Neuberger Berman
Advisers Management Trust
Short Duration Bond Portfolio
I Class Shares
Semi-Annual Report
June 30, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, you may no longer receive paper copies of the Fund's annual and semi-annual shareholder reports by mail from the insurance company that issued your variable annuity and variable life insurance contract or from the financial intermediary that administers your qualified pension or retirement plan, unless you specifically request paper copies of the reports from your insurance company or financial intermediary. Instead, the reports will be made available on the Fund's website www.nb.com/AMTliterature, and may also be available on a website from the insurance company or financial intermediary that offers your contract or administers your retirement plan, and such insurance company or financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the insurance company or financial intermediary electronically by following the instructions provided by the insurance company or financial intermediary. If offered by your insurance company or financial intermediary, you may elect to receive all future reports in paper and free of charge from the insurance company or financial intermediary. You can contact your insurance company or financial intermediary if you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds available under your contract or retirement plan.
Short Duration Bond Portfolio Commentary
The Neuberger Berman Advisers Management Trust Short Duration Bond Portfolio Class I posted a 2.50% total return for the six months ended June 30, 2019, underperforming its benchmark, the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index (the Index), which returned 2.71% for the same period.
Both short- and long-term U.S. Treasury yields declined during the reporting period. Signs of slowing growth, modest inflation and several flights to quality contributed to falling yields. Another significant factor was the "dovish pivot" by the U.S. Federal Reserve Board (Fed). After raising rates four times in 2018, in early 2019 the Fed announced it would pause from additional rate increases. After its June 2019 meeting, Fed Chair Jerome Powell said, "The case for somewhat more accommodative policy has strengthened" and the market priced in several rate cuts by the end of the year. Against this backdrop, the spread sectors (non-U.S. Treasury securities) generated positive results during the period.
The primary detractor from the Fund's performance during the reporting period was its duration positioning. When the period began, its duration was neutral relative to the Index. During the first quarter of 2019, we tactically reduced the Fund's duration as we felt the market was overly aggressive in terms of pricing in Fed rate cuts. This detracted from results as rates continued to decline given signs of moderating growth, trade uncertainties, modest inflation and indications that the Fed may reduce rates sooner rather than later. On the upside, the Fund's overweight to investment-grade corporate bonds and an out-of-benchmark allocation to commercial mortgage-backed securities (CMBS) contributed to performance. In both cases, their spreads narrowed and they outperformed the Index.
The Fund's use of Treasury futures contributed positively to performance.
The Fund maintained an overweight to the spread sectors and an underweight to Treasuries and agency debt during the reporting period. However, several modest adjustments were made to the Fund. We actively participated in the primary and secondary investment-grade bond markets, purchasing securities we found to be attractively valued. Meanwhile, we sold certain securities that we felt were fully priced.
Entering the third quarter, fixed income market prices have adjusted across two key dimensions. First, the U.S. bond market has moved from pricing a Fed tightening cycle to a significant Fed easing cycle, and interest rates on government bonds in Europe have moved into more extreme negative yield territory. Second, credit markets have repriced to wider spreads with underperformance of cyclical sectors, suggesting investors are positioning for an increasingly negative macroeconomic environment. Are these market changes reflective of changing facts that investors should embrace? Or are these price changes reflecting overblown fears of a global slowdown or recession? In our opinion, it's a bit of both. We do believe the Fed and European Central Bank have shifted toward easing biases, yet it's largely due to how they want to respond to low inflation rather than significant fears about the growth outlook. We also believe that a global economic soft landing is more likely than negative scenarios. Across the U.S., Europe and Asia, consumption rates in the major global economies are stable, despite weakness in production and trade sectors. Ultimately, in our view structural shifts in many major economies toward services-oriented consumption make them less prone to recession and hard landings over the next 12 months.
Sincerely,
THOMAS SONTAG, MICHAEL FOSTER AND MATTHEW MCGINNIS
PORTFOLIO MANAGERS
Information about principal risks of investing in the Fund is set forth in the prospectus and statement of additional information.
The portfolio composition, industries and holdings of the Fund are subject to change without notice.
The opinions expressed are those of the Fund's portfolio managers. The opinions are as of the date of this report and are subject to change without notice.
1
Short Duration Bond Portfolio
PORTFOLIO BY TYPE OF SECURITY
(as a % of Total Net Assets) | |
Asset-Backed Securities | | | 16.0 | % | |
Corporate Bonds | | | 52.6 | | |
Mortgage-Backed Securities | | | 25.0 | | |
U.S. Treasury Obligations | | | 2.5 | | |
Short-Term Investments | | | 5.8 | | |
Liabilities Less Other Assets | | | (1.9 | )* | |
Total | | | 100.0 | % | |
* Percentage includes appreciation/depreciation from derivatives, if any.
PERFORMANCE HIGHLIGHTS
| | Inception | | Six Month
Period Ended | | Average Annual Total Return
Ended 06/30/2019 | |
| | Date | | 06/30/2019 | | 1 Year | | 5 Years | | 10 Years | | Life of Fund | |
Class I | | 09/10/1984 | | | 2.50 | % | | | 3.65 | % | | | 1.17 | % | | | 2.47 | % | | | 4.67 | % | |
Bloomberg
Barclays 1-3 Year
U.S. Government/
Credit Bond
Index1,2 | | | | | 2.71 | % | | | 4.27 | % | | | 1.46 | % | | | 1.59 | % | | | 5.25 | % | |
The performance data quoted represent past performance and do not indicate future results. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please visit http://www.nb.com/amtportfolios/performance.
The results shown in the table reflect the reinvestment of income dividends and other distributions, if any. The results do not reflect the effect of taxes a shareholder would pay on Fund distributions or on the redemption of Fund shares. The results do not reflect fees and expenses of the variable annuity and variable life insurance policies or the qualified pension and retirement plans whose proceeds are invested in the Fund.
The investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost.
Returns would have been lower if Neuberger Berman Investment Advisers LLC ("Management") had not reimbursed certain expenses and/ or waived a portion of the investment management fees during certain of the periods shown. Repayment by a class (of expenses previously reimbursed and/or fees previously waived by Management) will decrease the class's returns. Please see Note B in the Notes to Financial Statements for specific information regarding expense reimbursement and/or fee waiver arrangements.
For the period ended June 30, 2019, the 30-day SEC yield was 1.56% for Class I shares.
As stated in the Fund's most recent prospectus, the total annual operating expense ratio for fiscal year 2018 was 0.88% for Class I shares (before expense reimbursements and/or fee waivers, if any). The expense ratios for the semi-annual period ended June 30, 2019, can be found in the Financial Highlights section of this report.
2
1 The date used to calculate Life of Fund performance for the index is September 10, 1984, the Fund's commencement of operations.
2 The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is the 1-3 year component of the Bloomberg Barclays U.S. Government/Credit Index. The Bloomberg Barclays U.S. Government/Credit Index is the non-securitized component of the Bloomberg Barclays U.S. Aggregate Bond Index and includes Treasuries and government-related (agency, sovereign, supranational, and local authority debt) and corporate securities. Please note that the indices described in this report do not take into account any fees, expenses or tax consequences of investing in the individual securities that they track, and that individuals cannot invest directly in any index. Data about the performance of an index are prepared or obtained by Neuberger Berman Investment Advisers LLC ("Management") and reflect the reinvestment of income dividends and other distributions, if any. The Fund may invest in securities not included in a described index and generally does not invest in all securities included in a described index.
The investments for the Fund are managed by the same portfolio manager(s) who manage(s) one or more other registered funds that have names, investment objectives and investment styles that are similar to those of the Fund. You should be aware that the Fund is likely to differ from those other mutual fund(s) in size, cash flow pattern and tax matters. Accordingly, the holdings and performance of the Fund can be expected to vary from those of the other mutual fund(s).
