BT PYRAMID MUTUAL FUNDS, N-30D, 2000-05-31

BT PYRAMID MUTUAL FUNDS
N-30D, 2000-05-31

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[Deutsche Asset Mangement logo omitted]

Mutual Fund
Semi-Annual Report
March 31, 2000

PreservationPlus
Formerly BT PreservationPlus Fund

[Deutsche Bank Group logo omitted]
<PAGE>
PreservationPlus
--------------------------------------------------------------------------------
TABLE OF CONTENTS

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

PRESERVATIONPLUS

Statement of Assets and Liabilities ................... 7
Statement of Operations ............................... 8
Statements of Changes in Net Assets ................... 9
Financial Highlights .................................. 10
Notes to Financial Statements ......................... 14

PRESERVATIONPLUS PORTFOLIO

Schedule of Portfolio Investments ..................... 17
Statement of Assets and Liabilities ................... 23
Statement of Operations ............................... 24
Statements of Changes in Net Assets ................... 25
Financial Highlights .................................. 26
Notes to Financial Statements ......................... 27

------------------------------
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 semi-annual report for the period ended
March 31, 2000 for PreservationPlus Fund (the "Fund"). It provides a review of
the market, the Portfolio, and our outlook. Included are a complete financial
summary of the Fund's operations and a listing of the Portfolio's holdings.

The name of the Fund has changed to PreservationPlus, to reflect the acquisition
of Bankers Trust by Deutsche Bank. The Fund's investment objectives, policies
and strategies, as well as its portfolio managers, remain the same.

The PreservationPlus Fund 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 U.S. BOND MARKET WAS DOMINATED BY THREE ADDITIONAL INTEREST RATE
HIKES BY THE FEDERAL RESERVE BOARD DURING THE SIX MONTHS ENDED MARCH 31, 2000.
o The U.S. economy remained vibrant with GDP growth in excess of 7% in the
fourth quarter of 1999, its fastest pace in almost sixteen years, and what is
estimated to be more than 5% in the first quarter of 2000. But the GDP
deflator rose by less than 2%, lower than expected, suggesting overall
inflation remained benign. Crude oil prices reached a high of $35/barrel but,
following an agreement with OPEC, declined to $27/barrel by the end of the
semi-annual period.
o Still, the Federal Reserve Board argued that the pace of the economy could not
be indefinitely supported by labor force growth and productivity and thus may
rekindle inflation. It continued tightening monetary policy.
o For the six-month period, the 2-year and 5-year U.S. Treasury yields rose by
0.88% and 0.56%, respectively. But the 30-year Treasury rallied, with yields
declining by 0.22%. Yield spreads widened for all three of the
credit-dependent "spread sectors",--i.e. corporate, mortgage and
asset-backed--primarily as a result of a flight to quality that favored U.S.
Treasuries.

DURING THE FOURTH QUARTER OF 1999, THE FEDERAL RESERVE BOARD FOLLOWED UP ITS
JUNE 30 AND AUGUST 24 RATE HIKES BY RAISING THE FED FUNDS RATE BY ANOTHER 0.25%
ON NOVEMBER 16TH IN AN ATTEMPT TO REIN IN ECONOMIC GROWTH AND KEEP INFLATION IN
CHECK.
o U.S. Treasuries suffered and yields rose, as investors grew increasingly
concerned over the ongoing extraordinary performance of the U.S. economy,
expectations of further Fed tightening, and liquidity shortages surrounding
the Y2K phenomenon. Yields on the 5-year Treasury note ended the quarter up
0.59% to a level of 6.34%, and the 30-year Treasury yield rose 0.43% to 6.48%.
The U.S. Treasury market returned -0.75% for the quarter.
o In contrast, the "spread sectors" benefited from the strength of the economy
and experienced positive relative performance. The increase in the general
level of interest rates, a reduction in volatility, and a slowdown in
prepayments benefited mortgage securities. Asset-backed securities benefited
as increased investor demand wrestled with favorable supply technicals.
Investment grade corporate bonds posted the best excess return performance
since 1991 on the U.S.' economic strength. For the fourth quarter,
mortgage-backed securities, asset-backed securities and corporate bonds
recorded positive returns of 0.38%, 0.27% and 0.03%, respectively.

DURING THE FIRST QUARTER OF 2000, THE FEDERAL RESERVE BOARD RAISED RATES AGAIN
ON FEBRUARY 2 AND MARCH 21 BY ANOTHER 0.25% EACH TIME, AND LONG-TERM U.S.
TREASURIES IN PARTICULAR BENEFITED FROM SEVERAL UNEXPECTED CHANGES.

o U.S. Treasury bonds gained the most during the first quarter that they had in
more than a decade, with a return of 3.79%. This outperformance was primarily
triggered by three factors. First, the U.S. Treasury market benefited from a
flight to quality based on high volatility within the global equity markets,
especially at the end of March. Second, the flight to quality was buttressed
by concerns regarding a pull-back of the credit line from what are known as
Government Sponsored Entities, i.e. the U.S. agency sector of the fixed income
market. Third, the U.S. Treasury announced its decision to reduce the number
of auctions held and to institute a buyback program, whereby the U.S. Treasury
would buy back its own 30-year issues with budget surplus monies. The result
was a perceived scarcity value--and a rally--for U.S. Treasuries.
o Still, yields were mixed with the 30-year Treasury bond declining by 0.65% but
the 2-year Treasury note yield rising by 0.25%. This caused the Treasury yield
curve to invert.

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3

<PAGE>

PreservationPlus
------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS

o The "spread sectors" had positive nominal returns but underperformed
comparable duration Treasuries. Asset-backed securities, mortgage-backed
securities and corporate bonds returned 1.52%, 1.38% and 1.43%, respectively,
for the quarter.

INVESTMENT REVIEW
THE FUND IS DIVERSIFIED ACROSS THE MAJOR SECTORS OF THE INVESTMENT GRADE FIXED
INCOME MARKET. As of March 31, 2000, the portfolio was allocated 24% to
corporate bonds, 24% to mortgage-backed securities, 18% to asset-backed
securities, 11% to U.S. Treasuries/agencies, 2% to foreign debt and 21% 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 offered higher yields than U.S. government securities.
Additionally, the Fund has entered into Wrapper Agreements that are intended to
stabilize the Fund's NAV.

<TABLE>
<CAPTION>
CUMULATIVE TOTAL AVERAGE ANNUAL
RETURNS TOTAL RETURNS

Past 6 Past 1 Since Past 1 Since
Periods ended March 31, 2000 (unaudited) months year inception(3) year inception(3)
<S> <C> <C> <C> <C> <C>
PRESERVATIONPLUS INSTITUTIONAL
CLASS1 (INCEPTION 12/14/97) 2.87% 5.71% 13.77% 5.71% 5.79%
------------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/Corporate Index(2)
(since 12/31/97) 1.89% 3.72% 11.72% 3.72% 5.05%
------------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate Index(2)
(since 12/31/97) 3.02% 6.07% 14.24% 6.07% 6.10%
iMoneyNet First Tier Retail Money Fund Universe(2)
(since 12/31/97) 2.55% 4.82% 11.73% 4.82% 4.85%
PRESERVATIONPLUS INSTITUTIONAL
SERVICE CLASS1,5 (INCEPTION 4/1/98) 2.79% 5.55% 11.51% 5.55% 5.60%
------------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/Corporate Index(2)
(since 3/31/98) 1.89% 3.72% 10.14% 3.72% 4.95%
------------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate Index(2)
(since 3/31/98) 3.01% 6.06% 12.54% 6.06% 6.08%
iMoneyNet First Tier Retail Money Fund Universe(2)
(since 3/31/98) 2.55% 4.82% 9.88% 4.82% 4.80%
PRESERVATIONPLUS INVESTMENT (FORMERLY SERVICE
CLASS)4 CLASS1 (INCEPTION 9/23/98) 2.66% 5.28% 8.17% 5.28% 5.31%
------------------------------------------------------------------------------------------------------------------
Lehman 1-3 Year Government/Corporate Index(2)
(since 9/30/98) 1.89% 3.72% 5.30% 3.72% 3.50%
------------------------------------------------------------------------------------------------------------------
Wrapped Lehman Intermediate Index(2)
(since 9/30/98) 2.79% 5.53% 8.25% 5.53% 5.42%
iMoneyNet First Tier Retail Money Fund Universe(2)
(since 9/30/98) 2.55% 4.82% 7.20% 4.82% 4.72%
------------------------------------------------------------------------------------------------------------------
<FN>
(1) PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. Investment return and
principal value of the funds will fluctuate so that when redeemed,
investor's shares may be worth more or less than their original cost.Returns
would have been lower during the specified period if certain fees and
expenses had not been waived by theFund.Performance assumes reinvestment of
dividends and capital gain distributions excluding 2% maximum redemption
fee. 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 instruments, other instruments, and contracts with
financial institutions, such as insurance companies and banks that are
intended to stabilize the value per share.

