<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- --------------------------------------- --------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT - 2.34%
$20,000,000 Bank of America, 5.45%,
9/18/96................... $ 20,000,000
25,000,000 NBD Bank, 5.42%, 8/19/96.... 25,000,674
--------------
TOTAL CETIFICATES OF DEPOSIT
(Amortized Cost $45,000,674)......... $ 45,000,674
--------------
*COMMERCIAL PAPER - 42.19%
14,565,000 ABN - Amro Bank, 5.05%,
10/11/96.................. 14,356,599
20,000,000 Asset Securitization, 5.28%,
7/31/96................... 19,912,000
6,500,000 Banc One Corporation, 5.28%,
8/21/96................... 6,451,380
15,000,000 Bank of America, 5.19%,
7/8/96.................... 14,984,862
30,000,000 Barclays U. S. Funding
Corporation, 5.28%,
8/22/96................... 29,771,200
17,799,000 Bass Finance C. I. Limited,
5.28%, 7/2/96............. 17,796,390
15,000,000 Bear Stearns, 5.30%,
7/8/96.................... 14,984,542
BHF Finance Delaware
22,000,000 5.32%, 7/5/96............... 21,986,996
20,000,000 5.29%, 8/13/96.............. 19,873,628
20,000,000 BTR Dunlop, 5.42%, 9/4/96... 19,804,278
25,000,000 Caisse des Amortissement de
la Dette Sociale, 5.35%,
8/19/96................... 24,817,951
Caisse des Depots et
Consignations
15,000,000 5.35%, 7/23/96.............. 14,950,958
20,000,000 5.34%, 7/26/96.............. 19,925,833
15,000,000 5.30%, 8/2/96............... 14,929,333
6,000,000 Canadian Wheat Board, 5.38%,
8/12/96................... 5,962,340
20,000,000 Commerzbank, 5.27%,
7/1/96.................... 20,000,000
20,000,000 Corporate Asset Funding Co.,
Inc., 5.31%, 8/9/96....... 19,884,950
10,000,000 CS First Boston, 5.29%,
7/25/96................... 9,964,733
Daimler Benz North American
25,000,000 5.28%, 7/9/96............... 24,970,667
10,000,000 5.26%, 8/13/96.............. 9,937,172
25,000,000 5.47%, 11/7/96.............. 24,509,979
15,000,000 Den Danske, 5.25%,
7/31/96................... 14,934,375
2,000,000 DuPont (E. I. ) De Nemours,
5.28%, 7/30/96............ 1,991,493
Eksportfinans
2,300,000 5.25%, 8/30/96.............. 2,279,875
8,600,000 5.37%, 10/21/96............. 8,456,323
15,000,000 European Investment Bank,
5.30%, 7/29/96............ 14,938,167
General Electric Capital
Corporation
20,000,000 5.25%, 8/28/96.............. 19,830,833
26,000,000 5.11%, 9/27/96.............. 25,675,231
Goldman Sachs
20,000,000 5.33%, 7/11/96.............. 19,970,389
25,000,000 5.33%, 8/23/96.............. 24,803,827
25,000,000 Household Finance
Corporation, 5.28%,
8/21/96................... 24,813,000
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- --------------------------------------- --------------
<C> <S> <C>
$12,000,000 International Lease Finance,
5.31%, 8/15/96............ $ 11,920,350
20,000,000 J. P. Morgan, 5.46%,
12/16/96.................. 19,490,400
Kingdom of Sweden
6,000,000 5.27%, 10/18/96............. 5,904,262
30,000,000 5.47%, 11/27/96 (a)......... 29,322,739
10,000,000 McKenna Triangle, 5.31%,
8/6/96.................... 9,946,900
Monte dei Paschi di Siena
10,000,000 5.32%, 7/11/96.............. 9,985,222
20,000,000 5.34%, 8/7/96............... 19,890,233
8,000,000 5.40%, 8/16/96.............. 7,944,800
