Semi-Annual Report as of
December 31, 1996
SEI LIQUID
ASSET TRUST
- ----------------------------------
Treasury Securities Portfolio
- ----------------------------------
Government Securities Portfolio
- ----------------------------------
Prime Obligation Portfolio
- ----------------------------------
Institutional Cash Portfolio
- ----------------------------------
[LOGO]
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI LIQUID ASSET TRUST--DECEMBER 31, 1996 (UNAUDITED)
TREASURY SECURITIES PORTFOLIO
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 31.9%
U.S. Treasury Bill (A)
5.403%, 11/13/97 $ 96,000 $ 91,657
U.S. Treasury Notes
6.750%, 02/28/97 56,500 56,610
6.875%, 02/28/97 33,000 33,081
6.875%, 04/30/97 33,000 33,122
6.500%, 05/15/97 7,250 7,271
--------
Total U.S. Treasury Obligations
(Cost $221,741) 221,741
--------
REPURCHASE AGREEMENTS -- 70.7%
Lehman Brothers
7.100%, dated 12/31/96,
matures 01/02/97, repurchase
price $120,047,333 (collateralized
by various U.S. Treasury Notes,
ranging in par value $284,000-
$33,170,000, 5.50%-8.50%,
06/30/97-08/15/97; with
total market value
$122,369,421) 120,000 120,000
Lehman Brothers (C)
6.850%, dated 12/31/96,
matures 01/02/97, repurchase
price $31,369,933 (collateralized
by U.S. Treasury Strip
par value $35,517,000,
matures 11/15/97;
with total market value
$33,890,321) 31,358 31,358
Swiss Bank
6.750%, dated 12/31/96,
matures 01/02/97, repurchase
price $170,063,750 (collateralized
by U.S. Treasury Bonds
ranging in par value $1,266,000-
$26,800,000, 6.875%-12.50%,
11/15/12-08/15/25; with total
market value of $174,840,713) 170,000 170,000
Union Bank of Switzerland (B)
6.700%, dated 12/31/96,
matures 01/02/97, repurchase
price $170,063,278 (collateralized
by U.S. Treasury Notes
ranging in par value $13,000-
$100,404,000, 5.50%-8.00%,
12/31/00-05/31/01; with total
market value of $173,403,813) 170,000 170,000
--------
Total Repurchase Agreements
(Cost $491,358) 491,358
--------
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
Total Investments -- 102.6%
(Cost $713,099) $713,099
--------
OTHER ASSETS AND LIABILITIES -- (2.6%)
Other Assets and Liabilities, Net (17,992)
--------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization -- no
par value) based on 694,715,915
outstanding shares of beneficial
interest 694,716
Portfolio Shares of Class D
(unlimited authorization -- no
par value) based on 265,210
outstanding shares of beneficial
interest 265
Accumulated net realized gain
on investments 126
--------
Total Net Assets-- 100.0% $695,107
========
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) THE RATE REFLECTED ON THE STATEMENT OF NET ASSETS REPRESENTS THE SECURITY'S
DISCOUNT RATE AT PURCHASE.
