from then until maturity.
(c) Security exempt from registration under Rule 144a of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
(d) Designated as collateral for futures contracts.
The following abbreviations are used in the portfolio description:
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
TBA -- To be announced
See Notes to Financial Statements.
15
<PAGE>
- -------------------------------------------------------------------------------
Asset Management Portfolio
Statement of Assets and Liabilities March 31, 1999
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
Assets
Investments, at Value (cost $679,910,793) ................................... $741,463,936
Cash(1) ..................................................................... 17,431,807
Receivable for Securities Sold .............................................. 16,544,921
Variation Margin Receivable (Foreign) ....................................... 375,159
Interest Receivable ......................................................... 714,283
Dividends Receivable ........................................................ 579,236
------------
Total Assets ................................................................... 777,109,342
------------
Liabilities
Due to Bankers Trust ........................................................ 333,035
Payable for Securities Purchased ............................................ 70,727,955
Accrued Expenses and Other .................................................. 22,162
Forward Currency Exchange Contracts, net .................................... 52,793
Variation Margin Payable (Domestic) ......................................... 1,845,900
------------
Total Liabilities .............................................................. 72,981,845
------------
Net Assets ..................................................................... $704,127,497
============
Composition of Net Assets
Paid-in Capital ............................................................. $645,631,328
Net Unrealized Appreciation on Investments, Foreign Currency, Forward Foreign
Currency Contracts and Futures Contracts .................................. 58,496,169
------------
Net Assets ..................................................................... $704,127,497
============
</TABLE>
- ------------
(1) Includes foreign cash of $17,135,322, with a cost of $17,842,171,
respectively.
- --------------------------------------------------------------------------------
Statement of Operations For the year ended March 31, 1999
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income
Dividends .................................................................... $ 6,184,636
Interest ..................................................................... 17,592,859
------------
Total Investment Income ...................................................... 23,777,495
------------
Expenses
Advisory Fees ................................................................ 4,398,804
Administration and Services Fees ............................................. 676,739
Professional Fees ............................................................ 39,811
Trustees Fees ................................................................ 4,085
Miscellaneous ................................................................ 4,597
------------
Total Expenses ............................................................... 5,124,036
Less Expenses absorbed by Bankers Trust ...................................... (1,063,602)
------------
Net Expenses .............................................................. 4,060,434
------------
Net Investment Income ........................................................... 19,717,061
------------
Realized and Unrealized Gain on Investments, Foreign Currency Transactions,
Forward Foreign Currency Contracts and Futures Contracts
Net Realized Gain from:
Investments, Foreign Currency and Forward Foreign Currency Transactions ... 2,480,716
Futures Transactions ...................................................... 28,406,622
Net Change in Unrealized Appreciation/Depreciation on:
Investments, Foreign Currency Contracts, Forward Foreign Currency Contracts
and Futures Contracts ................................................... 29,150,269
------------
Net Realized and Unrealized Gain on Investments, Foreign Currency,
Forward Foreign Currency Contracts and Futures Contracts ..................... 60,037,607
------------
Net Increase in Assets from Operations .......................................... $ 79,754,668
============
</TABLE>
- ------------
(1) Net of foreign withholding tax of $9,026, respectively.
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Asset Management
---------------------------------------
For the year ended For the year ended
March 31, 1999 March 31, 1998
------------------ ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ............................................ $ 19,717,061 $ 13,974,260
Net Realized Gain from Investments, Foreign Currency,
Forward Foreign Currency and Futures Transactions, ............. 30,887,338 101,389,267
Net Change in Unrealized Appreciation/Depreciation on Investments,
Foreign Currency, Forward Foreign Currency Contracts
and Futures Contracts .......................................... 29,150,269 21,903,331
------------- -------------
Net Increase in Net Assets from Operations .......................... 79,754,668 137,266,858
------------- -------------
Capital Transactions
Proceeds from Capital Invested ................................... 419,617,422 305,009,400
Value of Capital Withdrawn ....................................... (444,617,015) (141,442,529)
------------- -------------
Net Increase (Decrease) in Net Assets from Capital Transactions ..... (24,999,593) 163,566,871
------------- -------------
Total Increase in Net Assets ........................................ 54,755,075 300,833,729
Net Assets
Beginning of Year ................................................... 649,372,422 348,538,693
------------- -------------
End of Year ......................................................... $ 704,127,497 $ 649,372,422
============= =============
</TABLE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected ratios to average net assets and other supplemental
data for period indicated for the Asset Management Portfolio.
<TABLE>
<CAPTION>
For the years ended March 31,
-----------------------------------------------------------
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Year (000s omitted) .... $704,127 $649,372 $348,539 $240,142 $96,529
Ratios to Average Net Assets:
Net Investment Income .................. 2.91% 2.97% 3.12% 3.99% 3.78%
Expenses ............................... 0.60% 0.60% 0.60% 0.60% 0.60%
Decrease Reflected in Above Expense
Ratio Due to Absorption of Expenses by
Bankers Trust ........................ 0.16% 0.16% 0.16% 0.17% 0.19%
Portfolio Turnover Rate ................... 109% 199% 137% 154% 92%
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 1--Organization and Significant Accounting Policies
A. Organization
The Asset Management Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as open-end management
investment company. The Portfolio was organized on June 9, 1992 and commenced
operations on September 16, 1993.
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 listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of the
security traded on that exchange prior to the time when the Portfolio assets are
valued. Short-term debt securities are valued at market value until such time as
they reach a remaining maturity of 60 days, whereupon they are valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld, if any, is recorded on the ex-dividend date or upon
receipt of ex-dividend notification in the case of certain foreign securities.
