<PAGE> 1
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 7
------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $56,358,485, including Repurchase Agreement
amounting to $9,278,124) $56,532,772
- ---------------------------------------------------------------------------------------------------------------
Interest Receivable 613,544
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses and Other Assets 23,588
- ---------------------------------------------------------------------------------------------------------------
Total Assets 57,169,904
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 3,102
- ---------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 1,966,313
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 22,576
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 1,991,991
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $55,177,913
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $55,003,626
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 174,287
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $55,177,913
===============================================================================================================
STATEMENT OF OPERATIONS
===============================================================================================================
For the year ended December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Interest $3,342,884
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory $130,819
- ---------------------------------------------------------------------------------------------------------------
Administration and Services 26,164
- ---------------------------------------------------------------------------------------------------------------
Professional 21,223
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 2,265
- ---------------------------------------------------------------------------------------------------------------
Trustees 1,917
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 182,388
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (25,406) 156,982
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,185,902
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 834,099
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 965,227
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 1,799,326
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,985,228
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 2
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 8
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<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
For the For the
year ended year ended
December December
31, 1995 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 3,185,902 $ 1,768,139
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 834,099 (765,789)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities 965,227 (800,099)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,985,228 202,251
- ---------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 24,442,594 45,632,673
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (21,520,447) (16,293,202)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 2,922,147 29,339,471
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 7,907,375 29,541,722
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Year 47,270,538 17,728,816
- ---------------------------------------------------------------------------------------------------------------
End of Year $ 55,177,913 $ 47,270,538
- ---------------------------------------------------------------------------------------------------------------
</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
August 24, 1992
For the year ended December 31, (Commencement
------------------------------------------ of Operations) to
1995 1994 1993 December 31, 1992
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average
Net Assets 6.09% 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 0.05% 0.09% 0.25% 1.41%*
Portfolio Turnover Rate 246% 202% 267% 75%
Net Assets, End of Period (000's omitted) $55,178 $47,271 $17,729 $4,999
</TABLE>
* Annualized
See Notes to Financial Statements on Page 12
<PAGE> 3
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 9
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SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
=======================================================================
<S> <C>
U.S. GOVERNMENT &
AGENCY OBLIGATIONS - 85.64%
- -----------------------------------------------------------------------
U.S. TREASURY NOTES - 82.91%
- -----------------------------------------------------------------------
$ 1,500,000 7.50%, 12/31/96 $ 1,533,750
- -----------------------------------------------------------------------
5,000,000 6.625%, 3/31/97 5,087,500
- -----------------------------------------------------------------------
7,000,000 5.875%, 7/31/97 7,074,375
- -----------------------------------------------------------------------
13,980,000 5.625%, 10/31/97 14,082,613
- -----------------------------------------------------------------------
15,300,000 5.50%, 11/15/98 15,412,302
- -----------------------------------------------------------------------
1,000,000 7.125%, 9/30/99 1,060,000
- -----------------------------------------------------------------------
1,472,000 5.75%, 10/31/00 1,495,000
- -----------------------------------------------------------------------
45,745,540
=======================================================================
U.S. GOVERNMENT AGENCY - 2.73%
- -----------------------------------------------------------------------
1,500,000 Tennessee Valley Authority,
6.00%, 1/15/97 1,509,108
=======================================================================
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost $47,080,361) $47,254,648
=======================================================================
SHORT-TERM INVESTMENT - 16.82%
- -----------------------------------------------------------------------
REPURCHASE AGREEMENT - 16.82%
- -----------------------------------------------------------------------
$ 9,278,124 Repurchase Agreement with Sanwa Bank,
Dated 12/29/95, 5.85%, Principal and
Interest in the Amount of $9,282,647,
(Cost $9,278,124), due 1/2/96,
(Collateralized by U.S. Treasury Notes,
Par Value $6,036,000, 10.625%,
due 8/15/15 Value at $9,236,966) $ 9,278,124
=======================================================================
TOTAL INVESTMENTS
(Cost $56,358,485) 102.46% $56,532,772
- -----------------------------------------------------------------------
Liabilities in Excess of Other Assets (2.46%) (1,354,859)
- -----------------------------------------------------------------------
NET ASSETS 100.00% $55,177,913
=======================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 4
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 12
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NOTES TO FINANCIAL STATEMENTS
================================================================================
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 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 year ended December 31, 1995, this fee aggregated $26,164.
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 year ended December 31, 1995,
this fee aggregated $130,819.
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 year ended December 31,
1995, expenses of the Portfolio have been reduced $25,406.
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 year ended December 31, 1995,
were $132,638,189 and $109,527,306, respectively. The net unrealized
appreciation of investments amounted to $174,287, consisting of gross
unrealized appreciation of $211,820 and gross unrealized depreciation of
$37,533. The cost of investments for federal income tax purposes was
substantially the same as for financial reporting purposes.
<PAGE> 5
SHORT/INTERMEDIATE U.S. GOVERNMENT SECURITIES PORTFOLIO 13
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REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest
of the Short/Intermediate U.S. Government
Securities Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Short/Intermediate U.S. Government Securities Portfolio, including the schedule
of portfolio investments, as of December 31, 1995, and the related statement of
operations for the year then ended, the statement of changes in net assets for
each of the two years in the period then ended, and the financial highlights
for each of the three years in the period then ended and for the period August
24, 1992 (commencement of operations) to December 31, 1992. These financial
statements and financial highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We have conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Short/Intermediate U.S. Government Securities Portfolio as of December 31,
1995, the results of its operations, the changes in its net assets, and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
Kansas City, Missouri
February 2, 1996