(B) TRI-PARTY REPURCHASE AGREEMENT
(C) TERM REPURCHASE AGREEMENT
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
GOVERNMENT SECURITIES PORTFOLIO
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 92.1%
FFCB
5.439%, 06/23/97 $ 7,000 $ 6,825
FHLB (A)
5.320%, 08/05/97 5,000 4,998
FHLB
5.495%, 10/03/97 9,690 9,304
FHLMC
5.605%, 01/02/97 1,300 1,300
5.375%, 01/14/97 33,000 32,937
5.549%, 01/17/97 2,500 2,494
5.356%, 01/31/97 10,000 9,956
5.499%, 06/13/97 3,000 2,928
5.458%, 11/03/97 1,000 956
1
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI LIQUID ASSET TRUST--DECEMBER 31, 1996 (UNAUDITED)
GOVERNMENT SECURITIES PORTFOLIO (CONTINUED)
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
FNMA (A)
5.400%, 05/25/99 $22,000 $ 22,000
FNMA
5.543%, 01/06/97 3,000 2,998
5.411%, 03/17/97 10,000 9,891
5.415%, 03/28/97 5,000 4,938
5.386%, 04/21/97 1,080 1,063
5.360%, 04/29/97 5,000 4,915
5.376%, 04/29/97 10,000 9,830
5.457%, 04/30/97 10,000 9,827
5.385%, 06/24/97 2,000 1,950
SLMA (A)
5.570%, 01/21/98 8,000 8,014
5.410%, 09/28/98 15,400 15,400
---------
Total U.S. Government Agency Obligations
(Cost $162,524) 162,524
---------
REPURCHASE AGREEMENTS -- 12.1%
Lehman Brothers
7.100%, dated 12/31/96,
matures 01/02/97, repurchase
price $20,007,889 (collateralized
by U.S. Treasury Note
par value $19,970,000,
6.125%, matures 03/31/98;
with total market value
$20,397,774) 20,000 20,000
Lehman Brothers (C)
6.850%, dated 12/31/96,
matures 01/02/97, repurchase
price $1,321,503 (collateralized
by U.S. Treasury STRIPS
par value $1,496,000,
matures 11/15/97; with
total market value $1,427,483) 1,321 1,321
---------
Total Repurchase Agreements
(Cost $21,321) 21,321
---------
Total Investments -- 104.2%
(Cost $183,845) 183,845
---------
OTHER ASSETS AND LIABILITIES -- (4.2%)
Other Assets and Liabilities, Net (7,346)
---------
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
NET ASSETS:
Portfolio Shares
(unlimited authorization -- no
par value) based on 176,526,832
outstanding shares of beneficial
interest $176,527
Undistributed net investment income 2
Accumulated net realized loss
on investments (30)
--------
Total Net Assets-- 100.0% $176,499
========
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 DECEMBER 31, 1996.
(B) TRI-PARTY REPURCHASE AGREEMENT
(C) TERM REPURCHASE AGREEMENT
FFCB -- FEDERAL FARM CREDIT BANK
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
STRIPS -- SEPERATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
PRIME OBLIGATION PORTFOLIO
COMMERCIAL PAPER -- 53.0%
American Brands
5.504%, 04/29/97 $10,000 $ 9,826
American Express Credit
5.492%, 03/28/97 26,000 25,671
Associates of North America
5.476%, 03/11/97 10,000 9,898
Bear Stearns
5.458%, 01/27/97 20,000 19,923
BT Securities
5.525%, 02/04/97 20,000 19,899
Carolina Power and Light
5.580%, 03/12/97 17,600 17,409
Clipper Receivables
5.621%, 01/22/97 10,000 9,968
Clorox
5.447%, 03/06/97 2,000 1,981
CPC International
5.531%, 04/16/97 10,500 10,337
Delaware Funding
5.819%, 02/05/97 15,000 14,917
Walt Disney
5.451%, 03/21/97 3,500 3,459
<PAGE>
2
PRIME OBLIGATION PORTFOLIO (CONTINUED)
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
Enterprise Funding
6.000%, 01/06/97 $ 6,945 $ 6,939
Falcon Asset
5.960%, 01/22/97 8,825 8,795
First Chicago Finance
5.455%, 02/19/97 8,000 7,942
Ford Motor Credit
5.736%, 03/26/97 10,000 9,872
General Electric Capital
5.769%, 02/10/97 10,000 9,938
5.726%, 03/03/97 5,000 4,953
5.497%, 03/31/97 3,000 2,961
5.320%, 04/28/97 7,400 7,272
General Motors Acceptance
5.865%, 03/14/97 6,000 5,933
5.300%, 05/20/97 15,000 14,693
General Re
5.448%, 02/14/97 25,680 25,513
Georgia Power
5.662%, 02/24/97 6,900 6,843
Gillette
5.435%, 03/05/97 25,000 24,769
