================================================================================
SEI LIQUID ASSET TRUST
================================================================================
ANNUAL REPORT
================================================================================
JUNE 30, 1996
<PAGE>
================================================================================
TO OUR SHAREHOLDERS:
The latter part of 1995 and early months of 1996 saw a decline in short term
interest rates. The Federal Reserve Board (the "Fed") cut rates twice in an
effort to stimulate the market. Overall, short term rates have declined from
5.75% to 5.25% over the last twelve months.
Money market funds reacted to the downturn in rates by lengthening average
weighted maturities in order to defend against slumping yields. Since April,
maturities have remained stable, and yields have begun to slowly climb upward.
Asset growth in money market funds continues to flourish, with industry totals
approaching the $1 trillion mark.
Despite the fluctuation in short term interest rates over the past twelve
months, Wellington Management Company, by consistently watching the market and
anticipating moves by the Fed, found opportunities to provide competitive yield,
while maintaining a high degree of safety and liquidity. The investors of the
SEI Liquid Asset Trust have reaped the benefits of Wellington's appropriate
positioning of the funds.
At the midpoint of 1996, the healthy economic news has been accompanied by very
few hints of inflation, and market watchers continue to await the next move of
the Fed. As always, Wellington Management Company will seek out safe investment
opportunities that provide the competitive yields our shareholders expect. We
continue to look forward to serving your investment needs, and we thank you for
your continued confidence in the SEI Liquid Asset Trust.
Sincerely,
(/S/ David G. Lee)
David G. Lee
President and Chief Executive Officer
SEI Liquid Asset Trust
<PAGE>
TABLE OF CONTENTS
================================================================================
MONEY MARKET REVIEW ..................... 1
REPORT OF INDEPENDENT ACCOUNTANTS ....... 2
STATEMENT OF NET ASSETS ................. 3
STATEMENT OF ASSETS AND LIABILITIES...... 7
STATEMENT OF OPERATIONS ................. 8
STATEMENT OF CHANGES IN NET ASSETS...... 9
FINANCIAL HIGHLIGHTS ....................11
NOTES TO FINANCIAL STATEMENTS ...........12
<PAGE>
MONEY MARKET REVIEW
================================================================================
SEI LIQUID ASSET MONEY MARKET PORTFOLIOS
TREASURY SECURITIES
GOVERNMENT SECURITIES
PRIME OBLIGATION
SEI LIQUID ASSET TRUST PORTFOLIOS ARE ADVISED BY WELLINGTON
MANAGEMENT COMPANY
Money market mutual funds continued to attract assets at an impressive pace
over the last twelve months. Total industry assets exceeded $830 billion as of
June 30, 1996; an increase of over $130 billion since June 1995. The persistent
growth has generally been attributed to two forces: 1) the desire on the part of
CFOs to put corporate and municipal assets to work in interest-bearing
investment vehicles; and 2) the increased popularity of 401(k) plans, many of
which offer money market funds as a retirement investment option.
Yields of money market funds trended downward through the second half of
1995, in accordance with an ease by the Fed in July to stimulate the market. In
an effort to increase yields, money market average maturities were lengthened.
Nonetheless, the slowdown in economic growth and low inflation persisted into
the fourth quarter, prompting the Fed to intervene again in December.
A widespread gloomy economic outlook pushed rates down in early 1996. With
the backdrop of an apparently slowing economy and dropping yields, the Fed cut
the Fed Funds rate by 25 basis points to 5.25% at the end of January. In this
environment, money market average maturities were kept long to defend against
slumping yields. However, all of the dread about a dormant economy turned into
fears of inflation in a matter of weeks. By March, many expected rate hikes by
the Fed in the face of suprisingly strong economic news. Over the first quarter,
yields fell from late December to the end of March.
Short term interest rates rose during the second quarter as economic
statistics confirmed earlier fears of stronger growth and potentially higher
inflation. While the Fed held short term interest rates steady at 5.25%, the
yield curves for money market securities, whether measured in Treasury Bills or
LIBOR, steepened in anticipation of higher Fed-controlled rates ahead.
Notable industry news included the publication of the long-awaited Rule
2a-7 Amendments by the SEC in March. The primary focus of the amendments was to
bring regulations of tax-free money market funds into line with those of taxable
funds, whose regulations were last amended in 1991.
In advising the Trust, Wellington Management Company continues to emphasize
its analytical resources in selecting investments for all three portfolios.
These efforts, in addition to a diligent investment philosophy, have rewarded
shareholders with consistent overall performance.
