<PAGE> 1
- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------------ ------------
<S> <C>
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 86.74%
U.S. TREASURY NOTES - 83.99%
$ 1,500,000 7.50%, 12/31/96..................... $ 1,522,974
7,000,000 5.875%, 7/31/97..................... 7,020,764
5,150,000 5.375%, 11/30/97.................... 5,120,214
8,090,000 5.25%, 12/31/97..................... 8,024,279
9,970,000 5.00%, 1/31/98...................... 9,838,378
860,000 5.125%, 2/28/98..................... 850,058
10,000,000 5.50%, 11/15/98..................... 9,901,563
2,600,000 5.00%, 2/15/99...................... 2,539,462
1,000,000 7.125%, 9/30/99..................... 1,035,002
----------
45,852,694
----------
U.S. GOVERNMENT AGENCY - 2.75%
1,500,000 Tennessee Valley Authority, 6.00%,
1/15/97............................ 1,502,104
----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $47,837,408)................................. 47,354,798
----------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ------------ ------------------------------------ ------------
<S> <C>
SHORT-TERM INVESTMENT - 12.10%
REPURCHASE AGREEMENT - 12.10%
$ 6,606,801 Repurchase Agreement with Sanwa
Bank, Dated 3/29/96, 5.35%,
principal and Interest in the amount
of $6,609,747, due 4/1/96,
collateralized by U.S. Treasury
Notes, Par Value $6,550,000, 5.75%,
due 9/30/97 (Value of $6,716,043)
(Cost $6,606,801) $ 6,606,801
----------
TOTAL INVESTMENTS
(Cost $54,444,209) - 98.84%........................ 53,961,599
Other Assets less Liabilities - 1.16%.............. 634,429
----------
NET ASSETS - 100.00%............................... $ 54,596,028
----------
</TABLE>
See Notes to Financial Statements on Page 11
8
<PAGE> 2
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Short/Intermediate U.S. Government Securities Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $54,444,209, including Repurchase Agreement amounting to $6,606,801).............. $ 53,961,599
Interest Receivable........................................................................................... 651,916
Prepaid Expenses and Other.................................................................................... 23,465
------------
Total Assets..................................................................................................... 54,636,980
------------
LIABILITIES
Due to Bankers Trust.......................................................................................... 5,423
Accrued Expenses and Other.................................................................................... 35,529
------------
Total Liabilities................................................................................................ 40,952
------------
NET ASSETS....................................................................................................... $ 54,596,028
============
COMPOSITION OF NET ASSETS
Paid-in Capital............................................................................................... 55,078,638
Net Unrealized Depreciation on Investments.................................................................... (482,610)
------------
NET ASSETS, MARCH 31, 1996....................................................................................... $ 54,596,028
============
</TABLE>
STATEMENT OF OPERATIONS For the Period January 1, 1996 to March 31, 1996
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest........................................................................................................ $ 804,008
----------
EXPENSES
Advisory........................................................................................................ 36,037
Administration and Services..................................................................................... 7,207
Professional.................................................................................................... 4,613
Trustees........................................................................................................ 721
Miscellaneous................................................................................................... 407
----------
Total Expenses.................................................................................................. 48,985
Expenses Absorbed by Bankers Trust.............................................................................. (5,741)
----------
Net Expenses................................................................................................ 43,244
----------
NET INVESTMENT INCOME.............................................................................................. 760,764
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Transactions.................................................................... 141,989
Net Change in Unrealized Depreciation of Investments............................................................ (656,897)
----------
NET LOSS ON INVESTMENTS............................................................................................ (514,908)
----------
NET INCREASE IN NET ASSETS FROM OPERATIONS......................................................................... $ 245,856
==========
</TABLE>
See Notes to Financial Statements on Page 11
9
<PAGE> 3
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Short/Intermediate U.S. Government Securities Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JANUARY 1, 1996 FOR THE YEAR
TO MARCH 31, 1996 ENDED
(UNAUDITED) DECEMBER 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income.............................................................. $ 760,764 $ 3,185,902
Net Realized Gain from Investment Transactions..................................... 141,989 834,099
Net Unrealized Appreciation (Depreciation) on Investments.......................... (656,897) 965,227
-------------- ---------------
Net Increase in Net Assets from Operations............................................ 245,856 4,985,228
-------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested..................................................... 7,389,831 24,442,594
Value of Capital Withdrawn......................................................... (8,217,572) (21,520,447)
-------------- ---------------
Net Increase (Decrease) in Net Assets from Capital Transactions....................... (827,741) 2,922,147
-------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS............................................... (581,885) 7,907,375
NET ASSETS
Beginning of Period................................................................... 55,177,913 47,270,538
-------------- ---------------
End of Period......................................................................... $54,596,028 $ 55,177,913
============== ===============
</TABLE>
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 YEAR
JANUARY 1, 1996 ENDED DECEMBER 31,
TO MARCH 31, 1996 ---------------------------------------
(UNAUDITED) 1995 1994
----------------- ----------------- -----------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's omitted).................... $54,596 $ 55,178 $ 47,271
Ratios to Average Net Assets
Net Investment Income..................................... 5.28%* 6.09% 4.91%
Expenses.................................................. 0.30%* 0.30% 0.30%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................. 0.04%* 0.05% 0.09%
Portfolio Turnover Rate...................................... 107% 246% 202%
<CAPTION>
FOR THE PERIOD
AUGUST 24, 1992
FOR THE YEAR (COMMENCEMENT
ENDED DECEMBER 31, OF OPERATIONS) TO
1993 DECEMBER 31, 1992
----------------- -----------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (000's omitted).................... $ 17,729 $ 4,999
Ratios to Average Net Assets
Net Investment Income..................................... 4.25% 4.36%*
Expenses.................................................. 0.30% 0.30%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................. 0.25% 1.41%*
Portfolio Turnover Rate...................................... 267% 75%
</TABLE>
- ------------------
* Annualized
See Notes to Financial Statements on Page 11
10
<PAGE> 4
- --------------------------------------------------------------------------------
Short/Intermediate U.S. Government Securities Portfolio
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.
In fiscal 1996, the Portfolio changed its year end to September 30th.
B. Security Valuation
The Portfolio's investments are carried at fair market value as determined by an
independent pricing service at the end of each business day. 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. 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. Therefore, no federal income tax provision is required.
E. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
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 period January 1, 1996 to March 31, 1996, this fee
aggregated $7,207.
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 period January 1, 1996 to March
31, 1996, this fee aggregated $36,037.
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 period January 1, 1996 to
March 31, 1996, expenses of the Portfolio have been reduced by $5,741.
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 period January 1, 1996 to March
31, 1996, were $52,793,732 and $52,181,449, respectively. For federal income tax
purposes, the tax basis of investments held at March 31, 1996 was $54,518,013.
The aggregate gross unrealized appreciation for all investments was $9,636 and
the aggregate gross unrealized depreciation for all investments was $566,050.
11
