AMT Capital Fund, Inc.
Money Market Portfolio
Annual Report
December 31, 1996
AMT Capital Services, Inc.
600 Fifth Avenue, New York, New York 10020
Telephone (212) 332-5211 Long Distance (800) 762-4848
Facsimile (212) 332-5190
AMT Capital Fund, Inc.
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President's Letter
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February 28, 1997
Dear Shareholder:
We are pleased to present the Annual Report for the AMT Capital Fund,
Inc. for the fiscal year ended December 31, 1996. The Money Market Portfolio
ended its third year of operations with continued strong performance. It
outperformed its benchmark, the IBC/Donoghue's Money Market Fund Average, by 8
basis points for the year and by 28 basis points since inception (annualized).
We greatly appreciate your continued investment in the Portfolio and welcome
the opportunity to answer your questions regarding the report or any other
matter in which we can be of assistance.
Sincerely,
/s/ Alan M. Trager
Alan M. Trager
President
AMT Capital Fund, Inc.
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Money Market Portfolio - Table of Contents
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Overview ............................................................... 1
Statement of Net Assets................................................. 2
Statement of Operations................................................. 4
Statement of Changes in Net Assets...................................... 5
Financial Highlights.................................................... 6
Notes to Financial Statements........................................... 7
The Money Market Portfolio provided a total return of 5.18% for the one-
year period ending December 31, 1996, continuing its record of outperforming
its benchmark, the IBC/Donoghue's Money Market Fund Average, in every month
since inception, and by 8 basis points for this twelve-month period. The
seven-day yield as of December 31, 1996 was 5.06% versus the seven-day yield
of the IBC/Donoghue's Money Market Fund Average of 4.90%. The Portfolio
invests in high-quality, short-term money market instruments. Its objective
is to seek current income, liquidity and the maintenance of a stable net asset
value. Net assets were $25 million as of December 31, 1996.
Review of the Fixed Income Markets in 1996
The year began with high investor expectations after the phenomenal
returns realized in 1995. Many investors anticipated that the Federal Reserve
would decrease the Federal funds rate at least three times and they also
looked forward to Congress passing a balanced budget amendment. Instead, the
balanced budget amendment failed and the Federal Reserve made only one rate
cut of 25 basis points on January 31, 1996. Overall, compared to 1995 (one of
the best bond markets in history), 1996 was a disappointing year for fixed
income investors. The first and second quarters produced negative returns
across virtually all market sectors. While the market rebounded in the third
and fourth quarters, the overall gains for the year were modest. The mortgage
sector led the U.S. market in total return, followed closely by corporates and
Treasuries. Global investors fared better, as non-U.S. securities
outperformed domestic securities. Italy, Spain, Sweden, and Canada posted the
largest gains in local currency terms.
The most significant trend in the fixed income markets during 1996 was
the spread compression that occurred in virtually all areas of the capital
markets, including investment grade corporates, high yield corporates,
emerging market obligations, asset-backed and mortgage-backed securities.
Significantly higher equity valuations, improving credit quality fundamentals,
and strong investor demand all contributed to tightening spreads during the
year.
Interest rates were volatile but remained within a range for most of the
year as the market waited for economic data to either confirm or refute
expectations of economic growth and inflation. Market participants reacted
quickly and strongly to continually surprising economic statistics, which was
reflected in the volatility of Treasury yields.
Portfolio Positioning
Throughout the first half of the year short duration positions or
positions held near the duration of the benchmark assisted the Portfolio in
outperforming its benchmark. During the fourth quarter, declining interest
rates and conflicting economic data made for a volatile market, and presented
numerous opportunities for both duration and yield curve changes. Taking
advantage of the declining rate environment, the Portfolio's duration was
predominantly longer than that of the benchmark.
Outlook
Economic growth during the fourth quarter was very solid, with minimal
inflationary pressures. Strength in several sectors of the economy, including
trade, construction, and manufacturing, more than offset slowing personal
consumption. The major issue for 1997 will be whether the economy continues
its upward momentum, and if this continuing growth will raise investors' fear
of inflation. The market is divided on this question, as evidenced by implied
forward rates along the yield curve. The Portfolio began the new year neutral
in duration but poised to move shorter if signs of a stronger economy emerge.