IBM Credit
5.543%, 04/16/97 10,000 9,843
IBM
5.300%, 02/18/97 6,000 5,958
Island Finance PR
5.492%, 01/31/97 5,000 4,978
Kitty Hawk Funding
5.529%, 03/03/97 22,000 21,799
Morgan Stanley Group
5.437%, 01/17/97 21,000 20,950
National Fuel Gas
5.519%, 02/20/97 10,000 9,925
5.572%, 03/17/97 10,000 9,887
NationsBank
5.605%, 01/06/97 10,000 9,992
Pitney Bowes Credit
5.684%, 02/20/97 15,000 14,886
PPG Industries
5.538%, 02/20/97 10,000 9,925
Ranger Funding
5.453%, 02/13/97 10,000 9,937
Sears Roebuck Acceptance
5.320%, 02/11/97 20,000 19,879
Southern California Gas
5.517%, 05/29/97 2,076 2,031
Southwestern Bell Telephone
5.520%, 02/12/97 13,500 13,413
Washington Gas and Light
5.425%, 02/19/97 9,900 9,829
---------
Total Commercial Paper
(Cost $452,943) 452,943
---------
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.8%
FFCB
5.439%, 06/23/97 $ 7,000 $ 6,825
5.476%, 06/30/97 13,000 12,660
FNMA (A)
5.400%, 05/25/99 30,000 30,000
FNMA
5.558%, 01/24/97 10,000 9,966
5.457%, 04/30/97 13,000 12,775
SLMA(A)
5.410%, 09/28/98 24,000 24,000
5.430%, 01/13/99 15,000 15,002
5.430%, 02/08/99 8,000 8,000
5.420%, 02/22/99 7,000 7,001
---------
Total U.S. Government Agency Obligations
(Cost $126,229) 126,229
---------
CERTIFICATES OF DEPOSIT -- 12.1%
Bank of New York
5.840%, 06/03/97 4,000 4,002
Chase Manhattan Bank
5.730%, 02/03/97 10,000 10,000
Chase Manhattan Delaware
5.500%, 07/01/97 15,000 15,000
First Alabama Bank
5.450%, 04/29/97 10,000 10,000
First National Bank of Boston
5.470%, 02/28/97 17,000 17,000
First of American Bank MI
5.400%, 02/04/97 16,000 16,000
Key Bank of Utah Bankers Note (A)
5.610%, 10/30/97 7,000 6,996
Southtrust Central Carolina
5.500%, 04/30/97 4,000 4,000
Wilmington Trust
5.410%, 03/26/97 20,000 20,000
---------
Total Certificates of Deposit
(Cost $102,998) 102,998
---------
BANKER'S ACCEPTANCE -- 0.7%
Suntrust Atlanta Banker's Acceptance
5.487%, 04/23/97
(Cost $5,410) 5,500 5,410
---------
3
STATEMENT OF NET ASSETS
- --------------------------------------------------------------
SEI LIQUID ASSET TRUST--DECEMBER 31, 1996 (UNAUDITED)
PRIME OBLIGATION PORTFOLIO (CONTINUED)
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
FLOATING RATE INSTRUMENTS -- 10.2%
Allstate (A)
5.475%, 01/01/97 $10,000 $10,000
People's Security Funding
Agreement (A) (B)
5.670%, 02/01/97 25,000 25,000
PNC Bank (A)
5.478%, 01/03/97 25,000 25,000
SMM Trust 96-I (A) (B)
5.714%, 05/29/97 10,000 10,000
SouthTrust Bank of Alabama (A)
5.521%, 06/17/97 7,350 7,348
Travelers Insurance (A) (B)
5.695%, 01/02/97 10,000 10,000
-------
Total Floating Rate Instruments
(Cost $87,348) 87,348
-------
CORPORATE BOND -- 3.5%
Asset Backed Securities Investment
Trust 1996-M (A)
5.606%, 10/15/97 5,000 5,000
Corestates Capital (A)
5.650%, 06/30/97 10,000 10,000
SMM-Trust (A) (B)
5.613%, 08/04/97 10,000 10,000
Travelers Insurance (A)
5.695%, 01/02/97 5,000 5,000
-------
Total Corporate Bond
(Cost $30,000) 30,000
-------
REPURCHASE AGREEMENTS -- 9.9%
Aubrey Lanston
6.000%, dated 12/31/96,
matures 01/02/97, repurchase
price $50,016,667 (collateralized
by U.S. Treasury Note
par value $38,637,000,
11.875%, 11/15/03; with
total market value
$50,872,943) 50,000 50,000
J.P. Morgan (D)
6.600%, dated 12/31/96,
matures 01/02/97, repurchase
price $11,808,328 (collateralized
by U.S. Treasury Note
par value $12,024,000,
5.125%, matures 03/31/98;
with total market value
$12,073,939) 11,804 11,804
- ---------------------------------------------------------------
DESCRIPTION PAR (000) VALUE (000)
- ---------------------------------------------------------------
Lehman Brothers
6.850%, dated 12/31/96,
matures 01/02/97, repurchase price
$7,323,786 (collateralized by U.S.