Morgan Stanley
20,000,000 5.32%, 7/12/96.............. 19,967,489
25,000,000 5.30%, 7/19/96.............. 24,933,750
25,000,000 NationsBank Corporation,
5.31%, 8/5/96............. 24,870,938
Norwest Corporation
35,000,000 5.34%, 8/5/96 (a)........... 34,818,196
10,000,000 5.35%, 8/20/96.............. 9,925,695
7,000,000 Paccar Financial, 5.34%,
7/8/96.................... 6,992,732
Pacific Dunlop Holdings
5,000,000 5.35%, 7/8/96............... 4,994,799
10,000,000 5.37%, 7/17/96.............. 9,976,133
6,200,000 Phillip Morris, 5.31%,
8/19/96................... 6,155,190
U. S. L. Capital
13,000,000 5.29%, 7/2/96............... 12,998,090
15,000,000 5.35%, 7/9/96............... 14,982,167
--------------
TOTAL COMMERCIAL PAPER
(Amortized Cost $812,489,389)........ $ 812,489,389
--------------
EURODOLLAR CERTIFICATES OF
DEPOSIT - 10.07%
25,000,000 Banque National de Paris,
5.12%, 8/23/96............ 25,002,795
Bayerische Hypotheken
25,000,000 5.04%, 8/9/96............... 25,000,737
25,000,000 5.44%, 8/12/96.............. 25,000,265
Bayerische Landesbank
21,000,000 5.22%, 7/30/96.............. 21,002,772
2,000,000 5.63%, 12/27/96............. 2,000,054
Bayerische Vereinsbank
15,000,000 5.36%, 7/3/96............... 14,999,962
23,000,000 5.34%, 7/5/96............... 22,999,990
28,000,000 Monte dei Paschi di Siena,
5.38%, 7/9/96............. 28,000,062
5,000,000 Nordeutsche Landesbank,
5.49%, 11/13/96........... 5,000,441
25,000,000 Toronto Dominion Bank,
5.64%, 12/31/96........... 25,000,000
--------------
TOTAL EURODOLLAR CERTIFICATES OF
DEPOSIT
(Amortized Cost $194,007,078)........
$ 194,007,078
--------------
EURODOLLAR TIME DEPOSITS - 4.15%
Bank of America
10,000,000 5.063%, 7/15/96............. 10,000,000
10,000,000 5.031%, 8/16/96............. 10,000,000
10,000,000 5.40%, 9/3/96............... 10,000,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12.
8
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- --------------------------------------- --------------
<C> <S> <C>
$25,000,000 Bank of Tokyo-Mitsubishi,
5.688%, 7/1/96............ $ 25,000,000
25,000,000 Dai-Ichi Kangyo Bank
Nederland, 5.47%,
7/25/96................... 25,000,000
--------------
TOTAL EURODOLLAR TIME DEPOSITS
(Amortized Cost $80,000,000)......... $ 80,000,000
--------------
FLOATING RATE NOTES - 7.45%
23,500,000 American Express Centurion
Bank, Monthly Variable
Rate
5.466%, 5/16/97........... 23,500,000
20,000,000 5.427%, 6/10/97............. 20,000,000
Bear Stearns
15,000,000 Monthly Variable Rate,
5.503%, 2/10/97........... 15,000,000
4,000,000 Quarterly Variable Rate,
5.80%, 5/5/97............. 4,003,899
12,000,000 Daily Variable Rate, 5.47%,
6/6/97.................... 12,000,000
20,000,000 Caterpillar Financial,
Quarterly Variable Rate,
5.564%, 10/24/96.......... 20,002,465
1,000,000 Dean Witter Discover,
Quarterly Variable Rate,
5.762%, 11/22/96.......... 1,000,701
15,000,000 General Electric Capital
Corporation, Quarterly
Variable Rate, 5.50%,
12/17/96.................. 15,000,000
PNC Bank
25,000,000 Monthly Variable Rate,
5.377%, 1/6/97............ 24,989,954
8,000,000 Weekly Variable Rate,
5.515%, 2/6/97............ 7,996,189
--------------
TOTAL FLOATING RATE NOTES
