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- BT ADVISOR FUNDS -
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U.S. BOND INDEX PORTFOLIO
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SEMI-ANNUAL REPORT
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JUNE - 1997
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BT ADVISOR U.S. BOND INDEX PORTFOLIO
TABLE OF CONTENTS
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U.S. BOND INDEX PORTFOLIO
Schedule of Portfolio Investments . . . . . . . .3
Statement of Assets and Liabilities . . . . . . .4
Statement of Operations . . . . . . . . . . . . .4
Statement of Changes in Net Assets. . . . . . . .5
Financial Highlights. . . . . . . . . . . . . . .5
Notes to Financial Statements . . . . . . . . . .6
2
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BT ADVISOR U.S. BOND INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1997 (UNAUDITED)
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Principal
Amount Description Value
- ------------ ----------- ------------
NON-CONVERTIBLE CORPORATE DEBT - 23.27%
AEROSPACE - 0.96%
$ 200,000 Lockheed Martin Corp., 7.25%, 5/15/06 . . . . . . $ 202,955
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AUTOS AND TRUCKS - 0.95%
200,000 Ford Motor Credit, 7.20%, 6/15/07 . . . . . . . . 201,435
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BANKS - 3.36%
200,000 BankAmerica Corp., 7.125%, 5/01/06. . . . . . . . 200,927
100,000 First Union Corp., 7.50%, 7/15/06 . . . . . . . . 102,621
100,000 Nationsbank Corp., 6.50%, 3/15/06 . . . . . . . . 96,446
200,000 Norwest Corp., 6.75%, 6/15/07 . . . . . . . . . . 195,572
110,000 U.S. Bancorp, 8.125%, 5/15/02 . . . . . . . . . . 115,228
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710,794
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ELECTRICAL - 2.40%
300,000 Balitmore Gas & Electric Co., 8.375%, 8/15/01 . . 317,782
200,000 Southern California Edison, 6.375%, 1/15/06 . . . 191,675
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509,457
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FINANCIAL SERVICES - 2.35%
200,000 Grand Metro Investment, 6.50%, 9/15/99. . . . . . 200,547
300,000 Smith Barney Shearson, 5.625%, 11/15/98 . . . . . 297,540
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498,087
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INDUSTRIAL - 7.98%
250,000 Auburn Hills Trust, 12.00%, 5/01/20 . . . . . . . 372,041
50,000 Celulosa Arauco Constitucion, 7.00%, 12/15/07 . . 48,625
200,000 Dayton Hudson Corp., 9.75%, 7/01/02 . . . . . . . 223,597
400,000 DuPont, 8.125%, 3/15/04 . . . . . . . . . . . . . 428,398
300,000 Marriott International, Series A, 6.75%,
12/15/03. . . . . . . . . . . . . . . . . . . . 295,668
300,000 Sears, Roebuck & Co., 8.30%, 10/26/04 . . . . . . 320,187
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1,688,516
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LEISURE RELATED - 0.47%
100,000 Walt Disney Co., 6.75%, 3/30/06 . . . . . . . . . 98,839
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OIL-DOMESTIC - 0.51%
100,000 Texaco Capital, Inc., 8.50%, 2/15/03. . . . . . . 107,989
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RETAIL - 2.39%
300,000 Dillard's, Inc., 8.00%, 1/15/99 . . . . . . . . . 307,637
200,000 Wal-mart Stores, Inc., 6.50%, 6/01/03 . . . . . . 197,829
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505,466
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TELECOMMUNICATIONS - 1.90%
200,000 GTE South, Inc., 7.25%, 8/01/02 . . . . . . . . . 203,752
200,000 Southwestern Bell, 7.625%, 3/01/23. . . . . . . . 199,325
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403,077
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TOTAL NON-CONVERTIBLE CORPORATE DEBT (Cost $4,952,955) . . . . . 4,926,615
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FOREIGN DEBT - 2.93%
FOREIGN GOVERNMENTS - 2.93%
100,000 Hydro-Quebec, 8.40%, 1/15/22. . . . . . . . . . . 108,492
200,000 Quebec Province, 7.00%, 1/30/07 . . . . . . . . . 198,515
220,000 Sweden Kingdom, 12.00%, 2/01/10 . . . . . . . . . 312,518
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TOTAL FOREIGN DEBT (Cost $623,423) . . . . . . . . . . . . . . . 619,525
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MUNICIPAL BONDS - 0.75%
160,000 New Jersey Economic Development
Authority, State Pension Funding Revenue,
Series A, 7.425%, 2/15/29 . . . . . . . . . . . . 159,882
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TOTAL MUNICIPAL BONDS (Cost $160,000). . . . . . . . . . . . . . 159,882
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U.S. GOVERNMENT & AGENCY - 55.45%
FHLMC Gold TBA:
750,000 7.00%, 3/01/23. . . . . . . . . . . . . . . . . 735,938
1,000,000 7.50%, 5/01/22. . . . . . . . . . . . . . . . . 1,003,750
1,502,209 FHLMC Gold, 7.00%, 12/01/24 . . . . . . . . . . . 1,475,685
FNMA TBA:
800,000 7.00%, 9/01/06. . . . . . . . . . . . . . . . . 798,248
1,000,000 8.00%, 9/01/21. . . . . . . . . . . . . . . . . 1,022,180
FNMA:
2,028,543 6.00%, 10/01/09 . . . . . . . . . . . . . . . . 1,957,544
1,000,000 8.50%, 12/01/25 . . . . . . . . . . . . . . . . 1,038,124
GNMA:
1,624,588 6.50%, 11/15/23 . . . . . . . . . . . . . . . . 1,565,697
1,513,259 8.00%, 7/15/22. . . . . . . . . . . . . . . . . 1,548,963
557,694 9.00%, 1/15/23. . . . . . . . . . . . . . . . . 592,895