(2) In addition to the iMoneyNet Fund Averages, we use two alternative
benchmarks. The Lehman 1 to 3 Year Government/Corporate Index, our primary
benchmark, is an unmanaged total return index consisting of all U.S.
Government agency securities, U.S. Government Treasury securities, and all
investment grade corporate debt securities with maturities of one to three
years. The Wrapped Lehman Intermediate Index is an unmanaged index that
closely reflects the market sectors in which the Fund invests. IBCFirstTier
Retail Money FundUniverse changed its name to iMoneyNet First Tier Retail
Money FundUniverse.

(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) comparisons. 4 On December 31, 1999,
thePreservationPlus Investment Class was liquidated.On January 31, 2000, the
PreservationPlus Service Class was renamed the PreservationPlus
InvestmentClass. 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

PORTFOLIO DIVERSIFICATION
By Theme as of March 31, 2000 (percentages are based on market value)

Mortgage Backed ............................ 24.17%

Money Market Fund .......................... 21.29

Asset Backed ............................... 17.74

Financial Services ......................... 10.73

Industrial ................................. 6.90

U.S.Treasury Bills ......................... 5.41

U.S.Treasury ............................... 5.03

Other ...................................... 3.55

Utilities .................................. 3.15

Foreign Debt ............................... 2.03

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
Agreements, each of which covers approximately one quarter of the fixed income
securities in the Portfolio covered by such Agreements. Generally speaking,
Wrapper Agreements are issued by insurance companies, banks and other financial
institutions. The Wrapper Agreements held by the Portfolio as of March 31, 2000
are issued by Bank of America NT&SA, National Westminster Bank PLC, Credit
Suisse Financial Products, and Transamerica Life Insurance & Annuity Co.

THE FUND HAS MAINTAINED A HIGH QUALITY PORTFOLIO. The average credit quality of
investments in the Fund was AA+ at the end of the semi-annual period, as
measured by Standard & Poor's. The average quality of the issuers of the Wrapper
Agreements improved during the period from AA- at September 30, 1999 to AA on
March 31, as measured by Standard & Poor's. The Fund's duration at March 31,
2000 stood at 2.95 years.

MANAGER OUTLOOK
We believe that unless the laws of supply and demand are repealed, the growth of
U.S. demand must eventually stop outstripping the growth of what the economy's
available workers can supply. Even with fantastic gains in productivity, the
U.S. economy's supply side has been unable to keep up with the breakneck pace of
domestic demand, so it has to stretch its labor resources even further and rely
increasingly on foreign production. Obviously, this can not go on forever. What
is less clear, however, is what will drive the inevitable realignment of supply
and demand, whether it will proceed smoothly, what the consequences will be for
the financial markets, and how those consequences will feed back into the real
economy.

We suspect that a combination of higher interest rates and less frothy equity
markets will be necessary to realign domestic demand with supply. The recent
rise in energy prices, if sustained, might also help restrain demand a bit by
cutting into domestic purchasing power. It is hard to say exactly how much of
each will be required, and there are many permutations that could potentially do
the trick. One scenario that makes sense to us is another 0.50% of rate hikes by
the Federal Reserve Board, relatively flat equity markets for the rest of the
year, and the persistence of the recent spike in energy prices at least through
the summer. This combination should be enough to slow domestic demand growth by
late 2000/2001 to a rate at, or slightly below, the economy's supply potential.
In our view, this "soft landing" would ease pressures on productive resources
and prevent incipient inflation pressures from becoming too deeply entrenched.

Given this outlook, we believe the first quarter of 2000 fixed income rally may
slow. We anticipate that fixed income yields may drift a bit higher and yield
spreads may widen over the near term. These conditions should present us with
attractive but limited opportunities to invest new cash flows at higher yields.
Over the longer term, we maintain a generally positive but cautious outlook for
the U.S. fixed income markets.

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 effective
wrapper agreement management while seeking to maximize the return volatility of
the fixed income securities.

We value your support of the PreservationPlus Fund 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
March 31, 2000

<PAGE>

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

PRESERVATIONPLUS INVESTMENT CLASS (formerly Service Class)(2) LEHMAN, iMONEYNET
AND WRAPPED LEHMAN GROWTH OF A $10,000 INVESTMENT (SINCE SEPTEMBER 23, 1998)(1)
[line graph omitted]
plot points as follows:

Lehman 1-3 Year Wrapped Lehman
BT PreservationPlus Government/Corporate Intermediate
Fund Investment Class Index iMoneyNet Aggregate
Sep-98 10000 10000 10000 10000
Sep-99 10536 10334 10452 10129
Mar-00 10817 10530 10720 10825

Average Annual Total Return for the Period Ended March 31, 20003
(excluding 2% maximum redemption fee)
One Year 5.28% Since 9/23/981 5.31%

--------------------------------------------------------------------------------
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth more
or less than their original cost. The above graph represents performance
information of Investment Class Shares (formerly Service Class)(2). Performance
of the other classes will vary based on differences in fees and expenses.
Performance figures assume the reinvestment of dividends and capital gain
distributions. Performance figures also include the effect of any income
received by the Fund if redemption fees are paid by fund shareholders, however,
they do not reflect a deduction for a redemption fee assessed at the end of the
periods shown. Benchmark returns are for the period beginning September 30,
1998.
(1) The Fund's inception date.
(2) On December 31, 1999, PreservationPlus InvestmentClass was liquidated. On
January 31, 2000, PreservationPlus Service Class was renamed the
PreservationPlus InvestmentClass.
(3) Unaudited.

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6

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

AS OF
MARCH 31, 2000
ASSETS
Investment in PreservationPlus Portfolio, at Value ........... $355,483,882
Receivable for Shares of Beneficial Interest Subscribed ...... 84,530
Prepaid Expenses and Other ................................... 248,955
Due from Bankers Trust ....................................... 45,720
------------
Total Assets .................................................... 355,863,087
------------
LIABILITIES
Dividend Payable ............................................. 94,924
Accrued Expenses and Other ................................... 214,946
------------
Total Liabilities ............................................... 309,870
------------
NET ASSETS ...................................................... $355,553,217
============
COMPOSITION OF NET ASSETS
Paid-in Capital .............................................. $356,151,766
Accumulated Net Realized Loss on Investment Transactions ..... (2,826,600)
Net Unrealized Depreciation on Investment .................... (8,902,124)
Unrealized Appreciation on Wrapper Agreements ................ 11,130,175
------------
NET ASSETS ...................................................... $355,553,217
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(net assets divided by shares outstanding)
Investment Class Shares1 (formerly Service Class)(4) ......... $ 10.00
============
Institutional Class Shares(2) ................................ $ 10.00
============
Institutional Service Class Shares(3,5) ...................... $ 10.00
============

--------------------------------------------------------------------------------
(1) Net asset value, offering and redemption price per share (based on net
assets of $30,577,181 and 3,057,718 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 $209,443,230 and 20,944,320 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 $115,532,806 and 11,553,281 shares of beneficial interest
outstanding; $.001 par value, unlimited number of shares of beneficial
interest authorized).
(4) On December 31, 1999, PreservationPlus Investment Class was liquidated. On
January 31, 2000,PreservationPlus Service Class was renamed PreservationPlus
Investment Class.
(5) On October 18, 1999, PreservationPlus InstitutionalService Class ceased
establishing new accounts.