1
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Shareholders of
SEI Liquid Asset Trust
In our opinion, the accompanying statement of assets and liabilities presents
fairly, in all material respects, the financial position of Money Market
Portfolio at June 30, 1996, and the accompanying statements of net assets and
liabilities and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of Treasury Securities Portfolio, Government Securities
Portfolio, Prime Obligation Portfolio, Institutional Cash Portfolio (which, with
Money Market Portfolio, constitute SEI Liquid Asset Trust, (hereafter referred
to as the "Trust") at June 30, 1996, the results of each of their operations,
the changes in each of their net assets for each of the two years in the periods
then ended and the financial highlights presented, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statments in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at June 30, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
Philadelphia, Pennsylvania
August 2, 1996
2
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI LIQUID ASSET TRUST--JUNE 30, 1996
TREASURY SECURITIES PORTFOLIO
- -----------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -----------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 24.5%
U.S. Treasury Notes
4.375%, 08/15/96 $ 80,000 $ 79,868
7.500%, 01/31/97 95,000 96,094
6.750%, 02/28/97 21,000 21,174
6.500%, 05/15/97 7,250 7,299
--------
Total U.S. Treasury Obligations
(Cost $204,435) 204,435
--------
REPURCHASE AGREEMENTS -- 75.3%
Aubrey Lanston
5.45%, dated 06/28/96, matures
07/01/96, repurchase price
$10,004,542 (collateralized by
U.S. Treasury Note par value
$9,928,000, 6.875%, matures
03/31/00; market value
$10,247,549) 10,000 10,000
J.P. Morgan
5.43%, dated 06/28/96, matures
07/01/96, repurchase price
$16,902,645 (collateralized by
U.S. Treasury Note par value
$16,813,000, 5.625%, matures
06/30/97; market
value $17,257,026) 16,895 16,895
Lehman Brothers (A)
5.50%, dated 06/28/96,
matures 07/01/96, repurchase
price $200,091,667 (collateralized
by U.S. Treasury Notes ranging
in par value $7,388,000 -
$109,187,000, 5.875% - 6.875%,
11/15/05 - 05/15/06; with total
market value $203,970,482) 200,000 200,000
Swiss Bank (A)
5.50%, dated 06/28/96, matures
07/01/96, repurchase price
$200,091,667 (collateralized by
U.S. Treasury Bonds ranging in
par value $317,000 - $40,214,000,
7.25% - 12.75%, 11/15/03 -
08/15/22; with total market
value of $204,228,770) 200,000 200,000
Union Bank of Switzerland (A)
5.48%, dated 06/28/96, matures
07/01/96, repurchase price
$200,091,333 (collateralized by
U.S. Treasury Bonds ranging in
par value $1,510,000 -
$185,194,142, 5.875% - 7.625%,
02/15/25 - 08/15/25; with
total market value
of $204,002,771) 200,000 200,000
--------
Total Repurchase Agreements
(Cost $626,895) 626,895
--------
- -----------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -----------------------------------------------------------
Total Investments -- 99.8%
(Cost $831,330) $831,330
--------
OTHER ASSETS AND LIABILITIES -- 0.2%
Other Assets and Liabilities, Net 1,282
--------
NET ASSETS:
Portfolio shares of Class A
(unlimited authorization -- no
par value) based on
832,294,812 outstanding shares
of beneficial interest 832,295
Portfolio shares of Class D
(unlimited authorization -- no
par value) based on 219,156
outstanding shares of beneficial
interest 219
Accumulated net realized gain on
investments 98
--------
Total Net Assets-- 100.0% $832,612
========
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $1.00
========
Net Asset Value, Offering and
Redemption Price Per Share --
Class D $1.00
========
(A) TRI-PARTY REPURCHASE AGREEMENT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL
STATEMENTS.
GOVERNMENT SECURITIES
PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 73.5%
FHLB
5.773%, 10/04/96 $ 535 $ 527
5.807%, 10/15/96 1,410 1,387
FHLMC
5.364%, 07/08/96 21,905 21,883
5.386%, 07/15/96 10,000 9,979
5.386%, 08/15/96 3,000 2,980
FNMA (A)
5.420%, 07/02/96 22,000 22,000
FNMA
