BT PYRAMID MUTUAL FUNDS, N-30D, 2000-11-20

BT PYRAMID MUTUAL FUNDS
N-30D, 2000-11-20

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[Deutsche Asset Management logo omitted]

Mutual Fund
Annual Report
[graphic omitted]
September 30, 2000

PreservationPlus

Formerly BT PreservationPlus Fund

A Member of the Deutsche Bank Group
[logo omitted]

<PAGE>

PreservationPlus
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TABLE OF CONTENTS

LETTER TO SHAREHOLDERS ..................................... 3

PRESERVATIONPLUS
Statement of Assets and Liabilities ..................... 9
Statement of Operations ................................. 10
Statements of Changes in Net Assets ..................... 11
Financial Highlights .................................... 12
Notes to Financial Statements ........................... 16
Report of Independent Auditors .......................... 19
Tax Information ......................................... 19

PRESERVATIONPLUS PORTFOLIO
Schedule of Portfolio Investments ....................... 20
Statement of Assets and Liabilities ..................... 25
Statement of Operations ................................. 26
Statements of Changes in Net Assets ..................... 27
Financial Highlights .................................... 28
Notes to Financial Statements ........................... 29
Report of Independent Auditors .......................... 31

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The Fund is not insured by the FDIC and is not a deposit,
obligation of or guaranteed by Deutsche Bank. The Fund is
subject to investment risks, including possible loss of
principal amount invested.
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2

<PAGE>

PreservationPlus
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LETTER TO SHAREHOLDERS

We are pleased to present you with this annual report for the year ended
September 30, 2000 for PreservationPlus (the "Fund"). It provides a review of
the market, the Portfolio, and our outlook. Included is a complete financial
summary of the Fund's operations and a listing of the Portfolio's holdings.

PreservationPlus was 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
OVERALL, THE US FIXED INCOME MARKETS PERFORMED STRONGLY DURING THE FISCAL YEAR.
o For the twelve months ending September 30, 2000, commercial mortgage-backed
securities and mortgage-backed securities performed the best of the US bond
market sectors, with nominal annual returns of 7.80% and 7.42%, respectively.
o An inverted yield curve combined with the uncertainty surrounding the length
and extent of the Federal Reserve Board tightening campaign led US Treasuries
to a close second with a nominal annual return of 7.29%. For the fiscal year,
two-year US Treasury yields declined 0.37% to 5.97%, five-year Treasury yields
dropped 0.09% to 5.84%, ten-year Treasury yields fell 0.08% to 5.80%, and the
thirty-year Treasury yield declined 0.17% to 5.88%. On a calendar basis,
Treasuries are shaping up to potentially have their best yearly return since
1995.
o In response to an aggressive Federal Reserve Board, a diminishing supply of
longer-dated US Treasuries, and the US Treasury's debt buyback program, the
Treasury yield curve became significantly inverted for the first time since
1990. By early March, thirty-year, ten-year, and five-year yields were all
lower than two-year Treasury yields.
o These same factors caused the corporate and asset-backed "spread sectors" to
comparatively underperform US Treasuries for the fiscal year. Still, the
nominal annual return for corporate bonds was 5.87%, and the nominal annual
return for asset-backed securities was 6.92%. Higher quality corporate credits
significantly outperformed lower quality credits, as investors sought the
greater degree of safety associated with higher quality.

SUCH STRONG PERFORMANCE BY THE US FIXED INCOME MARKETS FOR THE FISCAL YEAR WAS
ESPECIALLY REMARKABLE IN LIGHT OF THE MANY CHALLENGES PRESENTED DURING THE
PERIOD.
o In an attempt to quell rising inflation and unsustainably strong economic
growth, the Federal Reserve Board raised interest rates by 1.25% through four
hikes during the fiscal year. Continuing their gradual approach from the
summer of 1999, the Federal Reserve Board raised the targeted federal funds
rate by 0.25% at each of their November 1999 and February and March 2000
meetings. In a more aggressive effort to slow the economy, the Federal Reserve
Board then raised interest rates by 0.50% in May. Since then, the Federal
Reserve Board has chosen not to raise interest rates, primarily based on signs
that the economy may be slowing. On September 30, 2000, the targeted federal
funds rate stood at 6.50%.
o The US Treasury announced its decision in mid-March to reduce the number of
auctions held and to institute a buyback program, whereby the US Treasury
would buy back its own thirty-year issues with budget surplus monies.
Year-to-date, the Treasury has purchased $22.25 billion of outstanding debt,
on schedule to meet their previously announced $30 billion for the year 2000.
o Dominant market technicals shifted during the third calendar quarter, as the
Federal Reserve Board appeared to have engineered a comfortable "soft landing"
for the US economy. This background created a suitable environment for
investors to reenter the credit markets. As a result, the yield curve
steepened 0.38% during the quarter, dramatically reversing the significant
inversion of the prior six months. The yield curve inverted by as much as
0.76% earlier in the year, but ended the period inverted by only 0.08%. In
addition, with the exception of BBB corporates, all major credit-dependent
"spread sectors" -- i.e. corporate, mortgage and asset-backed -- outperformed
comparable duration Treasuries in the third quarter.

INVESTMENT REVIEW
THE FUND WAS DIVERSIFIED ACROSS THE MAJOR SECTORS OF THE INVESTMENT GRADE FIXED
INCOME MARKET. As of September 30, 2000, the portfolio was allocated 26.8% to
corporate bonds, 32.2% to mortgage-backed and agency obligations, 28.6% to
asset-backed securities, 10.9% to US Treasuries, 2.4% to foreign debt and 11.2%
to cash equivalents. This allocation of fixed income securities was
intentionally weighted towards the corporate, asset-backed and mortgage sectors,
as these sectors have historically

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3

<PAGE>

PreservationPlus
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LETTER TO SHAREHOLDERS

offered higher yields than US government securities. Additionally, theFund has
entered into Wrapper Agreements that are intended to stabilize the Fund's NAV.

THE FUND WAS 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 negotiated four Wrapper

<TABLE>
<CAPTION>
CUMULATIVE AVERAGE ANNUAL
TOTAL RETURNS TOTAL RETURNS
---------------------------------------------------------------------------------------------------------------------------
Periods ended Past 1 Since Past 1 Since
September 30, 2000 year inception year inception
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PRESERVATIONPLUS INSTITUTIONAL CLASS1
(INCEPTION 12/14/97) 5.91% 17.14% 5.91% 5.81%
---------------------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/Corporate Index2 5.99% 16.22%3 5.99% 5.62%3
---------------------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate Aggregate Index2 6.26% 17.84%3 6.26% 6.15%3
---------------------------------------------------------------------------------------------------------------------------
iMoneyNet First Tier Retail Money Funds Average2 5.55% 14.55%3 5.55% 5.06%3
---------------------------------------------------------------------------------------------------------------------------
PRESERVATIONPLUS INSTITUTIONAL
SERVICE CLASS1,5 (INCEPTION 4/1/98) 5.75% 14.73% 5.75% 5.65%
---------------------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/Corporate Index2 5.99% 14.56%3 5.99% 5.59%3
---------------------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate Aggregate Index2 6.25% 16.08%3 6.25% 6.13%3
---------------------------------------------------------------------------------------------------------------------------
iMoneyNet First Tier Retail Money Funds Average2 5.55% 13.12%3 5.55% 5.05%3
---------------------------------------------------------------------------------------------------------------------------
PRESERVATIONPLUS INVESTMENT CLASS1 (FORMERLY
SERVICE CLASS)4 (INCEPTION 9/23/98) 5.64% 11.30% 5.64% 5.44%
---------------------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/Corporate Index2 5.99% 9.53%3 5.99% 4.66%3
---------------------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate Aggregate Index2 5.82% 11.44%3 5.82% 5.56%3
---------------------------------------------------------------------------------------------------------------------------
iMoneyNet First Tier Retail Money Funds Average2 5.55% 10.35%3 5.55% 5.04%3
---------------------------------------------------------------------------------------------------------------------------
<FN>
--------------------------------------------------------------------------------
1 PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. These figures assume the
reinvestment of dividend and capital gain distributions and exclude the
impact of the 2% maximum redemption fee, which may apply in certain limited
circumstances. Any redemption fees that have been retained by the Fund are
reflected. Advance notice of plan withdrawal may be necessary to avoid a
redemption fee (see the Fund's prospectus for details). Performance would
have been lower during the specified periods had certain fees and expenses
not been waived by the Fund. Performance figures for the classes differ
because each class maintains a distinct expense structure.

The Fund seeks to maintain a constant $10.00 per share net asset value. The
Fund is not a money market fund, and there can be no assurance that it will
be able to maintain a stable share value. The Fund holds fixed income
securities, money market and other instruments, and enters into Wrapper
Agreements with financial institutions, such as insurance companies and
banks. These agreements are intended to stabilize the value per share. The
Fund may invest in derivatives that may be more volatile and less liquid than
traditional securities and the Fund could suffer losses on its derivative
positions.

2 The Lehman 1-3 year Government/Corporate Index, our primary benchmark, is an
unmanaged total return index consisting of US Government agency securities,
US Government Treasury securities and all investment grade corporate debt
securities with maturities of one to three years. The Wrapped Lehman
Intermediate Aggregate Index is a custom benchmark representing investment in
a portfolio consisting of the Lehman Intermediate Aggregate Index and a book
value wrapper agreement with an assumed expense level of 0.15%. This
benchmark more closely reflects the market sector in which the Fund invests.
Money Fund Report Averages, a service of iMoneyNet, Inc., are averages of
categories of similar money market funds. Benchmark returns do not reflect
expenses, which have been deducted from the Fund's return.

