JUNE 30, 1999
[GRAPHIC]
BT Mutual Funds
U.S. Bond Index Fund
Institutional Class Shares
Semi-Annual Report
Trust: BT Advisor Funds
Investment Advisor: Bankers Trust Company
<PAGE>
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U.S. Bond Index Fund
Table of Contents
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Letter to Shareholders ........................................ 3
U.S. Bond Index Fund
Statement of Assets and Liabilities ........................ 5
Statement of Operations .................................... 5
Statements of Changes in Net Assets ........................ 6
Financial Highlights ....................................... 7
Notes to Financial Statements .............................. 8
U.S. Bond Index Portfolio
Schedule of Portfolio Investments ...........................10
Statement of Assets and Liabilities .........................14
Statement of Operations .....................................14
Statements of Changes in Net Assets .........................15
Financial Highlights ........................................15
Notes to Financial Statements ...............................16
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The Fund is not insured by the FDIC and is not a deposit, obligation of or
guaranteed by Bankers Trust Company. The Fund is subject to investment risks,
including possible loss of principal amount invested.
---------------
2
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U.S. Bond Index Fund
Letter to Shareholders
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We are pleased to present you with this semi-annual report for the U.S. Bond
Index Fund (the "Fund"), providing a detailed 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.
MARKET ACTIVITY
In contrast to the strong performance of 1998, the U.S. bond markets overall
performed weakly during the first half of 1999, with the yield on the 10-year
Treasury rising from 4.65% on December 31, 1998 to 5.92% on June 30, 1999. The
increase in yield, which causes depreciation in price, produced a negative
return in the Lehman Aggregate Bond Index for the semi-annual period, even with
the coupon income.
The fixed income markets came under pressure right from the start of the year,
as continued strength in the U.S. economy renewed concerns about a possible
tightening by the Federal Reserve Board.
o In his Humphrey-Hawkins testimony, Federal Reserve Board Chairman Greenspan
said that the U.S. economy appeared to be "stretched," and that after eight
years of expansion, it remained uncertain whether the economy could continue
to grow without a pick-up in inflation. Despite questioning whether the third
easing engineered late in 1998 to address the global turmoil remained
appropriate as market disturbances abated, Greenspan mentioned that the
Federal Reserve Board stood ready to move interest rates in either direction
if events warranted.
o Meanwhile, the U.S. economy continued to fire on all cylinders, and the
inflation picture remained tame.
o At the same time, foreign economies, such as Japan, stabilized and showed
signs of recovery, shifting market participants' focus away from the "flight
to quality" induced by the global financial crisis that had supported a rather
sustained rally for U.S. Treasuries during the second half of 1998.
o During the first quarter of 1999, the 10-year Treasury note yield rose 0.58%
from its year-end 1998 level. The 2-year Treasury and 5-year Treasury were
higher by 0.44% and 0.56%, respectively, and the 30-year Treasury rose by
0.53%.
o The only real relief to the pressures put on the fixed income markets during
the quarter came in March, as developments in Kosovo, Treasury debt paydowns
and softer economic data supported the short end of the market.
During the second quarter of 1999, the U.S. bond markets continued to post weak
returns, impacted by several economic indicators.
o The primary reasons for higher yields and a flatter yield curve were continued
strength in the U.S. economy, healthy consumer sentiment, and low
unemployment.
o The pick-up in inflation shown in the May release of April's Consumer Price
Index, in combination with the above factors, caused market participants to
expect tighter Federal Reserve Board policy in the upcoming months.
At their June meeting on the last day of the month, the Federal Reserve Board
raised the targeted federal funds rate by 0.25% to 5.00%.
o This action reversed the trend of easing monetary policy through a series of
cuts in the second half of 1998.
o While there is still little evidence of inflation, this monetary policy
tightening was intended to make sure the economy does not get derailed by a
spiral of rising wages and prices.
o The Federal Reserve Board changed its bias to neutral, which helped the U.S.
bonds markets stage a small rally on the last day of June.
Overall, on a duration-adjusted basis, both mortgage-backed securities and
corporate bonds outperformed Treasuries for the first half of the year.
o Increased liquidity and enthusiasm for corporate credit quality, coupled with
strength in the U.S. economy, helped corporate bond spreads narrow and allowed
them to post one of the best relative returns in years. In fact, on a
duration-adjusted basis, corporate bonds outperformed Treasuries by over
1.00%.
o Mortgage-backed securities did not do quite as well as corporate bonds for the
first half of the year, but still outperformed Treasuries by over 0.20%.
INVESTMENT REVIEW
<TABLE>
<CAPTION>
Cumulative Total Returns Average Annual Total Returns
------------------------------ -------------- -------------
Past 6 Past 1 Since Past 1 Since
Periods ended June 30, 1999 months year inception year inception
------ ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C>
U.S. Bond Index Fund(1)
Institutional Class Shares (inception 6/30/97) -1.81% 2.76% 13.79% 2.76% 6.68%
Lehman Brothers Aggregate
Bond Index(2) -1.37% 3.15% 14.02% 3.15% 6.78%
Lipper U.S. Bond Index
Funds Average(3) -1.40% 3.11% 14.01% 3.11% 6.77%
</TABLE>
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(1) Past performance is not indicative of future results. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed,
may be worth more or less than their original cost. The Fund is not insured
by the FDIC and is not a deposit, obligation of, or guaranteed by Bankers
Trust Company. The Fund is subject to investment risks, including possible
loss of principal amount invested.
(2) This index is unmanaged, and investments cannot be made in an index.
(3) Lipper figures represent the average of the total returns, reported by all
of the mutual funds designated by Lipper Analytical Services, Inc. as
falling into the respective categories indicated. These figures do not
reflect sales charges.