Shares of the separate Neuberger Berman Advisers Management Trust Portfolios, including the Fund, are not available to the general public. Shares of the Fund may be purchased only by life insurance companies to be held in their separate accounts, which fund variable annuity and variable life insurance policies, and by qualified pension and retirement plans.
Statistics and projections in this report are derived from sources deemed to be reliable but cannot be regarded as a representation of future results of the Fund. This report is prepared for the general information of shareholders and is not an offer of shares of the Fund. Shares are sold only through the currently effective prospectus, which must precede or accompany this report.
The "Neuberger Berman" name and logo and "Neuberger Berman Investment Advisers LLC" name are registered service marks of Neuberger Berman Group LLC. The individual Fund name in this piece is either a service mark or registered service mark of Neuberger Berman Investment Advisers LLC, an affiliate of Neuberger Berman BD LLC, distributor, member FINRA.
© 2019 Neuberger Berman BD LLC, distributor. All rights reserved.
3
Information About Your Fund's Expenses (Unaudited)
As a Fund shareholder, you incur two types of costs: (1) transaction costs such as fees and expenses that are, or may be, imposed under your variable contract or qualified pension plan; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (if applicable), and other Fund expenses. This example is intended to help you understand your ongoing costs (in U.S. dollars) of investing in the Fund and compare these costs with the ongoing costs of investing in other mutual funds.
This table is designed to provide information regarding costs related to your investments. The following examples are based on an investment of $1,000 made at the beginning of the six month period ended June 30, 2019 and held for the entire period. The table illustrates the Fund's costs in two ways:
Actual Expenses and Performance: | | The first section of the table provides information about actual account values and actual expenses in dollars, based on the Fund's actual performance during the period indicated. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section of the table under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid over the period. | |
Hypothetical Example for
Comparison Purposes: | | The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return at 5% per year before expenses. This return is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund versus other funds. To do so, compare the expenses shown in this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. | |
Please note that the expenses in the table are meant to highlight your ongoing costs only and do not include any transaction costs, such as fees and expenses that are, or may be imposed under your variable contract or qualified pension plan. Therefore, the information under the heading "Hypothetical (5% annual return before expenses)" is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Expense Example (Unaudited)
NEUBERGER BERMAN ADVISERS MANAGEMENT TRUST SHORT DURATION BOND PORTFOLIO
Actual | | Beginning Account
Value
1/1/19 | | Ending Account
Value
6/30/19 | | Expenses Paid During
the Period
1/1/19 – 6/30/19 | |
Class I | | $ | 1,000.00 | | | $ | 1,025.00 | | | $ | 4.47 | (a) | |
Hypothetical (5% annual return before expenses) | |
Class I | | $ | 1,000.00 | | | $ | 1,020.38 | | | $ | 4.46 | (b) | |
(a) Expenses are equal to the annualized expense ratio of 0.89%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown).
(b) Hypothetical expenses are equal to the annualized expense ratio of 0.89%, multiplied by the average account value over the period (assuming a 5% annual return), multiplied by 181/365 (to reflect the one-half year period shown).
4
Legend Short Duration Bond Portfolio (Unaudited)
June 30, 2019
Benchmarks:
LIBOR = London Interbank Offered Rate
Currency Abbreviations:
USD = United States Dollar
5
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) June 30, 2019
PRINCIPAL AMOUNT | | | | VALUE | |
U.S. Treasury Obligations 2.5% | | | |
$ | 2,825,000 | | | U.S. Treasury Note, 2.13%, due 5/15/2022 (Cost $2,856,008) | | $ | 2,855,787 | | |
Mortgage-Backed Securities 25.0% | | | |
Adjustable Mixed Balance 0.1% | | | |
| 183,812 |
| | Harborview Mortgage Loan Trust, Ser. 2004-4, Class 3A,
(1 month USD LIBOR + 1.13%), 3.57%, due 6/19/2034 | |
| 181,069 | (a) | |
Commercial Mortgage-Backed 18.8% | | | |
| | 721,844 | | | BBCMS Mortgage Trust, Ser. 2017-C1, Class A1, 2.01%, due 2/15/2050 | | | 717,583 | | |
| | | | | CD Mortgage Trust | | | | | |
| | 494,441 | | | Ser. 2017-CD3, Class A1, 1.97%, due 2/10/2050 | | | 492,595 | | |
| | 2,134,400 | | | Ser. 2017-CD5, Class A1, 2.03%, due 8/15/2050 | | | 2,127,534 | | |
| | | | | Citigroup Commercial Mortgage Trust | | | | | |
| | 973,538 | | | Ser. 2012-GC8, Class AAB, 2.61%, due 9/10/2045 | | | 977,930 | | |
| | 1,182,402 | | | Ser. 2016-P6, Class A1, 1.88%, due 12/10/2049 | | | 1,175,374 | | |
| | 1,422,390 | | | Ser. 2018-C5, Class A1, 3.13%, due 6/10/2051 | | | 1,446,777 | | |
| | | | | Commercial Mortgage Pass-Through Certificates | | | | | |
| | 393,974 | | | Ser. 2015-CR25, Class A1, 1.74%, due 8/10/2048 | | | 392,304 | | |
| | 571,617 | | | Ser. 2016-CR28, Class A1, 1.77%, due 2/10/2049 | | | 568,787 | | |
| | 103,219 | | | Ser. 2015-PC1, Class A1, 1.67%, due 7/10/2050 | | | 103,117 | | |
| | 1,121,514 | | | CSAIL Commercial Mortgage Trust, Ser. 2017-CX10, Class A1, 2.23%, due 11/15/2050 | | | 1,119,035 | | |
| | 918,623 | | | DBJPM Mortgage Trust, Ser. 2016-C3, Class A1, 1.50%, due 8/10/2049 | | | 909,682 | | |
| | | | | GS Mortgage Securities Trust | | | | | |
