<PAGE> 1
LIQUID ASSETS PORTFOLIO 7
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
===============================================================================================================
December 31, 1995
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value $1,420,393,102
- ---------------------------------------------------------------------------------------------------------------
Cash 59,566,208
- ---------------------------------------------------------------------------------------------------------------
Interest Receivable 1,634,688
- ---------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 16,905
- ---------------------------------------------------------------------------------------------------------------
Total Assets 1,481,610,903
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Other 21,875
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $1,481,589,028
===============================================================================================================
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $1,481,589,028
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, DECEMBER 31, 1995 $1,481,589,028
===============================================================================================================
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================
For the periods January 1, 1995 to September 14, 1995 and December 11, 1995 to December 31, 1995 (see Note 1A)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Interest $4,730,412
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory $127,704
- ---------------------------------------------------------------------------------------------------------------
Administration and Services 42,568
- ---------------------------------------------------------------------------------------------------------------
Professional 12,291
- ---------------------------------------------------------------------------------------------------------------
Trustees 1,365
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 3,391
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 187,319
- ---------------------------------------------------------------------------------------------------------------
Less:Expenses Absorbed by Bankers Trust (178,381) 8,938
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,721,474
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN FROM SECURITIES TRANSACTIONS 18,254
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,739,728
===============================================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 2
LIQUID ASSETS PORTFOLIO 8
------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
===============================================================================================================
For the For the
period ended year ended
December December
31, 1995+ 31, 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income $ 4,721,474 $ 637,521
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 18,254 (27,641)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 4,739,728 609,880
- ---------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 1,701,831,076 61,272,350
- ---------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (238,385,924) (56,615,492)
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 1,463,445,152 4,656,858
- ---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 1,468,184,880 5,266,738
===============================================================================================================
NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Beginning of Period 13,404,148 8,137,410
- ---------------------------------------------------------------------------------------------------------------
End of Period $1,481,589,028 $ 13,404,148
===============================================================================================================
</TABLE>
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods presented for the Liquid Assets Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
For the period
For the For the June 7, 1993
period ended year ended (Commencement
December December of Operations) to
31, 1995+ 31, 1994 December 31, 1993
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to
Average Net Assets 7.28%* 4.28% 3.12%*
Ratio of Expenses to Average Net Assets 0.01%* 0.10% 0.10%*
Decrease Reflected in Above Ratio of Expenses
to Average Net Assets Due to Absorption
of Expenses by Bankers Trust 0.28%* 0.30% 0.57%*
Net Assets, End of Period (000's omitted) $1,481,589 $13,404 $8,137
</TABLE>
* Annualized
+ For the periods January 1, 1995 to September 14, 1995 and December 11, 1995
to December 31, 1995 (see Note 1A)
See Notes to Financial Statements on Page 12
<PAGE> 3
LIQUID ASSETS PORTFOLIO 9
------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
================================================================================
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 27.63%
- --------------------------------------------------------------------------------
$ 35,000,000 Abbey National Bank, 5.68%,
3/14/96 $ 35,001,150
- --------------------------------------------------------------------------------
ABN Amro Bank:
25,000,000 5.58%, 5/28/96 25,013,882
10,000,000 5.52%, 6/19/96 10,003,601
- --------------------------------------------------------------------------------
22,000,000 American Express Centurion Bank,
5.82%, 1/11/96 21,999,905
- --------------------------------------------------------------------------------
40,000,000 Bank of Tokyo, 5.85%, 2/12/96 39,998,481
- --------------------------------------------------------------------------------
50,000,000 Canadian Imperial Bank of
Commerce, 5.80%, 1/19/96 50,000,000
- --------------------------------------------------------------------------------
29,400,000 Commerz Bank, 5.83%, 1/22/96 29,403,055
- --------------------------------------------------------------------------------
5,000,000 Deutsche Bank, 5.64%, 3/11/96 5,000,685
- --------------------------------------------------------------------------------
National Westminister Bank:
20,000,000 5.70%, 2/16/96 20,001,801
35,000,000 5.72%, 2/16/96 34,999,799
- --------------------------------------------------------------------------------
Societe Generale:
50,000,000 5.58%, 4/25/96 49,996,056
3,000,000 5.75%, 10/17/96 3,004,517
- --------------------------------------------------------------------------------
30,000,000 Toronto-Dominion Bank, 5.64%,
4/2/96 30,000,000
- --------------------------------------------------------------------------------
Wachovia Bank of North Carolina:
30,000,000 5.80%, 1/9/96 29,999,836
25,000,000 5.72%, 1/17/96 25,000,473
- --------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT
(Amortized Cost $409,423,241) $ 409,423,241
================================================================================
COMMERCIAL PAPER - 46.41%
- --------------------------------------------------------------------------------
$ 25,000,000 Abbey National North America,
5.58%, 3/14/96 $ 24,717,125
- --------------------------------------------------------------------------------
20,000,000 Banco Bilbao Vizcaya, 5.71%,
2/5/96 19,888,972
- --------------------------------------------------------------------------------
10,000,000 Bank of America, 5.28%, 6/5/96 9,771,200
- --------------------------------------------------------------------------------
50,000,000 Bank of Austria, 5.69%, 2/8/96 49,699,695