Treasury STRIPS par value $8,292,000,
matures 11/15/97; with total
market value
$7,912,226) $ 7,321 $ 7,321
Lehman Brothers (C)
7.100%, dated 12/31/96,
matures 01/02/97, repurchase
price $15,706,193 (collateralized
by U.S. Treasury Note
par value $15,810,000,
5.875%, matures 04/30/98;
with total market value
$16,010,943) 15,700 15,700
--------
Total Repurchase Agreements
(Cost $84,825) 84,825
--------
Total Investments -- 104.2%
(Cost $889,753) 889,753
--------
OTHER ASSETS AND LIABILITIES -- (4.2%)
Other Assets and Liabilities, Net (35,534)
--------
NET ASSETS:
Portfolio Shares
(unlimited authorization -- no
par value) based on 854,247,541
outstanding shares of
beneficial interest 854,248
Accumulated net realized loss
on investments (29)
--------
Total Net Assets-- 100.0% $854,219
========
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 DECEMBER 31, 1996.
(B) PRIVATE PLACEMENT
(C) TRI-PARTY REPURCHASE AGREEMENT
(D) TERM REPURCHASE AGREEMENT
FFCB -- FEDERAL FARM CREDIT BANK
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
STRIPS -- SEPERATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
4
STATEMENT OF ASSETS AND LIABILITIES
================================================================================
SEI LIQUID ASSET TRUST -- DECEMBER 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
--------------- --------------
INSTITUTIONAL
CASH MONEY MARKET
PORTFOLIO PORTFOLIO
-------------- --------------
ASSETS:
<S> <C> <C> <C>
Investments at Value:
U.S. Treasury Bill, 5.37%, 01/02/97 (Cost 372,557,204)
(Face amount $372,646,000) $372,557,204 $ --
Receivable for investment securities sold 12,463,189 --
Receivable for investment income 42,628 --
Cash 2,605 100
------------ ---------
Total assets 385,065,626 100
------------ ---------
LIABILITIES:
Accrued expense payable 4,629 --
Distributions payable 41,662 --
------------ ---------
Total liabilities 46,291 --
------------ ---------
NET ASSETS:
Applicable to 385,019,201 outstanding shares of beneficial interest
(unlimited authorization -- no par value) 385,019,201 --
Applicable to 100 outstanding shares of beneficial interest
(unlimited authorization -- no par value) -- 100
Accumulated net realized gain on investments 134 --
------------ ---------
Total net assets $385,019,335 $ 100
------------ ---------
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $1.00 $1.00
============ =========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
5
</TABLE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI LIQUID ASSET TRUST -- FOR THE SIX MONTH PERIOD ENDING DECEMBER 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
---------- ----------- ----------- -------------
TREASURY GOVERNMENT PRIME INSTITUTIONAL
SECURITIES SECURITIES OBLIGATION CASH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------- -------------
Interest Income $20,681 $4,585 $21,768 $ 46
------- ------ ------- ----
EXPENSES:
<S> <C> <C> <C> <C>
Management fee 1,607 356 1,665 4
Less management fees waived (232) (24) (215) --
Investment advisory fee 138 31 143 --
Custodian/wire agent fees 56 8 52 --
Professional fees 20 -- 19 --
Trustee fees 9 -- 8 --
Registration & filing fees 49 -- 44 --
Insurance 1 -- 1 --
Other fees 37 -- 27 --
------- ------ ------- ----
Total expenses 1,685 371 1,744 4
