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<PAGE> PAGE 8
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<PAGE> PAGE 10
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<PAGE> PAGE 11
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<PAGE> PAGE 12
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<PAGE> PAGE 14
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<PAGE> PAGE 16
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<PAGE> PAGE 17
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<PAGE> PAGE 20
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010 A000401 CFBDS, INC.
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011 A000401 CFBDS, INC.
011 B000401 8-41134
011 C010401 BOSTON
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011 C030401 02109
<PAGE> PAGE 22
013 A000401 PRICEWATERHOUSECOOPERS LLP
013 B010401 BOSTON
013 B020401 MA
013 B030401 02110
014 A000401 CFBDS, INC.
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015 A000401 STATE STREET BANK AND TRUST COMPANY
015 B000401 C
015 C010401 BOSTON
015 C020401 MA
015 C030401 02110
015 E040401 X
018 000400 Y
019 A000400 Y
019 B000400 50
019 C000400 CITIFUNDS.
024 000400 N
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<PAGE> PAGE 23
031 B000400 0
032 000400 0
033 000400 0
034 000400 N
035 000400 0
036 B000400 0
037 000400 N
038 000400 0
039 000400 N
040 000400 N
042 A000400 0
042 B000400 0
042 C000400 0
042 D000400 0
042 E000400 0
042 F000400 0
042 G000400 0
042 H000400 0
043 000400 0
044 000400 0
045 000400 Y
046 000400 N
047 000400 Y
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048 B010400 0
048 B020400 0.000
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048 C020400 0.000
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048 D020400 0.000
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048 E020400 0.000
048 F010400 0
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048 G010400 0
048 G020400 0.000
048 H010400 0
048 H020400 0.000
048 I010400 0
048 I020400 0.000
048 J010400 0
048 J020400 0.000
048 K010400 0
048 K020400 0.000
049 000400 N
050 000400 N
051 000400 N
052 000400 N
053 A000400 N
<PAGE> PAGE 24
054 A000400 Y
054 B000400 Y
054 C000400 Y
054 D000400 N
054 E000400 N
054 F000400 N
054 G000400 Y
054 H000400 Y
054 I000400 N
054 J000400 Y
054 K000400 N
054 L000400 N
054 M000400 Y
054 N000400 N
054 O000400 N
055 A000400 Y
055 B000400 N
056 000400 Y
057 000400 N
058 A000400 N
058 B000400 N
058 C000400 N
058 D000400 N
058 E000400 N
059 000400 Y
060 A000400 Y
060 B000400 Y
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062 F000400 0.0
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062 H000400 0.0
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062 R000400 0.0
063 A000400 0
063 B000400 0.0
066 A000400 Y
066 B000400 N
066 C000400 N
<PAGE> PAGE 25
066 D000400 N
066 E000400 Y
066 F000400 N
066 G000400 N
067 000400 N
068 A000400 N
068 B000400 Y
069 000400 N
070 A010400 Y
070 A020400 Y
070 B010400 Y
070 B020400 N
070 C010400 Y
070 C020400 Y
070 D010400 Y
070 D020400 N
070 E010400 Y
070 E020400 N
070 F010400 N
070 F020400 N
070 G010400 N
070 G020400 N
070 H010400 N
070 H020400 N
070 I010400 N
070 I020400 N
070 J010400 Y
070 J020400 N
070 K010400 Y
070 K020400 N
070 L010400 Y
070 L020400 Y
070 M010400 Y
070 M020400 Y
070 N010400 Y
070 N020400 N
070 O010400 Y
070 O020400 N
070 P010400 N
070 P020400 N
070 Q010400 N
070 Q020400 N
070 R010400 N
070 R020400 N
071 A000400 42039
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072 A000400 12
072 B000400 50
072 C000400 3846
<PAGE> PAGE 26
072 D000400 0
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<PAGE> PAGE 27
074 R010400 0
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080 A000400 CHUBB GROUP INSURANCE CO.
080 C000400 11750
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008 A000501 CITIBANK, NA
008 B000501 A
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008 D010501 NEW YORK
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010 A000501 CFBDS, INC.
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011 A000501 CFBDS, INC.