3
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U.S. Bond Index Fund
Letter to Shareholders
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Diversification of Portfolio Investments
[Graphic Omitted]
In the printed version of the document, a pie chart appears which depicts the
following plot points:
By Sectors as of June 30, 1999
(percentages are based on net assets)
Foreign Financial 2%
Financial 8%
U.S.
Government & Agency 30%
Industrial 10%
Utility 3%
Foreign Government
2%
U.S. Treasury
Securities 27%
Cash & Other Assets 16%
Medium-Term Notes 2%
The Fund's benchmark, the Lehman Brothers Aggregate Bond Index, is a broad
market-weighted index, which encompasses U.S. Treasury and agency securities,
corporate investment grade bonds, international (dollar-denominated) investment
grade bonds, and mortgage-backed securities, with maturities greater than one
year.
MANAGER OUTLOOK
Looking ahead for the near term, the U.S. economy looks very healthy indeed.
However, while inflation appears to remain dormant, we should recognize that
there have been numerous indicators released that are frequently considered
harbingers of future inflation. For example:
o unemployment remains at a thirty-year low
o economic growth has been inordinately robust in historical terms
o oil prices are rebounding, and
o troubled Pacific Rim and other emerging market economies appear to have
recovered from recent turmoil.
Clearly, the degree of tightening and the timing of the Federal Reserve Board's
next moves, if any, will be the keys to U.S. bond market performance during the
second half of 1999. The Federal Reserve itself has suggested that its outlook
on interest rates has changed from a bias toward higher rates to neutral. Of
course, given the tight labor market and other economic and price data, the
policy makers also said they must "be especially alert." Thus, we believe as do
many analysts, that there may be further interest rate increases on the horizon.
Of course, as an index fund, designed to replicate as closely as possible
(before deduction of expenses) the investment performance of the Lehman Brothers
Aggregate Bond Index, we neither evaluate short-term fluctuations in the Fund's
performance nor manage according to a given outlook for the bond markets or the
economy in general. Still, we will continue monitoring economic conditions and
how they affect the financial markets, as we seek to closely track the
performance of the broad U.S. bond market.
We appreciate your support of the U.S. Bond Index Fund and look forward to
continuing to serve your investment needs for many years ahead.
/s/ Louis R. D'Arienzo
----------------------
Louis R. D'Arienzo
Portfolio Manager of the U.S. Bond Index Portfolio
June 30, 1999
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Performance Comparison
Comparison of Change
in Value of a $10,000
Investment in the U.S.
Bond Index Fund and
the Lehman Brothers
Aggregate Bond Index
since June 30, 1997.
Total Return
Ended June 30, 1999
Institutional
Six One Since
Months Year 6/30/97(1)
------ ---- -------
-1.87%(3) 2.76% 6.68%(2)
(1) The Fund's inception date.
(2) Annualized
(3) Unaudited
Investment return and principal value may fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
(Graph Plot Points)
[Graphic Omitted]
U.S. Bond Index Fund - $11,379
Lehman Aggregate Bond Index - $11,402
6/97 10000 10000
12/97 10652 10636
6/98 11072 11054
12/98 11588 11560
6/99 11379 11402
Past performance is not indicative of future performance. The Lehman Brothers
Aggregate Bond Index is unmanaged and investments may not be made in an index.
The index return does not reflect expenses, which have been deducted from the
Funds return. Performance figures assume the reinvestment of dividends and
capital gain distributions.
4
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U.S. Bond Index Fund
Statement of Assets and Liabilities June 30, 1999 (unaudited)
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<TABLE>
<S> <C>
Assets
Investment in U.S. Bond Index Portfolio, at Value ............................................... $ 57,766,477
Prepaid Expenses ................................................................................ 25,191
Due from Bankers Trust .......................................................................... 53,335
------------
Total Assets ...................................................................................... 57,845,003
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Liabilities
Dividends Payable ............................................................................... 253,433
Accrued Expenses ................................................................................ 31,101
------------
Total Liabilities ................................................................................. 284,534
Net Assets ........................................................................................ $ 57,560,469
============
Composition of Net Assets
Paid-in Capital ................................................................................. $ 58,488,132
Undistributed Net Investment Income ............................................................. 16,578
Accumulated Net Realized Loss from Investment Transactions ...................................... (30,401)
Net Unrealized Depreciation on Investment ....................................................... (913,840)
------------
Net Assets ........................................................................................ $ 57,560,469
============
Net Asset Value, Offering and Redemption Price Per Share
(net assets divided by shares outstanding) ...................................................... $ 10.00
============
Shares Outstanding ($0.001 par value per share, unlimited number of shares of beneficial
interest authorized) ............................................................................ 5,756,290
============
</TABLE>
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Statement of Operations For the six months ended June 30, 1999 (unaudited)
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Investment Income
Income Allocated from U.S. Bond Index Portfolio, net ........... $ 1,112,847
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Expenses
Administration and Services Fees ............................... 49,565
Professional Fees .............................................. 19,606
Trustees Fees .................................................. 14,973
Shareholder Report Expenses .................................... 5,951
Registration Fees .............................................. 5,272
Miscellaneous Expenses ......................................... 5,548
-----------
Total Expenses ................................................. 100,915
Less: Expenses Reimbursed and Fees Waived by Bankers Trust ..... (91,106)
-----------
Net Expenses .................................................. 9,809
-----------
Net Investment Income ............................................ 1,103,038
Realized and Unrealized Loss on Investments
Net Realized Loss from Investment Transactions ................. (42,550)
Net Change in Unrealized Appreciation/Depreciation of Investment (1,688,446)
-----------
Net Realized and Unrealized Loss on Investments .................. (1,730,996)
-----------
Net Decrease in Net Assets from Operations ....................... $ (627,958)
===========
See Notes to Financial Statements.
