<PAGE> 1
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 10
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<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===========================================================================================================================
June 30, 1995 (unaudited)
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $51,342,118, including Repurchase Agreement
amounting to $1,365,224) $51,869,119
- ---------------------------------------------------------------------------------------------------------------------------
Interest Receivable 925,677
- ---------------------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 24,041
- ---------------------------------------------------------------------------------------------------------------------------
Total Assets 52,818,837
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 3,281
- ---------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 13,571
- ---------------------------------------------------------------------------------------------------------------------------
Total Liabilities 16,852
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS $52,801,985
===========================================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $52,274,984
- ---------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 527,001
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS, JUNE 30, 1995 $52,801,985
===========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 2
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 11
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<TABLE>
<S> <C> <C>
STATEMENT OF OPERATIONS
===========================================================================================================================
For the six months ended June 30, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------------------
Interest $1,619,829
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------------------
Advisory Fee $ 61,909
- ---------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 12,382
- ---------------------------------------------------------------------------------------------------------------------------
Professional Fees 8,272
- ---------------------------------------------------------------------------------------------------------------------------
Insurance 1,314
- ---------------------------------------------------------------------------------------------------------------------------
Trustees Fees 731
- ---------------------------------------------------------------------------------------------------------------------------
Miscellaneous 583
- ---------------------------------------------------------------------------------------------------------------------------
Total Expenses 85,191
- ---------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (10,901) 74,290
- ---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,545,539
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- ---------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 153,193
- ---------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 1,317,941
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 1,471,134
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $3,016,673
===========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 3
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 12
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<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===========================================================================================================================
For the six For the
months ended year ended
June 30, 1995 December
(unaudited) 31, 1994
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ---------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 1,545,539 $ 1,768,139
- ---------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 153,193 (765,789)
- ----------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 1,317,941 (800,099)
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 3,016,673 202,251
- ---------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 11,443,035 45,632,673
- ---------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (8,928,261) (16,293,202)
- ----------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 2,514,774 29,339,471
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 5,531,447 29,541,722
===========================================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
Beginning of Period 47,270,538 17,728,816
- ---------------------------------------------------------------------------------------------------------------------------
End of Period $52,801,985 $ 47,270,538
===========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 4
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 13
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FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Short/Intermediate U.S. Government Securities
Portfolio.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
For the period
For the six For the For the August 24, 1992
months ended year ended year ended (Commencement
June 30, 1995 December December of Operations) to
(unaudited) 31, 1994 31, 1993 December 31, 1992
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 6.24%* 4.91% 4.25% 4.36%*
Ratio of Expenses to Average Net Assets 0.30%* 0.30% 0.30% 0.30%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption of
Expenses by Bankers Trust 0.04%* 0.09% 0.25% 1.41%*
Portfolio Turnover Rate 22% 202% 267% 75%
Net Assets, End of Period (000's omitted) $52,802 $47,271 $17,729 $4,999
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 5
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 14
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<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
===========================================================================
June 30, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===========================================================================
<S> <C>
U.S. GOVERNMENT
AGENCIES & OBLIGATIONS - 95.65%
- ---------------------------------------------------------------------------
U.S. TREASURY NOTES - 88.84%
- ---------------------------------------------------------------------------