5.365%, 07/30/96 2,000 1,992
5.372%, 08/08/96 3,200 3,182
5.384%, 08/23/96 1,885 1,870
5.372%, 09/18/96 7,000 6,921
5.368%, 09/20/96 4,570 4,517
5.373%, 09/20/96 935 924
3
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI LIQUID ASSET TRUST--JUNE 30, 1996
GOVERNMENT SECURITIES PORTFOLIO (CONTINUED)
- -----------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -----------------------------------------------------------
5.360%, 09/24/96 $ 2,000 $ 1,976
5.372%, 09/24/96 7,075 6,989
5.392%, 09/24/96 6,000 5,927
5.470%, 11/14/96 2,000 2,003
SLMA (A)
5.410%, 07/02/96 15,400 15,400
5.590%, 07/02/96 8,000 8,021
5.615%, 07/02/96 5,800 5,805
--------
Total U.S. Government Agency Obligations
(Cost $124,283) 124,283
--------
U.S. TREASURY OBLIGATION -- 4.2%
U.S. Treasury Note
7.500%, 01/31/97 7,000 7,093
--------
Total U.S. Treasury Obligation
(Cost $7,093) 7,093
--------
REPURCHASE AGREEMENTS -- 22.4%
Aubrey Lanston
5.45%, dated 06/28/96, matures
07/01/96, repurchase price
$1,182,537 (collateralized by
U.S. Treasury Note, par value
$1,149,000, 8.75%, 10/15/97;
market value $1,209,004) 1,182 1,182
J.P. Morgan
5.43%, dated 06/28/96, matures
07/01/96, repurchase price
$1,665,753 (collateralized by
U.S. Treasury Note, par value
$1,657,000, 5.625%, 06/30/97;
market value $1,700,502) 1,665 1,665
Morgan Stanley (C)
5.55%, dated 06/28/96, matures
07/01/96, repurchase price
$20,009,250 (collateralized by
Federal National Mortgage
Association obligation, par
value $23,681,000, 8.00%,
matures 08/01/24; market
value $20,475,001) 20,000 20,000
Union Bank of Switzerland (B)
5.36%, dated 06/12/96, matures
07/03/96, repurchase price
$15,046,900 (collateralized by
Government National Mortgage
Association obligations ranging
in par value $194,206 -
$13,880,000, 6.50% - 8.00%,
05/15/97-05/15/26; with total
market value of $15,301,366) 15,000 15,000
--------
Total Repurchase Agreements
(Cost $37,847) 37,847
--------
- -----------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -----------------------------------------------------------
Total Investments -- 100.1%
(Cost $169,223) $169,223
--------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets and Liabilities, Net (90)
--------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value) based
on 169,171,721 outstanding shares of
beneficial interest 169,172
Accumulated net realized loss on
investments (39)
--------
Total Net Assets-- 100.0% $169,133
========
Net Asset Value, Offering and
Redemption Price per Share $1.00
========
(A) VARIABLE RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET
ASSETS IS THE RATE IN EFFECT ON JUNE 30, 1996.
(B) TERM REPURCHASE AGREEMENT.
(C) TRI-PARTY REPURCHASE AGREEMENT.
FHLB - FEDERAL HOME LOAN BANK
FHLMC - FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA - FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA - STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
PRIME OBLIGATION PORTFOLIO
COMMERCIAL PAPER -- 58.8%
Associates Corporation of
North America
5.360%, 07/15/96 $ 10,000 $ 9,979
5.525%, 08/27/96 13,000 12,889
Bear Stearns
5.300%, 07/22/96 5,000 4,985
5.360%, 07/31/96 8,000 7,964
Centric Funding
5.350%, 07/02/96 5,000 4,999
5.300%, 08/01/96 18,000 17,918
CIT Group Holdings
5.360%, 08/12/96 10,000 9,937
Clipper Receivables (B)
5.370%, 07/16/96 8,000 7,982
5.400%, 07/23/96 10,000 9,967
Coca Cola (B)
5.537%, 08/09/96 5,000 4,971
Dean Witter Discover
5.446%, 08/01/96 10,000 9,954
4
<PAGE>
================================================================================
PRIME OBLIGATION PORTFOLIO (CONTINUED)
- -----------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- -----------------------------------------------------------
Enterprise Funding (B)
5.450%, 07/22/96 $ 5,207 $ 5,190
5.507%, 07/29/96 21,527 21,437
Ford Motor Credit
5.350%, 07/17/96 8,000 7,981
5.426%, 07/25/96 15,000 14,947
General Electric Capital
5.230%, 08/22/96 15,000 14,887
5.260%, 08/28/96 5,000 4,958
General Motors Acceptance
5.365%, 09/13/96 5,000 4,945
5.672%, 11/08/96 16,000 15,686
Goldman Sachs
5.330%, 07/24/96 20,000 19,932