011 B000501 8-41134
011 C010501 BOSTON
011 C020501 MA
011 C030501 02109
013 A000501 PRICEWATERHOUSECOOPERS LLP
013 B010501 BOSTON
013 B020501 MA
013 B030501 02110
014 A000501 CFBDS, INC.
014 B000501 8-15648
015 A000501 STATE STREET BANK AND TRUST COMPANY
<PAGE> PAGE 28
015 B000501 C
015 C010501 BOSTON
015 C020501 NY
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018 000500 Y
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019 C000500 CITIFUNDS.
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<PAGE> PAGE 29
038 000500 0
039 000500 N
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<PAGE> PAGE 30
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<PAGE> PAGE 31
070 C020500 N
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<PAGE> PAGE 32
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<PAGE> PAGE 33
075 A000500 0
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SIGNATURE JOHN R. ELDER
TITLE TREASURER
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001005109
<NAME> LARGE CAP VALUE PORTFOLIO
<SERIES>
<NUMBER> 1
<NAME>ASSET ALLOCATION PORTFOLIOS
<S> <C>
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</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001005109
<NAME> SMALL CAP VALUE PORTFOLIO
<SERIES>
<NUMBER> 2
<NAME>ASSET ALLOCATION PORTFOLIOS
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<NUMBER-OF-SHARES-REDEEMED> (96,265,899)
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<NET-CHANGE-IN-ASSETS> (86,438,112)
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<GROSS-ADVISORY-FEES> 991,045
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<EXPENSE-RATIO> 0.86
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001005109
<NAME> INTERNATIONAL PORTFOLIO
<SERIES>
<NUMBER> 4
<NAME>ASSET ALLOCATION PORTFOLIOS
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<GROSS-ADVISORY-FEES> 1,317,234
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<GROSS-EXPENSE> 1,616,703
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<EXPENSE-RATIO> 0.95
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001005109
<NAME> FOREIGN BOND PORTFOLIO
<SERIES>
<NUMBER> 3
<NAME>ASSET ALLOCATION PORTFOLIOS
<S> <C>
<PERIOD-TYPE> 12-mos
<FISCAL-YEAR-END> OCT-31-1999
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<INVESTMENTS-AT-COST> 67,131,370
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<PAID-IN-CAPITAL-COMMON> 55,188,099
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 55,188,099
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 7,136,060
<OTHER-INCOME> 0
<EXPENSES-NET> 1,085,871
<NET-INVESTMENT-INCOME> 6,050,189
<REALIZED-GAINS-CURRENT> 5,951,109
<APPREC-INCREASE-CURRENT> (17,308,962)
<NET-CHANGE-FROM-OPS> (5,307,664)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 18,302,383
<NUMBER-OF-SHARES-REDEEMED> (240,072,098)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (227,077,379)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 828,560
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,085,871
<AVERAGE-NET-ASSETS> 150,647,234
<PER-SHARE-NAV-BEGIN> 0.00
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> 0.00
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 0.00
<EXPENSE-RATIO> 0.72
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001005109
<NAME> HIGH YIELD PORTFOLIO
<SERIES>
<NUMBER> 5
<NAME>ASSET ALLOCATION PORTFOLIOS
<S> <C>
<PERIOD-TYPE> 12-mos
<FISCAL-YEAR-END> OCT-31-1999
<PERIOD-END> OCT-31-1999
<INVESTMENTS-AT-COST> 84,737,318
<INVESTMENTS-AT-VALUE> 76,843,056
<RECEIVABLES> 5,422,096
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 355,097
<TOTAL-ASSETS> 82,620,249
<PAYABLE-FOR-SECURITIES> 2,409,302
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 2,409,302
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 80,152,557
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 80,152,557
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 4,467,042
<OTHER-INCOME> 0
<EXPENSES-NET> 345,018
<NET-INVESTMENT-INCOME> 4,122,024
<REALIZED-GAINS-CURRENT> (568,901)
<APPREC-INCREASE-CURRENT> (7,894,262)
<NET-CHANGE-FROM-OPS> (4,341,139)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 137,682,126
<NUMBER-OF-SHARES-REDEEMED> (53,188,430)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 80,152,557
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 318,371
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 388,812
<AVERAGE-NET-ASSETS> 98,772,312
<PER-SHARE-NAV-BEGIN> 0.00
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> 0.00
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 0.00
<EXPENSE-RATIO> 0.70
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
14-Dec-99
To the Shareholders and Board of Trustees of the
Large Cap Value Portfolio
In planning and performing our audit of the financial statements
of the Large Cap Value Portfolio (the Fund) for the year ended
October 31, 1999, we considered its internal control, including
control activities for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal
control.