| | 915,000 | | | Ser. 2010-C1, Class B, 5.15%, due 8/10/2043 | | | 933,980 | (b) | |
| | 302,757 | | | Ser. 2015-GS1, Class A1, 1.94%, due 11/10/2048 | | | 301,604 | | |
| 1,536,425 |
| | JPMBB Commercial Mortgage Securities Trust, Ser. 2013-C12,
Class ASB, 3.16%, due 7/15/2045 | |
| 1,554,160 |
| |
| 586,095 |
| | Ladder Capital Commercial Mortgage Securities LLC, Ser. 2017-LC26, Class A1,
1.98%, due 7/12/2050 | |
| 583,053 | (b) | |
| | | | | Morgan Stanley Bank of America Merrill Lynch Trust | | | | | |
| | 619,471 | | | Ser. 2016-C28, Class A1, 1.53%, due 1/15/2049 | | | 615,156 | | |
| | 1,056,036 | | | Ser. 2017-C33, Class A1, 2.03%, due 5/15/2050 | | | 1,051,956 | | |
| | 694,027 | | | SG Commercial Mortgage Securities Trust, Ser. 2016-C5, Class A1, 1.35%, due 10/10/2048 | | | 686,892 | | |
| | 235,137 | | | UBS Commercial Mortgage Trust, Ser. 2017-C1, Class A1, 1.89%, due 6/15/2050 | | | 233,848 | | |
| | | | | Wells Fargo Commercial Mortgage Trust | | | | | |
| | 312,157 | | | Ser. 2015-P2, Class A1, 1.97%, due 12/15/2048 | | | 311,097 | | |
| | 1,039,929 | | | Ser. 2016-NXS6, Class A1, 1.42%, due 11/15/2049 | | | 1,029,964 | | |
| | 2,233,094 | | | Ser. 2018-C45, Class A1, 3.13%, due 6/15/2051 | | | 2,272,158 | | |
| | 843,902 | | | Ser. 2016-NXS5, Class A1, 1.56%, due 1/15/2059 | | | 839,371 | | |
| | 689,690 | | | Ser. 2016-C32, Class A1, 1.58%, due 1/15/2059 | | | 685,371 | | |
| | | | 21,129,328 | | |
Fannie Mae 3.6% | | | |
| | | | | Pass-Through Certificates | | | | | |
| | 620,590 | | | 3.50%, due 10/1/2025 | | | 640,533 | | |
| | 1,493,696 | | | 3.00%, due 9/1/2027 | | | 1,525,123 | | |
| | 1,727,810 | | | 4.50%, due 5/1/2041 – 5/1/2044 | | | 1,850,404 | | |
| | | | 4,016,060 | | |
See Notes to Financial Statements
6
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Freddie Mac 2.5% | | | |
| | | | | Pass-Through Certificates | | | | | |
$ | 731,068 | | | 3.50%, due 5/1/2026 | | $ | 754,940 | | |
| | 1,029,740 | | | 3.00%, due 1/1/2027 | | | 1,054,169 | | |
| | 907,432 | | | 4.50%, due 11/1/2039 | | | 975,177 | | |
| | | | 2,784,286 | | |
| | | | | Total Mortgage-Backed Securities (Cost $28,156,832) | | | 28,110,743 | | |
Corporate Bonds 52.6% | | | |
Aerospace & Defense 0.6% | | | |
| | 615,000 | | | United Technologies Corp., 3.35%, due 8/16/2021 | | | 628,504 | | |
Auto Manufacturers 4.3% | | | |
| | 885,000 | | | Daimler Finance N.A. LLC, 1.50%, due 7/5/2019 | | | 884,903 | (b) | |
| 1,190,000 |
| | Harley-Davidson Financial Services, Inc., (3 month USD LIBOR + 0.50%),
3.02%, due 5/21/2020 | |
| 1,191,073 | (a)(b) | |
| 2,750,000 |
| | Volkswagen Group of America Finance LLC, (3 month USD LIBOR + 0.77%),
3.31%, due 11/13/2020 | |
| 2,761,223 | (a)(b) | |
| | | | 4,837,199 | | |
Banks 18.1% | | | |
| | 2,335,000 | | | Bank of America Corp., 5.63%, due 7/1/2020 | | | 2,410,482 | | |
| | 2,565,000 | | | Citibank N.A., 3.17%, due 2/19/2022 | | | 2,597,337 | (c) | |
| | 2,750,000 | | | Goldman Sachs Group, Inc., 5.25%, due 7/27/2021 | | | 2,904,372 | | |
| | 1,250,000 | | | HSBC Holdings PLC, (3 month USD LIBOR + 0.60%), 3.12%, due 5/18/2021 | | | 1,250,988 | (a) | |
| | 2,135,000 | | | JPMorgan Chase & Co., 4.40%, due 7/22/2020 | | | 2,182,266 | | |
| | 2,500,000 | | | Morgan Stanley, 5.75%, due 1/25/2021 | | | 2,625,248 | | |
| | 1,770,000 | | | National Australia Bank Ltd., 3.70%, due 11/4/2021 | | | 1,825,736 | | |
| | 1,995,000 | | | Santander UK PLC, 2.50%, due 1/5/2021 | | | 1,995,932 | | |
| | 1,295,000 | | | Sumitomo Mitsui Banking Corp., 2.51%, due 1/17/2020 | | | 1,295,920 | | |
| | 1,300,000 | | | Wells Fargo Bank N.A., 3.33%, due 7/23/2021 | | | 1,312,226 | (c) | |
| | | | 20,400,507 | | |
Beverages 1.1% | | | |
| | 1,245,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.38%, due 2/15/2021 | | | 1,282,098 | | |
Commercial Services 2.0% | | | |
| | 2,210,000 | | | ERAC USA Finance LLC, 5.25%, due 10/1/2020 | | | 2,284,729 | (b) | |
Computers 2.3% | | | |
| | 2,500,000 | | | IBM Corp., 2.85%, due 5/13/2022 | | | 2,540,432 | | |
Diversified Financial Services 1.7% | | | |
| | 850,000 | | | AIG Global Funding, 2.15%, due 7/2/2020 | | | 847,531 | (b) | |
| | 1,125,000 | | | Capital One Financial Corp., 2.50%, due 5/12/2020 | | | 1,126,120 | | |
| | | | 1,973,651 | | |
See Notes to Financial Statements
7
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
Electric 4.0% | | | |
$ | 500,000 | | | Dominion Resources, Inc., Ser. B, 1.60%, due 8/15/2019 | | $ | 499,288 | | |
| | 720,000 | | | DTE Energy Co., Ser. B, 2.60%, due 6/15/2022 | | | 723,010 | | |
| | 1,340,000 | | | Pennsylvania Electric Co., 5.20%, due 4/1/2020 | | | 1,363,414 | | |
| | | | | Sempra Energy | | | | | |
| | 1,315,000 | | | (3 month USD LIBOR + 0.25%), 2.85%, due 7/15/2019 | | | 1,315,031 | (a) | |
| | 635,000 | | | 2.40%, due 2/1/2020 | | | 634,804 | | |
| | | | 4,535,547 | | |
Machinery-Diversified 2.2% | | | |
| | 2,425,000 | | | John Deere Capital Corp., 2.30%, due 6/7/2021 | | | 2,430,983 | | |
Media 3.0% | | | |
| | 920,000 | | | Comcast Corp., (3 month USD LIBOR + 0.44%), 2.76%, due 10/1/2021 | | | 923,597 | (a) | |
| | 740,000 | | | Discovery Communications LLC, 2.20%, due 9/20/2019 | | | 738,957 | | |
| | 1,660,000 | | | Fox Corp., 3.67%, due 1/25/2022 | | | 1,714,974 | (b) | |
| | | | 3,377,528 | | |
Oil & Gas 1.1% | | | |
| | 1,180,000 | | | BP Capital Markets PLC, 3.56%, due 11/1/2021 | | | 1,217,547 | | |
Pharmaceuticals 5.3% | | | |
| | 1,520,000 | | | Bristol-Myers Squibb Co., 2.60%, due 5/16/2022 | | | 1,541,886 | (b) | |
| | 1,290,000 | | | CVS Health Corp., 2.80%, due 7/20/2020 | | | 1,293,230 | | |
| | 2,095,000 | | | Halfmoon Parent, Inc., 3.20%, due 9/17/2020 | | | 2,113,839 | (b) | |
| | 1,080,000 | | | Shire Acquisitions Investments Ireland DAC, 1.90%, due 9/23/2019 | | | 1,078,326 | | |