Government Development
Bank of Puerto Rico
5.380%, 07/10/96 13,500 13,482
5.320%, 07/18/96 10,000 9,975
IBM
5.380%, 08/14/96 20,000 19,868
International Lease Finance
5.400%, 08/21/96 5,000 4,962
Island Finance of Puerto Rico
5.400%, 08/26/96 5,000 4,958
Knight Ridder
5.370%, 08/19/96 5,000 4,963
Metropolitan Life Funding
5.518%, 08/19/96 5,800 5,757
Monsanto
5.000%, 07/11/96 8,000 7,989
Morgan Stanley
5.300%, 07/18/96 15,000 14,962
5.290%, 07/24/96 10,000 9,966
New Center Asset Trust
5.420%, 08/12/96 15,000 14,905
5.270%, 09/24/96 7,000 6,913
Prefco
5.340%, 09/05/96 25,000 24,755
Prudential Funding
5.250%, 10/01/96 5,000 4,933
Ranger Funding (B)
5.510%, 07/22/96 10,000 9,969
5.451%, 07/31/96 10,000 9,956
Riverwood Funding
5.445%, 07/31/96 10,000 9,956
5.300%, 08/16/96 5,000 4,966
Sears Roebuck Acceptance
5.400%, 08/13/96 15,000 14,903
5.410%, 08/19/96 10,000 9,926
Whirlpool
5.300%, 07/31/96 20,000 19,912
--------
Total Commercial Paper
(Cost $439,484) 439,484
--------
- ----------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.2%
FNMA (A)
5.420%, 07/02/96 $ 30,000 $ 30,000
SLMA(A)
5.410%, 07/02/96 24,000 24,000
5.450%, 07/02/96 23,000 23,003
5.440%, 07/02/96 7,000 7,001
--------
Total U.S. Government Agency Obligations
(Cost $84,004) 84,004
--------
CERTIFICATES OF DEPOSIT -- 4.0%
Barnett Banks
5.650%, 07/11/96 15,000 15,000
Chase Manhattan
5.348%, 11/06/96 15,000 15,000
--------
Total Certificates of Deposit
(Cost $30,000) 30,000
--------
BANK NOTES -- 2.9%
Bank of Hawaii
5.570%, 11/06/96 12,000 12,005
NationsBank of Texas
5.360%, 08/12/96 10,000 10,000
--------
Total Bank Notes
(Cost $22,005) 22,005
--------
FLOATING RATE INSTRUMENTS -- 13.7%
Allstate (A)
5.530%, 07/01/96 10,000 10,000
CoreStates Capital (A)
5.430%, 07/05/96 10,000 10,000
People's Security Funding
Agreement (A) (B)
5.630%, 07/01/96 25,000 25,000
PNC Bank (A)
5.353%, 07/03/96 25,000 24,990
SMM Trust 96-I (A) (B)
5.480%, 07/01/96 10,000 10,000
SMM Trust 95-B (A) (B)
5.515%, 07/03/96 10,000 10,000
SouthTrust Bank of Alabama (A)
5.563%, 09/17/96 7,350 7,346
Travelers Insurance (A) (B)
5.570%, 09/01/96 5,000 5,000
--------
Total Floating Rate Instruments
(Cost $102,336) 102,336
--------
U.S. TREASURY OBLIGATION -- 5.4%
U.S. Treasury Note
7.500%, 01/31/97 40,000 40,531
--------
Total U.S. Treasury Obligation
(Cost $40,531) 40,531
--------
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI LIQUID ASSET TRUST--JUNE 30, 1996
PRIME OBLIGATION PORTFOLIO (CONTINUED)
- ------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ------------------------------------------------------------
REPURCHASE AGREEMENTS -- 4.0%
J.P. Morgan
5.43%, dated 06/28/96, matures
07/01/96, repurchase price
$4,718,134 (collateralized by
U.S. Treasury Note par value
$4,693,000, 5.625%, matures
06/30/97; market value
$4,816,941) $ 4,716 $ 4,716
Union Bank of Switzerland (C)
5.45%, dated 06/28/96, matures
07/01/96, repurchase price
$25,011,354 (collateralized by
various Federal Home Loan
Mortgage Corporation
obligations ranging in par
value $1,000 - $10,183,876,
6.50% - 9.00%, 12/01/23-12/01/25;
Federal National Mortgage
Association obligations ranging
in par value $1,000 - $3,595,000,
6.50% - 9.50%, 04/01/22 -
02/01/26; with total market
value of $25,501,446) 25,000 25,000
--------
Total Repurchase Agreements
(Cost $29,716) 29,716
--------
- -----------------------------------------------------------
DESCRIPTION VALUE (000)
- -----------------------------------------------------------
Total Investments -- 100.0%
(Cost $748,076) $748,076
--------
OTHER ASSETS AND LIABILITIES -- 0.0%
Other Assets and Liabilities, Net (224)
--------
NET ASSETS:
Portfolio shares (unlimited
authorization--no par value) based
on 747,863,548 outstanding shares
of beneficial interest 747,864
Accumulated net realized loss on
investments (12)
--------
Total Net Assets -- 100.0% $747,852
========
Net Asset Value, Offering and
Redemption Price Per Share $1.00
========
(A) VARIABLE RATE INSTRUMENT. THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT ON JUNE 30, 1996.