AMT Capital Fund, Inc. - Money Market Portfolio
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Statement of Net Assets
December 31, 1996
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Face Amount Value
----------- -----------
Asset- Backed Securities - 4.7%
NationsBank Auto Owner Trust, Series 1996-A,
Class A1, 5.776% due 8/15/97 $ 336,137 $ 336,296
Norwest Automobile Trust, Series 1996-A,
Class A1, 5.465% due 12/5/97 854,088 854,088
Total (Cost - $1,190,384) 1,190,384
Bank Obligations - 32.8%
Bank of Boston (Nassau) Time Deposit,
5.250% due 1/2/97 1,207,000 1,207,000
Bank of Montreal Yankee CD, 5.500% due 1/3/97 1,000,000 1,000,000
Bankers Trust Company CD, 5.420% due 5/23/97 1,000,000 1,000,000
Bayerische Landesbank Eurodollar CD,
5.500% due 4/18/97 1,000,000 1,000,012
Bayerische Vereinsbank Yankee CD,
5.410% due 2/21/97 1,000,000 1,000,014
Mellon Bank N.A. CD, 5.550% due 1/28/97 1,000,000 1,000,000
Morgan Guaranty Trust Eurodollar CD,
5.400% due 1/8/97 1,000,000 1,000,000
Republic National Bank of New York CD,
5.510% due 4/1/97 1,000,000 1,000,010
Total (Cost - $8,207,036) 8,207,036
Commercial Paper - 43.6%*
Abbey National N.A., 5.440% due 3/26/97 1,000,000 987,307
American Brands, Inc., 5.320% due 1/14/97 1,000,000 998,079
Banc One Corp., 5.310% due 1/6/97 1,000,000 999,263
Bayer Corp., 5.350% due 3/17/97 1,000,000 988,854
Canadian Government, 5.255% due 5/7/97 1,000,000 981,607
Ciesco L.P., 5.320% due 1/15/97 1,000,000 997,784
Daimler Benz N.A. Corp., 5.390% due 1/15/97 1,000,000 997,904
Falcon Asset Securitization, 5.390% due 1/21/97 1,000,000 997,004
General Electric Capital Corp., 5.620% due 3/5/97 1,000,000 990,165
Glaxo Wellcome plc, 5.300% due 2/6/97 1,000,000 994,700
McKenna Triangle Corp., 5.280% due 2/6/97 1,000,000 994,720
Total (Cost - $10,927,387) 10,927,387
U.S. Government Agency - 18.4%*
Federal National Mortgage Association DN,
6.500% due 1/2/97
(Cost - $4,599,169) 4,600,000 4,599,169
Total Investments (Cost - $24,923,976) - 99.5% 24,923,976
Other Assets and Liablilties, Net - 0.5%
Other assets net of liabilities 125,526
Payable to Fund Administrator (1,495)
Payable to Investment Adviser (984)
Other Assets and Liabilities, net 123,047
Net Assets - 100.0%
Applicable to 25,025,670 outstanding $.001
par value shares
(authorized 1,000,000,000 shares) $ 25,047,023
Net Asset Value Per Share $ 1.00
Components of Net Assets as of
December 31, 1996 were as follows:
Capital Stock at par value ($.001) $ 25,026
Capital Stock in excess of par value 25,000,644
Accumulated net realized gain on investments 21,353
$ 25,047,023
See Notes to Financial Statements
AMT Capital Fund, Inc. - Money Market Portfolio
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Statement of Operations
For the Year Ended December 31, 1996
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Investment Income
Interest $ 1,397,922
Expenses
Investment advisory fees 64,127
Administration fees 25,651
Custodian fees 23,338
Shareholder recordkeeping fees 4,177
Legal fees 5,615
Audit fees 16,000
Directors' fees and expenses 7,269
Insurance expense 6,375
Amortization of organization costs 17,656
State registration filing fees 4,446
Other fees and expenses 4,820
Total operating expenses 179,474
Waiver of investment advisory and
administration fees (76,871)
Total expenses 102,603
Investment income, net 1,295,319
Realized gain on investments
Net realized gain from investments 9,381
Net increase in net assets
resulting from operations $ 1,304,700
See Notes to Financial Statements
AMT Capital Fund, Inc. - Money Market Portfolio
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Statement of Changes in Net Assets
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For the Year For the Year
Ended Ended
December 31, 1996 December 31, 1995
----------------- -----------------
Increase in Net Assets From Operations
Investment income, net $ 1,295,319 $ 1,321,433
Net realized gain from investments 9,381 25,293
Net increase in net assets resulting
from operations 1,304,700 1,346,726
Distributions to Shareholders From
Investment income, net 1,295,319 1,321,433
Net realized gain from investments 2,870 -
Total distributions 1,298,189 1,321,433
Capital Share Transactions, Net (829,641) 3,838,719
Total increase (decrease) in net assets (823,130) 3,864,012
Net Assets
Beginning of period 25,870,153 22,006,141
End of period $ 25,047,023 $ 25,870,153
See Notes to Financial Statements
AMT Capital Fund, Inc. - Money Market Portfolio
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Financial Highlights
For the Periods Ended
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<TABLE>
<S> <C> <C> <C> <C>
December 31, 1996 December 31, 1995 December 31, 1994 December 31, 1993*
Per Share Data
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
Investment income, net 0.05 0.06 0.04 0.00 **
Net realized gain on investments 0.00 ** 0.00 ** 0.00 (b) -
Net increase from investment