Interest income is recorded on the accrual basis and includes amortization of
premium and discount on investments. Expenses are recorded as incurred. 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 security and foreign currency 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. 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. Foreign Currency Transactions
The books and records of the Asset Management Portfolio are maintained in U.S.
dollars. All assets and liabilities initially expressed in foreign currencies
are converted into U.S. dollars at prevailing exchange rates. Purchases and
sales of investment securities, dividend and interest income, and certain
expenses are translated at the rates of exchange prevailing on the respective
dates of such transactions.
G. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments. The net U.S. dollar
value of foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Operations may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
H. Option Contracts
The Portfolio may enter into option contracts. Upon the purchase of a put option
or a call option by a Portfolio, the premium paid is recorded as an investment,
and marked-to-market daily to reflect the current market value. When a purchased
option expires, the Portfolio will realize a loss in the amount of the cost of
the option. When the Portfolio enters into a closing sale transaction, the
Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Portfolio exercises a call
option, the cost of the security which the Portfolio purchases upon exercise
will be increased by the premium originally paid.
I. Futures Contracts
The Portfolio may enter into financial futures contracts which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to make initial margin deposits either in cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin payments are made or received by the Portfolio each day,
18
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Notes to Financial Statements
- --------------------------------------------------------------------------------
dependent on the daily fluctuations in the value of the underlying security, and
are recorded for financial statement purposes as unrealized gains or losses by
the Portfolio.
Futures contracts do involve certain risks. These risks could include a lack of
correlation between the futures contract and the corresponding securities
market, a potential lack of liquidity in the secondary market and incorrect
assessments of market trends which may result in poorer overall performance than
if a futures contract had not been entered into.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
J. Federal Income Taxes
The Portfolio is considered a Partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.
K. 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 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 .10% of the Portfolio's average daily net
assets.
The Portfolio 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 .65% of the Portfolio's average
daily net assets.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to .60% of the average
daily net assets of the Portfolio.
The Trust 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 Trust and
other accounts managed by the Company. At March 31, 1999, the Asset Management
Portfolio had dividend income receivable from the Fund in the amount of
$231,181. Additionally, distributions from the Fund to the Trust as of March 31,
1999 amounted to $2,334,055 and are included in dividend income.
The following summarizes the purchase and sales of the cash management fund for
the Asset Management Portfolio during the past period.
Purchases Sales
--------- -----
$240,793,597 $212,628,184
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, which expires March 31, 1999. A commitment fee of
.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 .45%. No amounts were
drawn down or outstanding under the credit facilities as of and for the year
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
$372,813,880 and $367,672,297, respectively.
The tax basis of investments held at March 31, 1999, was $682,462,475. The
aggregate gross unrealized appreciation for all investments was $73,174,390 and
the aggregate gross unrealized depreciation for all investments was $14,172,929.
19
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Notes to Financial Statements
- --------------------------------------------------------------------------------
Note 4--Futures Contracts
A summary of obligations under these financial instruments at March 31, 1999 is
as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
--------------------------
Unrealized
Appreciation/
Type of Futures Expiration Contracts Position Market Value (Depreciation)
- ----------------------- ------------- --------- ------- -------------- --------------
<S> <C> <C> <C> <C> <C>
S&P 500 June 30, 1999 279 Long $ 90,207,675 $ (1,644,286)
U.S. Treasury Note Futures June 30, 1999 1,008 Long 115,605,000 (1,777,923)
French Bond Futures June 30, 1999 211 Long 21,648,377 203,749
German Bond Futures June 30, 1999 240 Long 29,505,015 286,049
Japanese Bond Futures June 30, 1999 33 Long 36,842,770 678,245
Gilt Futures June 30, 1999 55 Long 10,404,662 (45,228)
- ----------------------- --------- -------------- --------------
Total 1,826 $ 304,213,499 $ (2,299,394)
========= ============== ==============
</TABLE>
Note 5--Open Forward Foreign Currency Contracts
A summary of obligations under these financial instruments at March 31, 1999 is
as follows:
<TABLE>
<CAPTION>
Asset Management Portfolio
--------------------------
Net Unrealized
Contracts to Deliver In Exchange For Settlement Date Value (US$) Depreciation (US$)
- -------------------------------------------------------------------------------------------------------------------
Purchases
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Euro Dollar 2,116,000 U.S. Dollars $ 2,314,608 04/09/1999 $ 2,279,143 $ (35,465)
British Pound 5,738,000 U.S. Dollars 9,265,263 04/09/1999 9,247,935 (17,328)
- -------------------------------------------------------------------------------------------------------------------
Total Net Unrealized Depreciation $ (52,793)
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
Note 6--Subsequent Event
Subsequent to year 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.
20
<PAGE>
- --------------------------------------------------------------------------------
Asset Management Portfolio
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Trustees of BT Advisor Funds and Shareholders of
the BT Institutional Asset Management Fund:
In our opinion, the accompanying statement of assets and liabilities and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Asset Management Portfolio (one of the Portfolios comprising BT Investment
Portfolios, hereafter referred to as the "Portfolio") at March 31, 1999, and the
results of its operations, the changes in its net assets and the financial
highlights for each of the fiscal periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
May 18, 1999
21
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<PAGE>
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<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 Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
[GRAPHIC]
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 Institutional Asset Management Fund CUSIP #055847404
BT Pyramid Mutual Funds 482 ANN (3/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