3 The benchmarks for the Since Inception time periods are calculated from
December 31, 1997, for the Institutional Class, from March 31, 1998, for the
Institutional Service Class, and from September 30, 1998 for the Investment
Class (formerly Service Class).

4 On December 31, 1999, the PreservationPlus Investment Class was liquidated.
On January 31, 2000, the PreservationPlus Service Class was renamed the
PreservationPlus Investment Class.

5 On October 18, 1999, PreservationPlus Institutional Service Class ceased
establishing new accounts.
</FN>
</TABLE>

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4

<PAGE>

PreservationPlus
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LETTER TO SHAREHOLDERS

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
September 30, 2000, 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
investments in the Fund was AA+ at the end of the fiscal year, measured using
Standard & Poor's ratings. The average quality of the issuers of the Wrapper
Agreements improved during the period from AA- at September 30, 1999, to AA on
September 30, 2000, measured using Standard & Poor's ratings. The Fund's
duration at September 30, 2000, stood at 3.31 years.

MANAGER OUTLOOK
With the US economy showing signs of coming into better balance, i.e. with
demand moderating and productivity rising, the outlook for the US financial
markets has improved. Indeed, we feel more confident now that the economy may be
able to achieve a relatively smooth adjustment to a more sustainable growth path
by 2001. Still, recent developments could easily prove ephemeral, and we
continue to expect that some additional firming of financial market conditions
will yet be needed to correct the economy's lingering imbalances. While the
likelihood of a really severe landing has receded, it has by no means been
eliminated. And even the most graceful of "soft landings" would likely entail a
less favorable growth/inflation/profits mix than the virtual nirvana that has
underpinned the US equity markets in recent years.

Thus, we remain cautious about the outlook for the US fixed income markets,
although less so than at almost any time in the last year or so when there was
little evidence that the adjustment process needed by the US economy was
underway. We agree with the consensus outlook that the Federal Reserve Board is
nearing the end of its tightening bias. Further, the supply/demand picture for
US bonds is constructive.

We maintain our long-term perspective for the Fund, monitoring economic
conditions and how they affect the financial markets, as we seek to provide a
high level of current income while seeking to maintain a stable value per share.
Our strategy is to continue to focus on selecting the highest quality spread
sector assets at the maximum yield possible, while normally maintaining a 10%
cash allocation to provide liquidity. This liquidity facilitates the management
of daily investor cash flows.

We value your support of PreservationPlus and look forward to serving your
investment needs in the years ahead.

/S/SIGNATURES ERIC KIRSCH, JOHN AXTELL AND LOUIS R. D'ARIENZO

Eric Kirsch, John Axtell and Louis R. D'Arienzo
Portfolio Managers of the PRESERVATIONPLUS PORTFOLIO
September 30, 2000

--------------------------------------------------------------------------------
PORTFOLIO DIVERSIFICATION
By Sector as of September 30, 2000
(percentages are based on market value of total investments in the Portfolio)
--------------------------------------------------------------------------------

Mortgage Backed &Agency Obligations .............. 28.74%

Asset Backed ..................................... 25.54

Financial Services ............................... 12.16

Money Market Fund ................................ 10.05

Industrial ....................................... 6.89

US Treasury Bill ................................. 6.84

US Treasury Notes ................................ 2.81

Utilities ........................................ 3.31

Foreign Debt ..................................... 2.12

Other Corporate .................................. 1.54

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5

<PAGE>

PreservationPlus
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PERFORMANCE COMPARISON

PRESERVATIONPLUS INSTITUTIONAL CLASS
GROWTH OF A $10,000 INVESTMENT (SINCE DECEMBER 14, 1997)1

[graphic omitted]
plot points as follows:

Wrapped Lehman Intermediate Aggregate
12/14/97 10027 10000 10000 10000
3/98 10170 10096 10124 10148
6/98 10317 10252 10248 10301
9/98 10467 10555 10375 10457
12/98 10617 10639 10497 10616
3/99 10763 10706 10610 10770
6/99 10909 10761 10723 10928
9/99 11060 10893 10844 11090
12/99 11217 10928 10978 11256
3/00 11377 11088 11120 11424
6/00 11543 11326 11276 11602
9/00 11714 11622 11455 11784

Average Annual Total Return for the Periods
Ended September 30, 2000 (excluding
2% maximum redemption fee)

One Year 5.91% Since 12/14/971 5.81%

--------------------------------------------------------------------------------
1 The Fund's inception date.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. These figures assume the
reinvestment of dividend and capital gain distributions and exclude the impact
of the 2% maximum redemption fee, which may apply in certain limited
circumstances. Any redemption fees that have been retained by the Fund are
reflected. Advance notice of plan withdrawal may be necessary to avoid a
redemption fee (see the Fund's prospectus for details). Performance would have
been lower during the specified periods had certain fees and expenses not been
waived by the Fund. Performance figures for the classes differ because each
class maintains a distinct expense structure.

The Lehman 1-3 year Government/Corporate Index, our primary benchmark, is an
unmanaged total return index consisting of US Government agency securities, US
Government Treasury securities and investment grade corporate debt securities
with maturities of one to three years. The Wrapped Lehman Intermediate Aggregate
Index is a custom benchmark representing investment in a portfolio consisting of
the Lehman Intermediate Aggregate Index and a book value wrapper agreement with
an assumed expense level of 0.15%. This benchmark more closely reflects the
market sector in which the Fund invests. Money Fund Report Averages, a service
of iMoneyNet, Inc., are averages of categories of similar money market funds.

Benchmark returns are for the period beginning December 31, 1997.

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6

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
PERFORMANCE COMPARISON [graphic omitted] plot points as follows:

PRESERVATIONPLUS INSTITUTIONAL SERVICE CLASS
GROWTH OF A $10,000 INVESTMENT (SINCE APRIL 1, 1998)1

Wrapped Lehman Intermediate Aggregate
3/98 10000 10000 10000 10000
6/98 10139 10154 10122 10150
9/98 10282 10454 10249 10303
12/98 10426 10538 10369 10459
3/99 10565 10604 10480 10611
6/99 10705 10658 10592 10766
9/99 10848 10790 10712 10925
12/99 10999 10824 10844 11088
3/00 11151 10982 10985 11254
6/00 11309 11218 11138 11429
9/00 11473 11456 11312 11608

Average Annual Total Return for the Periods
Ended September 30, 2000 (excluding
2% maximum redemption fee)

One Year 5.75% Since 4/1/981 5.65%

--------------------------------------------------------------------------------
1 The Fund's inception date.

Benchmark returns are for the period beginning March 31, 1998.

--------------------------------------------------------------------------------
7

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
PERFORMANCE COMPARISON

[graphic omitted]
plot points as follows:

PRESERVATIONPLUS INVESTMENT CLASS (formerly Service Class)1
GROWTH OF A $10,000 INVESTMENT (SINCE SEPTEMBER 23, 1998)2

Wrapped Lehman Intermediate Aggregate
9/23/98 10010 10000 10000 10000
12/98 10145 10080 10117 10129
3/99 10274 10153 10226 10257
6/99 10403 10209 10335 10391
9/99 10536 10334 10452 10531
12/99 10676 10399 10581 10676
3/00 10817 10530 10718 10825
6/00 10970 10705 10868 10983
9/00 11130 10953 11035 11144

Average Annual Total Return for the Periods
Ended September 30, 2000 (excluding
2% maximum redemption fee)

One Year 5.64% Since 9/23/982 5.44%

--------------------------------------------------------------------------------
1 On December 31, 1999, PreservationPlus Investment Class was liquidated. On
January 31, 2000, PreservationPlus Service Class was renamed the
PreservationPlus Investment Class.

2 The Fund's inception date.

The Lehman 1-3 year Government/Corporate Index, our primary benchmark, is an
unmanaged total return index consisting of USGovernment agency securities,
USGovernment Treasury securities and investment grade corporate debt securities
with maturities of one to three years.The Wrapped Lehman Intermediate Aggregate
Index is a custom benchmark representing investment in a portfolio consisting of
the Lehman Intermediate AggregateIndex and a book value wrapper agreement with
an assumed expense level of 0.15%. This benchmark more closely reflects the
market sector in which the Fund invests. Money FundReport Averages, a service of
iMoneyNet,Inc., are averages of categories of similar money market funds.

Benchmark returns are for the period beginning September 30, 1998.