------- ------ ------- ----
NET INVESTMENT INCOME 18,996 4,214 20,024 42
------- ------ ------- ----
Net realized gain (loss) from security transactions 28 9 (17) --
------- ------ ------- ----
NET INCREASE IN NET ASSETS FROM OPERATIONS $19,024 $4,223 $20,007 $ 42
======= ====== ======= ====
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI LIQUID ASSET TRUST -- FOR THE SIX MONTH PERIOD ENDING DECEMBER 31, 1996
(UNAUDITED) AND FOR THE THE YEAR ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
--------------------- --------------------
TREASURY GOVERNMENT
SECURITIES SECURITIES
---------------------- ---------------------
07/01/96- 07/01/95- 07/01/96- 07/01/95-
12/31/96 06/30/96 12/31/96 06/30/96
<S> <C> <C> <C> <C>
---------------------- ---------------------
OPERATIONS:
Net investment income $ 18,996 $ 62,193 $ 4,214 $ 10,113
Net realized gain (loss) from security transactions 28 (54) 9 (18)
---------- ---------- -------- ----------
Net increase in net assets resulting from operations 19,024 62,139 4,223 10,095
---------- ---------- -------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (18,991) (62,141) (4,212) (10,112)
Class D (5) (52) -- --
---------- ---------- -------- ----------
Total dividends distributed (18,996) (62,193) (4,212) (10,112)
---------- ---------- -------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 2,195,412 7,781,924 384,193 1,017,301
Reinvestment of cash distributions 350 847 355 836
Cost of shares redeemed (2,333,341) (8,205,213) (377,193) (1,049,755)
---------- ---------- -------- ----------
Increase (decrease) in net assets derived from
Class A transactions (137,579) (422,442) 7,355 (31,618)
---------- ---------- -------- ----------
Class D:
Proceeds from shares issued 192 5,034 -- --
Reinvestment of cash distributions 4 11 -- --
Cost of shares redeemed (150) (14,623) -- --
---------- ---------- -------- ----------
Increase (decrease) in net assets derived from
Class D transactions 46 (9,578) -- --
---------- ---------- -------- ----------
Net increase (decrease) in net assets derived from
capital share transactions (137,533) (432,020) 7,355 (31,618)
---------- ---------- -------- ----------
Net increase (decrease) in net assets (137,505) (432,074) 7,366 (31,635)
---------- ---------- -------- ----------
NET ASSETS:
Beginning of Period 832,612 1,264,686 169,133 200,768
---------- ---------- -------- ----------
End of Period $ 695,107 $ 832,612 $176,499 $ 169,133
========== ========== ======== ==========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
7
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI LIQUID ASSET TRUST -- FOR THE SIX MONTH PERIOD ENDING DECEMBER 31, 1996
(UNAUDITED) AND FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
--------------------- --------------------
PRIME INSTITUTIONAL
OBLIGATION CASH
---------------------- --------------------
07/01/96- 07/01/95- 07/01/96- 07/01/95-
12/31/96 06/30/96 12/31/96 06/30/96
----------------------- ---------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 20,024 $ 44,637 $ 42 $ 118
Net realized gain (loss) from security transactions (17) 7 -- (37)
---------- ----------- ------- ----------
Net increase in net assets resulting from operations 20,007 44,644 42 81
---------- ----------- ------- ----------