See Notes to Financial Statements.

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7

<PAGE>

PreservationPlus
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STATEMENT OF OPERATIONS (Unaudited)

FOR THE SIX
MONTHS ENDED
MARCH 31, 2000
INVESTMENT INCOME
Income allocated from PreservationPlus Portfolio, net ........ $10,316,057
-----------
EXPENSES
Administration and Service Fees -
Investment Class(1) ........................................ 9,300
Administration and Service Fees -
Institutional Class ........................................ 101,295
Administration and Service Fees -
Institutional Service Class ................................ 58,252
Administration and Service Fees -
Investment Class (formerly Service Class)(2) ............... 43,092
Shareholder Service Fee - Institutional Service Class ........ 87,378
Shareholder Service Fee - Investment Class
(formerly Service Class)(2) ................................ 43,092
Registration Fees ............................................ 1,825
Printing and Shareholder Reports ............................. 12,041
Trustees Fees ................................................ 9,489
Professional Fees ............................................ 46,987
Organization Expenses ........................................ 29,461
Miscellaneous ................................................ 888
-----------
Total Expenses .................................................. 443,100
Less: Fee Waivers or Expense Reimbursements
Investment Class1 .......................................... (9,211)
Institutional Class ........................................ (99,565)
Institutional Service Class3 ............................... (60,341)
Investment Class (formerly Service Class)2 ................. (47,619)
-----------
Net Expenses .................................................... 226,364
-----------
NET INVESTMENT INCOME ........................................... 10,089,693
-----------
Net Realized Loss from Investment Transactions ............... (535,236)
Net Change in Unrealized Appreciation/Depreciation
on Investment .............................................. (3,385,621)
Net Change in Unrealized Appreciation/Depreciation
on Wrapper Agreements ...................................... 3,920,857
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND WRAPPER AGREEMENTS ....................................... --
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ...................... $10,089,693
===========

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

See Notes to Financial Statements.
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8

<PAGE>

PreservationPlus
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STATEMENTS OF CHANGES IN NET ASSETS

<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
MARCH 31, 2000(2) SEPTEMBER 30, 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 10,089,693 $ 15,863,943
Net Realized Loss from Investment Transactions (535,236) (2,122,205)
Net Change in Unrealized Appreciation/
Depreciation on Investment (3,385,621) (9,468,496)
Net Change in Unrealized Appreciation/
Depreciation on Wrapper Agreements 3,920,857 11,590,701
------------ ------------
Net Increase in Net Assets from Operations 10,089,693 15,863,943
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income
Investment Class(3) (198,708) (1,023,937)
Institutional Class (5,746,224) (9,995,052)
Institutional Service Class(5) (3,210,404) (4,330,326)
Investment Class (formerly Service Class)(4) (934,357) (514,628)
Net Realized Gain from Investment Transactions(1)
Investment Class(3) -- (90,966)
Institutional Class -- (874,487)
Institutional Service Class(5) -- (284,725)
Investment Class (formerly Service Class)(4) -- (14,071)
------------ ------------
Total Distributions (10,089,693) (17,128,192)
------------ ------------
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Decrease/Increase Resulting from Investment
Class Shares(3) (21,754,347) 6,841,984
Net Increase Resulting from Institutional Class Shares 22,879,989 25,244,841
Net Increase Resulting from Institutional Service
Class Shares(5) 597,450 60,083,543
Net Increase Resulting from Investment Class Shares
(formerly Service Class)(4) 13,478,471 16,708,354
------------ ------------
Net Increase from Capital Transactions in Shares of
Beneficial Interest 15,201,563 108,878,722
------------ ------------
TOTAL INCREASE IN NET ASSETS 15,201,563 107,614,473
NET ASSETS
Beginning of Period 340,351,654 232,737,181
------------ ------------
End of Period $355,553,217 $340,351,654
============ ============
---------------------------------------------------------------------------------------------
<FN>
(1) See Note 4 in Notes to Financial Statements.
(2) Unaudited.
(3) On December 31, 1999,PreservationPlus Investment Class was liquidated.
(4) On January 31, 2000, PreservationPlus Service Class was
renamedPreservationPlus InvestmentClass.
(5) On October 18, 1999, PreservationPlus Institutional Service Class ceased
establishing new accounts.
</FN>
</TABLE>

See Notes to Financial Statements.
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9

<PAGE>

PreservationPlus
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FINANCIAL HIGHLIGHTS

Contained below are selected data for a share outstanding, total investment
return, ratios to average net assets and other supplemental data for the periods
indicated for PreservationPlus Investment Class.

<TABLE>
<CAPTION>
INVESTMENT CLASS(5) FOR THE PERIOD FOR THE PERIOD
OCTOBER 1, 1999 FOR THE OCTOBER 1, 1997(1)
THROUGH YEAR ENDED THROUGH
DECEMBER 31, 1999(4) 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(3) ....................... -- (0.05) --
REVERSE STOCK SPLIT(3) ......................... -- 0.05 --
------ ------- -------
NET ASSET VALUE, END OF PERIOD ................. $10.00 $ 10.00 $ 10.00
====== ======= =======
TOTAL INVESTMENT RETURN ........................ 1.38% 5.50% 5.76%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) .... $ -- $21,754 $15,003
Ratios to Average Net Assets:
Net Investment Income ..................... 5.47%(2) 5.43% 5.65%
Expenses After Waivers, Including
Expenses of the PreservationPlus
Portfolio ............................ 0.55%(2) 0.55% 0.55%
Expenses Before Waivers, Including
Expenses of the PreservationPlus
Portfolio ............................ 1.09%(2) 1.00% 1.06%
-----------------------------------------------------------------------------------------------------------
<FN>
(1) Commencement of operations.
(2) Annualized.
(3) See Note 4 in Notes to Financial Statements.
(4) Unaudited.
(5) On December 31, 1999,PreservationPlus Investment Class was liquidated.
</FN>
</TABLE>

See Notes to Financial Statements.

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10

<PAGE>

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

<TABLE>
<CAPTION>
INSTITUTIONAL CLASS FOR THE FOR THE PERIOD
SIX MONTHS FOR THE DEC. 14, 19971
ENDED YEAR ENDED THROUGH
MARCH 31, 20004 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 0.28 0.55 0.46
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.28) (0.55) (0.46)
Net Realized Gains3 -- (0.05) --
REVERSE STOCK SPLIT3 -- 0.05 --
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.00 $ 10.00 $ 10.00
======== ======== ========
TOTAL INVESTMENT RETURN 2.87% 5.66% 5.91%(2)
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $209,443 $186,563 $162,193
Ratios to Average Net Assets:
Net Investment Income 5.69%(2) 5.53% 5.79%(2)
Expenses After Waivers, Including
Expenses of the PreservationPlus Portfolio 0.40%(2) 0.40% 0.40%(2)
Expenses Before Waivers, Including
Expenses of the PreservationPlus Portfolio 0.79%(2) 0.66% 0.90%(2)
------------------------------------------------------------------------------------------------------------
<FN>
(1) Commencement of operations.
(2) Annualized.
(3) See Note 4 in Notes to Financial Statements.
(4) Unaudited.
</FN>
</TABLE>