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8

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES

--------------------------------------------------------------------------------

SEPTEMBER 30, 2000
--------------------------------------------------------------------------------

ASSETS
Investment in PreservationPlus Portfolio, at Value ........... $309,460,123
Receivable for Shares of Beneficial Interest Subscribed ...... 2,844,663
Prepaid Expenses and Other ................................... 250,177
Due from Bankers Trust ....................................... 116,322
------------
Total Assets .................................................... 312,671,285
------------
LIABILITIES
Dividend Payable ............................................. 1,470,718
Payable for Shares ofBeneficial Interest Redeemed ............ 175,109
Accrued Expenses and Other ................................... 383,354
------------
Total Liabilities ............................................... 2,029,181
------------
NET ASSETS ...................................................... $310,642,104
============
COMPOSITION OF NET ASSETS
Paid-in Capital .............................................. $310,641,237
Accumulated Net Realized Loss on Investment Transactions ..... (1,928,613)
Net Unrealized Depreciation on Investments ................... (4,835,194)
Unrealized Appreciation on Wrapper Agreements ................ 6,764,674
------------
NET ASSETS ...................................................... $310,642,104
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding)
Institutional Class Shares1 .................................. $ 10.00
============
Institutional Service Class Shares2,4 ........................ $ 10.00
============
Investment Class Shares3 (formerly Service Class)5 ........... $ 10.00
============

--------------------------------------------------------------------------------
1 Net asset value, offering and redemption price per share (based on net assets
of $199,121,104 and 19,912,109 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 $75,132,503 and 7,513,251 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 $36,388,497 and 3,638,848 shares of beneficial interest outstanding; $.001
par value, unlimited number of shares of beneficial interest authorized).
4 On October 18, 1999, PreservationPlus InstitutionalService Class ceased
establishing new accounts.
5 On December 31, 1999, PreservationPlus Investment Class was liquidated. On
January 31, 2000,PreservationPlus Service Class was renamed PreservationPlus
Investment Class.

See Notes to Financial Statements.
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9

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS

--------------------------------------------------------------------------------

FOR THE YEAR ENDED
SEPTEMBER 30, 2000
--------------------------------------------------------------------------------

INVESTMENT INCOME
Income Allocated from PreservationPlus Portfolio, Net ......... $19,642,232
-----------
EXPENSES
Administration and Service Fees:
Institutional Class ......................................... 195,848
Institutional Service Class1 ................................ 104,682
Investment Class (formerly Service Class)2 .................. 86,343
Investment Class3 ........................................... 7,441
Shareholder Service Fee:
Institutional Service Class1 ................................ 157,022
Investment Class (formerly Service Class)2 .................. 86,343
Organization Expenses ......................................... 45,322
Professional Fees ............................................. 16,987
Registration Fees ............................................. 5,668
Printing and Shareholder Reports .............................. 5,042
Trustees Fees ................................................. 4,489
Miscellaneous ................................................. 1,486
-----------
Total Expenses ................................................... 716,673
Less: Fee Waivers or Expense Reimbursements
Institutional Class ......................................... (131,302)
Institutional Service Class1 ................................ (76,388)
Investment Class (formerly Service Class)2 .................. (88,275)
Investment Class3 ........................................... (719)
-----------
Net Expenses ..................................................... 419,989
-----------
NET INVESTMENT INCOME ............................................ 19,222,243
-----------
Net Realized Gain from Investment Transactions ................ 278,459
Net Change in Unrealized Appreciation/Depreciation
on Investments .............................................. 681,310
Net Change in Unrealized Appreciation/Depreciation
on Wrapper Agreements ....................................... (959,769)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND WRAPPER AGREEMENTS ........................................ --
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ....................... $19,222,243
===========

--------------------------------------------------------------------------------
1 On October 18, 1999, PreservationPlus Institutional Service Class ceased
establishing new accounts.
2 On January 31, 2000, PreservationPlus Service Class was renamed
PreservationPlus Investment Class.
3 On December 31, 1999,PreservationPlus Investment Class was liquidated.

See Notes to Financial Statements.
--------------------------------------------------------------------------------
10

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS

--------------------------------------------------------------------------------
<TABLE>
<CAPTION>

FOR THE YEARS ENDED SEPTEMBER 30,
2000 1999
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ................................................ $ 19,222,243 $ 15,863,943
Net Realized Gain (Loss) from Investment Transactions ................ 278,459 (2,122,205)
Net Change in Unrealized Appreciation/Depreciation
on Investments ..................................................... 681,310 (9,468,496)
Net Change in Unrealized Appreciation/Depreciation
on Wrapper Agreements .............................................. (959,769) 11,590,701
------------ ------------
Net Increase in Net Assets from Operations ........................... 19,222,243 15,863,943
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income
Institutional Class ................................................ (11,277,486) (9,995,052)
Institutional Service Class1 ....................................... (5,843,961) (4,330,326)
Investment Class (formerly Service Class)2 ......................... (1,902,089) (514,628)
Investment Class3 .................................................. (198,707) (1,023,937)
Net Realized Gain from Investment Transactions4
Institutional Class ................................................ -- (874,487)
Institutional Service Class1 ....................................... -- (284,725)
Investment Class (formerly Service Class)2 ......................... -- (14,071)
Investment Class3 .................................................. -- (90,966)
------------ ------------
Total Distributions ..................................................... (19,222,243) (17,128,192)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Increase Resulting from Institutional Class Shares ............... 12,557,882 25,244,841
Net Increase (Decrease) Resulting from Institutional
Service Class Shares1 .............................................. (39,802,873) 60,083,543
Net Increase Resulting from Investment Class Shares
(formerly Service Class)2 .......................................... 19,289,788 16,708,354
Net Increase (Decrease) Resulting from Investment
Class Shares3 ...................................................... (21,754,347) 6,841,984
------------ ------------
Net Increase (Decrease) from Capital Transactions in
Shares of Beneficial Interest ........................................ (29,709,550) 108,878,722
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................................. (29,709,550) 107,614,473
NET ASSETS
Beginning of Year .................................................... 340,351,654 232,737,181
------------ ------------
End of Year .......................................................... $310,642,104 $340,351,654
============ ============

<FN>
--------------------------------------------------------------------------------
1 On October 18, 1999, PreservationPlus Institutional Service Class ceased
establishing new accounts.
2 On January 31, 2000, PreservationPlus Service Class was renamed
PreservationPlus Investment Class.
3 On December 31, 1999,PreservationPlus Investment Class was liquidated.
4 See Note 4 in Notes to Financial Statements.
</FN>
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
11

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL CLASS FOR THE PERIOD
FOR THE FOR THE DEC. 14, 19971
YEAR ENDED YEAR ENDED THROUGH
SEPT. 30, 2000 SEPT. 30, 1999 SEPT. 30, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ......................... $ 10.00 $ 10.00 $ 10.00
-------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ..................................... 0.58 0.55 0.46
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ..................................... (0.58) (0.55) (0.46)
Net Realized Gains from Investment
Transactions2 ........................................... -- (0.05) --
Reverse Stock Split2 ...................................... -- 0.05 --
-------- -------- --------
NET ASSET VALUE, END OF PERIOD ............................... $ 10.00 $ 10.00 $ 10.00
======== ======== ========
TOTAL INVESTMENT RETURN ...................................... 5.91% 5.66% 5.91%3
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .................. $199,121 $186,563 $162,193
Ratios to Average Net Assets:
Net Investment Income ................................... 5.76% 5.53% 5.79%3
Expenses After Waivers, Including
Expenses of the PreservationPlus
Portfolio ............................................ 0.40% 0.40% 0.40%3
Expenses Before Waivers, Including
Expenses of the PreservationPlus
Portfolio ............................................ 0.60% 0.66% 0.90%3

<FN>
--------------------------------------------------------------------------------
1 Commencement of operations.
2 See Note 4 in Notes to Financial Statements.
3 Annualized.
</FN>
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
12

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
INSTITUTIONAL SERVICE CLASS1 FOR THE PERIOD
FOR THE FOR THE APRIL 1, 19982
YEAR ENDED YEAR ENDED THROUGH
SEPT. 30, 2000 SEPT. 30, 1999 SEPT. 30, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ........................ $ 10.00 $ 10.00 $ 10.00
------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income .................................... 0.56 0.54 0.28
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income .................................... (0.56) (0.54) (0.28)
Net Realized Gains from Investment
Transactions3 .......................................... -- (0.05) --
Reverse Stock Split3 ..................................... -- 0.05 --
------- -------- -------
NET ASSET VALUE, END OF PERIOD .............................. $ 10.00 $ 10.00 $ 10.00
======= ======== =======
TOTAL INVESTMENT RETURN ..................................... 5.75% 5.50% 5.78%4
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ................. $75,133 $114,935 $55,137
Ratios to Average Net Assets:
Net Investment Income .................................. 5.60% 5.43% 5.66%4
Expenses After Waivers, Including
Expenses of the PreservationPlus
Portfolio ........................................... 0.55% 0.55% 0.55%4
Expenses Before Waivers, Including
Expenses of the PreservationPlus
Portfolio ........................................... 0.76% 0.83% 0.94%4

See Notes to Financial Statements.
--------------------------------------------------------------------------------
13

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS FOR THE PERIOD
(FORMERLY SERVICE CLASS)1 FOR THE FOR THE SEPT. 23, 19982
YEAR ENDED YEAR ENDED THROUGH
SEPT. 30, 2000 SEPT. 30, 1999 SEPT. 30, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $ 10.00 $ 10.00 $10.00
------- ------- ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ................................... 0.55 0.51 0.01
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................... (0.55) (0.51) (0.01)
Net Realized Gains from Investment
Transactions3 ......................................... -- (0.05) --
Reverse Stock Split3 .................................... -- 0.05 --
------- ------- ------
NET ASSET VALUE, END OF PERIOD ............................. $ 10.00 $ 10.00 $10.00
======= ======= ======
TOTAL INVESTMENT RETURN .................................... 5.64% 5.25% 5.42%4
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ................ $36,388 $17,099 $ 404
Ratios to Average Net Assets:
Net Investment Income ................................. 5.49% 5.20% 5.42%4
Expenses After Waivers, Including
Expenses of the PreservationPlus
Portfolio .......................................... 0.65% 0.80% 0.80%4
Expenses Before Waivers, Including
Expenses of the PreservationPlus
Portfolio .......................................... 1.05% 1.18% 1.23%4

