<PAGE>
SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
JUNE 30, 1997
CITISELECT(SM) VIP PORTFOLIO
CITISELECT(SM) VIP FOLIO 200
CITISELECT(SM) VIP FOLIO 300
CITISELECT(SM) VIP FOLIO 400
CITISELECT(SM) VIP FOLIO 500
We are pleased to present this semi-annual report for the CitiSelect(SM) VIP
Portfolio. The report covers the period February 10, 1997 (commencement of
operations) to June 30, 1997. During that time, the Funds' investment adviser,
Citibank, N.A., has been busy putting your variable annuity insurance assets to
work in order to help you reach your long-term financial goals.
TABLE OF CONTENTS
Portfolio Managers ..............................
Strategy and Outlook ............................
Fund Data .......................................
Performance Highlights ..........................
Portfolio of Investments ........................
Statement of Assets and Liabilities .............
Statement of Operations .........................
Statement of Changes in Net Assets ..............
Financial Highlights ............................
Notes to Financial Statements ...................
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or Citicorp
Investment Services
o Are subject to investment risks, including possible loss of the
principal amount invested
<PAGE>
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
LARGE CAPITALIZATION GROWTH SECURITIES
Lawrence P. Keblusek, U.S. Chief Investment Officer of Citibank, has been
responsible for the daily management of large cap growth securities since the
Funds' inception. Mr. Keblusek who has 25 years experience in the investment
management industry, was most recently Senior Vice President and Director of
Portfolio Management for The Northern Trust Company with responsibility for
investment performance in the organization's High Net Worth, Corporate and
Institutional and Mutual Fund Group. Earlier in his career Mr. Keblusek held
senior investment positions with Maryland National Bank and the National Bank of
Washington.
SMALL CAPITALIZATION GROWTH SECURITIES
Linda J. Intini, Vice President of Citibank, has been responsible for the daily
management of small cap growth securities since February 24, 1997. Ms. Intini
has over nine years of experience specializing in the management of small cap
equities, including over $300 million of Citibank's small cap portfolios for
trusts and individuals. Prior to joining Citibank, she was a Portfolio Manager
and Research Analyst with Manufacturers Hanover in the Special Equity area. She
also specialized in equity research at Eberstadt Fleming.
DOMESTIC FIXED INCOME SECURITIES
Mark Lindbloom, Vice President of Citibank, has been responsible for the daily
management of domestic fixed income securities since the Funds' inception. Mr.
Lindbloom has more than 12 years of investment management experience. Prior to
joining Citibank in 1986, Mr. Lindbloom was a Fixed Income Portfolio Manager
with Brown Brothers Harriman & Co., where he managed fixed income assets for
discretionary corporate portfolios.
MONEY MARKET SECURITIES
Kevin Kennedy, Vice President of Citibank, has been responsible for the daily
management of money market securities since the Funds' inception. Mr. Kennedy is
responsible for managing the Liquidity Management Unit of the U.S. Fixed Income
Department of Citibank Global Asset Management. Prior to joining Citibank in
March 1993, Mr. Kennedy was with the Metropolitan Life Insurance Company as the
Managing Trader of the Treasurer's Division. He was responsible for the
management of more than $9 billion in short duration fixed income assets.
Mr. Kennedy has more than 15 years of fixed income management experience.
Citibank has delegated the daily management of the following kinds of securities
of each Fund to the following Subadvisers. Citibank pays all Subadviser
compensation.
LARGE CAPITALIZATION VALUE SECURITIES
Miller Anderson & Sherrerd LLP has been a registered investment adviser since
1974. Morgan Stanley Management Holdings, Inc., an indirect wholly-owned
subsidiary of Morgan Stanley, Dean Witter, Discover & Co., is the general
partner and owner of 95% of the interests of Miller Anderson & Sherrerd LLP.
Robert Marcin, CFA, Partner, has been responsible for the daily management of
large cap value securities since the Funds' inception. Mr. Marcin has been with
Miller Anderson since 1988.
SMALL CAPITALIZATION VALUE SECURITIES
Franklin Advisory Services, Inc., a wholly-owned subsidiary of Franklin
Resources, Inc., is a registered investment adviser. William J. Lippman,
President of Franklin Advisory Services or its predecessor since June, 1988, has
been responsible for the daily management of small capitalization value
securities since the Funds' inception. Prior to joining Franklin Advisory
Services, Mr. Lippman was president of L.F. Rothschild Fund Management, Inc.