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

<PAGE>

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

<TABLE>
<CAPTION>
INSTITUTIONAL SERVICE CLASS5 FOR THE FOR THE PERIOD
SIX MONTHS FOR THE APRIL 1, 19981
ENDED YEAR ENDED THROUGH
MARCH 31, 20004 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 0.27 0.54 0.28
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.27) (0.54) (0.28)
Net Realized Gains(3) -- (0.05) --
REVERSE STOCK SPLIT(3) -- 0.05 --
-------- -------- -------
NET ASSET VALUE, END OF PERIOD $ 10.00 $ 10.00 $10.00
======== ======== =======
TOTAL INVESTMENT RETURN 2.79% 5.50% 5.78%(2)
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $115,533 $114,935 $55,137
Ratios to Average Net Assets:
Net Investment Income 5.52%(2) 5.43% 5.66%(2)
Expenses After Waivers, Including
Expenses of the PreservationPlus Portfolio 0.55%(2) 0.55% 0.55%(2)
Expenses Before Waivers, Including
Expenses of the PreservationPlus Portfolio 0.94%(2) 0.83% 0.94%(2)
---------------------------------------------------------------------------------------------------------------------------
<FN>
(1) Commencement of operations.
(2) Annualized.
(3) See Note 4 in Notes to Financial Statements.
(4) Unaudited.
(5) On October 18, 1999, PreservationPlus Institutional Service Class ceased
establishing new accounts.
</FN>
</TABLE>

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

<PAGE>

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

<TABLE>
<CAPTION>
INVESTMENT CLASS FOR THE FOR THE PERIOD
(FORMERLY SERVICE CLASS)(5) SIX MONTHS FOR THE SEPT. 23, 1998(1)
ENDED YEAR ENDED THROUGH
MARCH 31, 2000(4) 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 0.26 0.51 0.01
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income (0.26) (0.51) (0.01)
Net Realized Gains(3) -- (0.05) --
REVERSE STOCK SPLIT(3) -- 0.05 --
------- ------- ------
NET ASSET VALUE, END OF PERIOD $ 10.00 $ 10.00 $10.00
======= ======= ======
TOTAL INVESTMENT RETURN 2.66% 5.25% 5.42%(2)
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $30,577 $17,099 $ 404
Ratios to Average Net Assets:
Net Investment Income 5.43%(2) 5.20% 5.42%(2)
Expenses After Waivers, Including
Expenses of the PreservationPlus Portfolio 0.65%(2) 0.80% 0.80%(2)
Expenses Before Waivers, Including
Expenses of the PreservationPlus Portfolio 1.22%(2) 1.18% 1.23%(2)

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

See Notes to Financial Statements.

--------------------------------------------------------------------------------
13

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)

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 offers two classes of shares to investors; Investment Class (formerly
Service Class) and Institutional Class. As of October 18, 1999 Institutional
Service Class is no longer establishing new accounts. The Fund had an Investment
Class that was liquidated on December 31, 1999. The Fund also had a Service
Class that was renamed the Investment Class on January 31, 2000. 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 Investment, Institutional and Institutional Service Classes began operations
on September 23, 1998, December 14, 1997 and April 1, 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, a series of BTInvestment Portfolios, is an open-end management
investment company registered under the Act. The value of the Fund's investment
in the Portfolio reflects the Fund's proportionate interest in the net assets of
the Portfolio. At March 31, 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. SECURITY 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. Security
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 charge of the Wrapper Agreements.

C. 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.

D. FEDERAL INCOME TAXES
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute substantially
all of its taxable income to shareholders. Therefore, no federal income tax
provision is required. The Fund may periodically make reclassifications among
certain of its capital accounts as a result of 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 generally accepted accounting principles.

E. 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 on the
basis of relative net assets or within the fund to the classes based on relative
net assets.

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.

--------------------------------------------------------------------------------
14

<PAGE>

PreservationPlus

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)

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 A.G. Under this agreement, Bankers Trust provides administrative, custody,
transfer agency and shareholder services to the Fund in return for a fee
computed daily and paid monthly at an annual rate of .25% of average daily net
assets for the Investment class and .10% of average daily net assets for the
Institutional and Institutional Service classes.

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

Bankers Trust has contractually agreed to waive its fees through January 31,
2001 and reimburse expenses of each Class, to the extent necessary to limit all
expenses as follows: 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; 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; and 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.

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.

--------------------------------------------------------------------------------
15

<PAGE>

PreservationPlus
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)

NOTE 3--SHARES OF BENEFICIAL INTEREST

At March 31, 2000, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:

<TABLE>
<CAPTION>
INVESTMENT CLASS SHARES(3) INSTITUTIONAL CLASS SHARES
----------------------------------------------- -------------------------------------------------
FOR THE PERIOD
OCTOBER 1, 1999 FOR THE FOR THE SIX FOR THE
THROUGH YEAR ENDED MONTHS ENDED YEAR ENDED
DECEMBER 31, 1999(2) SEPTEMBER 30, 1999 MARCH 31, 2000(2) SEPTEMBER 30, 1999
----------------------------------------------- -----------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ------------ ---------- ------------- ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 180,584 $ 1,805,837 1,850,751 $ 18,507,512 5,271,214 $ 52,712,143 5,332,928 $ 53,329,280
Reinvested 19,566 195,665 117,139 1,171,387 555,642 5,556,417 1,162,241 11,622,407
Stock Split1 -- -- (9,097) -- -- -- (87,449) --
Redeemed (2,375,585) (23,755,849) (1,283,691) (12,836,915) (3,538,857) (35,388,571)(3,970,685) (39,706,846)
---------- ------------ ---------- ------------- ---------- ------------ --------- ------------
Net Increase
(Decrease) (2,175,435)$(21,754,347) 675,102 $ 6,841,984 2,287,999 $ 22,879,989 2,437,035 $ 25,244,841
========== ============ ========== ============ ========== ============ ========= ============
</TABLE>

<TABLE>
<CAPTION>
INSTITUTIONAL SERVICE CLASS SHARES5 INVESTMENT CLASS SHARES(4) (FORMERLY SERVICE CLASS)
----------------------------------------------- ---------------------------------------------------
FOR THE SIX FOR THE PERIOD FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
MARCH 31, 2000(2) SEPTEMBER 30, 1999 MARCH 31, 2000(2) SEPTEMBER 30, 1999
----------------------------------------------- -----------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 1,120,019 $11,200,191 8,620,987 $ 86,209,870 2,895,163 $ 28,951,632 1,822,089 $18,220,889
Reinvested 317,054 3,170,546 483,386 4,833,857 84,227 842,269 52,812 528,121
Stock Split(1) -- -- (28,473) -- -- -- (1,407) --
Redeemed (1,377,329) (13,773,287) (3,096,018) (30,960,184) (1,631,543) (16,315,430) (204,066) (2,040,656)
---------- ----------- ---------- ------------- ---------- ------------ --------- -----------
Net Increase 59,744 $ 597,450 5,979,882 $ 60,083,543 1,347,847 $ 13,478,471 1,669,428 $16,708,354
========== =========== ========== ============ ========== ============ ========= ===========

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

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

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)