| | | | 6,027,281 | | |
Pipelines 1.8% | | | |
| | 1,525,000 | | | Enterprise Products Operating LLC, 2.55%, due 10/15/2019 | | | 1,524,513 | | |
| | 490,000 | | | Kinder Morgan Energy Partners L.P., 6.85%, due 2/15/2020 | | | 502,448 | | |
| | | | 2,026,961 | | |
Semiconductors & Semiconductor Equipment 1.8% | | | |
| | 2,000,000 | | | Broadcom, Inc., 3.13%, due 4/15/2021 | | | 2,012,937 | (b) | |
Telecommunications 2.3% | | | |
| | 2,535,000 | | | AT&T, Inc., 2.80%, due 2/17/2021 | | | 2,550,642 | | |
Trucking & Leasing 1.0% | | | |
| | 1,105,000 | | | Avolon Holdings Funding Ltd., 3.63%, due 5/1/2022 | | | 1,120,028 | (b) | |
| | | | | Total Corporate Bonds (Cost $58,781,986) | | | 59,246,574 | | |
Asset-Backed Securities 16.0% | | | |
| | 900,000 | | | Ally Auto Receivables Trust, Ser. 2018-1, Class A3, 2.35%, due 6/15/2022 | | | 900,403 | | |
| | | | | American Express Credit Account Master Trust | | | | | |
| | 2,190,000 | | | Ser. 2018-1, Class A, 2.67%, due 10/17/2022 | | | 2,196,865 | | |
| | 440,000 | | | Ser. 2019-1, Class A, 2.87%, due 10/15/2024 | | | 449,668 | | |
| | | | | Bank of America Credit Card Trust | | | | | |
| | 800,000 | | | Ser. 2017-A1, Class A1, 1.95%, due 8/15/2022 | | | 798,361 | | |
| | 2,000,000 | | | Ser. 2018-A3, Class A3, 3.10%, due 12/15/2023 | | | 2,042,938 | | |
| | 4,200,000 | | | Chase Issuance Trust, Ser. 2016-A5, Class A5, 1.27%, due 7/15/2021 | | | 4,198,253 | | |
See Notes to Financial Statements
8
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont'd)
PRINCIPAL AMOUNT | | | | VALUE | |
$ | 1,400,000 | | | Citibank Credit Card Issuance Trust, Ser. 2017-A3, Class A3, 1.92%, due 4/7/2022 | | $ | 1,397,007 | | |
| | 536,682 |
| | Fannie Mae Grantor Trust, Ser. 2003-T4, Class 1A,
(1 month USD LIBOR + 0.22%), 2.62%, due 9/26/2033 | | | 534,911(a) | | |
| | 765,258 | | | Ford Credit Auto Owner Trust, Ser. 2017-A, Class A3, 1.67%, due 6/15/2021 | | | 762,948 | | |
| | 620,000 | | | GM Financial Automobile Leasing Trust, Ser. 2019-1, Class A2A, 2.91%, due 4/20/2021 | | | 622,269 | | |
| | 560,000 | | | Hyundai Auto Lease Securitization Trust, Ser. 2019-A, Class A2, 2.92%, due 7/15/2021 | | | 563,056 | (b) | |
| 673,054 |
| | SLM Student Loan Trust, Ser. 2013-2, Class A, (1 month USD LIBOR + 0.45%),
2.85%, due 9/25/2043 | |
| 666,472 | (a) | |
| | 900,000 | | | Toyota Auto Receivables Owner Trust, Ser. 2018-A, Class A3, 2.35%, due 5/16/2022 | | | 901,609 | | |
| | | | | Verizon Owner Trust | | | | | |
| | 117,046 | | | Ser. 2016-1A, Class A, 1.42%, due 1/20/2021 | | | 116,947 | (b) | |
| | 1,800,000 | | | Ser. 2019-A, Class A1A, 2.93%, due 9/20/2023 | | | 1,831,484 | | |
| | | | | Total Asset-Backed Securities (Cost $17,821,196) | | | 17,983,191 | | |
NUMBER OF SHARES | | | | | |
Short-Term Investments 5.8% | | | |
Investment Companies 5.8% | | | |
| 6,571,987 |
| | State Street Institutional U.S. Government Money Market Fund Premier Class, 2.31%(d)
(Cost $6,571,987) | |
| 6,571,987 | (e) | |
| | | | | Total Investments 101.9% (Cost $114,188,009) | | | 114,768,282 | | |
| | | | | Liabilities Less Other Assets (1.9)% | | | (2,172,533 | )(f) | |
| | | | | Net Assets 100.0% | | $ | 112,595,749 | | |
(a) Variable or floating rate security. The interest rate shown was the current rate as of June 30, 2019 and changes periodically.
(b) Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At June 30, 2019, these securities amounted to $18,670,159, which represents 16.6% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
(c) Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end.
(d) Represents 7-day effective yield as of June 30, 2019.
(e) All or a portion of this security is segregated in connection with obligations for futures with a total value of $6,571,987.
(f) Includes the impact of the Fund's open positions in derivatives at June 30, 2019.
See Notes to Financial Statements
9
Schedule of Investments Short Duration Bond Portfolio^ (Unaudited) (cont'd)
Derivative Instruments
Futures contracts ("futures")
At June 30, 2019, open positions in futures for the Fund were as follows:
Long Futures:
Expiration Date | | Number of
Contracts | | Open Contracts | | Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) | |
9/2019 | | | 80 | | | U.S. Treasury Note, 2 Year | | $ | 17,214,375 | | | $ | 87,500 | | |
Total Futures | | | | | | $ | 17,214,375 | | | $ | 87,500 | | |
At June 30, 2019, the Fund had $3,889 deposited in a segregated account to cover margin requirements on open futures.
For the six months ended June 30, 2019, the average notional value of futures for the Fund was $24,802,353 for long positions.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of June 30, 2019:
Asset Valuation Inputs | | Level 1 | | Level 2 | | Level 3 | | Total | |
Investments: | |
U.S. Treasury Obligations | | $ | — | | | $ | 2,855,787 | | | $ | — | | | $ | 2,855,787 | | |
| Mortgage-Backed Securities(a) | | | — | | | | 28,110,743 | | | | — | | | | 28,110,743 | | |
| Corporate Bonds(a) | | | — | | | | 59,246,574 | | | | — | | | | 59,246,574 | | |
Asset-Backed Securities | | | — | | | | 17,983,191 | | | | — | | | | 17,983,191 | | |
Short-Term Investments | | | — | | | | 6,571,987 | | | | — | | | | 6,571,987 | | |
Total Investments | | $ | — | | | $ | 114,768,282 | | | $ | — | | | $ | 114,768,282 | | |
(a) The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of June 30, 2019:
Other Financial Instruments | | Level 1 | | Level 2 | | Level 3 | | Total | |
| Futures(a) | | | |
Assets | | $ | 87,500 | | | $ | — | | | $ | — | | | $ | 87,500 | | |
Total | | $ | 87,500 | | | $ | — | | | $ | — | | | $ | 87,500 | | |
(a) Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
^ A balance indicated with a "—", either reflects a zero balance or an amount that rounds to less than 1.