(B) PRIVATE PLACEMENT
(C) TRI-PARTY REPURCHASE AGREEMENT
FNMA - FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA - STUDENT LOAN MARKETING ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
================================================================================
SEI LIQUID ASSET TRUST--AS OF JUNE 30, 1996
<TABLE>
<CAPTION>
------------- ------------
INSTITUTIONAL
CASH MONEY MARKET
PORTFOLIO PORTFOLIO
------------- ------------
<S> <C> <C>
ASSETS:
Cash $ 100 $ 100
--------- ---------
Total assets 100 100
--------- ---------
NET ASSETS:
Applicable to 100 outstanding shares of beneficial interest
(unlimited authorization -- no par value) 100 100
--------- ---------
Total net assets $ 100 $ 100
--------- ---------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $1.00 $1.00
========= =========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI LIQUID ASSET TRUST--FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
---------- ---------- ---------- -------------
TREASURY GOVERNMENT PRIME INSTITUTIONAL
SECURITIES SECURITIES OBLIGATION CASH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Interest Income $67,396 $10,972 $48,368 $130
------- ------- ------- ----
EXPENSES:
Management fee 4,961 820 3,560 9
Less management fees waived (981) (199) (786) --
Investment advisory fee 382 63 275 --
Custodian/wire agent fees 159 33 116 --
Professional fees 69 19 58 3
Trustee fees 13 6 10 --
Registration & filing fees 149 37 181 --
Distribution fees 371 59 263 --
Distribution fees - Class D (1) 2 -- -- --
Insurance 12 7 9 --
Other fees 66 14 45 --
------- ------- ------- ----
Total expenses 5,203 859 3,731 12
------- ------- ------- ----
NET INVESTMENT INCOME 62,193 10,113 44,637 118
------- ------- ------- ----
Net realized gain (loss) from security transactions (54) (18) 7 (37)
------- ------- ------- ----
NET INCREASE IN NET ASSETS FROM OPERATIONS $62,139 $10,095 $44,644 $ 81
======= ======= ======= ====
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(1) FEES ARE INCURRED AT THE CLASS D LEVEL ONLY.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI LIQUID ASSET TRUST--FOR THE YEAR ENDED JUNE 30,
<TABLE>
<CAPTION>
----------------------- ---------------------
TREASURY GOVERNMENT
SECURITIES SECURITIES
----------------------- ---------------------
1996 1995 1996 1995
----------------------- ---------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 62,193 $ 63,230 $ 10,113 $ 12,192
Net realized gain (loss) from security transactions (54) 240 (18) 39
---------- ---------- ---------- ----------
Net increase in net assets resulting from operations 62,139 63,470 10,095 12,231
---------- ---------- ---------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (62,141) (62,948) (10,112) (12,193)
Class D (52) (282) -- --
---------- ---------- ---------- ----------
Total dividends distributed (62,193) (63,230) (10,112) (12,193)
---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 7,781,924 9,652,814 1,017,301 1,544,000
Reinvestment of cash distributions 847 823 836 579
Cost of shares redeemed (8,205,213) (9,900,410) (1,049,755) (1,599,403)
---------- ---------- ---------- ----------
Decrease in net assets derived from Class A transactions (422,442) (246,773) (31,618) (54,824)
---------- ---------- ---------- ----------
Class D:
Proceeds from shares issued 5,034 25,743 -- --
Reinvestment of cash distributions 11 2 -- --
Cost of shares redeemed (14,623) (15,971) -- --
---------- ---------- ---------- ----------
Increase (decrease) in net assets derived from Class D transactions (9,578) 9,774 -- --
---------- ---------- ---------- ----------
Decrease in net assets derived from capital share transactions (432,020) (236,999) (31,618) (54,824)
---------- ---------- ---------- ----------
Net decrease in net assets (432,074) (236,759) (31,635) (54,786)
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of Period 1,264,686 1,501,445 200,768 255,554
---------- ---------- ---------- ----------
End of Period $ 832,612 $1,264,686 $ 169,133 $ 200,768
========== ========== ========== ==========
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
9
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI LIQUID ASSET TRUST--FOR THE YEAR ENDED JUNE 30,
<TABLE>
<CAPTION>
----------------------- --------------------
PRIME INSTITUTIONAL
OBLIGATION CASH
----------------------- --------------------
1996 1995 1996 1995
----------------------- --------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 44,637 $ 52,597 $ 118 $ 93
Net realized gain (loss) from security transactions 7 55 (37) --
---------- ---------- -------- --------
Net increase in net assets resulting from operations 44,644 52,652 81 93
---------- ---------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (44,637) (52,597) (118) (93)
Class D -- -- -- --
---------- ---------- -------- --------
Total dividends distributed (44,637) (52,597) (118) (93)