5
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U.S. Bond Index Fund
Statements of Changes in Net Assets
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<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
-------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income .............................................. $ 1,103,038 $ 1,250,303
Net Realized Gain (Loss) from Investment Transactions .............. (42,550) 114,224
Net Change in Unrealized Appreciation/Depreciation on Investments .. (1,688,446) 348,343
------------ ------------
Net Increase (Decrease) in Net Assets from Operations ................. (627,958) 1,712,870
------------ ------------
Distributions to Shareholders
Net Investment Income .............................................. (1,102,458) (1,249,267)
Net Realized Gain from Investment Transactions ..................... -- (275,177)
------------ ------------
Total Distributions ................................................... (1,102,458) (1,524,444)
------------ ------------
Capital Transactions in Shares of Beneficial Interest
Net Increase Resulting from Institutional Class Shares ............. 19,500,760 31,539,521
Net Decrease Resulting from Advisor Class Shares(2)................. -- (298,845)
------------ ------------
Net Increase from Capital Transactions in Shares of Beneficial Interest 19,500,760 31,240,676
------------ ------------
Total Increase in Net Assets .......................................... 17,770,344 31,429,102
Net Assets
Beginning of Period ................................................... 39,790,125 8,361,023
------------ ------------
End of Period (includes undistributed net investment income of $16,578
and $15,998, respectively) ......................................... $ 57,560,469 $ 39,790,125
============ ============
</TABLE>
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(1) Unaudited.
(2) Advisor Class shares were converted to Institutional Class on July 10, 1998.
See Notes to Financial Statements.
6
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U.S. Bond Index Fund
Financial Highlights
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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 the U.S. Bond Index Fund.
<TABLE>
<CAPTION>
Institutional Class Shares Advisor Class Shares
--------------------------------- --------------------
For the For the
period period
For the June 30, For the June 30,
six months For the 1997(3) period 1997(3)
ended year ended through ended through
June 30, Dec. 31, Dec.31, July 10, Dec. 31,
1999(1) 1998(2) 1997 1998(2) 1997
---------- ---------- --------- ------- ---------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net Asset Value, Beginning of Period $10.47 $10.29 $10.00 $10.26 $10.00
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income 0.28 0.59 0.33 0.32 0.32
Net Realized and Unrealized Gain (Loss)
on Investment Transactions (0.47) 0.29 0.32 0.09 0.29
------ ------ ------ ------ ------
Total from Investment Operations (0.19) 0.88 0.65 0.41 0.61
Distributions to Shareholders
Net Investment Income (0.28) (0.61) (0.32) (0.32) (0.31)
Net Realized Gain from Investment
Transactions -- (0.09) (0.04) -- (0.04)
------ ------ ------ ------ ------
Total Distributions (0.28) (0.70) (0.36) (0.32) (0.35)
------ ------ ------ ------ ------
Net Asset Value, End of Period $10.00 $10.47 $10.29 $10.35 $10.26
====== ====== ====== ====== ======
Total Investment Return (1.81)% 8.78% 6.52% 3.60% 6.15%
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) $57,560 $39,790 $ 8,119 $ -- $ 242
Ratios to Average Net Assets:
Net Investment Income 5.61%(4) 5.70% 6.32%(4) 5.81%(4) 6.31%(4)
Expenses, Including Expenses of the
U.S. Bond Index Portfolio 0.15%(4) 0.15% 0.15%(4) 0.35%(4) 0.35%(4)
Decrease Reflected in Above Expense
Ratio Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust 0.73%(4) 0.75% 0.71%(4) 0.29%(4) 14.53%(4)
</TABLE>
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(1) Unaudited.
(2) Advisor Class shares were converted to Institutional Class on July 10, 1998.
(3) Commencement of Operations.
(4) Annualized.
See Notes to Financial Statements.
7
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U.S. Bond Index Fund
Notes to Financial Statements (unaudited)
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Note 1--Organization and Significant Accounting Policies
A. Organization
BT Advisor 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 July 24, 1995, as a business trust under the laws of the
Commonwealth of Massachusetts. The U.S. Bond Index Fund (the "Fund") is one of
the funds offered to investors by the Trust.
The Fund began operations and offering shares of beneficial interest of two
Classes, the Advisor Class and the Institutional Class, on June 30, 1997.
Effective July 10, 1998, the Fund's Advisor Class was closed and all Advisor
Class shares were exchanged into the Fund's Institutional Class based on a 1 to
1.0048 exchange ratio. As a result of the exchange, 780,950 shares of the
Institutional Class, representing $8,121,885 in net assets, were issued at the
net asset value of $10.40 per share.
The Fund seeks to achieve its investment objective by investing all of its
investable assets in the U.S. Bond Index Portfolio (the "Portfolio"). The
portfolio 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 June 30, 1999, the
Fund's proportionate interest in net assets of the Portfolio was approximately
71%.
The financial statements of the Portfolio, including a list of assets held, are
contained elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
B. Valuation
Valuation of securities by the Portfolio is discussed in Note 1B of the
Portfolio's Notes to Financial Statements which are included elsewhere in this
report.
C. Investment Income
The Fund earns income, net of expenses, daily on its investment in the
Portfolio. All of the net investment income and realized and unrealized gains
and losses from the security transactions of the Portfolio are allocated pro
rata among the investors in the Portfolio at the time of such determination.
D. Distributions
It is the Fund's policy to declare dividends daily and pay monthly to
shareholders from net investment income, if any. Dividends and distributions
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 any capital loss
carryforwards.
E. Federal Income Taxes
It is the Fund's policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute all of its
income to shareholders. Therefore, no federal income tax provision is required.
The Fund may periodically make reclassifications among certain of its capital
accounts as a result of differences in the characterization and allocation of
certain income and capital gain distributions determined annually in accordance
with federal tax regulations which may differ from generally accepted accounting
principles.
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. Actual results could
differ from those estimates.