PRINCIPAL
AMOUNT SECURITY VALUE

ASSET-BACKED SECURITIES - 19.3%
American Express Credit Card,
$ 2,000,000 7.60%, 8/15/02 ...................... $ 2,012,450
1,000,000 5.90%, 4/15/04 ...................... 966,365
550,000 5.95%, 12/15/06 ..................... 526,886
AT&T Master Trust 1995,
2,000,000 5.95%, 10/17/02 ..................... 1,992,770
California Infrastructure PG&E,
3,000,000 6.38%, 9/25/08 ...................... 2,885,385
2,000,000 6.42%, 9/25/08 ...................... 1,928,210
Capital Auto Receivables Asset
Trust,
1,000,000 5.68%, 8/15/04 ...................... 979,065
Capital One,
2,000,000 5.43%, 1/15/07 ...................... 1,883,210
Carco Auto Loan Master Trust,
500,000 5.78%, 3/15/02 ...................... 485,397
Chase Credit Master Trust,
1,000,000 6.30%, 4/15/03 ...................... 999,585
1,500,000 6.00%, 8/15/05 ...................... 1,454,932
250,000 6.66%, 1/15/07 ...................... 244,394
300,000 7.09%, 2/15/09 ...................... 300,186
Chase Manhattan,
300,000 7.407%, 9/25/11 ..................... 293,344
Citibank Credit Card Master
Trust,
2,000,000 5.85%, 4/10/03 ...................... 1,975,050
650,000 5.80%, 5/15/08 ...................... 614,331
1,000,000 5.875%, 3/10/11 ..................... 909,235
COMED Transitional Funding Trust,
1,000,000 5.44%, 3/25/07 ...................... 933,285
Discover Card Master Trust,
2,000,000 5.80%, 9/16/03 ...................... 1,980,000
1,000,000 5.85%, 1/17/06 ...................... 960,425
1,000,000 5.60%, 5/16/06 ...................... 948,925
2,000,000 6.20%, 5/16/06 ...................... 1,941,050
EQCC Home Equity Loan Trust,
323,714 6.54%, 4/15/11 ...................... 323,797
First Bank Corporate Card Master
Trust,
3,000,000 6.40%, 2/15/03 ...................... 2,960,715
First USA Credit Card Master
Trust,
5,000,000 6.42%, 3/17/05 ...................... 4,931,625
1,000,000 5.28%, 9/18/06 ...................... 938,905
2,000,000 5.911%, 1/17/07 ..................... 2,000,230
Fleet Credit Card Master Trust,
2,000,000 6.00%, 11/15/05 ..................... 1,944,070
250,000 6.90%, 4/16/07 ...................... 247,654
Ford Credit Auto Loan Master
Trust,
3,000,000 6.50%, 8/15/02 ...................... 2,999,715
MBNA Master Credit Trust,
250,000 6.40%, 1/18/05 ...................... 246,344
3,000,000 6.55%, 1/15/07 ...................... 2,933,985
450,000 6.60%, 4/16/07 ...................... 440,363
2,000,000 5.971%, 11/17/08 .................... 2,002,650
850,000 5.90%, 8/15/11 ...................... 777,780
1,250,000 7.00%, 2/15/12 ...................... 1,231,681
NationsBank Credit Card Master
Trust,
3,000,000 6.00%, 12/15/05 ..................... 2,890,995
Premier Auto Trust,
2,000,000 5.96%, 10/8/02 ...................... 1,970,650
750,000 5.82%, 12/6/02 ...................... 739,361
1,000,000 5.19%, 4/8/03 ....................... 967,165
Prime Credit Card Master Trust,
2,000,000 6.75%, 11/15/05 ..................... 1,979,710
Providian Master Trust,
1,000,000 6.25%, 6/15/07 ...................... 980,105
200,000 7.49%, 8/17/09 ...................... 202,375
Sears Credit Account Master
Trust,
1,000,000 5.80%, 8/15/05 ...................... 989,905
1,000,000 6.05%, 1/15/08 ...................... 970,215
500,000 5.65%, 3/17/09 ...................... 474,472
Standard Credit Card Master
Trust,
700,000 5.95%, 10/7/04 ...................... 673,375
Superior Wholesale Inventory
Financing Tr,
2,000,000 5.505%, 5/15/06 ..................... 1,997,710

See Notes to Financial Statements.

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

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)

PRINCIPAL
AMOUNT SECURITY VALUE
Toyota Auto Lease Trust,
$ 2,000,000 6.35%, 4/26/04 ..................... $ 1,989,360
West Penn Funding LLC,
750,000 6.98%, 12/26/08 .................... 736,909
----------
TOTAL ASSET-BACKED SECURITIES
(Cost $70,844,708) ............................. 68,756,301
----------
CORPORATE DEBT - 26.6%
FINANCIAL SERVICES - 11.7%
Abbey National PLC,
200,000 6.69%, 10/17/05 .................... 190,741
ABN Amro Bank,
1,000,000 7.55%, 6/28/06 ..................... 1,000,850
200,000 7.125%, 6/18/07 .................... 194,528
Allstate Corp.,
250,000 7.20%, 12/1/09 ..................... 239,570
American General Finance,
1,000,000 5.90%, 1/15/03 ..................... 966,730
Asian Development Bank,
1,000,000 5.75%, 5/19/03 ..................... 963,390
Associates Corp.,
1,000,000 9.125%, 4/1/00 ..................... 1,000,000
Bank America Corp.,
300,000 7.50%, 10/15/02 .................... 300,969
1,000,000 6.625%, 6/15/04 .................... 972,660
400,000 7.125%, 5/12/05 .................... 392,850
Bank of New York,
200,000 7.30%, 12/1/09 ..................... 196,139
Barclays Bank PLC,
140,000 7.40%, 12/15/09 .................... 137,703
Bear Stearns Co.,
300,000 6.15%, 3/2/04 ...................... 284,672
Chase Manhattan Corp.,
2,000,000 7.125%, 2/1/07 ..................... 1,959,570
Chrysler Financial Corp.,
200,000 6.95%, 3/25/02 ..................... 198,563
CIT Group,
500,000 5.50%, 2/15/04 ..................... 467,453
150,000 7.125%, 10/15/04 ................... 148,086
CNA Financial,
1,000,000 6.45%, 1/15/08 ..................... 892,951
Commercial Credit Co.,
90,000 7.375%, 3/15/02 .................... 90,000
Federal National Mortgage
Assoc.,
1,000,000 5.98%, 9/15/08 ..................... 945,495
First Union National Bank,
300,000 7.125%, 10/15/06 ................... 292,131
Fleet Financial Group,
200,000 7.375%, 12/1/09 .................... 195,324
Ford Motor Credit,
375,000 9.00%, 9/15/01 ..................... 383,216
4,000,000 6.19%, 10/15/02 .................... 4,018,983
2,000,000 6.00%, 1/14/03 ..................... 1,929,250
200,000 7.25%, 1/15/03 ..................... 198,885
250,000 6.70%, 7/16/04 ..................... 243,195
700,000 7.375%, 10/28/09 ................... 686,931
General Electric Capital Corp.,
500,000 8.625%, 6/15/08 .................... 539,668
General Motors Acceptance
Corp.,
1,300,000 6.875%, 7/15/01 .................... 1,294,344
2,000,000 5.895%, 12/17/01 ................... 2,007,834
500,000 6.625%, 1/10/02 .................... 493,900
1,000,000 6.75%, 3/15/03 ..................... 974,886
1,000,000 7.125%, 5/1/03 ..................... 990,220
Goldman Sachs Group,
175,000 6.65%, 5/15/09 ..................... 162,443
200,000 7.35%, 10/1/09 ..................... 194,560
Heller Financial,
150,000 6.00%, 3/19/04 ..................... 141,975
Household Finance Co.,
1,000,000 8.375%, 11/15/01 ................... 1,013,940
400,000 6.00%, 5/1/04 ...................... 379,234
Household Netherlands BV,
250,000 6.20%, 12/1/03 ..................... 239,039
International Lease Finance
Corp.,
200,000 6.375%, 2/15/02 .................... 196,875
J.P. Morgan, Inc.,
1,000,000 6.70%, 11/1/07 ..................... 943,055
John Deere Capital,
250,000 6.00%, 2/15/09 ..................... 220,532
KFW International Finance,
120,000 8.20%, 6/1/06 ...................... 124,215
Lehman Brothers, Inc.
400,000 7.25%, 4/15/03 ..................... 395,128
Lehman Brothers Holdings, Inc.
195,000 7.00%, 5/15/03 ..................... 190,542
400,000 6.125%, 7/15/03 .................... 382,085
150,000 7.75%, 1/15/05 ..................... 149,919
150,000 7.875%, 11/1/09 .................... 149,620
McDonald's Corp.,
2,000,000 6.50%, 8/1/07 ...................... 1,932,624
Mellon Financial, Co.,
1,000,000 6.375%, 2/15/10 .................... 915,452
Merrill Lynch & Co.,
1,000,000 6.00%, 2/12/03 ..................... 963,751
500,000 6.875%, 3/1/03 ..................... 491,110