- --------------------------------------------------------------------------------
50,000,000 Caisse des Depots et Consignations,
5.80%, 1/11/96 49,919,444
- --------------------------------------------------------------------------------
25,000,000 Ciesco, 5.67%, 2/28/96 24,771,625
- --------------------------------------------------------------------------------
17,000,000 Daimler Benz North American,
5.78%, 1/30/96 16,920,846
- --------------------------------------------------------------------------------
General Electric Capital:
20,000,000 5.81%, 1/18/96 19,945,128
40,000,000 5.70%, 2/12/96 39,734,000
- --------------------------------------------------------------------------------
25,000,000 Internationale Nederlanden Bank,
5.46%, 3/25/96 24,681,500
- --------------------------------------------------------------------------------
10,000,000 Manitoba Hydro-Electric Board,
5.47%, 3/22/96 9,876,925
- --------------------------------------------------------------------------------
30,000,000 McKenna Triangle, 5.80%,
1/25/96 29,884,000
- --------------------------------------------------------------------------------
28,000,000 Monte dei Paschi di Siena,
5.70%, 2/16/96 27,796,067
- --------------------------------------------------------------------------------
50,000,000 Morgan Stanley, 6.00%,
1/5/96 49,966,667
- --------------------------------------------------------------------------------
48,000,000 National Australia Funding,
5.00%, 6/14/96 46,812,000
- --------------------------------------------------------------------------------
17,000,000 Pacific Gas &Electric, 5.65%,
1/26/96 16,933,299
- --------------------------------------------------------------------------------
1,750,000 Panasonic Finance, 5.60%, 2/14/96 1,738,022
- --------------------------------------------------------------------------------
24,600,000 Philip Morris, 6.20%, 1/2/96 24,595,763
- --------------------------------------------------------------------------------
60,000,000 Prudential Funding, 6.054%,
1/2/96 60,000,000
- --------------------------------------------------------------------------------
Receivables Capital:
21,168,000 5.82%, 1/24/96 21,089,290
29,715,000 5.82%, 1/25/96 29,599,706
- --------------------------------------------------------------------------------
25,000,000 Riverwoods Funding, 5.70%,
2/13/96 24,829,792
- --------------------------------------------------------------------------------
40,450,000 Sheffield Receivables, 5.72%,
2/21/96 40,122,220
- --------------------------------------------------------------------------------
24,350,000 Siemens, 5.78%, 1/29/96 24,240,533
- --------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $687,533,819) $ 687,533,819
================================================================================
EURODOLLAR TIME DEPOSITS - 21.17%
- --------------------------------------------------------------------------------
$ 8,000,000 Bank of Tokyo, 6.156%, 1/10/96 $ 8,000,000
- --------------------------------------------------------------------------------
30,000,000 Berliner Handles-und Franfurler
Bank, 4.25%, 1/2/96 30,000,000
- --------------------------------------------------------------------------------
75,661,511 Commerz Bank, 3.50%, 1/2/96 75,661,511
- --------------------------------------------------------------------------------
50,000,000 Mellon Bank, 5.937%, 1/2/96 50,000,000
- --------------------------------------------------------------------------------
50,000,000 Mitsubishi Bank, 5.83%, 3/15/96 50,000,000
- --------------------------------------------------------------------------------
60,000,000 Royal Bank of Canada, 5.50%,
1/2/96 60,000,000
- --------------------------------------------------------------------------------
40,000,000 Sanwa Bank, 5.94%, 2/15/96 40,000,000
- --------------------------------------------------------------------------------
TOTAL TIME DEPOSITS
(Amortized Cost $313,661,511) $ 313,661,511
================================================================================
UNITED STATES TREASURY BILLS - .66%
- --------------------------------------------------------------------------------
$ 10,000,000 5.17%, 6/6/96
(Amortized Cost $9,774,531) $ 9,774,531
================================================================================
TOTAL INVESTMENTS
(Amortized Cost $1,420,393,102) 95.87% $1,420,393,102
- --------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 4.13 61,195,926
- --------------------------------------------------------------------------------
NET ASSETS 100.00% $1,481,589,028
================================================================================
</TABLE>
See Notes to Financial Statements on Page 12
<PAGE> 4
LIQUID ASSETS PORTFOLIO 12
------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
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.
On September 15, 1995, the Portfolio temporarily suspended its operations due
to a withdrawal of investments by BT Investment Liquid Assets Fund. On December
11, 1995, the Portfolio resumed its operations as a result of an investment
made by the Institutional Liquid Assets Fund.
B. Security Valuation
Investments are valued at amortized cost, which has been determined by the
Trustees to represent fair value of the Portfolio's investments.
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 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.
E. 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. The cost
of securities in the Portfolio for federal income tax purposes is the same as
for financial reporting purposes.
F. 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 $42,568.
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 year ended December 31, 1995,
this fee aggregated $127,704.
From January 1, 1995 to December 10, 1995 Bankers Trust has voluntarily agreed
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. From December 11, 1995 to December 31, 1995 Bankers Trust has
voluntarily agreed to waive and reimburse expenses of the Portfolio, to the
extent necessary, to limit all expenses to 0.11 of 1% of the average daily net
assets of the Portfolio. For the period December 11, 1995 to December 31, 1995
Bankers Trust has agreed to waive all expenses incurred by the Portfolio. For
the period January 1, 1995 to December 31, 1995 (see Note 1A), expenses of the
Portfolio have been reduced by $178,381.
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.
<PAGE> 5
LIQUID ASSETS PORTFOLIO 13
------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial
Interest of the Liquid Assets Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Liquid Assets Portfolio, including the schedule of portfolio investments, as of
December 31, 1995, and the related statement of operations for the period
January 1, 1995 to September 14, 1995 and December 11, 1995 to December 31,
1995, the statements of changes in net assets for the period January 1, 1995 to
September 14, 1995 and December 11, 1995 to December 31, 1995 and the year
ended December 31, 1994, and the financial highlights for the period January 1,
1995 to September 14, 1995 and December 11, 1995 to December 31, 1995, the year
ended December 31, 1994, and for the period June 7, 1993 (commencement of
operations) to December 31, 1993. 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 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. 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
Liquid Assets 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 13, 1996