Note 2--Fees and Transactions with Affiliates
The Fund has entered into an Administration and Services Agreement with Bankers
Trust Company ("Bankers Trust"). Under this 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 .20% of
average daily net assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Fund, to the extent necessary, to limit the expenses of
Institutional Class to .05% of the average daily net assets of the Fund,
excluding expenses of the Portfolio and .15% of the average daily net assets of
the Fund, including expenses of the Portfolio.
ICC Distributors, Inc., a member of the Forum Group of Companies, provides
distribution services to the Fund.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $100,000,000, which expires April 29, 2000. A
commitment fee of .10% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facility will bear interest at a
rate per annum equal to the Federal Funds Rate plus .50%. No amounts were drawn
down or outstanding under the credit facility as of and for the six months ended
June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche Bank") entered into an Agreement and Plan of Merger which was
consummated on June 4, 1999. As a result of the transaction, BT Corp. became a
wholly-owned subsidiary of Deutsche Bank.
8
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U.S. Bond Index Fund
Notes to Financial Statements (unaudited)
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Note 3--Shares of Beneficial Interest
At June 30, 1999, there were an unlimited number of shares of beneficial
interest authorized. Transactions in shares of beneficial interest were as
follows:
Institutional Class Shares(1,2)
------------------------------------------------------------
For the Period Ended For the Year Ended
June 30, 1999(3) December 31, 1998
---------------------------- ----------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
Sold 3,077,694 $ 31,107,349 2,260,374 $ 23,757,235
Reinvested 75,600 779,191 101,987 1,067,174
Redeemed (1,196,180) (12,385,780) (133,268) (1,406,773)
Exchanged -- -- 780,950 8,121,885
------------ ------------ ------------ ------------
1,957,114 $ 19,500,760 3,010,043 $ 31,539,521
============ ============ ============ ============
Advisor Class Shares(1,2)
---------------------------------------------------
For the Period Ended For the Year Ended
June 30, 1999(3) December 31, 1998
-------------------- ---------------------------
Shares Amount Shares Amount
------- ------- --------- -----------
Sold -- -- 762,794 $ 7,840,310
Reinvested -- -- 11,878 122,192
Redeemed -- -- (13,500) (139,462)
Exchanged -- -- (784,723) (8,121,885)
------- --------- -----------
-- -- (23,551) $ (298,845)
======= ======= ========= ===========
- -------------
(1) Commencement of operations for the Institutional Class and Advisor Class was
June 30, 1997.
(2) On July 10, 1998 shareholders of the Advisor Class exchanged their shares
into the Institutional Class and the Advisor Class ceased operations.
(3) Unaudited.
9
<PAGE>
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U.S. Bond Index Portfolio
Schedule of Portfolio Investments June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Security Value
- --------- -------- -----
Corporate Debt
Non-Convertible - 24.4%
Financial - 9.2%
ABN Amro Bank,
$ 500,000 7.125%, 6/18/07 .............. $ 500,952
Ahold Finance USA,
10,000 6.25%, 5/01/09 ............... 9,448
American General Finance,
225,000 7.25%, 5/15/05 ............... 230,722
Associates Corp.,
250,000 6.75%, 7/15/01 ............... 252,586
Bank One Corp.,
200,000 7.125%, 5/15/07 .............. 201,396
BankAmerica Corp.:
200,000 7.125%, 5/12/05 .............. 202,214
200,000 7.125%, 5/01/06 .............. 201,964
BankBoston Corp.,
260,000 6.38%, 8/11/00 ............... 260,840
Bear Stearns Co.:
40,000 6.15%, 3/02/04 ............... 38,824
300,000 7.08%, 6/01/09 ............... 299,961
British Gas Finance,
100,000 6.625%, 6/01/18 .............. 88,547
Chase Manhattan Corp.,
300,000 7.125%, 6/15/09 .............. 300,939
Chrysler Financial Corp.:
325,000 6.11%, 7/28/99 ............... 325,153
100,000 6.95%, 3/25/02 ............... 101,678
Citigroup, Inc.,
200,000 8.625%, 2/01/07 .............. 217,240
Conoco,
15,000 6.35%, 4/15/09 ............... 14,396
Countrywide Funding Corp.,
500,000 6.875%, 9/15/05 .............. 492,159
First Union Corp.,
100,000 7.50%, 7/15/06 ............... 103,803
Ford Motor Credit,
200,000 7.20%, 6/15/07 ............... 202,724
General Electric Capital,
500,000 8.125%, 4/01/08 .............. 552,673
GMAC,
100,000 9.625%, 5/15/00 .............. 102,992
Goldman Sachs Group,
15,000 6.65%, 5/15/09 ............... 14,484
Grand Metropolitan PLC,
200,000 6.50%, 9/15/99 ............... 200,478
Heller Financial,
30,000 6.00%, 3/19/04 ............... 29,040
IBM Corp.,
100,000 6.50%, 1/15/28 ............... 92,470
IBM Credit Corp.,
300,000 5.875%, 8/25/99 .............. 300,177
InterAmerican Development Bank,
300,000 6.625%, 3/07/07 .............. 304,617
John Deere Capital,
35,000 6.00%, 2/15/09 ............... 32,863
Keycorp,
100,000 7.50%, 6/15/06 ............... 103,028
Principal
Amount Security Value
- --------- -------- -----
Lehman Brothers Holdings:
$ 100,000 6.625%, 4/01/04 .............. $ 97,668
10,000 7.00%, 5/03/05 ............... 9,930
MBIA,
125,000 9.375%, 2/15/11 .............. 145,529
Merrill Lynch & Co., Inc.,
300,000 6.64%, 9/19/02 ............... 302,046
Motorola, Inc.,
200,000 7.60%, 1/01/07 ............... 209,164