See Notes to Financial Statements
10
Statement of Assets and Liabilities (Unaudited)
Neuberger Berman Advisers Management Trust
| | | SHORT DURATION
BOND PORTFOLIO | |
| | | June 30, 2019 | |
Assets | |
Investments in securities, at value* (Note A)—see Schedule of Investments: | |
| Unaffiliated issuers(a) | | $ | 114,768,282 | | |
Cash collateral segregated for futures contracts (Note A) | | | 3,889 | | |
Interest receivable | | | 734,504 | | |
Receivable for accumulated variation margin on futures contracts (Note A) | | | 87,500 | | |
Receivable for Fund shares sold | | | 23,726 | | |
Prepaid expenses and other assets | | | 4,744 | | |
Total Assets | | | 115,622,645 | | |
Liabilities | |
Payable to investment manager—net (Note B) | | | 23,198 | | |
Payable for securities purchased | | | 2,863,676 | | |
Payable for Fund shares redeemed | | | 29,182 | | |
Payable to administrator—net (Note B) | | | 37,117 | | |
Payable to trustees | | | 10,050 | | |
Accrued expenses and other payables | | | 63,673 | | |
Total Liabilities | | | 3,026,896 | | |
Net Assets | | $ | 112,595,749 | | |
Net Assets consist of: | |
Paid-in capital | | $ | 135,027,898 | | |
Total distributable earnings/(losses) | | | (22,432,149 | ) | |
Net Assets | | $ | 112,595,749 | | |
Shares Outstanding ($.001 par value; unlimited shares authorized) | | | 10,558,119 | | |
Net Asset Value, offering and redemption price per share | | $ | 10.66 | | |
*Cost of Investments: | | | |
| (a) Unaffiliated Issuers | | $ | 114,188,009 | | |
See Notes to Financial Statements
11
Statement of Operations (Unaudited)
Neuberger Berman Advisers Management Trust
| | | SHORT DURATION
BOND PORTFOLIO | |
| | | For the
Six Months Ended
June 30, 2019 | |
Investment Income: | |
Income (Note A): | |
Interest and other income—unaffiliated issuers | | $ | 1,426,133 | | |
Expenses: | |
Investment management fees (Note B) | | | 140,737 | | |
Administration fees (Note B) | | | 225,180 | | |
Audit fees | | | 27,520 | | |
Custodian and accounting fees | | | 39,393 | | |
Insurance expense | | | 2,011 | | |
Legal fees | | | 16,728 | | |
Shareholder reports | | | 18,178 | | |
Trustees' fees and expenses | | | 21,506 | | |
Interest expense | | | 207 | | |
Miscellaneous | | | 7,992 | | |
Total net expenses | | | 499,452 | | |
Net investment income/(loss) | | $ | 926,681 | | |
Realized and Unrealized Gain/(Loss) on Investments (Note A): | |
Net realized gain/(loss) on: | |
Transactions in investment securities of unaffiliated issuers | | | (342 | ) | |
Expiration or closing of futures contracts | | | 262,364 | | |
Change in net unrealized appreciation/(depreciation) in value of: | |
Investment securities of unaffiliated issuers | | | 1,701,756 | | |
Futures contracts | | | (89,563 | ) | |
Net gain/(loss) on investments | | | 1,874,215 | | |
Net increase/(decrease) in net assets resulting from operations | | $ | 2,800,896 | | |
See Notes to Financial Statements
12
Statements of Changes in Net Assets
Neuberger Berman Advisers Management Trust
| | | SHORT DURATION
BOND PORTFOLIO | |
| | | Six Months Ended
June 30,
2019
(Unaudited) | | Year Ended
December 31,
2018 | |
Increase/(Decrease) in Net Assets: | |
From Operations (Note A): | |
Net investment income/(loss) | | $ | 926,681 | | | $ | 1,663,837 | | |
Net realized gain/(loss) on investments | | | 262,022 | | | | (215,010 | ) | |
Change in net unrealized appreciation/(depreciation) of investments | | | 1,612,193 | | | | (276,627 | ) | |
Net increase/(decrease) in net assets resulting from operations | | | 2,800,896 | | | | 1,172,200 | | |
Distributions to Shareholders From (Note A): | |
Distributable earnings | | | — | | | | (1,914,454 | ) | |
From Fund Share Transactions (Note D): | |
Proceeds from shares sold | | | 6,695,882 | | | | 10,414,007 | | |
Proceeds from reinvestment of dividends and distributions | | | — | | | | 1,914,454 | | |
Payments for shares redeemed | | | (14,500,142 | ) | | | (25,632,207 | ) | |
Net increase/(decrease) from Fund share transactions | | | (7,804,260 | ) | | | (13,303,746 | ) | |
Net Increase/(Decrease) in Net Assets | | | (5,003,364 | ) | | | (14,046,000 | ) | |
Net Assets: | |
Beginning of period | | | 117,599,113 | | | | 131,645,113 | | |
End of period | | $ | 112,595,749 | | | $ | 117,599,113 | | |
See Notes to Financial Statements
13
Notes to Financial Statements Short Duration Bond Portfolio (Unaudited)
Note A—Summary of Significant Accounting Policies:
1 General: Neuberger Berman Advisers Management Trust (the "Trust") is a Delaware statutory trust organized pursuant to an Amended and Restated Trust Instrument dated March 27, 2014. The Trust is currently comprised of six separate operating series (each individually a "Fund," and collectively the "Funds") each of which is diversified. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act"), and its shares are registered under the Securities Act of 1933, as amended. Neuberger Berman Advisers Management Trust Short Duration Bond Portfolio (the "Fund") currently offers only Class I shares. The Trust's Board of Trustees (the "Board") may establish additional series or classes of shares without the approval of shareholders.
A balance indicated with a "—", either reflects a zero balance or a balance that rounds to less than 1.
The assets of each Fund belong only to that Fund, and the liabilities of each Fund are borne solely by that Fund and no other.
The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946 "Financial Services—Investment Companies."
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires Neuberger Berman Investment Advisers LLC ("Management") to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.
Shares of the Fund are not available to the general public and may be purchased only by life insurance companies to serve as an investment vehicle for premiums paid under their variable annuity and variable life insurance contracts and to certain qualified pension and other retirement plans.
2 Portfolio valuation: In accordance with ASC 820 "Fair Value Measurement" ("ASC 820"), all investments held by the Fund are carried at the value that Management believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund's investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1—quoted prices in active markets for identical investments
• Level 2—other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
• Level 3—unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Fund's investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In
14
addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Fund:
Corporate Bonds. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available ("Other Market Information").
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
The value of futures is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund's daily calculated net asset value ("NAV") per share (Level 2 inputs).
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not readily available, the security is valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Numerous factors may be considered when determining the fair value of a security based on Level 2 or Level 3 inputs, including available analyst, media or other reports, securities within the same industry with recent highly correlated performance, trading in futures or American Depositary Receipts and whether the issuer of the security being fair valued has other securities outstanding.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or next trades.
3 Foreign currency translations: The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are normally translated into U.S. dollars using the exchange rate as of 4:00 p.m. Eastern Time, on days the New York Stock Exchange is open for business, to determine the value of investments, other assets and liabilities. Purchase and sale prices of securities, and income and expenses, are translated into U.S. dollars at the prevailing rate of exchange on the respective dates of such transactions. Net unrealized foreign currency gain/(loss), if any, arises from changes in the value of assets and liabilities, other than investments in securities, as a result of changes in exchange rates and is stated separately in the Statement of Operations.
4 Securities transactions and investment income: Securities transactions are recorded on trade date for financial reporting purposes. Interest income, including accretion of discount (adjusted for original issue discount, where applicable) is recorded on the accrual basis. Realized gains and losses from securities transactions and foreign currency transactions, if any, are recorded on the basis of identified cost and stated separately in the Statement of Operations. Included in net realized gain/(loss) on investments are proceeds from the settlement of class action litigation(s) in which the Fund participated as a class member. The amount of such proceeds for the six months ended June 30, 2019 was $40,039.
15
5 Income tax information: The Fund is treated as a separate entity for U.S. federal income tax purposes. It is the policy of the Fund to continue to qualify for treatment as a regulated investment company ("RIC") by complying with the requirements of the U.S. Internal Revenue Code applicable to RICs and to distribute substantially all of its net investment income and net realized capital gains to its shareholders. To the extent the Fund distributes substantially all of its net investment income and net realized capital gains to shareholders, no federal income or excise tax provision is required.
The Fund has adopted the provisions of ASC 740 "Income Taxes" ("ASC 740"). ASC 740 sets forth a minimum threshold for financial statement recognition of a tax position taken, or expected to be taken, in a tax return. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as an income tax expense in the Statement of Operations. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the tax years for which the applicable statutes of limitations have not yet expired. As of June 30, 2019, the Fund did not have any unrecognized tax positions.
At June 30, 2019, the cost for all long security positions for U.S. federal income tax purposes was $114,188,009. Gross unrealized appreciation of long security positions and derivative instruments (if any) was $622,671 and gross unrealized depreciation of long security positions and derivative instruments (if any) was $131,678 resulting in net unrealized appreciation of $490,993 based on cost for U.S. federal income tax purposes.