INTERNATIONAL EQUITY SECURITIES
Hotchkis and Wiley, a division of The Merrill Lynch Capital Management Group of
Merrill Lynch Asset Management, L.P. is a registered investment adviser and is a
separate business unit of Merrill Lynch & Co., Inc., a Delaware corporation.
Harry W. Hartford and Sarah H. Ketterer have been responsible for the daily
management of international equity securities since the Funds' inception. Mr.
Hartford and Ms. Ketterer manage international equity accounts and are also
responsible for international investment research. Each serves on the Investment
Policy Committee at Hotchkis and Wiley. Mr. Hartford was with The Investment
Bank of Ireland, where he gained 10 years of experience in both international
and global equity management. Prior to joining Hotchkis and Wiley, Ms. Ketterer
was an associate with Bankers Trust and an analyst with Dean Witter.
FOREIGN GOVERNMENT SECURITIES
Pacific Investment Management Company, PIMCO, is a registered investment adviser
and is a subsidiary partnership of PIMCO Advisors LP. A majority interest of
PIMCO Advisors LP is held by PIMCO Partners, G.P., a general partnership between
Pacific Investment Management Company, a California corporation and indirect
wholly-owned subsidiary of Pacific Mutual Life Insurance Company, and PIMCO
Partners, L.L.C., a limited liability company controlled by the Managing
Directors of PIMCO. Lee R. Thomas, III, Senior International Portfolio Manager,
has been responsible for the daily management of foreign government securities
since the Funds' inception. He joined PIMCO in 1995. Previously he was a member
of Investcorp's Management Committee, where he was responsible for global
securities and foreign exchange trading. Prior to Investcorp, he was associated
with Goldman Sachs, where he was an Executive Director in the fixed income
division of the London office.
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
STRATEGY AND OUTLOOK
CITISELECT(SM) VIP FAMILY OF PORTFOLIOS
While the first half of 1997 represented one of the most positive periods in
recent memory for financial markets throughout the world, the general uptrend
was accompanied by considerable volatility. The U.S. stock market, for example,
experienced a 9.8% correction during the period on its way to setting new
records. The U.S. bond market also experienced price fluctuations as investors
were alternately fearful of and complacent about the possibility of higher
inflation.
This combination of favorable and adverse market conditions offered a real-life
test of the principles upon which the CitiSelect portfolios are built. All four
portfolios performed as expected, delivering the bulk of the positive returns
provided by rising markets while sheltering shareholders from the full brunt of
market declines. We attribute these positive results to the way assets were
allocated within the portfolios, positioning shareholders to participate in the
rise of the financial markets but at levels of risk that were generally lower
than comparable single-sector funds.
We remain optimistic regarding the financial markets in the U.S. and abroad. Low
inflation, moderate economic growth and relatively low interest rates are
expected to produce a favorable environment for stocks and bonds in many parts
of the world. In the U.S., many small and medium-sized stocks appear to be
attractively valued. The same is true of selected stocks in Europe, where
companies are just beginning to see the kinds of conditions that benefitted U.S.
corporations for several years. In the fixed-income markets, we expect global
interest rates to remain relatively stable as international competition keeps
inflation pressures at bay.
<PAGE>
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Total Return
------------
Since
2/10/97
Inception**
-----------
CITISELECT(SM) VIP FOLIO 200 ................................ 4.30%
COMPOSITE BENCHMARK+ ........................................ 5.29%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(SM) VIP FOLIO 200
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,430 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period February 10, 1997 to June 30, 1997.
CITISELECT VIP VS BENCHMARK
10 K INVESTMENT
JUNE 30, 1997
Lehman Bros.
Intermediate
CitiSelect VIP Composite S&P 500 Index Gov't/Corp. Bond
Folio 200 Benchmark+ (unmanaged) Index (unmanaged)
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,960.00 9,976.00 10,080.67 9,970.60
3/31/97 9,810.00 9,824.36 9,661.42 9,901.80
4/30/97 9,830.00 9,915.73 10,237.24 10,017.65
5/31/97 10,210.00 10,307.40 10,862.73 10,100.80
6/30/97 10,430.00 10,529.01 11,346.13 10,192.72
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (15%); Russell 2000 Index --
Small Cap Stocks (15%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (20%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Total Return
------------
Since
2/10/97
Inception**
----------
CITISELECT(SM) VIP FOLIO 300 ................................... 5.20%
COMPOSITE BENCHMARK+ ........................................... 6.89%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(SM) VIP FOLIO 300
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,520 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period February 10, 1997 to June 30, 1997.