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TOTAL U.S. GOVERNMENT & AGENCY (Cost $11,757,711). . . . . . . . 11,739,024
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U.S. TREASURY SECURITIES - 97.07%
U.S. Treasury Bonds:
2,700,000 6.25%, 6/30/02. . . . . . . . . . . . . . . . . 2,683,962
2,700,000 6.50%, 11/15/26 . . . . . . . . . . . . . . . . 2,589,462
U.S. Treasury Notes:
200,000 5.625%, 2/15/06 . . . . . . . . . . . . . . . . 187,875
1,700,000 6.00%, 6/30/99. . . . . . . . . . . . . . . . . 1,697,736
1,300,000 6.25%, 5/31/99. . . . . . . . . . . . . . . . . 1,303,856
3,600,000 6.375%, 5/15/00 . . . . . . . . . . . . . . . . 3,613,486
1,300,000 6.625%, 5/15/07 . . . . . . . . . . . . . . . . 1,310,967
1,690,000 7.50%, 11/15/01 . . . . . . . . . . . . . . . . 1,761,295
320,000 7.50%, 2/15/05. . . . . . . . . . . . . . . . . 338,648
1,380,000 8.125%, 5/15/21 . . . . . . . . . . . . . . . . 1,579,888
1,600,000 8.75%, 8/15/00. . . . . . . . . . . . . . . . . 1,711,498
1,050,000 8.875%, 2/15/99 . . . . . . . . . . . . . . . . 1,095,776
540,000 9.25%, 2/15/16. . . . . . . . . . . . . . . . . 675,673
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TOTAL U.S. TREASURY SECURITIES (Cost $20,529,733). . . . . . . . 20,550,122
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SHORT TERM INSTRUMENTS - 22.25%
REPURCHASE AGREEMENT - 22.25%
4,710,816 Repurchase Agreement with Sanwa Bank,
Dated 6/30/97, 5.90%. Principal and interest in
the amount of $4,711,588, due 7/1/97.
(Collateralized by U.S. Treasury Notes, Par
Value $4,748,000, 6.75% due 8/15/28, Value
of $4,712,683). . . . . . . . . . . . . . . . . . 4,710,816
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TOTAL SHORT TERM INSTRUMENTS (Cost $4,710,816) . . . . . . . . . 4,710,816
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TOTAL INVESTMENTS (Cost $42,734,638) . . . . . . . . . 201.72% 42,705,984
Liabilities in Excess of Other Assets. . . . . . . . . -101.72% (21,534,618)
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NET ASSETS . . . . . . . . . . . . . . . . . . . . . . 100.00% 21,171,366
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The following abbreviations are used in the portfolio descriptions:
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
TBA - To Be Announced
See Notes to Financial Statements on Page 6
3
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U.S. BOND INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
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ASSETS
Investments, at Value (Cost of $42,734,638, including
Repurchase Agreement amounting to $4,710,816). . . . . . $ 42,705,984
Interest Receivable . . . . . . . . . . . . . . . . . . . 377,013
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Total Assets . . . . . . . . . . . . . . . . . . . . . . . . 43,082,997
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LIABILITIES
Due to Bankers Trust. . . . . . . . . . . . . . . . . . . 466
Payable for Securities Purchased. . . . . . . . . . . . . 21,909,305
Accrued Expenses and Other. . . . . . . . . . . . . . . . 1,860
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Total Liabilities. . . . . . . . . . . . . . . . . . . . . . 21,911,631
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NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,171,366
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COMPOSITION OF NET ASSETS
Paid-in Capital . . . . . . . . . . . . . . . . . . . . . $ 21,200,020
Net Unrealized Depreciation on Investments. . . . . . . . (28,654)
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NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . $ 21,171,366
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STATEMENT OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 1997 (UNAUDITED)
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INVESTMENT INCOME
Interest. . . . . . . . . . . . . . . . . . . . . . . . . $ 71,515
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EXPENSES
Advisory Fees . . . . . . . . . . . . . . . . . . . . . . 1,744
Administration and Services Fees. . . . . . . . . . . . . 581
Professional Fees . . . . . . . . . . . . . . . . . . . . 1,735
Trustees Fees and Miscellaneous . . . . . . . . . . . . . 124
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Total Expenses. . . . . . . . . . . . . . . . . . . . . . 4,184
Less Expenses Absorbed by Bankers Trust . . . . . . . . . (1,860)
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Net Expenses . . . . . . . . . . . . . . . . . . . . . 2,324
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NET INVESTMENT INCOME. . . . . . . . . . . . . . . . . . . . 69,189
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REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain from Investment Transactions. . . . . . 40,821
Net Change in Unrealized Depreciation on Investments. . . (28,654)
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NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS. . . . . . . 12,167
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NET INCREASE IN NET ASSETS FROM OPERATIONS . . . . . . . . . $ 81,356
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See Notes to Financial Statements on Page 6
4
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U.S. BOND INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