See Notes to Financial Statements.
--------------------------------------------------------------------------------
18

<PAGE>

PreservationPlus Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)

PRINCIPAL
AMOUNT SECURITY VALUE
Morgan Stanley Group,
$ 750,000 8.33%, 1/15/07 ..................... $ 775,105
1,250,000 6.875%, 3/1/07 ..................... 1,203,939
NationsBank,
1,000,000 5.75%, 3/15/01 ..................... 987,766
Norwest Corp.,
1,000,000 8.15%, 11/1/01 ..................... 1,012,861
Rockwell International,
2,000,000 6.15%, 1/15/08 ..................... 1,837,068
Society National Bank,
200,000 7.25%, 6/1/05 ...................... 195,378
Toyota Motor Credit,
500,000 5.50%, 12/15/08 .................... 453,950
Transamerica Finance Corp.,
150,000 6.125%, 11/1/01 .................... 146,844
----------
41,590,697
----------
INDUSTRIAL - 7.5%
Abbott Labs,
1,000,000 6.40%, 12/1/06 ..................... 973,430
Amoco Canada,
600,000 7.25%, 12/1/02 ..................... 602,133
Anheuser Busch,
2,000,000 9.00%, 12/1/09 ..................... 2,247,948
BP America , Inc.,
1,000,000 7.875%, 5/15/02 .................... 1,013,832
Cambell,
150,000 6.15%, 12/1/02 ..................... 146,434
Caterpillar,
100,000 7.25%, 9/15/09 ..................... 98,510
Conoco,
250,000 5.90%, 4/15/04 ..................... 238,000
360,000 6.35%, 4/15/09 ..................... 335,984
DaimlerChrysler,
425,000 7.20%, 9/1/09 ...................... 415,595
Diageo Captial PLC,
1,000,000 6.125%, 8/15/05 .................... 945,690
E.I. duPont de Nemours Co.,
2,000,000 9.15%, 4/15/00 ..................... 2,001,160
300,000 6.875%, 10/15/09 ................... 291,175
GTE Southwest,
1,000,000 6.54%, 12/1/05 ..................... 962,837
1,000,000 6.23%, 1/1/07 ...................... 936,780
Hanson Overseas,
2,000,000 6.75%, 9/15/05 ..................... 1,913,380
IBM Corp.,
125,000 5.10%, 11/10/03 .................... 117,519
300,000 5.375%, 2/1/09 ..................... 265,830
Lucent Technologies, Inc.,
1,000,000 5.50%, 11/15/08 .................... 890,541
Mattel, Inc.,
750,000 6.125%, 7/15/05 .................... 676,826
Proctor & Gamble,
1,000,000 5.25%, 9/15/03 ..................... 941,265
Rohm & Haas Co,
150,000 6.95%, 7/15/04 ..................... 148,221
Sears Roebuck,
500,000 6.125%, 1/15/06 .................... 460,157
Sears Roebuck Acceptance Corp.,
2,000,000 7.00%, 6/15/07 ..................... 1,906,142
Sony Corp.,
1,000,000 6.125%, 3/4/03 ..................... 973,835
TCI Communications, Inc.,
1,000,000 8.65%, 9/15/04 ..................... 1,051,615
Texaco Capital, Inc.,
1,500,000 8.50%, 2/15/03 ..................... 1,545,735
TRW,
1,000,000 6.05%, 1/15/05 ..................... 932,215
United Technology Corp,
200,000 7.00%, 9/15/06 ..................... 197,185
Wal-Mart Stores,
1,890,000 9.10%, 7/15/00 ..................... 1,901,255
100,000 6.50%, 6/1/03 ...................... 98,450
300,000 6.875%, 8/10/09 .................... 292,362
Walt Disney Co.,
1,000,000 6.75%, 3/30/06 ..................... 976,685
Weyerhaeuser Co.,
250,000 7.25%, 7/1/13 ...................... 246,403
----------
26,745,129
----------
OTHER - 3.9%
Citibank Credit Card Master Trust,
1,500,000 6.65%, 11/15/06 .................... 1,464,638
DHMT 1998 - 1 A,
2,000,000 5.90%, 5/25/06 ..................... 1,923,130
Electronic Data Systems,
150,000 6.85%, 10/15/04 .................... 148,224
115,000 7.125%, 10/15/09 ................... 112,840
Federal Farm Credit Bank,
2,000,000 5.233%, 5/17/01 .................... 1,998,836
InterAmerican Development Bank,
1,750,000 8.50%, 5/1/01 ...................... 1,781,138
200,000 6.125%, 10/4/02 .................... 195,952
150,000 6.50%, 10/20/04 .................... 147,006
1,000,000 6.125%, 3/8/06 ..................... 953,992
750,000 5.375%, 11/18/08 ................... 663,329

See Notes to Financial Statements.
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19

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PreservationPlus Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)

PRINCIPAL
AMOUNT SECURITY VALUE
International Bank for
Reconstruction & Development,
$ 1,000,000 5.625%, 3/17/03 .................... $ 964,240
Peco Energy Transition Trust,
1,200,000 6.13%, 3/1/09 ...................... 1,105,134
Sallie Mae,
2,000,000 5.653%, 6/8/01 ..................... 2,001,818
Whitman Corp.,
160,000 6.00%, 5/1/04 ...................... 151,230
Xerox Capital Europe PLC,
150,000 5.875%, 5/15/04 .................... 140,952
----------
13,752,459
----------
UTILITY - 3.5%
AT&T Corp.,
1,000,000 5.625%, 3/15/04 .................... 942,518
Atlantic Richfield,
375,000 5.55%, 4/15/03 ..................... 359,535
Central & Southwest Corp.,
1,000,000 7.25%, 10/1/04 ..................... 994,555
Chesapeake & Potomac Telephone,
800,000 7.125%, 1/15/02 .................... 798,984
Chevron Corp.,
250,000 6.625%, 10/1/04 .................... 245,058
Consolidated Natural Gas,
2,000,000 6.625%, 12/1/08 .................... 1,857,470
Cox Communications,
200,000 6.15%, 8/1/03 ...................... 191,266
GTE North, Inc.,
1,000,000 5.65%, 11/15/08 .................... 884,605
Illinois Power,
400,000 5.54%, 6/25/09 ..................... 365,206
MCI Worldcom,
400,000 6.25%, 8/15/03 ..................... 388,540
Peco Energy Transition Trust,
1,745,000 6.05%, 3/1/09 ...................... 1,618,374
VF Corp.,
1,000,000 9.50%, 5/1/01 ...................... 1,023,124
Virginia Electric Power,
1,000,000 6.75%, 2/1/07 ...................... 958,490
Wisconsin Electric Power,
1,000,000 7.25%, 8/1/04 ...................... 997,191
Wisconsin Power & Light,
570,000 7.00%, 6/15/07 ..................... 560,201
----------
12,185,117
----------
TOTAL CORPORATE DEBT
(Cost $98,622,363) ............................. 94,273,402
----------
FOREIGN DEBT - 2.2%
Ahold Finance USA,
150,000 6.25%, 5/1/09 ...................... 135,218
Alberta Providence,
1,000,000 9.25%, 4/1/00 ...................... 1,001,400
Asian Development Bank,
100,000 6.50%, 10/21/02 .................... 98,621
Canada Government,
200,000 6.375%, 11/30/04 ................... 194,607
1,000,000 5.25%, 11/5/08 ..................... 891,405
Corp Andina de Fomento,
125,000 7.75%, 3/1/04 ...................... 123,996
Deutsche Ausgleichsbank,
275,000 6.50%, 9/15/04 ..................... 269,278
Dresdner Bank,
300,000 6.625%, 9/15/05 .................... 287,060
HSBC Americas,
125,000 6.625%, 3/1/09 ..................... 117,951
HSBC Holding PLC,
340,000 7.50%, 7/15/09 ..................... 338,773
Italy Global Bond,
350,000 6.00%, 9/27/03 ..................... 338,880
Kingdom of Sweden,
350,000 6.50%, 3/4/03 ...................... 345,191
National Westminister Bank,
200,000 7.375%, 10/1/09 .................... 195,794
Nippon Telegraph & Telephone,
150,000 6.00%, 3/25/08 ..................... 139,201
Province of Ontario,
500,000 7.375%, 1/27/03 .................... 501,814
1,000,000 6.00%, 2/21/06 ..................... 939,704
Province of Quebec,
500,000 7.00%, 1/30/07 ..................... 488,002
150,000 5.75%, 2/15/09 ..................... 134,457
Republic of Chile,
75,000 6.875%, 4/28/09 .................... 69,413
Republic of Finland,
550,000 7.875%, 7/28/04 .................... 568,351
Republic of Ireland,
300,000 7.875%, 12/1/01 .................... 304,012
Republic of Portugal,
150,000 5.75%, 10/8/03 ..................... 144,308
Santander Financial Issuances,
150,000 7.00%, 4/1/06 ...................... 144,604
Westdeutsche Landesbank,
125,000 6.05%, 1/15/09 ..................... 113,461
----------
TOTAL FOREIGN DEBT
(Cost $8,251,826) .............................. 7,885,501
----------