$ 5,000,000 7.875%, 2/15/96 $ 5,062,500
- ---------------------------------------------------------------------------
1,000,000 4.25%, 5/15/96 987,030
- ---------------------------------------------------------------------------
4,000,000 5.875%, 5/31/96 4,005,640
- ---------------------------------------------------------------------------
5,000,000 6.00%, 6/30/96 5,012,500
- ---------------------------------------------------------------------------
6,000,000 7.50%, 12/31/96 6,140,640
- ---------------------------------------------------------------------------
5,000,000 6.75%, 2/28/97 5,071,100
- ---------------------------------------------------------------------------
5,000,000 6.625%, 3/31/97 5,064,850
- ---------------------------------------------------------------------------
3,000,000 5.50%, 9/30/97 2,977,020
- ---------------------------------------------------------------------------
7,500,000 5.125%, 11/30/98 7,307,775
- ---------------------------------------------------------------------------
5,000,000 7.50%, 10/31/99 5,280,450
- ---------------------------------------------------------------------------
46,909,505
===========================================================================
U.S. GOVERNMENT AGENCIES - 6.81%
- ---------------------------------------------------------------------------
2,000,000 Student Loan Marketing
Association, 8.29%, 12/22/97 2,098,140
- ---------------------------------------------------------------------------
1,500,000 Tennessee Valley Authority,
6.00%, 1/15/97 1,496,250
- ---------------------------------------------------------------------------
3,594,390
===========================================================================
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost $49,976,894) $50,503,895
===========================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
===========================================================================
<S> <C>
SHORT-TERM INVESTMENT - 2.58%
- ---------------------------------------------------------------------------
Repurchase Agreement - 2.58%
- ---------------------------------------------------------------------------
$ 1,365,224 Repurchase Agreement with Sanwa Bank,
Dated 6/30/95, 6.05%, Principal and
Interest in the Amount of $1,365,453
due 7/3/95, (Collateralized by U.S.
Treasury Notes, Par Value $1,355,000,
6.125%, due 7/31/96) $ 1,365,224
===========================================================================
Total Short-Term Investment
(Amortized Cost $1,365,224) $ 1,365,224
===========================================================================
Total Investments
(Cost $51,342,118) 98.23% $51,869,119
- ---------------------------------------------------------------------------
Other Assets in Excess of Liabilities 1.77% 932,866
- ---------------------------------------------------------------------------
Net Assets 100.00% $52,801,985
===========================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 6
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 17
---------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Short/Intermediate U.S. Government Securities Portfolio (the "Portfolio")
is registered under the Investment Company Act of 1940 (the "Act"), as amended,
as an open-end management investment company. The Portfolio was organized on
December 11, 1991, as an unincorporated trust under the laws of New York and
commenced operations on August 24, 1992. The Declaration of Trust permits the
Board of Trustees (the "Trustees") to issue beneficial interests in the
Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Investments for
which quoted bid prices in the judgment of the Service are readily available
and are representative of the bid side of the market are valued at the mean
between the quoted bid prices (as obtained by the Service from dealers in such
securities) and asked prices (as calculated by the Service based upon its
evaluation of the market for such securities). Other investments (which
constitute a majority of the portfolio securities) are carried at fair value as
determined by the Service, based on methods which include consideration of:
yields or prices of government securities of comparable quality, coupon,
maturity and type; indications as to values from dealers; and general market
conditions. Short-term obligations with remaining maturities of 60 days or
less, are valued at amortized cost which with accrued interest approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Board of Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Interest income is recorded on the accrual basis
and includes amortization of premium and discount on investments. Realized
gains and losses from security transactions are recorded on the identified cost
basis.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase and the Portfolio's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Portfolio's custodian, and
pursuant to the terms of the repurchase agreement must have an aggregate market
value greater than or equal to the repurchase price plus accrued interest at
all times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the underlying
securities at market value and may claim any resulting loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 7
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES FUND 18
---------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
===============================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.05 of 1% of the Portfolio's average daily
net assets. For the six months ended June 30, 1995, this fee aggregated
$12,382.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.25 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1995,
this fee aggregated $61,909.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.30 of 1% of the
average daily net assets of the Portfolio. For the six months ended June 30,
1995, expenses of the Portfolio have been reduced $10,901.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments of
long-term U.S. Government obligations, for the six months ended June 30, 1995,
were $34,871,133 and $8,141,895, respectively. The net unrealized appreciation
of investments amounted to $527,001, consisting of gross unrealized
appreciation of $647,443 and gross unrealized depreciation of $120,442.