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FOR THE
PERIOD JUNE 11, 1997
(COMMENCEMENT OF
OPERATIONS) THROUGH
JUNE 30, 1997+
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INCREASE IN NET ASSETS FROM:
OPERATIONS
Net Investment Income . . . . . . . . . . . . . . . . . $ 69,189
Net Realized Gain from Investment Transactions. . . . . 40,821
Net Change in Unrealized Depreciation on Investments. . (28,654)
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Net Increase in Net Assets from Operations . . . . . . . . 81,356
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CAPITAL TRANSACTIONS
Proceeds from Capital Invested. . . . . . . . . . . . . 21,090,000
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TOTAL INCREASE IN NET ASSETS . . . . . . . . . . . . . . . 21,171,356
NET ASSETS
Beginning of Period. . . . . . . . . . . . . . . . . . . . 10
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End of Period. . . . . . . . . . . . . . . . . . . . . . . $ 21,171,366
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FINANCIAL HIGHLIGHTS
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Contained below are selected supplemental data and ratios to average net assets
for the period indicated for the U.S. Bond Index Portfolio.
FOR THE
PERIOD JUNE 11, 1997
(COMMENCEMENT OF
OPERATIONS) THROUGH
JUNE 30, 1997+
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SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000s omitted). . . . . . . . $ 21,171
Ratios to Average Net Assets:
Net Investment Income. . . . . . . . . . . . . . . . 5.95%*
Expenses . . . . . . . . . . . . . . . . . . . . . . 0.20%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust . . . . . . 0.16%*
Portfolio Turnover Rate . . . . . . . . . . . . . . . . 14%
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+ Unaudited
* Annualized
See Notes to Financial Statements on Page 6
5
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U.S. BOND INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. ORGANIZATION
The U.S. Bond Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on July 24, 1995 as
an unincorporated trust under the laws of New York and commenced operations on
June 11, 1997. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. SECURITY VALUATION
The Portfolio's investments are carried at fair market value as determined by an
independent pricing service at the end of each business day. Short term
obligations with remaining maturities of 60 days or less are valued at amortized
cost which, with accrued interest, approximates value. Securities for which
quotations are not available are stated at fair value as determined in good
faith under procedures established by and under the general supervision of the
Board of Trustees.
C. SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on a trade date basis. Interest income
is recorded on the accrual basis and includes amortization of premium and
accretion of discount on investments. Realized gains and losses from securities
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the securities transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. REPURCHASE AGREEMENTS
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to legal
proceedings.
E. FEDERAL INCOME TAXES
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
F. OTHER
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the period ended June 30, 1997, this fee aggregated $581.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.15 of 1% of the
Portfolio's average daily net assets. For the period ended June 30, 1997, this
fee aggregated $1,744.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio to the extent necessary, to limit all expenses to 0.20 of 1% of the
average daily net assets of the Portfolio. For the period ended June 30, 1997,
expenses of the Portfolio have been reduced by $1,860.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Edgewood. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
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 period ended June 30, 1997 were $43,334,913
and $5,346,322, respectively.
The aggregate gross unrealized appreciation for all investments was $36,204, and
the aggregate gross unrealized depreciation for all investments was $64,858.
For federal income tax purposes, the tax basis of investments held at June 30,
1997 was substantially the same as book basis.
6
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7
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BT ADVISOR FUNDS
U.S. BOND INDEX PORTFOLIO
INVESTMENT ADVISER AND ADMINISTRATOR OF THE PORTFOLIO
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
DISTRIBUTOR
EDGEWOOD SERVICES, INC.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-0897
CUSTODIAN AND TRANSFER AGENT
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
INDEPENDENT ACCOUNTANTS
COOPERS & LYBRAND L.L.P
1100 Main Street, Suite 900
Kansas City, MO 64105
COUNSEL
WILLKIE FARR & GALLAGHER
153 East 53rd Street
New York, NY 10022
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For information on how to invest, shareholder
account information and current price and yield
information, please contact your relationship
manager or the BT Mutual Fund Service Center at
(800) 730-1313. This report must be preceded or
accompanied by a current prospectus for the Fund.
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(8/97)