See Notes to Financial Statements.
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PreservationPlus Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)

PRINCIPAL
AMOUNT SECURITY VALUE

MORTGAGE BACKED SECURITIES - 26.3%
FGLMC Gold,
1,993,468 6.00%, 5/1/29 ...................... $ 1,817,330
FHLMC,
1,000,000 6.25%, 10/15/02 .................... 983,436
750,000 6.25%, 7/15/04 ..................... 727,390
2,000,000 7.00%, 11/1/08 ..................... 1,920,630
150,000 6.625%, 9/15/09 .................... 144,501
FHLMC Gold,
500,000 5.75%, 3/15/09 ..................... 452,954
890,788 5.50%, 11/1/13 ..................... 821,191
883,171 6.00%, 12/1/13 ..................... 831,959
123,705 7.50%, 4/1/27 ...................... 121,955
249,834 7.50%, 6/1/27 ...................... 246,300
47,339 7.50%, 10/1/27 ..................... 46,670
2,898,755 6.00%, 12/1/28 ..................... 2,642,629
2,725,602 6.50%, 12/1/28 ..................... 2,562,225
FHLMC TBA,
1,000,000 7.50%, 5/1/07 ...................... 999,060
1,000,000 6.00%, 4/1/08 ...................... 940,310
1,000,000 6.50%, 11/1/08 ..................... 960,622
2,000,000 6.50%, 11/1/08 ..................... 1,921,185
2,000,000 7.50%, 5/1/22 ...................... 1,964,370
2,000,000 7.50%, 5/1/22 ...................... 1,966,870
4,000,000 7.00%, 3/1/23 ...................... 3,843,740
3,000,000 6.50%, 11/2/23 ..................... 2,812,491
FNCL,
534,902 6.50%, 1/1/14 ...................... 515,009
771,057 7.00%, 2/1/14 ...................... 757,317
951,208 6.00%, 12/1/28 ..................... 866,189
988,293 6.50%, 12/1/28 ..................... 931,466
933,597 6.00%, 12/15/28 .................... 854,531
825,847 7.00%, 1/1/29 ...................... 794,302
957,338 6.50%, 1/15/29 ..................... 903,511
2,422,884 6.50%, 2/1/29 ...................... 2,272,980
2,451,773 6.50%, 2/1/29 ...................... 2,300,082
2,477,333 6.50%, 2/1/29 ...................... 2,324,061
914,315 7.00%, 3/1/29 ...................... 879,452
3,909,730 6.00%, 7/1/29 ...................... 3,560,278
2,962,210 6.50%, 8/1/29 ...................... 2,777,072
984,829 6.50%, 11/1/29 ..................... 923,277
FNMA,
700,000 6.25%, 11/15/02 .................... 687,859
1,000,000 6.50%, 8/15/04 ..................... 978,358
422,324 6.50%, 5/1/05 ...................... 413,324
388,784 6.50%, 6/1/05 ...................... 380,499
1,000,000 5.25%, 1/15/09 ..................... 875,238
323,419 7.00%, 9/1/12 ...................... 317,945
1,887,738 8.00%, 5/1/17 ...................... 1,900,977
100,390 8.50%, 1/1/20 ...................... 102,873
1,284,016 8.00%, 12/1/21 ..................... 1,293,134
1,000,000 6.50%, 4/1/23 ...................... 936,560
358,085 8.00%, 12/1/23 ..................... 360,627
822,083 6.50%, 10/1/27 ..................... 771,713
FNMA TBA,
1,000,000 7.00%, 9/1/06 ...................... 981,580
2,000,000 6.50%, 11/1/07 ..................... 1,921,870
2,000,000 6.00%, 4/1/08 ...................... 1,879,994
7,000,000 7.00%, 9/1/21 ...................... 6,722,170
4,000,000 7.50%, 9/1/21 ...................... 3,926,084
1,000,000 7.50%, 4/1/23 ...................... 999,685
GNMA,
327,039 9.00%, 11/15/20 .................... 339,352
528,638 8.00%, 5/15/22 ..................... 537,180
198,602 8.50%, 2/15/23 ..................... 204,061
258,543 8.50%, 4/15/23 ..................... 265,650
225,154 8.50%, 8/15/28 ..................... 230,992
558,669 6.50%, 10/15/28 .................... 527,244
337,753 6.50%, 11/15/28 .................... 318,754
39,463 6.50%, 1/15/29 ..................... 37,219
1,957,384 6.50%, 2/15/29 ..................... 1,847,329
846,418 6.00%, 7/15/29 ..................... 775,155
1,000,000 6.50%, 5/1/08 ...................... 965,622
GNMA TBA,
2,000,000 8.00%, 8/1/21 ...................... 2,021,870
6,000,000 7.00%, 9/1/21 ...................... 5,803,110
5,000,000 7.50%, 9/1/21 ...................... 4,954,675
----------
TOTAL MORTGAGE BACKED SECURITIES
(Cost $95,518,099) ............................. 93,666,048
----------
U.S. TREASURY SECURITIES - 5.5%
U.S. Treasury Note,
1,000,000 5.25%, 5/31/01 ..................... 985,938
11,450,000 5.75%, 8/15/03 ..................... 11,231,740
200,000 5.875%, 2/15/04 .................... 196,719
500,000 5.25%, 5/15/04 ..................... 480,157
4,975,000 7.25%, 5/15/04 ..................... 5,130,469
1,500,000 5.625%, 5/15/08 .................... 1,441,756
----------
TOTAL U.S. TREASURY SECURITIES
(Cost $19,726,542) ............................. 19,466,779
----------

See Notes to Financial Statements.
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PreservationPlus Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 2000 (Unaudited)