operations 0.05 0.06 0.04 0.00
Less Distributions from
Investment income, net 0.05 0.06 0.04 0.00 **
Net realized gain from investments 0.00 ** - - -
Temporary overdistribution of
net realized gain on investments - - 0.00 ** -
Total distributions 0.05 0.06 0.04 0.00
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
Total Return 5.18% 5.74% 4.13% 2.69% (a)
Ratios/Supplemental Data
Net assets, end of period $ 25,047,023 $ 25,870,153 $ 22,006,141 $ 2,335,633
Ratio of expenses to average
net assets 0.40% 0.40% 0.40% 0.40% (a)
Ratio of net investment income to
average net assets 5.05% 5.58% 4.16% 2.67% (a)
Decrease in above ratio due to
waiver of investment advisory
and administration fees, and
reimbursement of other expenses 0.30% 0.37% 0.64% 25.54% (a)
</TABLE>
(a) Annualized
(b) Includes the effect of net realized gains prior to significant increases
in shares outstanding.
* Commencement of Operations was November 1, 1993
** Rounds to less than $0.01
See Notes to Financial Statements
AMT Capital Fund, Inc. - Money Market Portfolio
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Notes to Financial Statements
December 31, 1996
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1. Organization
AMT Capital Fund, Inc. (the "Fund") is organized as a Maryland corporation
and is registered under the Investment Company Act of 1940, as amended, as
an open-end management investment company. The Money Market Portfolio
(the "Portfolio") commenced operations on November 1, 1993 and is the only
active portfolio of the fund. The costs incurred by the Fund in
connection with the organization and initial registration are being
amortized in the Portfolio on a straight-line basis over a sixty-month
period. The unamortized balance of organizational expenses at December 31,
1996 was $32,369.
2. Summary of Significant Accounting Policies
Securities
All securities transactions are recorded on a trade date basis. Interest
income and expenses are recorded on the accrual basis. The Fund amortizes
discount or premium on a daily basis to interest income. The Fund uses
the specific identification method for determining gain or loss on sales
of securities.
Income Tax
It is the policy of the Portfolio to continue to qualify as a regulated
investment company, if such qualification is in the best interest of its
shareholders, by complying with the applicable provisions of the Internal
Revenue Code, and to make distributions of taxable income sufficient to
relieve it from substantially all Federal income and excise taxes.
Valuation
All investments in the Portfolio are valued daily on an amortized cost
basis, which approximates fair value and is consistent with Rule 2a-7 of
the Investment Company Act of 1940.
Expenses
Expenses directly attributed to each Portfolio in the Fund are charged to
that Portfolio's operations; expenses which are applicable to all
Portfolios are allocated among them based on average daily net assets.
Dividends to Shareholders
It is the policy of the Portfolio to declare dividends daily on all of its
net investment income. Net investment income dividends are payable
monthly. Net short-term and long-term capital gains distributions for
both Portfolios, if any, are normally distributed on an annual basis.
Dividends from net investment income and distributions from realized gains
from investment transactions are determined in accordance with Federal
income tax regulations, which may differ from investment income and
realized gains determined under generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent
in nature. To the extent these differences are permanent in nature, such
amounts are reclassified within the capital accounts based on their
federal tax-basis treatment; temporary differences do not require
reclassification. Dividends and distributions which exceed net investment
income and net realized capital gains for financial reporting purposes,
but not for tax purposes are reported as dividends in excess of net
investment income or distributions in excess of net realized capital
gains. To the extent they exceed net investment income and net realized
capital gains for tax purposes, they are reported as distributions of
paid-in-capital.
2. Summary of Significant Accounting Policies (continued)
Estimates
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
3. Investment Advisory Agreement and Affiliated Transactions
The advisory fee and administration fees are computed daily at an annual
rate of .25% and .10%, respectively, of the average net assets of the
Portfolio. The Investment Adviser and Administrator of the Portfolio have
voluntarily agreed to reduce their fees and reimburse other expenses to
the extent that aggregate expenses (exclusive of interest on borrowings,
taxes and extraordinary expenses) exceed an annual rate of .40% of the
average daily assets.
Directors' fees are $1,000 per meeting attended plus an annual retainer of
$5,000.