---------- ---------- -------- --------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from shares issued 6,940,159 9,162,056 236,351 163,880
Reinvestment of cash distributions 9,384 11,333 -- --
Cost of shares redeemed (7,142,561) (9,151,091) (236,351) (163,880)
---------- ---------- -------- --------
Increase (decrease) in net assets derived from Class A transactions (193,018) 22,298 -- --
---------- ---------- -------- --------
Class D:
Proceeds from shares issued -- -- -- --
Reinvestment of cash distributions -- -- -- --
Cost of shares redeemed -- -- -- --
---------- ---------- -------- --------
Increase in net assets derived from Class D transactions -- -- -- --
---------- ---------- -------- --------
Increase (decrease) in net assets derived from capital share
transactions (193,018) 22,298 -- --
Contributions of Capital from the Manager -- -- 37 --
---------- ---------- -------- --------
Net increase (decrease) in net assets (193,011) 22,353 -- --
---------- ---------- -------- --------
NET ASSETS:
Beginning of Period 940,863 918,510 -- --
---------- ---------- -------- --------
End of Period $ 747,852 $ 940,863 $ -- $ --
========== ========== ======== ========
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI LIQUID ASSET TRUST--FOR THE FISCAL YEARS ENDED JUNE 30,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
DISTRIBUTIONS
NET ASSET REALIZED AND DISTRIBUTIONS FROM
VALUE NET UNREALIZED FROM NET REALIZED NET ASSET
BEGINNING INVESTMENT GAINS ON INVESTMENT CAPITAL VALUE END TOTAL
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------
TREASURY SECURITIES
- -------------------
CLASS A
1996 $1.00 $0.05 -- $(0.05) -- $1.00 5.37%
1995 1.00 0.05 -- (0.05) -- 1.00 5.05
1994 1.00 0.03 -- (0.03) -- 1.00 3.00
1993 1.00 0.03 -- (0.03) -- 1.00 3.03
1992 1.00 0.05 -- (0.05) -- 1.00 4.69
1991 1.00 0.07 -- (0.07) -- 1.00 7.04
1990 1.00 0.08 -- (0.08) -- 1.00 8.41
1989 1.00 0.08 -- (0.08) -- 1.00 8.51
1988 1.00 0.06 -- (0.06) -- 1.00 6.56
1987 1.00 0.06 -- (0.06) -- 1.00 5.91
CLASS D
1996 1.00 0.05 -- (0.05) -- 1.00 5.01
1995 1.00 0.05 -- (0.05) -- 1.00 4.69
1994(1) 1.00 0.01 -- (0.01) -- 1.00 0.50**
- ---------------------
GOVERNMENT SECURITIES
- ---------------------
CLASS A
1996 $1.00 $0.05 -- $(0.05) -- $1.00 5.30%
1995 1.00 0.05 -- (0.05) -- 1.00 5.18
1994 1.00 0.03 -- (0.03) -- 1.00 3.04
1993 1.00 0.03 -- (0.03) -- 1.00 3.05
1992 1.00 0.05 -- (0.05) -- 1.00 4.72
1991 1.00 0.07 -- (0.07) -- 1.00 7.08
1990 1.00 0.08 -- (0.08) -- 1.00 8.48
1989 1.00 0.08 -- (0.08) -- 1.00 8.69
1988 1.00 0.07 -- (0.07) -- 1.00 6.83
1987 1.00 0.06 -- (0.06) -- 1.00 5.99
- ----------------
PRIME OBLIGATION
- ----------------
CLASS A
1996 $1.00 $0.05 -- $(0.05) -- $1.00 5.39%
1995 1.00 0.05 -- (0.05) -- 1.00 5.20
1994 1.00 0.03 -- (0.03) -- 1.00 3.08
1993 1.00 0.03 -- (0.03) -- 1.00 3.07
1992 1.00 0.05 -- (0.05) -- 1.00 4.73
1991 1.00 0.07 -- (0.07) -- 1.00 7.36
1990 1.00 0.08 -- (0.08) -- 1.00 8.57
1989 1.00 0.09 -- (0.09) -- 1.00 8.85
1988 1.00 0.07 -- (0.07) -- 1.00 7.12
1987 1.00 0.06 -- (0.06) -- 1.00 6.08
- ---------------------
INSTITUTIONAL CASH(3)
- ---------------------
CLASS A
1996 $1.00 $0.0005 -- $(0.0005) -- $1.00 4.58%
1995 1.00 0.0003 -- (0.0003) -- 1.00 4.94
1994 1.00 0.0003 -- (0.0003) -- 1.00 2.60
1993 1.00 0.0003 -- (0.0003) -- 1.00 2.83
1992 1.00 0.0002 -- (0.0002) -- 1.00 3.47
1991 1.00 0.0003 0.0001 (0.0003) (0.0001) 1.00 7.12
1990 1.00 0.0008 0.0003 (0.0008) (0.0003) 1.00 10.22
1989 1.00 0.0007 0.0002 (0.0007) (0.0002) 1.00 8.49
1988 1.00 0.0006 0.0001 (0.0006) (0.0001) 1.00 4.02
1987(2) 1.00 0.0003 -- (0.0003) -- 1.00 5.48
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
NET ASSETS EXPENSES INCOME NET ASSETS NET ASSETS
END OF TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS)
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- -------------------
TREASURY SECURITIES
- -------------------
CLASS A
1996 $ 832,393 0.44% 5.27% 0.52% 5.19%
1995 1,254,888 0.44 4.93 0.54 4.83
1994 1,501,510 0.44 2.91 0.51 2.84
1993 2,219,701 0.44 2.99 0.50 2.93
1992 2,304,153 0.44 4.60 0.50 4.50
1991 2,248,497 0.44 6.80 0.47 6.80
1990 2,076,845 0.44 8.10 0.45 8.10
1989 2,318,763 0.44 8.20 0.44 8.20
1988 2,671,802 0.44 6.40 0.44 6.40
1987 2,580,118 0.44 5.70 0.45 5.70
CLASS D
1996 $ 219 0.79 4.92 0.87 4.84
1995 9,798 0.79 5.15 0.89 5.05
1994(1) 23 0.79* 3.23* 0.98* 3.04*
- ---------------------
GOVERNMENT SECURITIES
- ---------------------
CLASS A
1996 $ 169,133 0.44% 5.19% 0.54% 5.09%
1995 200,768 0.44 5.04 0.53 4.95
1994 255,554 0.44 2.96 0.51 2.89
1993 507,832 0.44 3.00 0.50 2.94
1992 399,938 0.44 4.60 0.50 4.60
1991 520,187 0.44 6.80 0.48 6.70
1990 368,318 0.44 8.10 0.45 8.10
1989 467,056 0.44 8.30 0.46 8.30
1988 523,274 0.44 6.70 0.44 6.70
1987 479,968 0.44 5.80 0.46 5.80
- ----------------
PRIME OBLIGATION
- ----------------
CLASS A
1996 $ 747,852 0.44% 5.27% 0.53% 5.18%
1995 940,863 0.44 5.21 0.53 5.12