PRINCIPAL
AMOUNT/
SHARES SECURITY VALUE

SHORT-TERM INSTRUMENTS - 29.1%
MUTUAL FUND - 23.2%
Institutional Cash Management
82,483,144 Fund ............................... $ 82,483,144
----------
U. S. GOVERNMENT - 5.9%
U.S. Treasury Bill,
$16,000,000 5.22%, 4/13/00 ..................... 15,978,800
5,000,000 5.90%, 4/20/00 ..................... 4,986,140
----------
.................................................. 20,964,940
----------
TOTAL SHORT-TERM INSTRUMENTS
(Cost $103,447,297) ............................ 103,448,084
===========
TOTAL INVESTMENTS
(Cost $396,410,835) .................... 109.0% $387,496,115
------------
WRAPPER AGREEMENTS1 - 4.0%
Bank of America NT&SA ............................. 3,559,107
National Westminster Bank PLC ..................... 3,098,906
Credit Suisse FinancialProducts ................... 3,098,906
Transamerica LifeInsurance &Annuity Co. ........... 3,610,241
----------
TOTAL WRAPPER AGREEMENTS .......................... 13,367,160
----------
LIABILITIES IN EXCESS OF OTHER ASSETS ............. (45,379,281)
----- -----------
NET ASSETS ............................... 100.0% $355,483,994
===== ============

--------------------------------------------------------------------------------
(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.
FNMA -- Federal National Mortgage Association
FNCL -- Federal National Mortgage Association Class Loan
GNMA -- Government National Mortgage Association
TBA -- To be announced securities. TBA's represent firm commitments of the
Portfolio for securities authorized for issuance but not yet actually
issued.

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

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PreservationPlus Portfolio

--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

AS OF
MARCH 31, 2000
ASSETS
Investment at Value (Cost of $396,410,835) .................. $387,496,115
Interest Receivable ......................................... 3,227,633
Receivable for Securities Sold .............................. 35,452,504
Wrapper Agreements .......................................... 13,367,160
------------
Total Assets ................................................... 439,543,412
------------
LIABILITIES
Payable for Securities Purchased ............................ 83,883,935
Due To Bankers Trust ........................................ 6,281
Accrued Expenses and Other .................................. 169,202
------------
Total Liabilities .............................................. 84,059,418
------------
NET ASSETS ..................................................... $355,483,994
============
COMPOSITION OF NET ASSETS
Paid in Capital ............................................. $354,951,380
Net Unrealized Appreciation/Depreciation on
Investments and Wrapper Agreements ........................ 532,614
------------
NET ASSETS ..................................................... $355,483,994
============

See Notes to Financial Statements.
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PreservationPlus Portfolio
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS (Unaudited)

FOR THE SIX
MONTHS ENDED
MARCH 31, 2000
INVESTMENT INCOME
Interest Income ............................................. $10,556,068
Credited Rate Interest ...................................... 393,196
-----------
Total Investment Income ........................................ 10,949,264
-----------
EXPENSES
Advisory Fees ............................................... 585,378
Wrapper Fees ................................................ 185,038
Administration and Service Fees ............................. 90,457
Professional Fees ........................................... 7,133
Trustees Fees ............................................... 820
Miscellaneous ............................................... 414
-----------
Total Expenses ................................................. 869,240
Less: Fee Waivers or Expense Reimbursements .................... (236,041)
-----------
Net Expenses ................................................... 633,199
-----------
NET INVESTMENT INCOME .......................................... 10,316,065
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND WRAPPER AGREEMENTS
Realized Loss from Investment Transactions .................. (535,235)
Net Change in Unrealized Appreciation/
Depreciation on Investments ............................... (3,385,725)
Net Change in Unrealized Appreciation/
Depreciation on Wrapper Agreements ........................ 3,920,960
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
WRAPPER AGREEMENTS .......................................... --
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................... $10,316,065
===========

See Notes to Financial Statements.

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24

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

<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
MARCH 31, 2000(1) SEPT. 30, 1999
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 10,316,065 $ 16,199,271
Net Realized Loss on Investments (535,235) (2,122,205)
Net Change in Unrealized Appreciation/Depreciation
on Investments (3,385,725) (9,468,496)
Net Change in Unrealized Appreciation/Depreciation
on Wrapper Agreements 3,920,960 11,590,701
------------ -------------
Net Increase in Net Assets from Operations 10,316,065 16,199,271
------------ -------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested 63,185,762 210,131,938
Value of Capital Withdrawn (58,773,626) (118,126,797)
------------ -------------
Net Increase in Net Assets from Capital Transactions 4,412,136 92,005,141
------------ -------------
TOTAL INCREASE IN NET ASSETS 14,728,201 108,204,412
NET ASSETS
Beginning of Period 340,755,793 232,551,381
------------ -------------
End of Period $355,483,994 $ 340,755,793
============ =============

---------------------------------------------------------------------------------------------------------
<FN>
(1) Unaudited.
</FN>
</TABLE>

See Notes to Financial Statements.
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PreservationPlus Portfolio
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FINANCIAL HIGHLIGHTS

Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the PreservationPlus Portfolio.

FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
MARCH 31, 2000(1) SEPT. 30, 1999
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted) $355,484 $340,756
Ratios to Average Net Assets:
Net Investment Income 5.69%(2) 5.57%
Expenses After Waivers 0.35%(2) 0.35%
Expenses Before Waivers 0.64%(2) 0.50%
Portfolio Turnover Rate 258% 291%

--------------------------------------------------------------------------------
(1) Unaudited.
(2) Annualized.

See Notes to Financial Statements.
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PreservationPlus Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)

NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The PreservationPlus Portfolio (the "Portfolio"), a series of BT Investment
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. SECURITY VALUATION
Debt securities (other than short-term debt obligations maturing in 60 days or
less), including listed securities and securities for which price quotations are
available, will normally be valued on the basis of market valuations furnished
by a pricing service. Such market valuations may represent the last quoted price
on the securities' major trading exchange or quotes received from dealers or
market makers in the relevant securities or may be determined through the use of
matrix pricing. In matrix pricing, pricing services may use various pricing
models involving comparable securities, historic relative price movements,
economic factors and dealer quotations. Over-the-counter securities 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. SECURITY TRANSACTIONS AND INTEREST INCOME
Security 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 security
transactions are recorded on the identified cost basis. The credited rate
interest represents the actual interest earned on covered assets under the
Portfolio's Wrapper Agreements 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 under "Security Valuation" above.

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

F. OTHER The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires management to make
estimates and assumptions that affect the reported amounts in the financial
statements. Actual results could differ from those estimates.

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

--------------------------------------------------------------------------------
27

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PreservationPlus Portfolio
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)

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 Fund.

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

The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust Company. The Cash Management Fund is offered as a cash management option
to the Portfolio and other accounts managed by Bankers Trust. Distributions from
the Cash Management Fund to the Portfolio for the six months ended March 31,
2000 amounted to $2,643,453, and are included in dividend income.

At March 31, 2000, the Portfolio was a participant with other affiliated
entities in a revolving credit facility in the amount of $150,000,000, which
expires April 29, 2000. A commitment fee on the average daily amount of the
available commitment is payable on a quarterly basis and apportioned among all
participants, based on net assets. No amounts were drawn down or outstanding for
this Portfolio under the credit facility for the six months ended March 31,
2000. Subsequent to March 31, 2000, the revolving credit facility was renewed
and increased to $200,000,000, which expires April 27, 2001.

NOTE 3--PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 2000, were
$369,997,054 and $369,844,838, respectively.

For federal income tax purposes, the tax basis of investments held at March 31,
2000, was $396,410,835. The aggregate gross unrealized appreciation was
$181,525, and the aggregate gross unrealized depreciation for all investments
was $9,096,245 as of March 31, 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.

--------------------------------------------------------------------------------
28

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[THIS PAGE INTENTIONALLY LEFT BLANK]

<PAGE>

[THIS PAGE INTENTIONALLY LEFT BLANK]

<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.

PreservationPlus Fund PreservationPlus CUSIP #055847834
BT Pyramid Mutual Funds #055847826
#055847818
COMBPLUSSA (03/00)

Distributed by:
ICC Distributors, Inc.