CITISELECT VIP VS BENCHMARK
10 K INVESTMENT
JUNE 30, 1997
Lehman Bros.
Intermediate
CitiSelect VIP Composite S&P 500 Index Gov't/Corp. Bond
Folio 300 Benchmark+ (unmanaged) Index (unmanaged)
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,950.00 9,979.00 10,080.67 9,970.60
3/31/97 9,750.00 9,778.42 9,661.42 9,901.80
4/30/97 9,780.00 9,896.74 10,237.24 10,017.65
5/31/97 10,250.00 10,397.52 10,862.73 10,100.80
6/30/97 10,520.00 10,688.65 11,346.13 10,192.72
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (20%); Morgan Stanley EAFE Index -- International Stocks
(10%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (5%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
Total Return
------------
Since
2/10/97
Inception**
----------
CITISELECT(SM) VIP FOLIO 400 ................................... 6.40%
COMPOSITE BENCHMARK+ ........................................... 8.91%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(SM) VIP FOLIO 400
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,640 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period February 10, 1997 to June 30, 1997.
CITISELECT VIP VS BENCHMARK
10 K INVESTMENT
JUNE 30, 1997
Lehman Bros.
Intermediate
CitiSelect VIP Composite S&P 500 Index Gov't/Corp. Bond
Folio 400 Benchmark+ (unmanaged) Index (unmanaged)
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,930.00 9,982.00 10,080.67 9,970.60
3/31/97 9,730.00 9,751.42 9,661.42 9,901.80
4/30/97 9,670.00 9,853.81 10,237.24 10,017.65
5/31/97 10,290.00 10,511.05 10,862.73 10,100.80
6/30/97 10,640.00 10,890.50 11,346.13 10,192.72
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (5%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (5%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
Total Return
------------
Since
2/10/97
Inception**
---------
CitiSelect(SM) VIP Folio 500 ................................ 8.10%
Composite Benchmark+ ........................................ 10.61%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECTSM VIP FOLIO 500
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,810 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period February 10, 1997 to June 30, 1997.
CITISELECT VIP VS BENCHMARK
10 K INVESTMENT
JUNE 30, 1997
Salomon Non-$
MSCI EAFE World Gov't
CitiSelect VIP Composite Index Bond Index
Folio 500 Benchmark+ (unmanged) (unmanged)
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,890.00 9,994.00 10,075.53 9,912.84
3/31/97 9,710.00 9,754.14 10,114.52 9,849.40
4/30/97 9,650.00 9,879.00 10,170.15 9,649.45
5/31/97 10,380.00 10,615.97 10,834.26 10,004.55
6/30/97 10,810.00 11,060.78 11,434.48 10,127.61
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the Morgan Stanley EAFE Index or the Salomon Bros. Non-$ World Gov't
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 Large Cap Stocks (20%); Russell 2000 Index - Small
Cap Stocks (35%); Morgan Stanley EAFE Index - International Stocks (30%);
Salomon Bros. Non-$ World Gov't - Foreign Gov't Bonds (10%); Federal Reserve
91-day Treasury Bill - Cash (5%). Unlike the Fund's total return the composite
benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT(SM) VIP FOLIO 200
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--6.8%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 6.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
EI du Pont de Nemours & Co.(++) ........ 250 $ 15,719
Illinois Tool Works .................... 280 13,983
Kimberly Clark Corp. ................... 175 8,706
Nucor Corp. ............................ 125 7,063
Praxair ................................ 205 11,480
----------
56,951
----------
CAPITAL GOODS - 0.7%
Applied Materials* ..................... 105 7,435
Deere & Co.(++) ........................ 295 16,188
Emerson Electric Co. ................... 180 9,911
General Electric Co. ................... 500 32,688
Ucar Int'l Inc.* ....................... 130 5,948
----------
72,170
----------
CONSUMER BASICS - 2.4%
Abbott Labs ............................ 270 18,022
Clorox Co. ............................. 90 11,880
Coca Cola Co. .......................... 435 29,363
Colgate Palmolive Co. .................. 330 21,533
Gillette Co. ........................... 190 18,003
Health Management Association* ......... 360 10,260