Income distributions and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Fund, timing differences and differing characterization of distributions made by the Fund. The Fund may also utilize earnings and profits distributed to shareholders on redemption of their shares as a part of the dividends-paid deduction for income tax purposes.
Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Fund. For the year ended December 31, 2018, the Fund recorded the following permanent reclassifications primarily related to the expiration of capital loss carryforwards:
Paid-in Capital | | Total Distributable
Earnings/(Losses) | |
$ | (7,896,656 | ) | | $ | 7,896,656 | | |
The tax character of distributions paid during the years ended December 31, 2018 and December 31, 2017 was as follows:
Distributions Paid From: | |
Ordinary Income | | Total | |
| 2018 | | 2017 | | 2018 | | 2017 | |
| $ | 1,914,454 | | | $ | 1,965,876 | | | $ | 1,914,454 | | | $ | 1,965,876 | | |
As of December 31, 2018, the components of distributable earnings (accumulated losses) on a U.S. federal income tax basis were as follows:
Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gain | | Unrealized
Appreciation/
(Depreciation) | | Loss
Carryforwards
and Deferrals | | Other
Temporary
Differences | | Total | |
| $ | 2,168,153 | | | $ | — | | | $ | (1,672,468 | ) | | $ | (25,728,730 | ) | | $ | — | | | $ | (25,233,045 | ) | |
The temporary differences between book basis and tax basis distributable earnings are primarily due to: amortization of bond premium and mark-to-market adjustments on futures.
16
To the extent the Fund's net realized capital gains, if any, can be offset by capital loss carryforwards, it is the policy of the Fund not to distribute such gains. Capital loss carryforward rules allow for RICs to carry forward capital losses indefinitely and to retain the character of capital loss carryforwards as short-term or long-term. As determined at December 31, 2018, the Fund had unused capital loss carryforwards available for federal income tax purposes to offset net realized capital gains, if any, as follows:
Capital Loss Carryforwards | |
| Long-Term | | Short-Term | |
| $ | 23,413,290 | | | $ | 2,315,440 | | |
During the year ended December 31, 2018, the Fund had capital loss carryforwards expire of $7,896,656.
6 Distributions to shareholders: The Fund may earn income, net of expenses, daily on its investments. Distributions from net investment income and net realized capital gains, if any, are generally distributed once a year (usually in October) and are recorded on the ex-date.
7 Foreign taxes: Foreign taxes withheld, if any, represent amounts withheld by foreign tax authorities, net of refunds recoverable.
8 Expense allocation: Certain expenses are applicable to multiple funds within the complex of related investment companies. Expenses directly attributable to a fund are charged to that fund. Expenses of the Trust that are not directly attributable to a particular series of the Trust (e.g., the Fund) are allocated among the series of the Trust, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the series can otherwise be made fairly. Expenses borne by the complex of related investment companies, which includes open-end and closed-end investment companies for which Management serves as investment manager, that are not directly attributable to a particular investment company in the complex (e.g., the Trust) or series thereof are allocated among the investment companies in the complex or series thereof on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the investment companies in the complex or series thereof can otherwise be made fairly.
9 Dollar rolls: The Fund may enter into dollar roll transactions with respect to mortgage-backed securities. In a dollar roll transaction, the Fund sells securities for delivery in the current month and simultaneously agrees to repurchase substantially similar (i.e., same type and coupon) securities on a specified future date from the same party. During the period before this repurchase, the Fund forgoes principal and interest payments on the securities. The Fund is compensated by the difference between the current sales price and the forward price for the future purchase (often referred to as the "drop"), as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls may increase fluctuations in the Fund's NAV and may be viewed as a form of leverage. There is a risk that the counterparty will be unable or unwilling to complete the transaction as scheduled, which may result in losses to the Fund.
10 Investments in foreign securities: Investing in foreign securities may involve sovereign and other risks, in addition to the credit and market risks normally associated with domestic securities. These additional risks include the possibility of adverse political and economic developments (including political instability, nationalization, expropriation, or confiscatory taxation) and the potentially adverse effects of unavailability of public information regarding issuers, less governmental supervision and regulation of financial markets, reduced liquidity of certain financial markets, and the lack of uniform accounting, auditing, and financial reporting standards or the application of standards that are different or less stringent than those applied in the United States. Foreign securities also may experience greater price volatility, higher rates of inflation, and delays in settlement.
11 Investment company securities and exchange-traded funds: The Fund may invest in shares of other registered investment companies, including exchange-traded funds ("ETFs"), within the limitations prescribed by the 1940 Act, the exemptive order from the Securities and Exchange Commission ("SEC") that permits the Fund to
17
invest in both affiliated and unaffiliated investment companies, including ETFs, in excess of the limits in Section 12(d)(1)(A) of the 1940 Act, subject to the terms and conditions of such order, or the ETF's exemptive order. Some ETFs seek to track the performance of a particular market index. These indices include both broad-based market indices and more narrowly-based indices, including those relating to particular sectors, markets, regions or industries. However, some ETFs have an actively-managed investment objective. ETF shares are traded like traditional equity securities on a national securities exchange or NASDAQ. The Fund will indirectly bear its proportionate share of any management fees and other expenses paid by such other investment companies, which will increase expenses and decrease returns.
12 Derivative instruments: The Fund's use of derivatives during the six months ended June 30, 2019, is described below. Please see the Schedule of Investments for the Fund's open positions in derivatives, if any, at June 30, 2019. The Fund has adopted the provisions of ASC 815 "Derivatives and Hedging" ("ASC 815"). The disclosure requirements of ASC 815 distinguish between derivatives that qualify for hedge accounting and those that do not. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for hedge accounting. Accordingly, even though the Fund's investments in derivatives may represent economic hedges, they are considered non-hedge transactions for purposes of this disclosure.
Futures contracts: During the six months ended June 30, 2019, the Fund used U.S. Treasury futures to manage the duration of the Fund.
At the time the Fund enters into a futures contract, it is required to deposit with the futures commission merchant a specified amount of cash or liquid securities, known as "initial margin," which is a percentage of the value of the futures contract being traded that is set by the exchange upon which the futures contract is traded. Each day, the futures contract is valued at the official settlement price of the board of trade or U.S. commodity exchange on which such futures contract is traded. Subsequent payments, known as "variation margin," to and from the broker are made on a daily basis, or as needed, as the market price of the futures contract fluctuates. Daily variation margin adjustments, arising from this "mark to market," are recorded by the Fund as unrealized gains or losses.
Although some futures by their terms call for actual delivery or acquisition of the underlying securities or currency, in most cases the contracts are closed out prior to delivery by offsetting purchases or sales of matching futures. When the contracts are closed, the Fund recognizes a gain or loss. Risks of entering into futures contracts include the possibility there may be an illiquid market, possibly at a time of rapidly declining prices, and/or a change in the value of the contract may not correlate with changes in the value of the underlying securities. Futures executed on regulated futures exchanges have minimal counterparty risk to the Fund because the exchange's clearinghouse assumes the position of the counterparty in each transaction. Thus, the Fund is exposed to risk only in connection with the clearinghouse and not in connection with the original counterparty to the transaction.
For U.S. federal income tax purposes, the futures transactions undertaken by the Fund may cause the Fund to recognize gains or losses from marking contracts to market even though its positions have not been sold or terminated, may affect the character of the gains or losses recognized as long-term or short-term, and may affect the timing of some capital gains and losses realized by the Fund. Also, the Fund's losses on transactions involving futures contracts may be deferred rather than being taken into account currently in calculating the Fund's taxable income.