<FN>
--------------------------------------------------------------------------------
1 On January 31, 2000, PreservationPlus Service Class was renamed
PreservationPlus Investment Class.
2 Commencement of operations.
3 See Note 4 in Notes to Financial Statements.
4 Annualized.
</FN>
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
14

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS

<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
INVESTMENT CLASS1 FOR THE PERIOD FOR THE PERIOD
OCTOBER 1, 1999 FOR THE OCTOBER 1, 19972
THROUGH YEAR ENDED THROUGH
DECEMBER 31, 1999 SEPT. 30, 1999 SEPT. 30, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD ....................... $10.00 $ 10.00 $ 10.00
------ ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income ................................... 0.14 0.54 0.56
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income ................................... (0.14) (0.54) (0.56)
Net Realized Gains from Investment
Transactions3 ......................................... -- (0.05) --
Reverse Stock Split3 .................................... -- 0.05 --
------ ------- -------
NET ASSET VALUE, END OF PERIOD ............................. $10.00 $ 10.00 $ 10.00
====== ======= =======
TOTAL INVESTMENT RETURN .................................... 1.38% 5.50% 5.76%4
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) ................ $ -- $21,754 $15,003
Ratios to Average Net Assets:
Net Investment Income ................................. 5.43%4 5.43% 5.65%
Expenses After Waivers, Including
Expenses of the PreservationPlus
Portfolio .......................................... 0.55%4 0.55% 0.55%
Expenses Before Waivers, Including
Expenses of the PreservationPlus
Portfolio .......................................... 1.08%4 1.00% 1.06%

<FN>
--------------------------------------------------------------------------------
1 On December 31, 1999,PreservationPlus Investment Class was liquidated.
2 Commencement of operations.
3 See Note 4 in Notes to Financial Statements.
4 Annualized.
</FN>
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
15

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The 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. PreservationPlus (the
"Fund") is one of the funds offered to investors by the Trust.

The Fund currently offers two classes of shares to investors; Institutional
Class and Investment Class (formerly Service Class). As of October 18, 1999, the
Fund's Institutional Service Class has ceased establishing new accounts. The
Fund's former Investment Class was liquidated on December 31, 1999. All classes
of shares have identical rights to earnings, assets and voting privileges,
except that each class has its own expenses and exclusive voting rights with
respect to matters affecting it.

The Institutional, Institutional Service and Investment Classes began operations
and offering shares of beneficial interest on 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 a series of BT Investment Portfolios and an open-end management
investment company registered under the Act. The value of the Fund's investment
in the Portfolio reflects the Fund's proportionate interest in the net assets of
the Portfolio. At September 30, 2000, 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. VALUATION OF SECURITIES
Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements, which are included elsewhere in this
report.

C. SECURITIES TRANSACTIONS AND RELATED INVESTMENT INCOME
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and net realized and unrealized
gains and losses (including Wrapper Agreements) of the Portfolio are allocated
pro rata among the investors in the Portfolio on a daily basis. Securities
transactions are accounted for on a trade date basis. Realized gains and losses
on investments sold are computed on the basis of identified cost. The realized
and unrealized gains and losses in the Statement of Operations represent the
Fund's pro-rata interest in the realized and unrealized gains and losses of the
Portfolio, including the offsetting valuation change of the Wrapper Agreements.

D. DISTRIBUTIONS
It is the Fund's policy to declare dividends daily and distribute them monthly
to shareholders from net investment income. Dividends payable to shareholders
are recorded by the Fund on the ex-dividend date. Distributions of net realized
short-term and long-term capital gains, if any, earned by the Fund are made
annually to the extent they exceed capital loss 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 has deferred a post October capital loss of
$200,691 to the next year.

The Fund may periodically make reclassifications among certain of its capital
accounts as a result of the differences in the characterization and allocation
of certain income and capital gains distributions determined annually in
accordance with federal tax regulations which may differ from accounting
principles generally accepted in the United States.

F. OTHER
The Trust accounts separately for the assets, liabilities and operations of each
of its funds and each of its classes. Expenses directly attributable to a fund
or class are charged to that fund or class, while expenses which are
attributable to the Trust are allocated among the funds in the Trust and within
the Fund to the classes on the basis of relative net assets.

--------------------------------------------------------------------------------
16

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS

G. ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.

Actual results could differ from those estimates.

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of Deutsche
Bank AG. Under this agreement, Bankers Trust provides administrative, custody
and shareholder services to the Fund. The Trust has entered into an agreement
with Investment Company Capital Corp., an indirectly owned subsidiary of
Deutsche Bank AG, to provide transfer agency services to the Trust. These
services are provided in return for a fee computed daily and paid monthly at an
annual rate of .10% of average daily net assets for the Institutional and
Institutional Service classes and .25% of average daily net assets for the
Investment class.

The Institutional Service and Investment Classes are also subject to a
shareholder servicing fees in the maximum amount of .15% and .25% of average
daily net assets, respectively.

Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of each Class through January 31, 2001, to the extent necessary, to limit all
expenses as follows: Institutional Class to .05% of the average daily net assets
of the Class, excluding expenses of the Portfolio and .40% of the average daily
net assets of the Class, including expenses of the Portfolio; Institutional
Service Class to .20% of the average daily net assets of the Class, excluding
expenses of the Portfolio and .55% of the average daily net assets of the Class,
including expenses of the Portfolio; and Investment Class to .30% of the average
daily net assets of the Class, excluding expenses of the Portfolio and .65% of
the average daily net assets of the Class, including expenses of the Portfolio.

Shareholder transaction expenses are charges paid when investors buy, redeem or
exchange shares. Under normal circumstances, redemptions of shares that are
qualified are not subject to a redemption fee. Redemptions of shares that are
not qualified and that are made when the redemptions of shares are not directed
by plan participants and that are made on less than 12 months prior notice are
subject to a redemption fee of 2% of the amount redeemed payable to the Fund.

ICC Distributors, Inc., provides distribution services to the Fund.

--------------------------------------------------------------------------------
17

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS

NOTE 3 -- SHARES OF BENEFICIAL INTEREST
At September 30, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

<TABLE>
<CAPTION>
INSTITUTIONAL CLASS SHARES INSTITUTIONAL SERVICE CLASS SHARES1
------------------------------------------------- -------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 SEPTEMBER 30, 2000 SEPTEMBER 30, 1999
------------------------------------------------- -------------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- ------------ ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 9,468,243 $ 94,682,433 5,332,928 $ 53,329,280 2,293,428 $ 22,934,283 8,620,987 $ 86,209,870
Reinvested 1,108,732 11,087,321 1,162,241 11,622,407 586,497 5,864,968 483,386 4,833,857
Stock Split2 -- -- (87,449) -- -- -- (28,473) --
Redeemed (9,321,187) (93,211,872) (3,970,685) (39,706,846) (6,860,212) (68,602,121) (3,096,018) (30,960,184)
---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
Net Increase
(Decrease) 1,255,788 $ 12,557,882 2,437,035 $ 25,244,841 (3,980,287) $(39,802,870) 5,979,882 $ 60,083,543
========== ============ ========== ============ ========== ============ ========== ============
</TABLE>

<TABLE>
<CAPTION>
INVESTMENT CLASS SHARES3 (FORMERLY SERVICE CLASS) INVESTMENT CLASS SHARES4
-------------------------------------------------- --------------------------------------------------
FOR THE PERIOD
FOR THE FOR THE OCTOBER 1, 1999 FOR THE
YEAR ENDED YEAR ENDED THROUGH YEAR ENDED
SEPTEMBER 30, 2000 SEPTEMBER 30, 1999 DECEMBER 31, 1999 SEPTEMBER 30, 1999
-------------------------------------------------- --------------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ------------ --------- ----------- ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 4,193,588 $ 41,935,876 1,822,089 $18,220,889 180,584 $ 1,805,837 1,850,751 $ 18,507,512
Reinvested 180,195 1,801,960 52,812 528,121 19,566 195,665 117,139 1,171,387
Stock Split2 (2,444,806) -- (1,407) -- -- -- (9,097) --
Redeemed -- (24,448,048) (204,066) (2,040,656) (2,375,585) (23,755,849) (1,283,691) (12,836,915)
---------- ------------ --------- ----------- ---------- ------------ ---------- ------------
Net Increase
(Decrease) 1,928,977 $ 19,289,788 1,669,428 $16,708,354 (2,175,435) $(21,754,347) 675,102 $ 6,841,984
========== ============ ========= =========== ========== ============ ========== ============

<FN>
--------------------------------------------------------------------------------
1 On October 18, 1999, PreservationPlus Institutional Service Class ceased
establishing new accounts.
2 See Note 4.
3 On January 31, 2000,PreservationPlus Service Class was renamed
PreservationPlus Investment Class.
4 On December 31, 1999, PreservationPlus Investment Class was liquidated.
</FN>
</TABLE>

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 $.995 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.

NOTE 5 -- FUND NAME CHANGE
On January 31, 2000 the Fund changed its name from BT PreservationPlus Fund to
PreservationPlus.