4. Investment Transactions
The cost of securities owned by the Portfolio at December 31, 1996 for
Federal tax purposes was substantially the same as for financial statement
purposes.
5. Capital Share Transactions
Transactions in capital stock for the Portfolio were as follows for the
periods indicated:
Year Ended Year Ended
December 31, 1996 December 31,1995
<TABLE>
<S> <C> <C> <C> <C>
Shares Amount Shares Amount
Shares sold 1,049,604 $ 1,049,604 9,334,905 $ 9,334,905
Shares issued related to
reinvestment of dividends 1,244,304 1,244,304 1,311,602 1,311,602
----------------------------- ------------------------------
2,293,908 2,293,908 10,646,507 10,646,507
Shares redeemed 3,123,549 3,123,549 6,807,788 6,807,788
----------------------------- ------------------------------
Net increase (decrease) (829,641) $ (829,641) 3,838,719 $ 3,838,719
</TABLE>
6. Repurchase and Reverse Repurchase Agreements
The Portfolio may enter into repurchase agreements under which a bank or
securities firm that is a primary or reporting dealer in U.S. Government
securities agrees, upon entering into a contract, to sell U.S. Government
Securities to the Portfolio and repurchase such securities from the
Portfolio at a mutually agreed upon price and date.
The Portfolio is also permitted to enter into reverse repurchase
agreements under which a primary or reporting dealer in U.S. Government
securities purchases U.S. Government securities from a Portfolio and the
Portfolio agrees to repurchase the securities at an agreed upon price and
date.
6. Repurchase and Reverse Repurchase Agreements (continued)
The Portfolio may engage in repurchase and reverse repurchase transactions
with parties selected on the basis of such party's creditworthiness. Securities
purchased subject to repurchase agreements must have an aggregate market value
greater than or equal to the repurchase price plus accrued interest at all
times. If the value of the underlying securities falls below the value of the
repurchase price plus accrued interest, the Portfolio will require the seller
to deposit additional collateral by the next business day. If the request for
additional collateral is not met, or the seller defaults on its repurchase
obligation, the Portfolio maintains the right to sell the underlying securities
at market value and may claim any resulting loss against the seller. When the
Portfolio engages in reverse repurchase transactions, the Portfolio will
maintain, in a segregated account with its custodian, securities equal in
value to those subject to the agreement.
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
To the Shareholders and Board of Directors
AMT Capital Fund, Inc. - Money Market Portfolio
We have audited the accompanying statement of net assets of AMT Capital Fund,
Inc. - Money Market Portfolio as of December 31, 1996, and the related
statement of operations for the year then ended, the statement 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 generally accepted auditing
standards. 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 December 31, 1996, by correspondence with the custodian.
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 the
Money Market Portfolio of the AMT Capital Fund, Inc. at December 31, 1996, 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 the financial highlights
for each of the indicated periods, in conformity with generally accepted
accounting principles.
/s/ Ernst & Young LLP
New York, New York
February 28, 1997
OFFICERS & DIRECTORS AND OTHER PERTINENT INFORMATION
OFFICERS AND DIRECTORS
Patricia A. Gammon
Director of the Fund
Marc P. Powell
Director of the Fund
Alan M. Trager
President and
Director of the Fund
William E. Vastardis
Secretary and Treasurerof the Fund
Carla E. Dearing
Vice President and Assistant Treasurer of the Fund
INVESTMENT ADVISER
AMT Capital Advisers, Inc.
600 Fifth Avenue
New York, NY 10020
SUB-ADVISER
Fischer Francis Trees & Watts, Inc.
200 Park Avenue
New York, NY 10166
ADMINISTRATOR AND DISTRIBUTOR
AMT Capital Services, Inc.
600 Fifth Avenue,
26th Floor
New York, NY 10020
CUSTODIAN AND FUND ACCOUNTING AGENT
Investors Bank & Trust Company
P.O. Box 1537
Boston, MA 02205-1537
TRANSFER AND DIVIDEND DISBURSING AGENT
Investors Bank & Trust Company
P.O. Box 1537
Boston, MA 02205-1537
LEGAL COUNSEL
Dechert Price & Rhoads
1500 K Street, N.W.
Washington, D.C. 20005-1208
INDEPENDENT AUDITORS
Ernst & Young LLP
787 Seventh Avenue
New York, NY 10019
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<NAME> MONEY MARKET PORTFOLIO
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<PERIOD-END> DEC-31-1996
<INVESTMENTS-AT-COST> 24924
<INVESTMENTS-AT-VALUE> 24924
<RECEIVABLES> 93
<ASSETS-OTHER> 54
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<OTHER-ITEMS-LIABILITIES> 27
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