NationsBank Corp.,
100,000 6.50%, 3/15/06 ............... 97,639
Norwest Corp.,
200,000 6.75%, 6/15/07 ............... 197,482
Pitney Bowes CRD,
100,000 8.55%, 9/15/09 ............... 112,184
PNC Funding Corp.,
300,000 6.875%, 7/15/07 .............. 294,915
Texaco Capital, Inc.,
100,000 8.50%, 2/15/03 ............... 106,730
US Bancorp,
110,000 8.125%, 5/15/02 .............. 114,682
----------
7,466,337
----------
Industrial - 11.3%
Amoco Co.,
250,000 6.50%, 8/01/07 ............... 247,352
AT&T Corp.:
100,000 6.00%, 3/015/09 .............. 94,027
35,000 6.50%, 3/15/29 ............... 31,575
Burlington Resources,
50,000 7.375%, 3/01/29 .............. 48,563
Cable and Wireless Communication,
100,000 6.75%, 3/06/08 ............... 96,632
Campbell Soup Co.,
250,000 4.75%, 10/01/03 .............. 235,710
Case Corp.,
35,000 6.25%, 12/01/03 .............. 34,171
CBS Westinghouse Electric Co.,
30,000 6.875%, 9/01/03 .............. 29,992
Coca-Cola Enterprises,
500,000 8.50%, 2/01/22 ............... 560,042
Comcast Cablevision,
100,000 6.20%, 11/15/08 .............. 93,283
Conagra, Inc.,
100,000 7.125%, 10/01/26 ............. 99,087
Corning, Inc.,
100,000 6.85%, 3/01/29 ............... 93,101
Cox Communications,
10,000 6.15%, 8/01/03 ............... 9,819
Dana Corp.,
45,000 6.50%, 3/01/09 ............... 42,703
Dayton Hudson Corp.,
200,000 9.75%, 7/01/02 ............... 218,528
Delphi Auto Systems Corp.:
5,000 6.125%, 5/01/04 .............. 4,862
5,000 7.125%, 5/01/29 .............. 4,619
Delta Airlines,
100,000 10.375%, 12/15/22 ............ 124,906
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Schedule of Portfolio Investments June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Security Value
- --------- -------- -----
Dial Corp.,
$ 10,000 6.50%, 9/15/08 ............... $ 9,538
E.I. duPont de Nemours Co.,
400,000 8.125%, 3/15/04 .............. 429,648
Federated Department Stores,
300,000 7.45%, 7/15/17 ............... 297,672
Ford Motor Co.:
200,000 8.875%, 1/15/22 .............. 228,016
100,000 6.625%, 10/01/28 ............. 90,844
500,000 7.75%, 6/15/43 ............... 506,958
Gap, Inc.,
250,000 6.90%, 9/15/07 ............... 252,205
General Motors,
200,000 8.80%, 3/01/21 ............... 229,822
Hanson Overseas,
300,000 6.75%, 9/15/05 ............... 299,238
Hertz Corp.,
200,000 7.00%, 7/15/03 ............... 202,218
ICI Wilmington,
100,000 6.95%, 9/15/04 ............... 100,482
J. Seagram & Sons,
150,000 9.65%, 8/15/18 ............... 177,177
Lockheed Martin Corp.,
200,000 7.25%, 5/15/06 ............... 200,136
Lucent Technologies:
100,000 7.25%, 11/15/08 .............. 92,255
50,000 6.45%, 3/15/29 ............... 45,830
Mattel, Inc.,
250,000 6.125%, 7/15/05 .............. 236,523
McDonalds Corp.,
300,000 8.875%, 4/01/11 .............. 348,021
Merck & Co., Inc.,
500,000 6.40%, 3/01/28 ............... 466,311
Nippon Telegraph & Telephone,
10,000 6.00%, 3/25/08 ............... 9,402
Norfolk Southern Corp.,
100,000 6.95%, 5/01/02 ............... 101,272
Potash Corp.,
300,000 7.125%, 6/15/07 .............. 293,238
Procter & Gamble,
250,000 5.25%, 9/15/03 ............... 240,168
Prologis Trust,
10,000 7.10%, 4/15/08 ............... 9,574
Republic Services, Inc.,
10,000 7.125%, 5/15/09 .............. 9,790
Safeway, Inc.,
30,000 6.05%, 11/15/03 .............. 29,307
Sears, Roebuck & Co.,
300,000 8.30%, 10/26/04 .............. 319,758
Sony Corp.,
100,000 6.125%, 3/04/03 .............. 99,322
Southwest Airlines,
500,000 8.00%, 3/01/05 ............... 526,450
Spieker Properties,
10,000 6.80%, 5/01/04 ............... 9,830
Principal
Amount Security Value
- --------- -------- -----
TCI Communication,
$ 100,000 7.125%, 2/15/28 ..............$ 96,648
Tennessee Valley Authority,
500,000 7.25%, 7/15/43 ............... 493,723
Time Warner, Inc.,
100,000 6.625%, 5/15/29 .............. 88,353
Union Pacific Corp.,
16,000 6.79%, 11/09/07 .............. 15,588
United Technologies,
10,000 6.70%, 8/01/28 ............... 9,359
Viacom, Inc.,
30,000 7.75%, 6/01/05 ............... 30,898
Wal Mart Stores, Inc.,
300,000 6.50%, 6/01/03 ............... 303,030
Walt Disney Co.:
100,000 6.375%, 3/30/01 .............. 100,641
100,000 6.75%, 3/30/06 ............... 100,145
----------
9,168,362
----------
Utility - 3.9%
Baltimore Gas & Electric Co.,
300,000 8.375%, 8/15/01 .............. 313,206
Chesapeake & Potomac Telephone,
200,000 7.125%, 1/15/02 .............. 203,684
Columbia Energy Group,
100,000 7.62%, 11/28/25 .............. 96,510
Consolidated Edison,
100,000 6.45%, 12/01/07 .............. 98,139
Consolidated Natural Gas,
200,000 6.625%, 12/01/08 ............. 195,730
GTE North, Inc.,
100,000 5.65%, 11/15/08 .............. 92,059
GTE South, Inc.,
200,000 7.25%, 8/01/02 ............... 205,432
National Rural Utilities,
100,000 5.75%, 11/01/08 .............. 92,786
Potomac Electric Power,
100,000 6.25%, 10/15/07 .............. 98,988
Public Service Co. of Colorado,
100,000 6.00%, 4/15/03 ............... 98,236
Southern California Edison,
200,000 6.375%, 1/15/06 .............. 197,182
Southwestern Bell,
200,000 7.625%, 3/01/23 .............. 196,752
US West Communications,
500,000 6.875%, 9/15/33 .............. 449,695
Virginia Electric Power,
100,000 7.625%, 7/01/07 .............. 105,298
Wisconsin Electric Power,
500,000 7.25%, 8/01/04 ............... 516,859
Worldcom,
150,000 6.40%, 8/15/05 ............... 146,745
----------
3,107,301
----------
Total Corporate Debt Non-Convertible