--------------------------------------------------------------------------------
18

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT AUDITORS

To the Shareholders and Board of Trustees
BT Pyramid MutualFunds -- PreservationPlus

We have audited the accompanying statement of assets and liabilities of
PreservationPlus (the "Fund") as of September 30, 2000, and the related
statement of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
PreservationPlus at September 30, 2000, the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the
period then ended, and its financial highlights for each of the periods
indicated therein, in conformity with accounting principles generally accepted
in the United States.

/S/SIGNATURE ERNST & YOUNG LLP

Philadelphia, Pennsylvania
November 3, 2000

--------------------------------------------------------------------------------
TAX INFORMATION (Unaudited) For the Year Ended September 30, 2000

The amounts shown may differ from those elsewhere in this report because of
differences between tax and financial reporting requirements.

Of the net investment income distributions made during the fiscal year ended
September 30, 2000, 11.70% have been derived from investments in US 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.

--------------------------------------------------------------------------------
19

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000

--------------------------------------------------------------------------------

PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------

INVESTMENTS IN UNAFFILIATED ISSUERS
ASSET-BACKED SECURITIES -- 28.6%
American Express Credit Card:
$2,000,000 7.60%, 8/15/02 ................ $ 2,015,610
1,000,000 5.90%, 4/15/04 ................ 982,845
550,000 5.95%, 12/15/06 ............... 536,984
AT&T Master Trust 1995,
2,000,000 5.95%, 10/17/02 ............... 2,000,530
California Infrastructure PG&E:
3,000,000 6.38%, 9/25/08 ................ 2,951,535
2,000,000 6.42%, 9/25/08 ................ 1,966,390
Capital Auto Receivables Asset Trust,
1,000,000 5.68%, 8/15/04 ................ 989,145
Capital One,
2,000,000 5.43%, 1/15/07 ................ 1,926,130
Carco Auto Loan Master Trust,
500,000 5.78%, 3/15/04 ................ 493,327
Chase Credit Card Master Trust:
1,500,000 6.00%, 8/15/05 ................ 1,478,692
250,000 6.66%, 1/15/07 ................ 249,531
300,000 7.09%, 2/15/09 ................ 302,623
Chase Manhattan,
300,000 7.407%, 9/25/11 ............... 297,973
Citibank Credit Card Master Trust:
2,000,000 5.85%, 4/10/03 ................ 1,991,050
1,500,000 6.65%, 11/15/06 ............... 1,489,388
650,000 6.10%, 5/15/08 ................ 626,616
3,500,000 5.875%, 3/10/11 ............... 3,254,107
COMED Transitional Funding Trust,
1,000,000 5.44%, 3/25/07 ................ 955,515
DHMT 1998 -- 1 A,
2,000,000 5.90%, 5/25/06 ................ 1,951,730
Discover Card Master Trust:
2,000,000 5.80%, 9/16/03 ................ 1,986,250
1,000,000 5.85%, 1/17/06 ................ 975,225
1,000,000 5.60%, 5/16/06 ................ 963,325
2,000,000 6.20%, 5/16/06 ................ 1,969,962
EQCC Home Equity Loan Trust,
23,924 6.54%, 4/15/11 ................ 23,935
Federal National Mortgage Assoc.,
1,000,000 5.98%, 9/15/08 ................ 965,265
First Bank Corporate Card Master Trust,
3,000,000 6.40%, 2/15/03 ................ 2,987,265
First USA Credit Card Master Trust:
5,000,000 6.42%, 3/17/05 ................ 4,985,325
1,000,000 5.28%, 9/18/06 ................ 959,215
2,000,000 5.91%, 1/17/07 ................ 2,002,230

Fleet Credit Card Master Trust:
2,000,000 6.00%, 11/15/05 ............... 1,974,270
250,000 6.90%, 4/16/07 ................ 251,596
Ford Credit Auto Loan Master Trust,
10,000,000 7.09%, 11/17/03 ............... 10,063,450
Green Tree Financial Corp.,
3,400,000 6.82%, 5/15/29 ................ 3,306,891
MBNA Master Credit Trust:
250,000 6.40%, 1/18/05 ................ 249,179
3,000,000 6.55%, 1/15/07 ................ 2,983,935
450,000 6.60%, 4/16/07 ................ 448,018
2,000,000 5.971%, 11/17/08 .............. 2,003,730
850,000 5.90%, 8/15/11 ................ 795,808
3,750,000 7.00%, 2/15/12 ................ 3,765,881
NationsBank Credit Card Master Trust,
3,000,000 6.00%, 12/15/05 ............... 2,943,615
Peco Energy Transition Trust:
1,745,000 6.05%, 3/1/09 ................. 1,676,884
1,200,000 6.13%, 3/1/09 ................. 1,145,010
Premier Auto Trust:
2,000,000 5.96%, 10/8/02 ................ 1,986,830
750,000 5.82%, 12/6/02 ................ 745,339
1,000,000 5.19%, 4/8/03 ................. 980,996
Prime Credit Card Master Trust,
2,000,000 6.75%, 11/15/05 ............... 1,997,830
Providian Master Trust:
1,000,000 6.25%, 6/15/07 ................ 993,395
200,000 7.49%, 8/17/09 ................ 204,807
Sears Credit Account Master Trust:
916,667 5.80%, 8/15/05 ................ 913,490
1,000,000 6.05%, 1/15/08 ................ 985,625
500,000 5.65%, 3/17/09 ................ 484,062
Standard Credit Card Master Trust,
700,000 5.95%, 10/7/04 ................ 685,744
Superior Wholesale Inventory
Financing Trust,
2,000,000 5.505%, 5/15/06 ............... 1,997,890
West Penn Funding LLC,
750,000 6.98%, 12/26/08 ............... 749,276
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost $89,769,134) ....................... 88,611,269
-----------
CORPORATE DEBT -- 26.8%
FINANCIALS -- 13.7%
Abbey National PLC,
200,000 6.69%, 10/17/05 ............... 196,749
ABN Amro Bank:
1,000,000 7.55%, 6/28/06 ................ 1,021,042
200,000 7.125%, 6/18/07 ............... 199,105
Allstate Corp.,
250,000 7.20%, 12/1/09 ................ 243,645
American General Finance,
1,000,000 5.90%, 1/15/03 ................ 978,826
Asian Development Bank,
1,000,000 5.75%, 5/19/03 ................ 981,584

See Notes to Financial Statements.
--------------------------------------------------------------------------------
20

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000

--------------------------------------------------------------------------------

PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------

Bank America Corp.:
$ 300,000 7.50%, 10/15/02 ................ $ 303,496
1,000,000 6.625%, 6/15/04 ................ 991,117
400,000 7.125%, 5/12/05 ................ 402,975
Bank of New York,
200,000 7.30%, 12/1/09 ................. 199,663
Barclays Bank PLC,
140,000 7.40%, 12/15/09 ................ 138,352
Bear Stearns Co.,
300,000 6.15%, 3/2/04 .................. 290,924
Chase Manhattan Corp.,
2,000,000 7.125%, 2/1/07 ................. 1,998,096
Chrysler Financial Corp.,
200,000 6.95%, 3/25/02 ................. 200,337
CIT Group:
500,000 5.50%, 2/15/04 ................. 475,504
150,000 7.125%, 10/15/04 ............... 149,732
CNA Financial,
1,000,000 6.45%, 1/15/08 ................. 885,465
Commercial Credit Co.,
90,000 7.375%, 3/15/02 ................ 90,631
First Union National Bank,
300,000 7.125%, 10/15/06 ............... 294,820
Fleet Financial Group,
200,000 7.375%, 12/1/09 ................ 197,848
Ford Motor Credit:
375,000 9.00%, 9/15/01 ................. 380,414
4,000,000 6.19%, 10/15/02 ................ 3,998,076
2,000,000 6.00%, 1/14/03 ................. 1,956,936
200,000 7.25%, 1/15/03 ................. 200,784
250,000 6.70%, 7/16/04 ................. 245,089
250,000 7.75%, 3/15/05 ................. 254,197
400,000 7.60%, 8/1/05 .................. 404,118
700,000 7.375%, 10/28/09 ............... 686,266
General Electric Capital Corp.,
500,000 8.625%, 6/15/08 ................ 548,104
General Motors Acceptance Corp.:
1,300,000 6.875%, 7/15/01 ................ 1,300,194
2,000,000 7.035%, 12/17/01 ............... 2,006,424
500,000 6.625%, 1/10/02 ................ 498,686
1,000,000 6.75%, 3/15/03 ................. 991,624
1,000,000 7.125%, 5/1/03 ................. 1,004,758
650,000 7.50%, 7/15/05 ................. 659,184
Goldman Sachs Group:
325,000 7.625%, 8/17/05 ................ 331,832
175,000 6.65%, 5/15/09 ................. 165,802
200,000 7.35%, 10/1/09 ................. 198,304
Heller Financial,
150,000 6.00%, 3/19/04 ................. 144,198
Household Finance Co.:
1,000,000 8.375%, 11/15/01 ............... 1,015,221
400,000 6.00%, 5/1/04 .................. 385,349
300,000 8.00%, 7/15/10 ................. 309,713
Household Netherlands BV,
250,000 6.20%, 12/1/03 ................. 243,560
International Lease Finance Corp.,
200,000 6.375%, 2/15/02 ................ 198,963
J.P. Morgan, Inc.,
1,000,000 6.70%, 11/1/07 ................. 968,029
John Deere Capital,
250,000 6.00%, 2/15/09 ................. 226,535
KFW International Finance,
120,000 8.20%, 6/1/06 .................. 127,769
Lehman Brothers Holdings, Inc.:
195,000 7.00%, 5/15/03 ................. 194,969
400,000 6.125%, 7/15/03 ................ 391,210
150,000 7.75%, 1/15/05 ................. 152,536
150,000 7.875%, 11/1/09 ................ 151,767
Lehman Brothers, Inc.,
400,000 7.25%, 4/15/03 ................. 402,147
McDonald's Corp.,
2,000,000 6.50%, 8/1/07 .................. 1,955,774
Mellon Financial,
1,000,000 6.375%, 2/15/10 ................ 929,884
Merrill Lynch & Co.:
1,000,000 6.00%, 2/12/03 ................. 982,970
500,000 6.875%, 3/1/03 ................. 499,974
Morgan Stanley Group:
750,000 8.33%, 1/15/07 ................. 795,997
1,250,000 6.875%, 3/1/07 ................. 1,233,489
NationsBank,
1,000,000 5.75%, 3/15/01 ................. 995,485
Norwest Corp.,
1,000,000 8.15%, 11/1/01 ................. 1,014,385
Rockwell International,
2,000,000 6.15%, 1/15/08 ................. 1,845,020
Society National Bank,
200,000 7.25%, 6/1/05 .................. 199,449
Toyota Motor Credit,
500,000 5.50%, 12/15/08 ................ 448,948
Transamerica Finance Corp.,
150,000 6.125%, 11/1/01 ................ 148,741
Wells Fargo Co.,
150,000 7.25%, 8/24/05 ................. 151,964
-----------
42,184,749
-----------
INDUSTRIAL -- 7.7%
Abbott Labs,
1,000,000 6.40%, 12/1/06 ................. 986,934
Alcoa Inc.,
300,000 7.375%, 8/1/10 ................. 303,914