(Amortized Cost $143,493,208)........ $ 143,493,208
--------------
TIME DEPOSITS - 12.10%
55,000,000 Bank of Nova Scotia, 5.50%,
7/2/96.................... 55,000,000
30,000,000 Credit Commercial de France,
5.063%, 7/15/96........... 30,000,000
50,000,000 Internationale Nederlanden
Bank, 5.375%, 7/24/96..... 50,000,000
8,000,000 Nordeutsche Landesbank,
5.063%, 7/15/96........... 8,000,000
90,000,000 Northern Trust Corporation,
5.125%, 7/1/96............ 90,000,000
--------------
TOTAL TIME DEPOSITS
(Amortized Cost $233,000,000)........ $ 233,000,000
--------------
U.S. TREASURY SECURITIES -
1.80%
*U.S. TREASURY BILLS - 0.50%
10,000,000 4.59%, 2/6/97............... 9,719,500
U.S. TREASURY NOTES - 1.30%
25,000,000 6.50%, 9/30/96.............. 25,087,655
--------------
TOTAL U.S. TREASURY SECURITIES
(Amortized Cost $34,807,155)......... $ 34,807,155
--------------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- --------------------------------------- --------------
<C> <S> <C>
YANKEE CERTIFICATES OF
DEPOSIT - 13.92%
$20,000,000 Bank of Montreal, 5.438%,
9/3/96.................... $ 20,000,000
15,000,000 Banque National de Paris,
5.34%, 7/17/96............ 14,999,851
13,000,000 Canadian Imperial Bank of
Commerce, 5.45%,
7/25/96................... 13,000,000
16,000,000 Commerzbank, 5.33%,
7/8/96.................... 15,999,957
Deutsche Bank
9,500,000 5.37%, 7/11/96.............. 9,500,053
18,000,000 5.44%, 10/1/96.............. 17,997,135
25,000,000 National Westminister Bank,
5.40%, 8/21/96............ 25,000,000
20,000,000 Rabobank, 5.37%, 8/5/96..... 20,000,193
Sanwa Bank
15,000,000 5.42%, 7/8/96............... 14,999,937
25,000,000 5.46%, 7/8/96............... 25,000,048
Societe Generale
30,000,000 5.33%, 7/2/96............... 29,999,997
29,500,000 5.35%, 7/15/96.............. 29,500,166
10,000,000 5.47%, 9/5/96............... 10,000,181
Sumitomo Bank
14,000,000 5.47%, 7/12/96.............. 14,000,043
8,000,000 5.48%, 7/24/96.............. 8,000,051
--------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(Amortized Cost $267,997,612)........ $ 267,997,612
--------------
REPURCHASE AGREEMENTS -
5.12%
98,566,632 Tri-Party Repurchase
Agreement with Goldman
Sachs, dated 6/28/96,
5.00%, due 7/1/96,
principal and interest in
the amount of $98,597,697,
(Collateralized by U.S.
Treasury Note, par value
$11,570,576, 6.125%, due
9/30/00, value of
$11,442,130, U.S. Treasury
Note, par value of
$12,357,000, 6.00%, due
5/31/98, value of
$12,330,534, Federal
National Mortgage Assoc.
Discount Note, par value
$70,000,000, due 12/12/96,
value of $68,257,000,
Federal National Mortgage
Assoc. Global Bond, par
value of $20,360,000,
7.40%, due 7/1/04, value
of $21,022,719 (Amortized
Cost $98,566,632)......... $ 98,566,632
--------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS -
(Amortized Cost
$1,909,361,748)............ 99.14% $1,909,361,748
Other Assets less
Liabilities................ 0.86% 16,492,151
------- --------------
NET ASSETS................... 100.00% $1,925,853,899
------- --------------
------- --------------
</TABLE>
- ------------------
(a) Weighted Average Coupon
* Discount Rate
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12.