(Cost $20,267,153) ....................... 19,742,000
----------
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Schedule of Portfolio Investments June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Security Value
- --------- -------- -----
ASSET BACKED SECURITIES - 0.1%
American Express Credit Card,
$ 50,000 5.95%, 5/17/04 ............... $ 49,067
MBNA Master Credit Card Trust--
Class A,
50,000 5.90%, 8/15/11 ............... 47,237
----------
Total Asset Backed Securities
(Cost $99,815) ........................... 96,304
----------
FOREIGN DEBT - 4.3%
Finance - 1.9%
InterAmerican Development Bank,
1,500,000 6.375%, 10/22/07 ............. 1,490,957
Korea Development Bank,
75,000 7.125%, 4/22/04 .............. 73,314
Santander Financial Issuances,
20,000 7.00%, 4/01/06 ............... 19,743
----------
1,584,014
----------
Foreign Government - 2.1%
Canada Government,
100,000 5.25%, 11/05/08 .............. 91,761
Kingdom of Sweden,
220,000 12.00%, 2/01/10 .............. 311,040
Malaysia,
10,000 8.75%, 6/01/09 ............... 10,100
Manitoba Province,
200,000 5.50%, 10/01/08 .............. 182,950
Province of Ontario,
100,000 7.375%, 1/27/03 .............. 103,132
Province of Quebec:
200,000 7.00%, 1/30/07 ............... 201,340
50,000 5.75%, 2/15/09 ............... 46,002
500,000 7.125%, 2/09/24 .............. 484,910
Republic of Chile,
10,000 6.875%, 4/28/09 .............. 9,331
Republic of Finland,
200,000 5.875%, 2/27/06 .............. 194,360
Republic of Korea,
50,000 8.875%, 4/15/08 .............. 52,615
----------
1,687,541
----------
Industrial - 0.3%
Amoco Canada,
100,000 7.25%, 12/01/02 .............. 100,861
Andina de Fomento Corp.,
10,000 7.75%, 3/01/04 ............... 9,752
Hydro-Quebec,
100,000 8.40%, 1/15/22 ............... 111,761
----------
222,374
----------
Total Foreign Debt
(Cost $3,553,226) ........................ 3,493,929
----------
Principal
Amount Security Value
- --------- -------- -----
MEDIUM-TERM NOTES - 2.2%
FNMA
$ 300,000 6.94%, 3/19/07 ............... $ 298,923
500,000 6.96%, 4/02/07 ............... 512,265
1,000,000 6.00%, 5/15/08 ............... 969,840
----------
Total Medium-Term Notes
(Cost $1,825,782) ........................ 1,781,028
----------
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS - 34.3%
FGLMC - 1.3%
392,754 7.00%, 12/01/26 .............. 388,792
280,384 7.50%, 5/01/27 ............... 283,576
132,167 7.00%, 6/01/27 ............... 130,833
88,004 7.50%, 6/01/27 ............... 89,006
150,851 7.50%, 7/01/27 ............... 152,568
----------
1,044,775
----------
FHLB - 1.2%
1,000,000 5.125%, 9/15/03 .............. 963,120
----------
FHLMC - 3.2%
381,131 5.50%, 11/01/13 .............. 361,000
1,000,000 6.50%, 11/01/23 .............. 968,438
302,061 7.50%, 5/01/24 ............... 305,554
993,196 7.00%, 12/01/24 .............. 984,724
----------
2,619,716
----------
FNCL - 4.1%
389,913 8.00%, 7/01/27 ............... 400,687
63,102 6.50%, 7/01/28 ............... 60,874
882,297 6.50%, 8/01/28 ............... 851,135
56,650 6.50%, 10/01/28 .............. 54,650
1,004,391 6.00%, 2/01/29 ............... 943,496
996,157 6.50%, 2/01/29 ............... 960,974
----------
3,271,816
----------
FNMA - 18.1%
100,000 5.375%, 3/15/02 .............. 98,641
1,000,000 4.75%, 11/14/03 .............. 947,500
1,000,000 6.50%, 11/01/07 .............. 986,562
1,000,000 6.00%, 4/01/08 ............... 966,562
500,000 5.25%, 1/15/09 ............... 456,720
1,407,921 6.00%, 10/01/09 .............. 1,369,809
367,223 7.00%, 6/01/12 ............... 368,751
159,849 7.00%, 7/01/12 ............... 160,515
2,000,000 7.00%, 9/01/21 ............... 1,978,750
1,000,000 7.50%, 9/01/21 ............... 1,000,625
307,836 8.00%, 12/01/21 .............. 316,288
3,000,000 6.50%, 4/01/23 ............... 2,902,655
2,000,000 6.00%, 9/02/23 ............... 1,883,750
268,996 7.50%, 1/01/24 ............... 271,937
370,222 8.50%, 12/01/25 .............. 387,283
534,315 7.50%, 4/01/28 ............... 539,659
----------
14,636,007
----------
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Schedule of Portfolio Investments June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Security Value
- --------- -------- -----
GNMA - 5.2%
$2,000,000 7.00%, 9/01/21 ...............$ 1,977,500
742,672 8.00%, 7/15/22 ............... 766,251
214,595 9.00%, 1/15/23 ............... 228,087
1,287,353 6.50%, 11/15/23 .............. 1,246,223
-----------
4,218,061
-----------
Other - 1.2%
FFCB
1,000,000 5.58%, 9/11/03 ............... 977,500
-----------
Total U.S. Government and Agency Obligations
(Cost $28,054,379) ....................... 27,730,995
-----------
U.S. TREASURY SECURITIES - 31.0%
U.S. Treasury Notes - 21.6%
500,000 7.75%, 11/30/99 .............. 505,625
3,100,000 6.375%, 5/15/00 .............. 3,128,086
1,000,000 6.25%, 5/31/00 ............... 1,008,750
1,000,000 5.875%, 6/30/00 .............. 1,005,470
500,000 5.75%, 11/15/00 .............. 502,110
800,000 5.25%, 1/31/01 ............... 797,496
2,500,000 5.625%, 2/28/01 .............. 2,506,650
150,000 6.625%, 7/31/01 .............. 153,117
2,000,000 6.25%, 1/31/02 ............... 2,030,320
500,000 6.00%, 7/31/02 ............... 505,235
3,000,000 7.25%, 5/15/04 ............... 3,183,750
950,000 7.50%, 2/15/05 ............... 1,022,732
1,000,000 6.50%, 10/15/06 .............. 1,032,500
51,849 3.625%, 7/15/02 (TIPS) ....... 51,299
-----------
17,433,140
-----------
Principal
Amount Security Value
- --------- -------- -----
U.S.Treasury Bonds - 9.4%