See Notes to Financial Statements.
--------------------------------------------------------------------------------
21

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PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000

--------------------------------------------------------------------------------

PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------

Amoco Canada,
$ 600,000 7.25%, 12/1/02 ................. $ 606,417
Anheuser Busch,
2,000,000 9.00%, 12/1/09 ................. 2,242,806
BP America, Inc.,
1,000,000 7.875%, 5/15/02 ................ 1,020,170
Campbell Soup Co.,
150,000 6.15%, 12/1/02 ................. 148,868
Caterpillar,
100,000 7.25%, 9/15/09 ................. 98,463
Conoco:
250,000 5.90%, 4/15/04 ................. 242,195
360,000 6.35%, 4/15/09 ................. 341,785
DaimlerChrysler:
175,000 6.90%, 9/1/04 .................. 174,393
425,000 7.20%, 9/1/09 .................. 415,744
350,000 8.00%, 6/15/10 ................. 361,313
Diageo Capital PLC,
1,000,000 6.125%, 8/15/05 ................ 963,589
E.I. duPont de Nemours Co.,
300,000 6.875%, 10/15/09 ............... 295,393
GTE Southwest:
1,000,000 6.54%, 12/1/05 ................. 977,229
1,000,000 6.23%, 1/1/07 .................. 952,564
Hanson Overseas,
2,000,000 6.75%, 9/15/05 ................. 1,941,306
IBM Corp.:
125,000 5.10%, 11/10/03 ................ 119,359
300,000 5.375%, 2/1/09 ................. 269,126
Lucent Technologies, Inc.,
1,000,000 5.50%, 11/15/08 ................ 892,139
Mattel, Inc.,
750,000 6.125%, 7/15/05 ................ 677,397
Procter & Gamble,
1,000,000 5.25%, 9/15/03 ................. 970,848
Rohm & Haas Co.,
150,000 6.95%, 7/15/04 ................. 149,871
Sears Roebuck,
500,000 6.125%, 1/15/06 ................ 469,234
Sears Roebuck Acceptance Corp.,
2,000,000 7.00%, 6/15/07 ................. 1,911,310
Sony Corp.,
1,000,000 6.125%, 3/4/03 ................. 986,035
TCI Communications, Inc.,
1,000,000 8.65%, 9/15/04 ................. 1,047,451
Texaco Capital, Inc.,
1,500,000 8.50%, 2/15/03 ................. 1,556,921
TRW,
1,000,000 6.05%, 1/15/05 ................. 939,612
United Technology Corp.,
200,000 7.00%, 9/15/06 ................. 201,061
Wal-Mart Stores:
100,000 6.50%, 6/1/03 .................. 99,547
300,000 6.875%, 8/10/09 ................ 296,985
Walt Disney Co.,
1,000,000 6.75%, 3/30/06 ................. 1,000,221
Weyerhaeuser Co.,
250,000 7.25%, 7/1/13 .................. 238,686
-----------
23,898,886
-----------
OTHER -- 1.7%
Electronic Data Systems:
150,000 6.85%, 10/15/04 ................ 149,797
115,000 7.125%, 10/15/09 ............... 113,850
InterAmerican Development Bank:
1,750,000 8.50%, 5/1/01 .................. 1,768,807
200,000 6.125%, 10/4/02 ................ 198,735
150,000 6.50%, 10/20/04 ................ 149,907
1,000,000 6.125%, 3/8/06 ................. 979,401
750,000 5.375%, 11/18/08 ............... 684,290
International Bank for Reconstruction
& Development,
1,000,000 5.625%, 3/17/03 ................ 980,824
Whitman Corp.,
160,000 6.00%, 5/1/04 .................. 155,044
Xerox Capital Europe PLC,
150,000 5.875%, 5/15/04 ................ 139,035
-----------
5,319,690
-----------
UTILITY -- 3.7%
AT&T Corp.,
1,000,000 5.625%, 3/15/04 ................ 956,291
Atlantic Richfield,
375,000 5.55%, 4/15/03 ................. 367,075
Central & Southwest Corp.,
1,000,000 7.25%, 10/1/04 ................. 1,004,916
Chesapeake & Potomac Telephone,
800,000 7.125%, 1/15/02 ................ 800,493
Chevron Corp.,
250,000 6.625%, 10/1/04 ................ 248,749
Consolidated Natural Gas,
2,000,000 6.625%, 12/1/08 ................ 1,888,190
Cox Communications,
200,000 6.15%, 8/1/03 .................. 194,391
Deutsche Telekom International Finance:
600,000 7.75%, 6/15/05 ................. 614,813
200,000 8.00%, 6/15/10 ................. 205,614
GTE North, Inc.,
1,000,000 5.65%, 11/15/08 ................ 897,336
Illinois Power,
400,000 5.54%, 6/25/09 ................. 375,830
MCI Worldcom,
400,000 6.25%, 8/15/03 ................. 392,144

See Notes to Financial Statements.
--------------------------------------------------------------------------------
22

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PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000