The management of the Fund is responsible for establishing and
maintaining internal control. In fulfilling this responsibility,
estimates and judgments by management are required to assess the
expected benefits and related costs of controls. Generally,
controls that are relevant to an audit pertain to the entity's
objective of preparing financial statements for external purposes
that are fairly presented in conformity with accounting
principles generally accepted in the United States. Those
controls include the safeguarding of assets against unauthorized
acquisition, use or disposition.
Because of inherent limitations in internal control, errors or
fraud may occur and not be detected. Also, projection of any
evaluation of internal control to future periods is subject to
the risk that it may become inadequate because of changes in
conditions or that the effectiveness of the design and operation
may deteriorate.
Our consideration of internal control would not necessarily
disclose all matters in internal control that might be material
weaknesses under standards established by the American Institute
of Certified Public Accountants. A material weakness is a
condition in which the design or operation of one or more of the
internal control components does not reduce to a relatively low
level the risk that misstatements caused by error or fraud in
amounts that would be material in relation to the financial
statements being audited may occur and not be detected within a
timely period by employees in the normal course of performing
their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for
safeguarding securities, that we consider to be material
weaknesses as defined above as of October 31, 1999.
This report is intended solely for the information and use of
management and the Board of Trustees of the Fund and the
Securities and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified parties.
PricewaterhouseCoopers LLP
14-Dec-99
To the Shareholders and Board of Trustees of the
Small Cap Value Portfolio
In planning and performing our audit of the financial statements
of the Small Cap Value Portfolio (the Fund) for the year ended
October 31, 1999, we considered its internal control, including
control activities for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal
control.
The management of the Fund is responsible for establishing and
maintaining internal control. In fulfilling this responsibility,
estimates and judgments by management are required to assess the
expected benefits and related costs of controls. Generally,
controls that are relevant to an audit pertain to the entity's
objective of preparing financial statements for external purposes
that are fairly presented in conformity with accounting
principles generally accepted in the United States. Those
controls include the safeguarding of assets against unauthorized
acquisition, use or disposition.
Because of inherent limitations in internal control, errors or
fraud may occur and not be detected. Also, projection of any
evaluation of internal control to future periods is subject to
the risk that it may become inadequate because of changes in
conditions or that the effectiveness of the design and operation
may deteriorate.
Our consideration of internal control would not necessarily
disclose all matters in internal control that might be material
weaknesses under standards established by the American Institute
of Certified Public Accountants. A material weakness is a
condition in which the design or operation of one or more of the
internal control components does not reduce to a relatively low
level the risk that misstatements caused by error or fraud in
amounts that would be material in relation to the financial
statements being audited may occur and not be detected within a
timely period by employees in the normal course of performing
their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for
safeguarding securities, that we consider to be material
weaknesses as defined above as of October 31, 1999.
This report is intended solely for the information and use of
management and the Board of Trustees of the Fund and the
Securities and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified parties.
PricewaterhouseCoopers LLP
14-Dec-99
To the Shareholders and Board of Trustees of the
International Portfolio
In planning and performing our audit of the financial statements
of the International Portfolio (the Fund) for the year ended
October 31, 1999, we considered its internal control, including
control activities for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal
control.
The management of the Fund is responsible for establishing and
maintaining internal control. In fulfilling this responsibility,
estimates and judgments by management are required to assess the
expected benefits and related costs of controls. Generally,
controls that are relevant to an audit pertain to the entity's
objective of preparing financial statements for external purposes
that are fairly presented in conformity with accounting
principles generally accepted in the United States. Those
controls include the safeguarding of assets against unauthorized
acquisition, use or disposition.