$ 540,000 9.25%, 2/15/16 ...............$ 703,350
650,000 8.125%, 8/15/19 .............. 785,077
80,000 8.125%, 5/15/21 .............. 97,425
500,000 8.125%, 8/15/21 .............. 609,610
600,000 8.00%, 11/15/21 .............. 723,468
800,000 7.25%, 8/15/22 ............... 894,000
550,000 7.625%, 11/15/22 ............. 639,891
500,000 6.875%, 8/15/25 .............. 540,000
1,450,000 6.75%, 8/15/26 ............... 1,552,399
200,000 6.50%, 11/15/26 .............. 207,063
287,000 6.625%, 2/15/27 .............. 303,098
500,000 6.375%, 8/15/27 .............. 512,345
-----------
7,567,726
-----------
Total U.S. Treasury Securities
(Cost $25,266,357) ....................... 25,000,866
-----------
SHORT TERM INSTRUMENT - 18.4%
Shares Mutual Fund - 18.4%
- ------
14,912,209 Institutional Cash Management Fund
(Cost $14,912,209) .......................14,912,209
-----------
Total Investments (Cost $93,978,921) ......114.7% 92,757,331
Liabilities in Excess of Other Assets .....(14.7)% (11,889,550)
----- -----------
Net Assets 100.0% $80,867,781
===== ===========
Abbreviations
FFCB - Federal Farm Credit Bank
FGLMC - Federal Government Loan Mortgage Company
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Company
FNCL - Fannie Mae Conventional Loan
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
TIPS - Treasury Inflation Protected Security
13
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Statement of Assets and Liabilities June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Assets
Investment at value (Cost of $93,978,921) ............... $ 92,757,331
Interest Receivable ..................................... 1,080,083
Receivable for Securities Sold .......................... 1,993,845
Other Receivables ....................................... 73,276
Due from Bankers Trust .................................. 11,354
Other Assets ............................................ 1,439
------------
Total Assets ............................................... 95,917,328
------------
Liabilities
Payable for Securities Purchased ........................ 15,018,371
Accrued Expenses and Other .............................. 31,176
------------
Total Liabilities .......................................... 15,049,547
------------
Net Assets ................................................. $ 80,867,781
============
Composition of Net Assets
Paid-in Capital ......................................... $ 82,089,371
Net Unrealized Depreciation on Investments .............. (1,221,590)
------------
Net Assets ................................................. $ 80,867,781
============
- --------------------------------------------------------------------------------
Statement of Operations For the six months ended June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
Investment Income
Dividends ................................................... $ 211,815
Interest .................................................... 1,611,769
-----------
Total Investment Income ........................................ 1,823,584
-----------
Expenses
Advisory Fees ............................................... 47,507
Administration and Service Fees ............................. 15,836
Professional Fees ........................................... 14,033
Trustees Fees ............................................... 2,983
Miscellaneous Expenses ...................................... 1,723
-----------
Total Expenses .............................................. 82,082
Less: Expenses Reimbursed and Fees Waived by Bankers Trust .. (50,411)
-----------
Net Expenses .............................................. 31,671
-----------
Net Investment Income .......................................... 1,791,913
Realized and Unrealized Loss on Investments
Net Realized Loss from Investment Transactions .............. (40,177)
Net Change in Unrealized Depreciation on Investments ........ (2,818,824)
-----------
Net Realized and Unrealized Loss on Investments ................ (2,859,001)
-----------
Net Decrease in Net Assets from Operations ..................... $(1,067,088)
===========
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
six months ended year ended
June 30, 1999(1) December 31, 1998
----------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets from:
Operations
Net Investment Income ........................................... $ 1,791,913 $ 2,656,754
Net Realized Gain (Loss) from Investment Transactions ........... (40,177) 208,459
Net Change in Unrealized Appreciation/Depreciation on Investments (2,818,824) 879,816
------------ ------------
Net Increase (Decrease) in Net Assets from Operations .............. (1,067,088) 3,745,029
------------ ------------
Capital Transactions
Proceeds from Capital Invested .................................. 34,079,797 40,754,986
Value of Capital Withdrawn ...................................... (16,339,640) (11,163,198)
------------ ------------
Net Increase in Net Assets from Capital Share Transactions ......... 17,740,157 29,591,788
------------ ------------
Total Increase in Net Assets ....................................... 16,673,069 33,336,817
Net Assets
Beginning of Period ................................................ 64,194,712 30,857,895
------------ ------------
End of Period ...................................................... $ 80,867,781 $ 64,194,712
============ ============
</TABLE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the U.S. Bond Index Portfolio.