Johnson & Johnson ...................... 275 17,703
Lilly Eli & Co. ........................ 120 13,117
Merck & Co. ............................ 130 13,454
PepsiCo ................................ 485 18,218
Philip Morris Cos. Inc.(++) ............ 490 21,744
Pfizer Inc. ............................ 140 16,730
Procter & Gamble Co. ................... 115 16,244
Schering Plough Corp. .................. 260 12,448
Warner Lambert Co. ..................... 130 16,153
----------
254,872
----------
CONSUMER DURABLES - 0.1%
Sherwin Williams Co. ................... 290 8,954
----------
CONSUMER NON-DURABLES - 0.5%
Consolidated Stores* ................... 400 13,900
Gap Inc. ............................... 90 3,498
Home Depot ............................. 115 7,928
Kohls Corp.* ........................... 240 12,705
Walgreen Co. ........................... 310 16,624
----------
54,655
----------
CONSUMER SERVICES - 0.2%
Carnival Corp. ......................... 275 11,344
Walt Disney Co. ........................ 125 10,030
----------
21,374
----------
FINANCE - 0.7%
American International Group Inc. ...... 90 13,444
Chubb Corp.(++) ........................ 160 10,700
Federal National Mtg. Association(++) .. 165 7,198
Norwest Corp. .......................... 135 7,594
State Street Boston Corp. .............. 190 8,788
Travelers Group Inc. ................... 240 15,135
Zions Bancorp .......................... 270 10,159
----------
73,018
----------
GENERAL BUSINESS - 0.6%
Automated Data Processing Inc. ......... 295 13,865
First Data Corp. ....................... 265 11,643
Gannett Inc. ........................... 200 19,749
Interpublic Group Cos Inc. ............. 180 11,036
Service Corp. International ............ 295 9,698
----------
65,991
----------
TECHNOLOGY - 0.9%
Compaq Computer Corp.*(++) ............. 65 6,451
Hewlett Packard Co. .................... 145 8,120
Intel Corp. ............................ 110 15,599
Microsoft Corp.* ....................... 230 29,066
Motorola Inc. .......................... 100 7,600
Perkin Elmer Corp. ..................... 190 15,116
Xerox Corp. ............................ 210 16,565
----------
98,517
----------
TOTAL COMMON STOCKS 706,502
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) .................. 8,697
----------
TOTAL LARGE CAP GROWTH ................. 715,199
----------
LARGE CAP VALUE--7.1%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 7.0%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Cabot Corp. ............................ 200 5,675
EI du Pont de Nemours & Co.(++) ........ 100 6,288
FMC Corp.* ............................. 100 7,944
Great Lakes Chemical Corp. ............. 200 10,475
IMC Global Inc. ........................ 100 3,500
Premark International Inc. ............. 100 2,675
Rohm & Haas Co. ........................ 100 9,006
Westvaco Corp. ......................... 100 3,144
----------
48,707
----------
CAPITAL GOODS - 0.6%
Caterpillar Inc. ....................... 100 10,738
Cummins Engine Inc. .................... 300 21,169
Deere & Co.(++) ........................ 100 5,488
Harnischfeger Industries Inc. .......... 300 12,450
Kennametal Inc. ........................ 200 8,600
Parker Hannifin Corp. .................. 100 6,069
Tecumseh Products Co. .................. 100 5,988
----------
70,502
----------
CONSUMER BASICS - 0.8%
Bergen Brunswig Corp. .................. 250 $ 6,969
Columbia/HCA Healthcare Corp. .......... 200 7,863
IBP Inc. ............................... 200 4,650
Mallinckrodt Inc. ...................... 200 7,600
Maxicare Health Plans Inc.* ............ 200 4,473
Nellcor Puritan Bennett Inc.* .......... 400 7,250
Philip Morris Cos. Inc.(++) ............ 400 17,750
RJR Nabisco Holdings Corp. ............. 400 13,200
Tupperware Corp. ....................... 200 7,300
Universal Foods Corp. .................. 200 7,624
----------
84,679
----------
CONSUMER DURABLE GOODS - 0.6%
Dana Corp. ............................. 200 7,600
Eaton Corp. ............................ 100 8,730
Ford Motor Co. Del. .................... 600 22,650
General Motors Corp. ................... 200 11,138
Goodyear Tire and Rubber ............... 300 18,994
----------
69,112
----------
CONSUMER NON-DURABLES - 0.4%