DIVIDENDS DISTRIBUTED FROM:
Net investment income:
Class A (20,024) (44,637) (42) (118)
Class D -- -- -- --
---------- ---------- -------- ----------
Total dividends distributed (20,024) (44,637) (42) (118)
---------- ---------- -------- ----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): Class A:
Proceeds from shares issued 2,879,451 6,940,159 385,019 236,351
Reinvestment of cash distributions 5,455 9,384 -- --
Cost of shares redeemed (2,778,522) (7,142,561) -- (236,351)
---------- ---------- -------- ----------
Increase (decrease) in net assets derived from Class A transactions 106,384 (193,018) 385,019 --
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 106,384 (193,018) 385,019 --
Contributions of Capital from the Manager -- -- -- 37
---------- ---------- -------- ----------
Net increase (decrease) in net assets 106,367 (193,011) 385,019 --
---------- ---------- -------- ----------
NET ASSETS:
Beginning of Period 747,852 940,863 -- --
---------- ---------- -------- ----------
End of Period $ 854,219 $ 747,852 $385,019 $ --
========== ========== ======== ==========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI LIQUID ASSET TRUST -- FOR THE SIX MONTH PERIOD ENDING DECEMBER 31, 1996
(UNAUDITED) AND FOR THE YEAR 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 NET ASSETS
BEGINNING INVESTMENT GAINS ON INVESTMENT CAPITAL VALUE END TOTAL END OF
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD(000)
- ----------------------------------------------------------------------------------------------
- ---------------------
TREASURY SECURITIES
- ---------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C>
1996** $1.00 $0.02 -- $(0.02) -- $1.00 5.00%* $ 694,842
1996 1.00 0.05 -- (0.05) -- 1.00 5.37 832,393
1995 1.00 0.05 -- (0.05) -- 1.00 5.05 1,254,888
1994 1.00 0.03 -- (0.03) -- 1.00 3.00 1,501,510
1993 1.00 0.03 -- (0.03) -- 1.00 3.03 2,219,701
1992 1.00 0.05 -- (0.05) -- 1.00 4.69 2,304,153
1991 1.00 0.07 -- (0.07) -- 1.00 7.04 2,248,497
1990 1.00 0.08 -- (0.08) -- 1.00 8.41 2,076,845
1989 1.00 0.08 -- (0.08) -- 1.00 8.51 2,318,763
1988 1.00 0.06 -- (0.06) -- 1.00 6.56 2,671,802
1987 1.00 0.06 -- (0.06) -- 1.00 5.91 2,580,118
CLASS D
1996** $1.00 $0.02 -- $(0.02) -- $1.00 4.64%* $ 265
1996 1.00 0.05 -- (0.05) -- 1.00 5.01 219
1995 1.00 0.05 -- (0.05) -- 1.00 4.69 9,798
1994(1) 1.00 0.01 -- (0.01) -- 1.00 0.50** 23
- ----------------------
GOVERNMENT SECURITIES
- ----------------------
CLASS A
1996** $1.00 $0.03 -- $(0.03) -- $1.00 5.02%* $ 176,499
1996 1.00 0.05 -- (0.05) -- 1.00 5.30 169,133
1995 1.00 0.05 -- (0.05) -- 1.00 5.18 200,768
1994 1.00 0.03 -- (0.03) -- 1.00 3.04 255,554
1993 1.00 0.03 -- (0.03) -- 1.00 3.05 507,832
1992 1.00 0.05 -- (0.05) -- 1.00 4.72 399,938
1991 1.00 0.07 -- (0.07) -- 1.00 7.08 520,187
1990 1.00 0.08 -- (0.08) -- 1.00 8.48 368,318
1989 1.00 0.08 -- (0.08) -- 1.00 8.69 467,056
1988 1.00 0.07 -- (0.07) -- 1.00 6.83 523,274
1987 1.00 0.06 -- (0.06) -- 1.00 5.99 479,968
- -----------------
PRIME OBLIGATION
- -----------------
CLASS A
1996** $1.00 $0.03 -- $(0.03) -- $1.00 5.10%* $ 854,219
1996 1.00 0.05 -- (0.05) -- 1.00 5.39 747,852
1995 1.00 0.05 -- (0.05) -- 1.00 5.20 940,863
1994 1.00 0.03 -- (0.03) -- 1.00 3.08 918,509
1993 1.00 0.03 -- (0.03) -- 1.00 3.07 1,173,109