<TABLE>
<CAPTION>
For the period
For the For the June 10, 1997(2)
six months ended year ended through
June 30, 1999(1) December 31, 1998 December 31, 1997
----------------- ------------------- -------------------
<S> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of Period (000s omitted) .................. $80,868 $64,195 $30,858
Ratios to Average Net Assets:
Net Investment Income .................................. 5.65%(3) 6.02% 6.31%(3)
Expenses ............................................... 0.10%(3) 0.10% 0.10%(3)
Decrease Reflected in Above Expense
Ratios Due to Expenses Reimbursed
and/or Fees Waived by Bankers Trust ................. 0.16%(3) 0.19% 0.18%(3)
Portfolio Turnover Rate .................................. 89% 82% 79%
</TABLE>
- --------------
(1) Unaudited.
(2) Commencement of Operations.
(3) Annualized.
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
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 1, 1996 as an
unincorporated trust under the laws of New York, and began operations on June
10, 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 valued each business day by an independent
pricing service approved by the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost which, with accrued
interest, approximates fair market value. Securities for which quotations are
not readily 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 Interest 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
discount on investments. Realized gains and losses from the security
transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors in the Portfolio at the time of such determination.
D. Repurchase Agreements
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisor, 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 a default or
bankruptcy by the seller, realization and/or retention of the collateral may be
subject to legal proceedings.
The Portfolio may enter into tri-party repurchase agreements with
broker-dealers, and domestic banks. The third party, which is the brokers
custodial bank, holds the collateral in a separate account until the repurchase
agreement matures. The agreement ensures that the collateral's market value,
including any accrued interest, is sufficient if the broker
defaults.
E. Federal Income Taxes
The Portfolio is considered a Partnership under 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. 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 the
Bankers Trust Company ("Bankers Trust"). Under this agreement, Bankers Trust
provides administrative, custody 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.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this agreement, the Portfolio pays Bankers Trust an advisory fee computed daily
and paid monthly at an annual rate of .15% of the Portfolio's average daily net
assets.
Bankers Trust has voluntarily undertaken to waive its fees and reimburse
expenses of the Portfolio, to the extent necessary, to limit all expenses to
.10% of the average daily net assets of the Portfolio.
The Portfolio may invest in the BT Institutional Cash Management Fund ("the
Fund"), an open-end management investment company managed by Bankers Trust
Company ("the Company"). The Fund is offered as a cash management option to the
Portfolio and other accounts managed by the Company. Distributions from the Fund
to the Portfolio as of June 30, 1999 amounted to $211,815 and are included in
dividend income.
The Portfolio is a participant with other affiliated entities in a revolving
credit facility in the amount of $100,000,000, which expires April 29, 2000. A
commitment fee of .10% per annum on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned equally among all
participants. Amounts borrowed under the credit facility will bear interest at a
rate per annum equal to the Federal Funds Rate plus .50%. No amounts were drawn
down or outstanding under the credit facility as of and for the six months ended
June 30, 1999.
Bankers Trust Company is a wholly owned subsidiary of Bankers Trust Corporation.
In November 1998 Bankers Trust Corporation ("BT Corp.") and Deutsche Bank AG
("Deutsche
16
<PAGE>
- --------------------------------------------------------------------------------
U.S. Bond Index Portfolio
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Bank") entered into an Agreement and Plan of Merger which was consummated on
June 4, 1999. As a result of the transaction, BT Corp. became a wholly-owned
subsidiary of Deutsche Bank.
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 June 30, 1999, were
$71,590,103 and $54,617,127, respectively. For federal income tax purposes, the
tax basis of investments held at June 30, 1999 was $93,978,921. The aggregate
gross unrealized appreciation was $155,928, and aggregate gross unrealized
depreciation for all investments was $1,377,518 as of June 30, 1999.
17
<PAGE>
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<PAGE>
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<PAGE>
Investment Advisor and Administrator of the Portfolio
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Distributor
ICC DISTRIBUTORS, INC.
Two Portland Square
Portland, ME 04101
Custodian and Transfer Agent
BANKERS TRUST COMPANY
130 Liberty Street
New York, NY 10006
Independent Accountants
PRICEWATERHOUSECOOPERS LLP
250 West Pratt Street
Baltimore, MD 21201
Counsel
WILLKIE FARR & GALLAGHER
787 7th Avenue
New York, NY 10019
[GRAPHIC OMITTED]
For information on how to invest, shareholder account information and current
price and yield information, please contact your relationship manager
or write to us at: BT Service Center
P.O. Box 419210
Kansas City, MO 64141-6210
or call our toll-free number: 1-800-368-4031
This report must be preceded or accompanied by a current prospectus for the
Fund.
Institutional U.S. Bond Index Fund CUSIP #05576L700
BT Institutional Funds 511SA (6/99)
Distributed by:
ICC Distributors, Inc.
Two Portland Square
Portland, ME 04101