18
At June 30, 2019, the Fund had the following derivatives (which did not qualify as hedging instruments under ASC 815), grouped by primary risk exposure:
Asset Derivatives
Derivative Type | | Statement of
Assets and Liabilities
Location | | Interest
Rate Risk | | Total | |
Futures | | Receivable/Payable
for accumulated variation
margin on futures contracts | | $ | 87,500 |
| | $ | 87,500 |
| |
Total Value—Assets | |
| | $ | 87,500 | | | $ | 87,500 | | |
The impact of the use of derivative instruments on the Statement of Operations during the six months ended June 30, 2019, was as follows:
Realized Gain/(Loss)
Derivative Type | | Statement of
Operations Location | | Interest
Rate Risk | | Total | |
Futures | | Net realized gain/(loss)
on: expiration or closing
of futures contracts | | $ | 262,364 |
| | $ | 262,364 |
| |
Total Realized Gain/(Loss) | | | | $ | 262,364 | | | $ | 262,364 | | |
Change in Appreciation/(Depreciation)
Derivative Type | | Statement of
Operations Location | | Interest
Rate Risk | | Total | |
Futures | | Change in net unrealized
appreciation/(depreciation)
in value of: futures contracts | | $ | (89,563 | ) | | $ | (89,563 | ) | |
Total Change in Appreciation/(Depreciation) | | | | $ | (89,563 | ) | | $ | (89,563 | ) | |
While the Fund may receive rights and warrants in connection with its investments in securities, these rights and warrants are not considered "derivative instruments" under ASC 815.
13 Securities lending: The Fund, using State Street Bank and Trust Company ("State Street") as its lending agent, may loan securities to qualified brokers and dealers in exchange for negotiated lender's fees. These fees, if any, would be disclosed within the Statement of Operations under the caption "Income from securities loaned—net" and are net of expenses retained by State Street as compensation for its services as lending agent.
The initial cash collateral received by the Fund at the beginning of each transaction shall have a value equal to at least 102% of the prior day's market value of the loaned securities (105% in the case of international securities). Thereafter, the value of the cash collateral is monitored on a daily basis, and cash collateral is moved daily between a counterparty and the Fund until the close of the transaction. The Fund may only receive collateral in the form of cash (U.S. dollars). Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of State Street. The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities. Any increase or decrease in the fair value of the securities loaned and any interest earned or dividends paid or owed on those securities during the term of the loan would accrue to the Fund.
As of June 30, 2019, the Fund did not participate in securities lending.
14 Indemnifications: Like many other companies, the Trust's organizational documents provide that its officers ("Officers") and trustees ("Trustees") are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its
19
business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust's maximum exposure under these arrangements is unknown as this could involve future claims against the Trust.
Note B—Investment Management Fees, Administration Fees, Distribution Arrangements, and Other Transactions With Affiliates:
The Fund retains Management as its investment manager under a Management Agreement. For such investment management services, the Fund pays Management a fee at the annual rate of 0.25% of the first $500 million of the Fund's average daily net assets, 0.225% of the next $500 million, 0.20% of the next $500 million, 0.175% of the next $500 million, and 0.15% of average daily net assets in excess of $2 billion. Accordingly, for the six months ended June 30, 2019, the investment management fee pursuant to the Management Agreement was equivalent to an annual effective rate of 0.25% of the Fund's average daily net assets.
The Fund retains Management as its administrator under an Administration Agreement. The Fund pays Management an administration fee at the annual rate of 0.40% of its average daily net assets under this agreement. Additionally, Management retains State Street as its sub-administrator under a Sub-Administration Agreement. Management pays State Street a fee for all services received under the Sub-Administration Agreement.
Management has contractually agreed to waive fees and/or reimburse the Fund so that the total annual operating expenses do not exceed the expense limitation as detailed in the following table. This undertaking excludes fees payable to Management, interest, taxes, transaction costs, brokerage commissions, acquired fund fees and expenses, extraordinary expenses, and dividend and interest expenses relating to short sales, if any (commitment fees relating to borrowings are treated as interest for purposes of this exclusion) ("annual operating expenses"); consequently, net expenses may exceed the contractual expense limitation. The Fund has agreed that it will repay Management for fees and expenses waived or reimbursed provided that repayment does not cause the annual operating expenses to exceed its contractual expense limitation in place at the time the fees and expenses were waived or reimbursed, or the expense limitation in place at the time the Fund repays Management, whichever is lower. Any such repayment must be made within three years after the year in which Management incurred the expense.
During the six months ended June 30, 2019, there was no repayment to Management under the Fund's contractual expense limitation.
At June 30, 2019, the Fund had no contingent liability to Management under its contractual expense limitation.
| | | | | | | Expenses Reimbursed in
Year Ended December 31, | |
| | | | | | | 2016 | | 2017 | | 2018 | | 2019 | |
| | | | | | | Subject to Repayment Until December 31, | |
Class | | Contractual
Expense
Limitation(a) | | Expiration | | 2019 | | 2020 | | 2021 | | 2022 | |
Class I | | | 1.00 | % | | 12/31/22 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | |
(a) Expense limitation per annum of the Fund's average daily net assets.
Neuberger Berman BD LLC is the Fund's "principal underwriter" within the meaning of the 1940 Act. It acts as agent in arranging for the sale of the Fund's Class I shares without sales commission or other compensation and bears all advertising and promotion expenses incurred in the sale of those shares. The Board adopted a non-fee distribution plan for the Fund's Class I shares.
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Note C—Securities Transactions:
During the six months ended June 30, 2019, there were purchase and sale transactions of long-term securities (excluding futures) as follows:
Purchases of
U.S. Government
and Agency
Obligations | | Purchases excluding
U.S. Government
and Agency
Obligations | | Sales and Maturities
of U.S. Government
and Agency
Obligations | | Sales and Maturities
excluding
U.S. Government
and Agency
Obligations | |
| $ | 8,210,124 | | | $ | 25,073,407 | | | $ | 6,174,416 | | | $ | 33,916,000 | | |
During the six months ended June 30, 2019, no brokerage commissions on securities transactions were paid to affiliated brokers.
Note D—Fund Share Transactions:
Share activity for the six months ended June 30, 2019 and for the year ended December 31, 2018 was as follows:
| | | For the Six Months
Ended June 30,
2019 | | For the Year Ended
December 31,
2018 | |
Shares Sold | | | 636,783 | | | | 997,021 | | |
Shares Issued on Reinvestment of Dividends and Distributions | | | — | | | | 185,509 | | |
Shares Redeemed | | | (1,382,227 | ) | | | (2,458,654 | ) | |
Total | | | (745,444 | ) | | | (1,276,124 | ) | |
Note E—Line of Credit:
At June 30, 2019, the Fund was a participant in a syndicated committed, unsecured $700,000,000 line of credit (the "Credit Facility"), to be used only for temporary or emergency purposes. Series of other investment companies managed by Management also participate in this line of credit on substantially the same terms. Interest is charged on borrowings under this Credit Facility at the highest of (a) a federal funds effective rate plus 1.00% per annum, (b) a Eurodollar rate for a one-month period plus 1.00% per annum, and (c) an overnight bank funding rate plus 1.00% per annum. The Credit Facility has an annual commitment fee of 0.15% per annum of the available line of credit, which is paid quarterly. The Fund has agreed to pay its pro rata share of the annual commitment fee, based on the ratio of its individual net assets to the net assets of all participants at the time the fee is due and payable, and interest charged on any borrowing made by the Fund and other costs incurred by the Fund. Because several mutual funds participate in the Credit Facility, there is no assurance that the Fund will have access to all or any part of the $700,000,000 at any particular time. There were no loans outstanding under the Credit Facility at June 30, 2019. During the period ended June 30, 2019, the Fund did not utilize the Credit Facility.