1994 918,509 0.44 3.03 0.51 2.96
1993 1,173,109 0.44 3.04 0.50 2.98
1992 1,515,554 0.44 4.70 0.49 4.60
1991 1,729,845 0.44 7.10 0.47 7.10
1990 1,804,367 0.44 8.30 0.45 8.30
1989 2,160,859 0.44 8.50 0.44 8.50
1988 2,224,159 0.44 6.90 0.44 6.90
1987 1,851,072 0.44 5.90 0.45 5.90
- ---------------------
INSTITUTIONAL CASH(3)
- ---------------------
CLASS A
1996 -- 0.44% 4.58% 0.44% 4.58%
1995 -- 0.44 5.19 0.44 5.19
1994 -- 0.44 2.63 0.44 2.63
1993 -- 0.44 2.66 0.44 2.66
1992 -- 0.44 3.50 0.44 3.50
1991 -- 0.42 5.90 0.42 5.90
1990 -- 0.44 7.80 0.44 7.80
1989 -- 0.44 6.80 0.44 6.80
1988 -- 0.44 5.20 0.44 5.20
1987(2) -- 0.44 5.30 0.44 5.30
<FN>
(1) TREASURY SECURITIES CLASS D COMMENCED OPERATIONS ON MAY 4, 1994.
(2) INSTITUTIONAL CASH FUND COMMENCED OPERATIONS ON DECEMBER 31, 1986.
(3) ALL RATIOS AND TOTAL RETURNS FOR THE INSTITUTIONAL CASH PORTFOLIO HAVE BEEN ANNUALIZED.
* ANNUALIZED
** NOT ANNUALIZED
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI LIQUID ASSET TRUST--JUNE 30, 1996
1. ORGANIZATION
SEI Liquid Asset Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated July 20, 1981.
The Trust is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company with five
portfolios: the Treasury Securities Portfolio, the Government Securities
Portfolio, the Prime Obligation Portfolio, the Institutional Cash Portfolio and
the Money Market Portfolio (the "Portfolios"). The Trust is registered to offer
Class A shares of the portfolios and Class D (formerly the ProVantage Funds)
shares of the Treasury Securities Portfolio. Shares of the Institutional Cash
Portfolio were sold to shareholders on December 29, 1995 and then fully redeemed
at the end of business on January 2, 1996. It is anticipated that this portfolio
will again be available to shareholders on December 31, 1996. As of June 30,
1996 the Money Market Portfolio had not commenced operations. The assets of each
Portfolio are segregated and a shareholder's interest is limited to the
Portfolio in which shares are held. A description of the Fund's investment
objective, policies, and strategies are provided in the prospectus.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust.
SECURITY VALUATION--Investment securities are stated at amortized cost,
which approximates market value. Under this valuation method, purchase discounts
and premiums are accreted and amortized ratably to maturity and are included in
interest income.
FEDERAL INCOME TAXES--It is each Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income taxes is required.
REPURCHASE AGREEMENTS--Securities pledged as collateral for repurchase
agreements are held by the Portfolio's custodian bank until maturity of the
repurchase agreement. The Trust also invests in tri-party repurchase agreements.
Securities held as collateral for tri-party repurchase agreements are maintained
in a segregated account by the broker's custodian bank until maturity of the
repurchase agreement. Provisions of the agreement and procedures adopted by the
Manager of the Trust require that the market value of the collateral, including
accrued interest thereon, is sufficient to cover interest and principal in the
event of default by the counterparty.
If the counterparty defaults and the value of the collateral declines or if
the counterparty enters an insolvency proceeding, realization of the collateral
by the Trust may be delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION--All amortization is calculated using the
effective interest method over the holding period of the security. Amortization
of premiums and discounts is currently included in interest income.
EXPENSES--Expenses of the Trust which are not directly associated to a
specific Portfolio are allocated on the basis of relative net asset value of the
affected Portfolios.
CLASSES--Expenses of a class of shares of beneficial interest are borne by
that class. Income, expenses and realized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
OTHER--Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses on
the sale of investment securities are those of the specific securities sold.
Distributions from net investment income are declared on a daily basis and are
payable on the first business day of the following month. Any net realized
capital gains of the Portfolios are distributed to the shareholders of the
affected Portfolios annually.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
SEI Fund Management (the "Manager") provides management, administrative and
shareholder services to the Trust for an annual fee, which is calculated daily
and paid monthly, of .42% of the average daily net assets of each Portfolio with
the exception of the Institutional Cash Portfolio for which the fee is
calculated at an annual rate of .36%. The Manager has agreed to bear certain
expenses of the Trust so that the total expenses do not exceed .44% of average
daily net assets annually.
