<PAGE> 1
LIQUID ASSETS PORTFOLIO 9
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statement of Assets and Liabilities
===========================================================================================================
June 30, 1995 (unaudited)
<S> <C>
- -----------------------------------------------------------------------------------------------------------
Assets
- -----------------------------------------------------------------------------------------------------------
Investments, at Value (including Repurchase Agreements amounting to $2,181,253) $12,284,712
- -----------------------------------------------------------------------------------------------------------
Cash 120
- -----------------------------------------------------------------------------------------------------------
Interest Receivable 11,809
- -----------------------------------------------------------------------------------------------------------
Prepaid Expenses 860
- -----------------------------------------------------------------------------------------------------------
Due from Bankers Trust 5,350
- -----------------------------------------------------------------------------------------------------------
Total Assets 12,302,851
===========================================================================================================
Liabilities
- -----------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 10,946
- -----------------------------------------------------------------------------------------------------------
Total Liabilities 10,946
===========================================================================================================
Net Assets $12,291,905
===========================================================================================================
Composition of Net Assets
- -----------------------------------------------------------------------------------------------------------
Paid-in Capital $12,291,905
- -----------------------------------------------------------------------------------------------------------
Net Assets, June 30, 1995 $12,291,905
===========================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 2
LIQUID ASSETS PORTFOLIO 10
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statement of Operations
=============================================================================================
For the six months ended June 30, 1995 (unaudited)
<S> <C> <C>
- ---------------------------------------------------------------------------------------------
Investment Income
- ---------------------------------------------------------------------------------------------
Interest $386,767
- ---------------------------------------------------------------------------------------------
Expenses
- ---------------------------------------------------------------------------------------------
Advisory Fee $ 9,468
- ---------------------------------------------------------------------------------------------
Administration and Services Fee 3,156
- ---------------------------------------------------------------------------------------------
Professional Fees 4,541
- ---------------------------------------------------------------------------------------------
Insurance 1,319
- ---------------------------------------------------------------------------------------------
Trustees Fees 732
- ---------------------------------------------------------------------------------------------
Miscellaneous 583
- ---------------------------------------------------------------------------------------------
Total Expenses 19,799
- ---------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (13,487) 6,312
- ---------------------------------------------------------------------------------------------
Net Investment Income 380,455
- ---------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 1,279
- ---------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations $381,734
=============================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 3
LIQUID ASSETS PORTFOLIO 11
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
==========================================================================================================================
For the six months
ended June 30, 1995 For the year ended
(unaudited) December 31, 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
- --------------------------------------------------------------------------------------------------------------------------
From Operations
- --------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 380,455 $ 637,521
- --------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 1,279 (27,641)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 381,734 609,880
- --------------------------------------------------------------------------------------------------------------------------
From Capital Transactions
- --------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 19,087,954 61,272,350
- --------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (20,581,931) (56,615,492)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (1,493,977) 4,656,858
- --------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (1,112,243) 5,266,738
==========================================================================================================================
Net Assets
- --------------------------------------------------------------------------------------------------------------------------
Beginning of Period 13,404,148 8,137,410
- --------------------------------------------------------------------------------------------------------------------------
End of Period $ 12,291,905 $ 13,404,148
==========================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 4
LIQUID ASSETS PORTFOLIO 12
------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Liquid Assets Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the period
June 7, 1993
For the six months (Commencement
ended June 30, 1995 For the year ended of Operations) to
(unaudited) December 31, 1994 December 31, 1993
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Ratios and Supplemental Data
Ratio of Net Investment Income to
Average Net Assets 6.03%* 4.28% 3.12%*
Ratio of Expenses to Average Net Assets 0.10%* 0.10% 0.10%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption
of Expenses by Bankers Trust 0.21%* 0.30% 0.57%*
Net Assets, End of Period (000's omitted) $12,292 $13,404 $8,137
</TABLE>
*Annualized
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 5
LIQUID ASSETS PORTFOLIO 13
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Schedule of Portfolio Investments
=======================================================================================================
June 30, 1995 (unaudited)
Principal
Amount Description Value
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
Certificate of Deposit - 4.07%
- -------------------------------------------------------------------------------------------------------
$ 500,000 Canadian Imperial, 5.9375%, 9/7/95 (Amortized Cost $500,000) $ 500,000
=======================================================================================================
Commercial Paper - 65.99%
- -------------------------------------------------------------------------------------------------------
$ 500,000 Abbey National, 6.00%, 7/31/95 $ 497,500
- -------------------------------------------------------------------------------------------------------
750,000 ABN Amro Bank, 6.18%, 8/21/95 743,434
- -------------------------------------------------------------------------------------------------------
425,000 Commerz Bank, 6.00%, 7/31/95 422,875