--------------------------------------------------------------------------------

PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------

VF Corp.,
$1,000,000 9.50%, 5/1/01 ............. $ 1,013,803
Virginia Electric Power,
1,000,000 6.75%, 2/1/07 ............. 968,073
Wisconsin Electric Power,
1,000,000 7.25%, 8/1/04 ............. 1,005,806
Wisconsin Power & Light,
570,000 7.00%, 6/15/07 ............ 562,593
-----------
11,496,117
-----------
TOTAL CORPORATE DEBT
(Cost $85,939,861) ................... 82,899,442
-----------
FOREIGN DEBT -- 2.4%
Ahold Finance USA,
150,000 6.25%, 5/1/09 ............. 133,843
Asian Development Bank,
100,000 6.50%, 10/21/02 ........... 99,848
Canada Government:
200,000 6.375%, 11/30/04 .......... 198,358
1,000,000 5.25%, 11/5/08 ............ 909,722
Corp Andina de Fomento,
125,000 7.75%, 3/1/04 ............. 126,098
Deutsche Ausgleichsbank,
275,000 6.50%, 9/15/04 ............ 273,753
Dresdner Bank,
300,000 6.625%, 9/15/05 ........... 292,474
HSBC Americas,
125,000 6.625%, 3/1/09 ............ 117,575
HSBC Holding PLC,
340,000 7.50%, 7/15/09 ............ 339,330
Italy Global Bond,
350,000 6.00%, 9/27/03 ............ 344,867
Kingdom of Sweden,
350,000 6.50%, 3/4/03 ............. 348,950
National Westminster Bank,
200,000 7.375%, 10/1/09 ........... 197,512
Nippon Telegraph & Telephone,
150,000 6.00%, 3/25/08 ............ 140,102
Province of Ontario:
500,000 7.375%, 1/27/03 ........... 507,875
1,000,000 6.00%, 2/21/06 ............ 963,315
Province of Quebec:
500,000 7.00%, 1/30/07 ............ 501,851
150,000 5.75%, 2/15/09 ............ 137,696
Repsol Intl Finance,
325,000 7.45%, 7/15/05 ............ 328,851
Republic of Chile,
75,000 6.875%, 4/28/09 ........... 70,584
Republic of Finland,
550,000 7.875%, 7/28/04 ........... 571,948
Republic of Ireland,
300,000 7.875%, 12/1/01 ........... 303,117
Republic of Portugal,
150,000 5.75%, 10/8/03 ............ 145,889
Santander Financial Issuances,
150,000 7.00%, 4/1/06 ............. 147,652
Telefonica Europe,
35,000 7.35%, 9/15/05 ............ 35,192
Westdeutsche Landesbank,
125,000 6.05%, 1/15/09 ............ 114,421
-----------
TOTAL FOREIGN DEBT
(Cost $7,599,043) .................... 7,350,823
-----------
MORTGAGE BACKED SECURITIES &
AGENCY OBLIGATIONS -- 32.2%
Federal Farm Credit Bank,
2,000,000 5.233%, 5/17/01 ........... 2,000,720
FGLMC Gold,
1,938,910 6.00%, 5/1/29 ............. 1,817,835
FHLMC:
1,000,000 6.25%, 10/15/02 ........... 995,882
750,000 6.25%, 7/15/04 ............ 743,476
150,000 6.625%, 9/15/09 ........... 148,373
4,000,000 7.00%, 3/1/23 ............. 3,919,988
FHLMC Gold:
500,000 5.75%, 3/15/09 ............ 466,509
845,250 5.50%, 11/1/13 ............ 799,922
835,004 6.00%, 12/1/13 ............ 805,419
122,840 7.50%, 4/1/27 ............. 123,025
233,349 7.50%, 6/1/27 ............. 233,700
40,784 7.50%, 10/1/27 ............ 40,845
2,785,037 6.00%, 12/1/28 ............ 2,611,126
2,605,440 6.50%, 12/1/28 ............ 2,507,566
FHLMC TBA:
1,000,000 7.50%, 5/1/07 ............. 1,008,435
1,000,000 6.00%, 4/1/08 ............. 963,747
2,000,000 6.00%, 11/1/08 ............ 1,990,620
3,000,000 6.50%, 11/1/08 ............ 2,943,741
4,000,000 7.50%, 5/1/22 ............. 3,996,240
3,000,000 6.50%, 11/1/23 ............ 2,883,741
FNCL:
523,097 6.50%, 1/1/14 ............. 513,657
746,346 7.00%, 2/1/14 ............. 743,560
909,241 6.00%, 12/1/28 ............ 852,095
750,926 6.50%, 12/1/28 ............ 723,261
849,357 6.00%, 12/15/28 ........... 799,616
803,047 7.00%, 1/1/29 ............. 787,925
902,917 6.50%, 1/15/29 ............ 870,629
4,656,545 6.50%, 2/1/29 ............. 4,475,847

See Notes to Financial Statements.
--------------------------------------------------------------------------------
23

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PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS September 30, 2000

--------------------------------------------------------------------------------

PRINCIPAL
AMOUNT SECURITY VALUE
--------------------------------------------------------------------------------

$2,317,947 6.50%, 2/1/29 ................. $ 2,227,874
851,111 7.00%, 3/1/29 ................. 834,758
3,779,159 6.00%, 7/1/29 ................. 3,534,745
2,882,163 6.50%, 8/1/29 ................. 2,770,165
956,502 6.50%, 11/1/29 ................ 919,334
FNMA:
700,000 6.25%, 11/15/02 ............... 696,938
1,000,000 6.50%, 8/15/04 ................ 999,538
382,945 6.50%, 5/1/05 ................. 378,570
359,220 6.50%, 6/1/05 ................. 355,116
2,000,000 6.50%, 11/1/07 ................ 1,961,244
1,000,000 5.25%, 1/15/09 ................ 904,523
303,230 7.00%, 9/1/12 ................. 302,284
1,691,628 8.00%, 5/1/17 ................. 1,725,058
91,845 8.50%, 1/1/20 ................. 94,579
7,000,000 7.00%, 9/1/21 ................. 6,859,979
4,000,000 7.50%, 9/1/21 ................. 3,992,488
1,172,023 8.00%, 12/1/21 ................ 1,195,368
1,000,000 6.50%, 4/1/23 ................. 960,310
329,355 8.00%, 12/1/23 ................ 335,916
450,000 8.50%, 7/1/25 ................. 460,686
794,634 6.50%, 10/1/27 ................ 765,107
FNMA TBA:
1,000,000 7.00%, 9/1/06 ................. 994,685
1,000,000 7.50%, 9/1/06 ................. 1,007,810
2,000,000 6.00%, 4/1/08 ................. 1,924,994
GNMA:
313,952 9.00%, 11/15/20 ............... 329,486
491,788 8.00%, 5/15/22 ................ 503,033
181,139 8.50%, 2/15/23 ................ 187,184
130,066 8.50%, 4/15/23 ................ 134,407
190,429 8.50%, 8/15/28 ................ 196,284
549,273 6.50%, 10/15/28 ............... 529,644
310,851 6.50%, 11/15/28 ............... 299,742
37,602 6.50%, 1/15/29 ................ 36,257
1,865,051 6.50%, 2/15/29 ................ 1,798,359
770,930 6.00%, 7/15/29 ................ 724,410
GNMA TBA:
1,000,000 6.50%, 5/1/08 ................. 986,872
4,000,000 8.00%, 8/1/21 ................. 4,072,488
6,000,000 7.00%, 9/1/21 ................. 5,911,860
5,000,000 7.50%, 9/1/21 ................. 5,015,610
Sallie Mae,
2,000,000 5.653%, 6/8/01 ................ 1,999,758
------------
TOTAL MORTGAGE BACKED SECURITIES
(Cost $100,179,736) ...................... 99,694,963
------------
US TREASURY SECURITIES -- 3.2%
US Treasury Notes:
500,000 5.25%, 5/15/04 ................ 489,375
2,475,000 7.25%, 5/15/04 ................ 2,580,962
1,500,000 7.875%, 11/15/04 .............. 1,605,470
2,000,000 7.50%, 2/15/05 ................ 2,122,500
2,000,000 5.50%, 2/15/08 ................ 1,952,344
1,000,000 6.00%, 8/15/09 ................ 1,004,375
------------
TOTAL US TREASURY SECURITIES
(Cost $9,659,043) ........................ 9,755,026
------------
SHORT-TERM INSTRUMENTS -- 18.9%
US TREASURY BILL -- 7.7%
US Treasury Bill,
24,000,000 5.93%, 12/7/00 ................ 23,736,432
------------
INVESTMENTS IN AFFILIATED
INVESTMENT COMPANIES
MUTUAL FUND -- 11.2%
34,854,329 Cash Management Institutional .. 34,854,329
------------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $58,590,659) ....................... 58,590,761
------------
TOTAL INVESTMENTS
(Cost $351,737,476) ............. 112.1% 346,902,284
------------
WRAPPER AGREEMENTS1
Bank of America NT & SA .................... 2,355,136
National Westminster Bank PLC .............. 2,254,107
Credit Suisse Financial Products ........... 2,253,412
Transamerica Life Insurance & Annuity Co. .. 2,342,101
------------
TOTAL WRAPPER AGREEMENTS ........... 3.0% 9,204,756
------------
LIABILITIES IN EXCESS OF OTHER ASSETS (15.1) (46,646,802)
----- ------------
NET ASSETS ......................... 100.0% $309,460,238
===== ============

--------------------------------------------------------------------------------
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.

The following abbreviations are used in portfolio descriptions:
FGLMC -- Federal Government Loan Mortgage Company
FHLMC -- Federal Home Loan Mortgage Corporation
FNCL -- Federal National Mortgage Association Class Loan
FNMA -- Federal National Mortgage Association
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.

See Notes to Financial Statements.
--------------------------------------------------------------------------------
24

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES

--------------------------------------------------------------------------------

SEPTEMBER 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments in Unaffiliated Issuers at Value (Cost of $316,883,147) ............................. $312,047,955
Investments in Affiliated InvestmentCompanies, at Value (Cost of $34,854,329) ................... 34,854,329
Interest Receivable1 ............................................................................ 2,778,859
Receivable for Securities Sold .................................................................. 14,171,775
Due from Bankers Trust .......................................................................... 151,677
Wrapper Agreements .............................................................................. 9,204,756
------------
Total Assets ....................................................................................... 373,209,351
------------
LIABILITIES
Payable for Securities Purchased ................................................................ 63,524,623
Accrued Expenses and Other ...................................................................... 224,490
------------
Total Liabilities .................................................................................. 63,749,113
------------
NET ASSETS ......................................................................................... $309,460,238
============

<FN>
--------------------------------------------------------------------------------
1 Includes $179,411 from the Portfolio's investment in Affiliated Investment
Companies.
</FN>
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
25

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS

--------------------------------------------------------------------------------

FOR THE YEAR ENDED
SEPTEMBER 30, 2000
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Interest Income ................................................................................. $20,234,465
Credited Rate Interest .......................................................................... 596,396
-----------
Total Investment Income ............................................................................ 20,830,861
-----------
EXPENSES
Advisory Fees ................................................................................... 1,085,372
Wrapper Fees .................................................................................... 368,444
Administration and Service Fees ................................................................. 169,803
Professional Fees ............................................................................... 18,891
Trustees Fees ................................................................................... 2,165
Miscellaneous ................................................................................... 2,594
-----------
Total Expenses ..................................................................................... 1,647,269
Less: Fee Waivers or Expense Reimbursements ........................................................ (458,651)
-----------
Net Expenses ....................................................................................... 1,188,618
-----------
NET INVESTMENT INCOME .............................................................................. 19,642,243
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
WRAPPER AGREEMENTS
Realized Gain from Investment Transactions ...................................................... 278,459
Net Change in Unrealized Appreciation/Depreciation on Investments ............................... 681,310
Net Change in Unrealized Appreciation/Depreciation on WrapperAgreements ......................... (959,769)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
WRAPPER AGREEMENTS .............................................................................. --
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ......................................................... $19,642,243
===========
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
26