Note F—Recent Accounting Pronouncements:
In March 2017, FASB issued Accounting Standards Update No. 2017-08, "Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"). ASU 2017-08 shortens the amortization period to the earliest call date for certain purchased callable debt securities held at a premium. The guidance went into effect for fiscal years starting after December 15, 2018. The cumulative effect impacted net investment income and realized and unrealized gains and losses but did not impact net assets or NAV per share. Management has evaluated the impact of applying this guidance and the cumulative effect did not have a material impact on the Fund.
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In August 2018, FASB issued Accounting Standards Update No. 2018-13, "Fair Value Measurement (Topic 820: Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement") ("ASU 2018-13"). ASU 2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy and the valuation processes for Level 3 fair value measurements. ASU 2018-13 will require the disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements and the changes in unrealized gains and losses for recurring Level 3 fair value measurements. ASU 2018-13 will also require that information is provided about the measurement uncertainty of Level 3 fair value measurements as of the reporting date. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 and allows for early adoption of either the entire standard or only the provisions that eliminate or modify the disclosure requirements. Management has elected to adopt early the provisions that eliminate the disclosure requirements. Management is still currently evaluating the impact of applying the rest of the guidance.
Note G—Unaudited Financial Information:
The financial information included in this interim report is taken from the records of the Fund without audit by an independent registered public accounting firm. Annual reports contain audited financial statements.
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Short Duration Bond Portfolio
The following table includes selected data for a share outstanding throughout each period and other performance information derived from the Financial Statements. Amounts that do not round to $0.01 or $(0.01) per share are presented as $0.00 or $(0.00), respectively. Ratios that do not round to 0.01% or (0.01)% are presented as 0.00% or (0.00)%, respectively. A "—" indicates that the line item was not applicable in the corresponding period.
Class I | |
| | | Six Months
Ended
June 30, | | Year Ended December 31, | |
| | | 2019 | | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | |
| | | (Unaudited) | | | | | | | | | | | |
Net Asset Value, Beginning of Period | | $ | 10.40 | | | $ | 10.46 | | | $ | 10.52 | | | $ | 10.52 | | | $ | 10.66 | | | $ | 10.78 | | |
Income From Investment Operations: | |
| Net Investment Income/(Loss)@ | | | 0.09 | | | | 0.14 | | | | 0.11 | | | | 0.07 | | | | 0.02 | | | | 0.07 | | |
Net Gains or Losses on Securities
(both realized and unrealized) | | | 0.17 | | | | (0.03 | ) | | | (0.02 | ) | | | 0.06 | | | | 0.00 | | | | 0.00 | | |
Total From Investment Operations | | | 0.26 | | | | 0.11 | | | | 0.09 | | | | 0.13 | | | | 0.02 | | | | 0.07 | | |
Less Distributions From: | |
Net Investment Income | | | — | | | | (0.17 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.16 | ) | | | (0.19 | ) | |
Voluntary Contribution from Management | | | — | | | | — | | | | — | | | | — | | | | — | | | | 0.00 | | |
Net Asset Value, End of Period | | $ | 10.66 | | | $ | 10.40 | | | $ | 10.46 | | | $ | 10.52 | | | $ | 10.52 | | | $ | 10.66 | | |
| Total Return† | | | 2.50 | %*^ | | | 1.02 | %^ | | | 0.89 | %‡^ | | | 1.22 | %^ | | | 0.18 | %^ | | | 0.61 | %µ | |
Ratios/Supplemental Data | |
Net Assets, End of Period (in millions) | | $ | 112.6 | | | $ | 117.6 | | | $ | 131.6 | | | $ | 143.0 | | | $ | 160.0 | | | $ | 184.6 | | |
Ratio of Gross Expenses to
Average Net Assets# | | | 0.89 | %** | | | 0.87 | % | | | 0.85 | % | | | 0.88 | % | | | 0.84 | % | | | 0.82 | % | |
Ratio of Net Expenses to
Average Net Assets | | | 0.89 | %** | | | 0.87 | % | | | 0.75 | %ß | | | 0.88 | % | | | 0.84 | % | | | 0.82 | % | |
Ratio of Net Investment Income/(Loss)
to Average Net Assets | | | 1.65 | %** | | | 1.34 | % | | | 1.03 | %ß | | | 0.68 | % | | | 0.19 | % | | | 0.69 | % | |
Portfolio Turnover Rate | | | 30 | %* | | | 60 | % | | | 87 | % | | | 79 | % | | | 65 | % | | | 58 | % | |
See Notes to Financial Highlights
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Notes to Financial Highlights Short Duration Bond Portfolio (Unaudited)
@ Calculated based on the average number of shares outstanding during each fiscal period.
† Total return based on per share NAV reflects the effects of changes in NAV on the performance of the Fund during each fiscal period. Returns assume income dividends and other distributions, if any, were reinvested. Results represent past performance and do not indicate future results. Current returns may be lower or higher than the performance data quoted. Investment returns and principal will fluctuate and shares, when redeemed, may be worth more or less than original cost. The total return information shown does not reflect charges and other expenses that apply to the separate accounts or the related insurance policies or other qualified pension or retirement plans, and the inclusion of these charges and other expenses would reduce the total return for all fiscal periods shown.
^ The class action proceeds listed in Note A of the Notes to Financial Statements had no impact on the Fund's total return for the six months ended June 30, 2019. The class action proceeds received in 2017 had no impact on the Fund's total return for the year ended December 31, 2017. Had the Fund not received class action proceeds in 2018, 2016, and 2015, total return based on per share NAV for the years ended December 31, 2018, December 31, 2016, and December 31, 2015, would have been:
| | | Year Ended December 31, | |
| | | 2018 | | 2016 | | 2015 | |
Class I | | | 0.92 | % | | | 0.64 | % | | | 0.09 | % | |
µ The voluntary contribution received in 2014 had no impact on the Fund's total return for the year ended December 31, 2014.
* Not annualized.
‡ In May 2016, the Fund's custodian, State Street, announced that it had identified inconsistencies in the way in which the Fund was invoiced for categories of expenses, particularly those deemed "out-of-pocket" costs, from 1998 through November 2015, and refunded to the Fund certain expenses, plus interest, determined to be payable to the Fund for the period. Had the Fund not received the custodian expenses refund, the total return based on per share NAV for the year ended December 31, 2017 would have been 0.79%.
# Represents the annualized ratios of net expenses to average daily net assets if Management had not reimbursed certain expenses and/or waived a portion of the investment management fee and/or if the Fund had not received refunds, plus interest, from State Street noted in ‡ above for custodian out-of-pocket expenses previously paid during the year ended December 31, 2017. Management did not reimburse or waive fees during the fiscal periods shown.
** Annualized.
ß The custodian expenses refund noted in ‡ above is non-recurring and is included in these ratios. Had the Fund not received the refund, the annualized ratio of net expenses to average net assets and the annualized ratio of net investment income/(loss) to average net assets would have been:
| | | Ratio of Net
Expenses to
Average Net
Assets
Year Ended
December 31, 2017 | | Ratio of Net
Investment
Income/(Loss)
to Average
Net Assets
Year Ended
December 31, 2017 | |
Class I | | | 0.85 | % | | | 0.92 | % | |
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Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities is available, without charge, by calling 800-877-9700 (toll-free) and on the SEC's website, at www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is also available upon request, without charge, by calling 800-877-9700 (toll-free), on the SEC's website at www.sec.gov, and on Neuberger Berman's website at www.nb.com.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for the Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its report on Form N-PORT (Form N-Q for filings prior to March 31, 2019). The Trust's Forms N-Q or N-PORT are available on the SEC's website at www.sec.gov. The portfolio holdings information on Form N-Q or Form N-PORT is available upon request, without charge, by calling 800-877-9700 (toll free).
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