9
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES JUNE, 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value............................................................... $1,909,361,748
Cash................................................................................ 41,480,580
Interest Receivable................................................................. 6,325,168
Prepaid Expenses.................................................................... 3,126
Due from Bankers Trust.............................................................. 20,976
--------------
Total Assets............................................................................ 1,957,191,598
--------------
LIABILITIES
Payable for Securities Purchased.................................................... 31,324,357
Accrued Expenses and Other.......................................................... 13,342
--------------
Total Liabilities....................................................................... 31,337,699
--------------
NET ASSETS.............................................................................. $1,925,853,899
--------------
--------------
COMPOSITION OF NET ASSETS
Paid-in Capital..................................................................... $1,925,853,899
--------------
NET ASSETS, JUNE 30, 1996............................................................... $1,925,853,899
--------------
--------------
</TABLE>
STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest........................................................................... $ 44,534,709
Expenses
Advisory........................................................................... 1,265,448
Administration and Services........................................................ 421,816
Professional....................................................................... 17,463
Trustees........................................................................... 1,348
Miscellaneous...................................................................... 2,307
-------------
Total Expenses..................................................................... 1,708,382
Less: Expenses Absorbed by Bankers Trust........................................... (1,708,382)
-------------
Net Expenses................................................................... --
-------------
NET INVESTMENT INCOME.................................................................. 44,534,709
-------------
NET REALIZED LOSS FROM INVESTMENT TRANSACTIONS......................................... (17,880)
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS............................................. $ 44,516,829
-------------
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS ON PAGE 12.
10
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER 31,
(UNAUDITED) 1995+
--------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net Investment Income.................................................. $ 44,534,709 $ 4,721,474
Net Realized Gain (Loss) from Investment Transactions.................. (17,880) 18,254
--------------- ----------------
Net Increase in Net Assets from Operations................................. 44,516,829 4,739,728
--------------- ----------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested......................................... 2,746,319,729 1,701,831,076
Value of Capital Withdrawn............................................. (2,346,571,687) (238,385,924)
--------------- ----------------
Net Increase in Net Assets from Capital Transactions....................... 399,748,042 1,463,445,152
--------------- ----------------
TOTAL INCREASE IN NET ASSETS............................................... 444,264,871 1,468,184,880
NET ASSETS
Beginning of Period........................................................ 1,481,589,028 13,404,148
--------------- ----------------
End of Period.............................................................. $ 1,925,853,899 $1,481,589,028
--------------- ----------------
--------------- ----------------
</TABLE>
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 SIX FOR THE PERIOD
MONTHS ENDED FOR THE JUNE 7, 1993
JUNE 30, PERIOD ENDED FOR THE YEAR (COMMENCEMENT OF
1996 DECEMBER 31, ENDED DECEMBER OPERATIONS) TO
(UNAUDITED) 1995+ 31, 1994 DECEMBER 31, 1993
------------ ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted)............................ $1,925,854 $ 1,481,589 $ 13,404 $ 8,137
Ratios to Average Net Assets
Net Investment Income............... 5.29%* 7.28%* 4.28% 3.12%*
Expenses............................ 0.00%* 0.01%* 0.10% 0.10%*
Decrease Reflected in Above Expense
Ratio Due to Absorption of
Expenses by Bankers Trust......... 0.20%* 0.28%* 0.30% 0.57%*
</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.
11
<PAGE>
- --------------------------------------------------------------------------------
LIQUID ASSETS PORTFOLIO
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.
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.
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 six months ended June 30, 1996, this fee aggregated
$421,816.
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, 1996,
this fee aggregated $1,265,448.
Bankers Trust has voluntarily undertaken 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. Bankers Trust voluntarily decided to
waive and reimburse all the expenses of the Portfolio for the six months ended
June 30, 1996. Such expenses amounted to $1,708,382.
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.
12