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS

--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEARS ENDED SEPTEMBER 30,
2000 1999
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income ............................................... $ 19,642,243 $ 16,199,271
Net Realized Gain (Loss) on Investments ............................. 278,459 (2,122,205)
Net Change in Unrealized Appreciation/Depreciation
on Investments .................................................... 681,310 (9,468,496)
Net Change in Unrealized Appreciation/Depreciation
on Wrapper Agreements ............................................. (959,769) 11,590,701
------------- -------------
Net Increase in Net Assets from Operations ............................. 19,642,243 16,199,271
------------- -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ...................................... 126,419,481 210,131,938
Value of Capital Withdrawn .......................................... (177,357,279) (118,126,797)
------------- -------------
Net Increase (Decrease) in Net Assets from
Capital Transactions ................................................ (50,937,798) 92,005,141
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................................ (31,295,555) 108,204,412
NET ASSETS
Beginning of Year ................................................... 340,755,793 232,551,381
------------- -------------
End of Year ......................................................... $ 309,460,238 $ 340,755,793
============= =============
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
27

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PreservationPlus Portfolio
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
OCTOBER 1, 19971
FOR THE YEARS ENDED SEPTEMBER 30, THROUGH
2000 1999 SEPTEMBER 30, 1998
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Year (000s omitted) ......... $309,460 $340,756 $232,551
Ratios to Average Net Assets:
Net Investment Income ........................ 5.79% 5.57% 5.80%
Expenses After Waivers ....................... 0.35% 0.35% 0.35%
Expenses Before Waivers ...................... 0.49% 0.50% 0.54%
Portfolio Turnover Rate ........................ 237% 291% 428%

<FN>
--------------------------------------------------------------------------------
1 Commencement of operations.
</FN>
</TABLE>

See Notes to Financial Statements.
--------------------------------------------------------------------------------
28

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS

NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The PreservationPlus Portfolio (the "Portfolio"), a series of BTInvestment
Portfolios, is registered under the Investment Company Act of 1940 (the "Act"),
as amended, as an open-end management investment company. The Portfolio was
organized and began 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. VALUATION OF SECURITIES
Debt securities (other than short-term debt obligations maturing in 60 days or
less), including listed securities and securities for which price quotations are
available, will normally be valued on the basis of market valuations furnished
by a pricing service. Such market valuations may represent the last quoted price
on the securities' major trading exchange or quotes received from dealers or
market makers in the relevant securities or may be determined through the use of
matrix pricing. In matrix pricing, pricing services may use various pricing
models involving comparable securities, historic relative price movements,
economic factors and dealer quotations. Over-the-counter securities are normally
valued at the bid price. Short-term debt obligations and money market securities
maturing in 60 days or less are valued at amortized cost. Securities for which
market quotations are not readily available are valued by Bankers Trust Company
pursuant to procedures adopted by the Portfolio's Board of Trustees.

Wrapper Agreements generally will be equal to the difference between the Book
Value and Market Value (plus the crediting rate adjustment) on the applicable
covered assets and will either be reflected as an asset or liability of the
Portfolio. The Portfolio's Board of Trustees, in performing its fair value
determination of the Portfolio's Wrapper Agreements, considers the
creditworthiness and the ability of Wrapper Providers to pay amounts due under
the Wrapper Agreements.

C. SECURITIES TRANSACTIONS AND INTEREST INCOME
Securities transactions are accounted for on a trade date basis. Interest income
is recorded on an accrual basis and includes amortization of premium and
accretion of discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis. The credited rate
interest represents the actual interest earned on covered assets under the
Portfolio's Wrapper Agreements plus or minus an adjustment for an amount
receivable from or payable to the wrapper provider based on fluctuations in the
market value of covered assets under the agreements.

All of the net investment income and net realized and unrealized gains and
losses (including the Wrapper Agreements) of the Portfolio are allocated pro
rata to the investors in the Portfolio on a daily basis.

D. TBA PURCHASE COMMITMENTS
The Portfolio may enter into "TBA" (to be announced) commitments to purchase
securities for a fixed price at a future date, typically not exceeding 45 days.
TBA purchase commitments may be considered securities in themselves, and involve
a risk of loss if the value of the security to be purchased declines prior to
settlement date. This risk is in addition to the risk of decline in the value of
the Portfolio's other assets. Unsettled TBA purchase commitments are valued at
the current market value of the underlying securities, according to the
procedures described previously under "Valuation of Securities".

E. FEDERAL INCOME TAXES
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is necessary.

F. ESTIMATES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.

Actual results could differ from those estimates.

--------------------------------------------------------------------------------
29

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS

NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank AG. Under this agreement, Bankers Trust provides administrative
and custody services to the Portfolio. These services are provided in return for
a fee computed daily and paid monthly at an annual rate of .05% of the
Portfolio's average daily net assets.

The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust a fee computed daily and paid
monthly at an annual rate of .35% of the Portfolio's average daily net assets,
less advisor fees paid for the pro rata amount due to investment in the
Institutional Cash Management.

Bankers Trust has contractually agreed to waive its fees and reimburse expenses
of the Portfolio through January 31, 2001, to the extent necessary, to limit all
expenses to .35% of the average daily net assets of the Portfolio.

The Portfolio may invest in Cash Management Institutional ("Cash Management"),
an open-end management investment company managed by Bankers Trust. Cash
Management is offered as a cash management option to the Portfolio and other
accounts managed by Bankers Trust. Distributions from Cash Management to
thePortfolio for the year ended September 30, 2000 amounted to $3,969,566 and is
included in interest income.

The Fund is a participant with other affiliated entities in a revolving credit
facility in the amount of $200,000,000, which expires April 27, 2001. A
commitment fee on the average daily amount of the available commitment is
payable on a quarterly basis and apportioned among all participants based on net
assets. No amounts were drawn down or outstanding for the Portfolio under the
credit facility for the year ended September 30, 2000.

NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the year ended September 30, 2000, were
$681,555,580 and $676,779,113, respectively.

For federal income tax purposes, the tax basis of investments held at September
30, 2000, was $353,381,449. The aggregate gross unrealized appreciation was
$919,700, and the aggregate gross unrealized depreciation for all investments
was $5,754,892 as of September 30, 2000.

NOTE 4 -- WRAPPER AGREEMENTS
The Portfolio will enter into Wrapper Agreements with insurance companies, banks
or other financial institutions ("Wrapper Providers") that are rated, at the
time of purchase, in one of the top two long-term rating categories by Moody's
or S&P. A wrapper agreement is a derivative instrument that is designed to
protect the portfolio from investment losses and under most circumstances permit
the Fund to maintain a constant NAV per share. There is no active trading market
for Wrapper Agreements, and none is expected to develop; therefore, they are
considered illiquid.

A default by the issuer of a portfolio security or a Wrapper Provider on its
obligations might result in a decrease in the value of the Portfolio assets. The
Wrapper Agreements generally do not protect the Portfolio from loss if an issuer
of portfolio securities defaults on payments of interest or principal.
Additionally, a Fund shareholder may realize more or less than the actual
investment return on the portfolio securities depending upon the timing of the
shareholder's purchases and redemption of shares, as well as those of other
shareholders.

NOTE 5 -- PORTFOLIO NAME CHANGE
On January 31, 2000, the Portfolio changed its name from BT PreservationPlus
Portfolio to PreservationPlus Portfolio.

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PreservationPlus Portfolio
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REPORT OF INDEPENDENT AUDITORS

To the Shareholders and Board of Trustees
BT Investment Portfolios -- PreservationPlus Portfolio:

We have audited the accompanying statement of assets and liabilities, including
the schedule of portfolio investments, of PreservationPlus Portfolio (the
"Portfolio") as of September 30, 2000, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended and the financial highlights for each of the
three years in the period then ended. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of September 30, 2000, by correspondence
with the Portfolio's custodian and brokers. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
PreservationPlus Portfolio at September 30, 2000, the results of its operations
for the year then ended, and the changes in its net assets for each of the two
years in the period then ended and its financial highlights for each of the
three years in the period then ended, in conformity with accounting principles
generally accepted in the United States.

/S/SIGNATURE/ ERNST & YOUNG LLP

Philadelphia, Pennsylvania
November 3, 2000

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<PAGE>

For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager or write
to us at:
DEUTSCHE ASSET MANAGEMENT SERVICE CENTER
P.O. BOX 219210
KANSAS CITY, MO 64121-9210
or call our toll-free number: 1-800-730-1313

This report must be preceded or accompanied by a current prospectus for the
Fund.

Deutsche Asset Management is the marketing name for the asset management
activities of Deutsche Bank AG, Deutsche Fund Management, Inc., Bankers Trust
Company, DB Alex. Brown LLC, Deutsche Asset Management, Inc., and Deutsche Asset
Management Investment Services Limited.

PreservationPlus CUSIP #055847834
#055847818
#055847826
PPLUSANN (9/00)

Distributed by:
ICC Distributors, Inc.