Because of inherent limitations in internal control, errors or
fraud may occur and not be detected. Also, projection of any
evaluation of internal control to future periods is subject to
the risk that it may become inadequate because of changes in
conditions or that the effectiveness of the design and operation
may deteriorate.
Our consideration of internal control would not necessarily
disclose all matters in internal control that might be material
weaknesses under standards established by the American Institute
of Certified Public Accountants. A material weakness is a
condition in which the design or operation of one or more of the
internal control components does not reduce to a relatively low
level the risk that misstatements caused by error or fraud in
amounts that would be material in relation to the financial
statements being audited may occur and not be detected within a
timely period by employees in the normal course of performing
their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for
safeguarding securities, that we consider to be material
weaknesses as defined above as of October 31, 1999.
This report is intended solely for the information and use of
management and the Board of Trustees of the Fund and the
Securities and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified parties.
PricewaterhouseCoopers LLP
14-Dec-99
To the Shareholders and Board of Trustees of the
Foreign Bond Portfolio
In planning and performing our audit of the financial statements
of the Foreign Bond Portfolio (the Fund) for the year ended
October 31, 1999, we considered its internal control, including
control activities for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal
control.
The management of the Fund is responsible for establishing and
maintaining internal control. In fulfilling this responsibility,
estimates and judgments by management are required to assess the
expected benefits and related costs of controls. Generally,
controls that are relevant to an audit pertain to the entity's
objective of preparing financial statements for external purposes
that are fairly presented in conformity with accounting
principles generally accepted in the United States. Those
controls include the safeguarding of assets against unauthorized
acquisition, use or disposition.
Because of inherent limitations in internal control, errors or
fraud may occur and not be detected. Also, projection of any
evaluation of internal control to future periods is subject to
the risk that it may become inadequate because of changes in
conditions or that the effectiveness of the design and operation
may deteriorate.
Our consideration of internal control would not necessarily
disclose all matters in internal control that might be material
weaknesses under standards established by the American Institute
of Certified Public Accountants. A material weakness is a
condition in which the design or operation of one or more of the
internal control components does not reduce to a relatively low
level the risk that misstatements caused by error or fraud in
amounts that would be material in relation to the financial
statements being audited may occur and not be detected within a
timely period by employees in the normal course of performing
their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for
safeguarding securities, that we consider to be material
weaknesses as defined above as of October 31, 1999.
This report is intended solely for the information and use of
management and the Board of Trustees of the Fund and the
Securities and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified parties.
PricewaterhouseCoopers LLP
14-Dec-99
To the Shareholders and Board of Trustees of the
High Yield Portfolio
In planning and performing our audit of the financial statements
of the High Yield Portfolio (the "Fund") for the year ended
October 31, 1999, we considered its internal control, including
control activities for safeguarding securities, in order to
determine our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal
control.
The management of the Fund is responsible for establishing and
maintaining internal control. In fulfilling this responsibility,
estimates and judgments by management are required to assess the
expected benefits and related costs of controls. Generally,
controls that are relevant to an audit pertain to the entity's
objective of preparing financial statements for external purposes
that are fairly presented in conformity with accounting
principles generally accepted in the United States. Those
controls include the safeguarding of assets against unauthorized
acquisition, use or disposition.
Because of inherent limitations in internal control, errors or
fraud may occur and not be detected. Also, projection of any
evaluation of internal control to future periods is subject to
the risk that it may become inadequate because of changes in
conditions or that the effectiveness of the design and operation
may deteriorate.
Our consideration of internal control would not necessarily
disclose all matters in internal control that might be material
weaknesses under standards established by the American Institute
of Certified Public Accountants. A material weakness is a
condition in which the design or operation of one or more of the
internal control components does not reduce to a relatively low
level the risk that misstatements caused by error or fraud in
amounts that would be material in relation to the financial
statements being audited may occur and not be detected within a
timely period by employees in the normal course of performing
their assigned functions. However, we noted no matters involving
internal control and its operation, including controls for
safeguarding securities, that we consider to be material
weaknesses as defined above as of October 31, 1999.
This report is intended solely for the information and use of
management and the Board of Trustees of the Fund and the
Securities and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified parties.
PricewaterhouseCoopers LLP