1992 1.00 0.05 -- (0.05) -- 1.00 4.73 1,515,554
1991 1.00 0.07 -- (0.07) -- 1.00 7.36 1,729,845
1990 1.00 0.08 -- (0.08) -- 1.00 8.57 1,804,367
1989 1.00 0.09 -- (0.09) -- 1.00 8.85 2,160,859
1988 1.00 0.07 -- (0.07) -- 1.00 7.12 2,224,159
1987 1.00 0.06 -- (0.06) -- 1.00 6.08 1,851,072
- --------------------
INSTITUTIONAL CASH*
- --------------------
CLASS A
1996** $1.00 $0.0001 $ -- $(0.0001) $ -- $1.00 3.94%* $ 385,019
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 --
RATIO OF
NET
RATIO OF RATIO OF INVESTMENT
NET EXPENSES INCOME
RATIO OF INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME NET ASSETS NET ASSETS
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING
NET ASSETS NET ASSETS WAIVERS) WAIVERS)
- -----------------------------------------------------
- ---------------------
TREASURY SECURITIES
- ---------------------
CLASS A
<S> <C> <C> <C>
1996** 0.44% 4.95% 0.50% 4.89%
1996 0.44 5.27 0.52 5.19
1995 0.44 4.93 0.54 4.83
1994 0.44 2.91 0.51 2.84
1993 0.44 2.99 0.50 2.93
1992 0.44 4.60 0.50 4.50
1991 0.44 6.80 0.47 6.80
1990 0.44 8.10 0.45 8.10
1989 0.44 8.20 0.44 8.20
1988 0.44 6.40 0.44 6.40
1987 0.44 5.70 0.45 5.70
CLASS D
1996** 0.79% 4.60% 0.85% 4.54%
1996 0.79 4.92 0.87 4.84
1995 0.79 5.15 0.89 5.05
1994(1) 0.79* 3.23* 0.98* 3.04*
- ----------------------
GOVERNMENT SECURITIES
- ----------------------
CLASS A
1996** 0.44% 4.96% 0.47% 4.93%
1996 0.44 5.19 0.54 5.09
1995 0.44 5.04 0.53 4.95
1994 0.44 2.96 0.51 2.89
1993 0.44 3.00 0.50 2.94
1992 0.44 4.60 0.50 4.60
1991 0.44 6.80 0.48 6.70
1990 0.44 8.10 0.45 8.10
1989 0.44 8.30 0.46 8.30
1988 0.44 6.70 0.44 6.70
1987 0.44 5.80 0.46 5.80
- ------------------
PRIME OBLIGATION
- ------------------
CLASS A
1996** 0.44% 5.04% 0.50% 4.98%
1996 0.44 5.27 0.53 5.18
1995 0.44 5.21 0.53 5.12
1994 0.44 3.03 0.51 2.96
1993 0.44 3.04 0.50 2.98
1992 0.44 4.70 0.49 4.60
1991 0.44 7.10 0.47 7.10
1990 0.44 8.30 0.45 8.30
1989 0.44 8.50 0.44 8.50
1988 0.44 6.90 0.44 6.90
1987 0.44 5.90 0.45 5.90
- --------------------
INSTITUTIONAL CASH*
- --------------------
CLASS A
1996** 0.44% 3.94% 0.44% 3.94%
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.
* ANNUALIZED
** RATIOS FOR SEMI-ANNUAL PERIOD ENDED DECEMBER 31, 1996 (UNAUDITED) HAVE BEEN
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.
9
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI LIQUID ASSET TRUST -- DECEMBER 31, 1996 (UNAUDITED)
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 31, 1996 and then fully redeemed
at the end of business on January 2, 1997. It is anticipated that this portfolio
will again be available to shareholders on December 31, 1997. 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, ex-penses 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
10
that the total expenses do not exceed .44% of average daily net assets annually.
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.
<PAGE>
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.
11
========================
SEI LIQUID ASSET TRUST
========================
SEMI-ANNUAL REPORT
========================
DECEMBER 31, 1996
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE 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 SEMI-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
SEI-F-103-03