- -------------------------------------------------------------------------------------------------------
500,000 Dean Witter, 5.97%, 7/28/95 497,761
- -------------------------------------------------------------------------------------------------------
500,000 First Boston, 5.89%, 10/13/95 491,492
- -------------------------------------------------------------------------------------------------------
500,000 KFW International Finance Inc., 6.00%, 7/6/95 499,583
- -------------------------------------------------------------------------------------------------------
500,000 Kingdom of Sweden, 5.94%, 7/28/95 497,773
- -------------------------------------------------------------------------------------------------------
500,000 National Australia Funding, 5.60%, 11/27/95 488,411
- -------------------------------------------------------------------------------------------------------
500,000 National Rural Utility, 5.72%, 11/2/95 490,149
- -------------------------------------------------------------------------------------------------------
600,000 New South Wales Treasury, 5.96%, 7/18/95 598,312
- -------------------------------------------------------------------------------------------------------
500,000 Norwest Minnesota, 6.00%, 8/7/95 496,917
- -------------------------------------------------------------------------------------------------------
400,000 Philip Morris Capital Corp., 5.91%, 9/20/95 394,681
- -------------------------------------------------------------------------------------------------------
500,000 REC Capital Corp., 6.00%, 7/21/95 498,333
- -------------------------------------------------------------------------------------------------------
500,000 Riverwoods Funding, 5.95%, 7/18/95 498,595
- -------------------------------------------------------------------------------------------------------
500,000 Sheffield Corp., 5.97%, 7/17/95 498,673
- -------------------------------------------------------------------------------------------------------
500,000 Xerox, 5.95%, 8/9/95 496,777
- -------------------------------------------------------------------------------------------------------
Total Commercial Paper (Amortized Cost $8,111,266) $ 8,111,266
=======================================================================================================
Floating Rate Note - 6.08%
- -------------------------------------------------------------------------------------------------------
$ 750,000 Student Loan Marketing Association, Variable Rate, 5.68%, 10/14/97
(Amortized Cost $747,885) $ 747,885
=======================================================================================================
United States Government Agency Note - 6.06%
- -------------------------------------------------------------------------------------------------------
$ 750,000 Federal National Mortgage Association, 6.21%, 8/14/95
(Amortized Cost $744,308) $ 744,308
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 6
LIQUID ASSETS PORTFOLIO 14
------------------------------------------------------------------------
<TABLE>
<CAPTION>
Schedule of Portfolio Investments
=======================================================================================================
June 30, 1995 (unaudited)
Principal
Amount Description Value
- -------------------------------------------------------------------------------------------------------
<C> <S> <C>
Repurchase Agreements - 17.74%
- -------------------------------------------------------------------------------------------------------
$1,000,000 Repurchase Agreement with Goldman Sachs, Dated 6/30/95, 6.05%, Principal
and Interest in the Amount of $1,000,168, due 7/3/95, (Collateralized by
U.S. Treasury Note, Par Value of $1,015,000, 6.00%, 11/30/97,
Value of $1,022,846) $ 1,000,000
- -------------------------------------------------------------------------------------------------------
1,181,253 Repurchase Agreement with Swiss Bank, Dated 6/30/95, 6.15%, Principal
and Interest in the Amount of $1,181,455, due 7/3/95, (Collateralized by
U.S. Treasury Note, Par Value of $1,205,000, 6.00%, 6/30/96,
Value of $1,208,201) 1,181,253
- -------------------------------------------------------------------------------------------------------
Total Repurchase Agreements (Amortized Cost $2,181,253) $ 2,181,253
=======================================================================================================
Total Investments (Amortized Cost $12,284,712) 99.94% $ 12,284,712
- -------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.06% 7,193
- -------------------------------------------------------------------------------------------------------
Net Assets 100.00% $ 12,291,905
=======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 17 and 18
<PAGE> 7
LIQUID ASSETS PORTFOLIO 17
------------------------------------------------------------------------
Notes To Financial Statements (unaudited)
- --------------------------------------------------------------------------------
Note 1 -- Organization and Significant Accounting Policies
A. Organization
The Liquid Assets 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 commenced operations on June 7, 1993, as an
unincorporated trust under the laws of New York. The Declaration of Trust
permits the Board of Trustees (the "Trustees") to issue beneficial interests in
the Portfolio.
B. Security Valuation
Investments are stated at value, as that term is defined in the Act and the
published rules and regulations thereunder. Pursuant to Rule 2a-7 of the Act,
the Portfolio utilizes the amortized cost method to determine value. The
amortized cost method involves valuing a security at its cost on the date of
purchase, and thereafter assuming a constant amortization to maturity of the
difference between the principal amount due at maturity and cost. In the event
that a deviation of 1/2 of 1% or more exists between the Portfolio's net asset
value on the basis of amortized cost and the net asset value calculated by using
available market quotations or an appropriate substitute, the Trustees will
promptly consider what action, if any, should be initiated, and where the
Trustees believe the extent of deviation may result in material dilution or
other unfair results to investors or shareholders, the Trustees shall take such
action to eliminate or reduce, to the extent reasonably practicable, such
dilution or unfair results.
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 securities 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 agreements 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.
D. Investment Income
The Portfolio determines its net investment income (i.e., income other than net
realized long-term and short-term capital gains) on each valuation day and
allocates all such income as well as any realized gains and losses from security
transactions pro rata among the investors in the Portfolio at the time of such
determination.
<PAGE> 8
LIQUID ASSETS PORTFOLIO 18
------------------------------------------------------------------------
Notes To Financial Statements (unaudited)
- --------------------------------------------------------------------------------
E. 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. The cost of securities in the Portfolio for federal income tax
purposes is the same as for financial reporting purposes.
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 $3,156.
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 0.15 of 1% of the
Portfolio's average daily net assets. For the six months ended June 30, 1995,
this fee aggregated $9,468.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.10 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 $13,487.
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.