12
<PAGE>
================================================================================
In addition, the Trust has entered into a separate Transfer Agent Agreement
with respect to Class D shares under which DST Systems, Inc. is entitled to a
fee of .15% of the average daily net assets of Class D plus out-of-pocket costs.
Wellington Management Company serves as the Investment Adviser of the
Trust. For its services, the Investment Adviser receives an annual fee equal to
.075% of the Trust's average daily net asset value up to $500 million and .02%
of such net asset value in excess of $500 million. At June 30, 1996, the
Investment Adviser was a holder of beneficial interest in the Trust. The fees of
the Investment Adviser are paid monthly.
SEI Financial Services Company ("the Distributor"), a wholly-owned
subsidiary of SEI Corporation and a registered broker-dealer, acts as the
distributor of the shares of the Trust under a Distribution Agreement. The Trust
has adopted a shareholder servicing plan for its Class A shares (the "Class A
Plan") pursuant to which a shareholder servicing fee of up to .25% of the
average daily net assets attributable to Class A shares will be paid to the
Distributor. Under the Class A Plan the Distributor may perform, or may
compensate other service providers for performing, certain shareholder and
administrative services. The Trust has adopted a distribution plan for its Class
D shares (the "Class D Plan") pursuant to which a 12b-1 fee of up to .25% of the
average daily net assets attributable to Class D shares will be paid to the
Distributor. As of the fiscal year end, the Distributor is taking a fee under
the Class D Plan of only .20% of the average daily net assets attributable to
Class D shares. This payment may be used to compensate financial institutions
that provide distribution-related services to their customers. Under both the
Class A Plan and the Class D Plan, the Distributor may retain as a profit any
difference between the fee it receives and the amount it pays to third parties.
4. TRANSACTIONS WITH AFFILIATES
Certain officers and/or Trustees of the Trust are also officers and/or
Directors of the Manager or SFS. Compensation of officers and affiliated
Trustees of the Trust is paid by the Manager and/or SFS.
CoreStates N.A., which is a Trust shareholder, acts as Custodian and Wire
Agent for the Trust.
During the period ended June 30, 1996, the Manager made a capital
contribution of $37,000 to the Institutional Cash Portfolio to reimburse the
Portfolio for a loss on securities sold. The loss and related capital
contribution did not change the net asset value of the Portfolio.
5. CAPITAL LOSS CARRYOVERS
At June 30, 1996, the Portfolios had a capital loss carryover, to the extent
provided in regulations, for Federal income tax purposes as follows:
Government Securities
Portfolio: $16,296 expiring in 2002
1,741 expiring in 2004
Prime Obligation
Portfolio: $59,535 expiring in 2000
5,140 expiring in 2003
Institutional Cash
Portfolio: $37,279 expiring in 2004
In addition, from November 1, 1995 through June 30, 1996, the following Funds
incurred net realized capital losses, as follows:
AMOUNT
========
Treasury Securities Portfolio $147,996
Government Securities Portfolio 16,006
As permitted by tax regulations, the Funds intend to elect to defer and treat
these losses as arising in the fiscal year ended June 30, 1997.
13
<PAGE>
NOTICE TO SHAREHOLDERS
================================================================================
SEI LIQUID ASSET TRUST--JUNE 30, 1996 UNAUDITED
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR
INFORMATIONAL PURPOSES ONLY.
Dear SEI Liquid Asset Trust Shareholders:
For the fiscal year ended June 30, 1996, each portfolio is designating long term
capital gains, qualifying dividends and exempt income with regard to
distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B)
LONG TERM ORDINARY (C) (E)
CAPITAL GAINS INCOME TOTAL (D) TAX
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING EXEMPT
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS(1) INTEREST
- -------- ------------- ------------- ------------- ------------ --------
<S> <C> <C> <C> <C> <C>
Treasury Securities Portfolio 0% 100% 100% 0% 0%
Government Securities Portfolio 0% 100% 100% 0% 0%
Prime Obligation Portfolio 0% 100% 100% 0% 0%
Institutional Cash Portfolio 0% 100% 100% 0% 0%
<FN>
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
* Items (A) and (B) are based on a percentage of the portfolio's total distribution.
** Items (D) and (E) are based on a percentage of ordinary income distributions
of the portfolio.
</FN>
</TABLE>
Please consult your tax adviser for proper treatment of this information.
14
<PAGE>
==========================
SEI LIQUID ASSET TRUST
==========================
ANNUAL REPORT
==========================
JUNE 30, 1996
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Jeffrey A. Cohen
CONTROLLER, CHIEF FINANCIAL OFFICER
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Joseph M. Lydon
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
Wellington Management Company
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Financial Services Company
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT PUBLIC ACCOUNTANTS
Price Waterhouse LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI FINANCIAL
SERVICES COMPANY, THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR INFORMATION CALL 1-800-DIAL-SEI/1-800-342-5734
<PAGE>
NOTES
<PAGE>
SEI-F-097-03