Russell Corp. .......................... 200 5,925
Springs Industries Inc. ................ 100 5,275
Talbots Inc. ........................... 300 10,200
Toys "R" Us Inc.* ...................... 300 10,500
V F Corp. .............................. 100 8,475
----------
40,375
----------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ......................... 100 9,250
UAL Corp.* ............................. 100 7,156
----------
16,406
----------
ENERGY - 0.7%
Amoco Corp. ............................ 100 8,694
Atlantic Richfield Co. ................. 200 14,100
British Petroleum PLC .................. 100 7,488
Mapco Inc. ............................. 200 6,300
Phillips Petroleum Co. ................. 200 8,750
Repsol ................................. 200 8,487
Ultra Mar Diamond Shamrock ............. 200 6,525
YPF Sociedad Anonima ................... 300 9,225
----------
69,569
----------
FINANCE - 1.5%
Aegon .................................. 43 3,013
Allstate Corp. ......................... 100 7,300
American General Corp. ................. 100 4,775
Bank of New York Inc. .................. 200 8,700
Capital One Financial Corp. ............ 100 3,775
Case Corp. ............................. 300 20,663
Chase Manhattan Corp. .................. 100 9,706
Chubb Corp.(++) ........................ 100 6,688
Crestar Financial Corp. ................ 100 3,888
Everest Reinsurance Holdings ........... 200 7,925
Federal Home Loan Mortgage Corp. ....... 100 3,438
Federal National Mortgage
Association(++) ....................... 100 $ 4,363
First Union Corp. ...................... 100 9,250
Foundation Health Systems* ............. 260 7,881
Mellon Bank Corp. ...................... 200 9,025
Old Republic Intl Corp. ................ 200 6,063
Reliastar Financial Corp. .............. 100 7,313
Republic NY Corp. ...................... 100 10,750
Signet Banking Corp. ................... 200 7,200
Tig Holdings Inc. ...................... 100 3,125
Transatlantic Holdings Inc. ............ 100 9,925
----------
154,766
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ........................... 200 3,887
Standard Register ...................... 100 3,063
----------
6,950
----------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. .................. 400 18,900
Dillards Inc. .......................... 100 3,463
Hartford Financial Services Group ...... 100 8,275
Providian Financial Corp. .............. 100 3,212
----------
33,850
----------
SHELTER - 0.1%
Owens Corning .......................... 200 8,624
----------
TECHNOLOGY - 0.8%
Beckman Industries Inc. ................ 200 9,650
Compaq Computer Corp.*(++) ............. 100 9,925
International Business Machines ........ 200 18,037
Raytheon Co. ........................... 100 5,100
Seagate Technology* .................... 300 10,556
Stratus Computer Inc.* ................. 100 5,000
Tektronix Inc. ......................... 200 12,000
TRW Inc. ............................... 100 5,681
Western Digital Corp.* ................. 200 6,324
----------
82,273
----------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ........... 100 8,988
CSX Corp. .............................. 100 5,550
----------
14,538
----------
UTILITIES - 0.3%
Central ME Power Co. ................... 100 1,237
Cinergy Corp. .......................... 100 3,480
DTE Energy Co. ......................... 200 5,525
Duke Power Co. ......................... 104 4,986
El Paso Natural Gas Co. ................ 100 5,500
Entergy Corp. .......................... 200 5,475
GPU Inc. ............................... 100 3,588
----------
29,791
----------
TOTAL COMMON STOCKS ............................... 730,142
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................. 9,142
----------
TOTAL LARGE CAP VALUE ............................. 739,284
----------
SMALL CAP GROWTH--7.5%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 7.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.3%
Central Packing Corp. .................. 610 21,236
OM Group Inc. .......................... 360 11,925
----------
33,161
----------
CAPITAL GOODS - 0.2%
Hardinge Bros. Inc. .................... 740 21,645
----------
CONSUMER BASICS - 1.6%
Cytyc Corp.* ........................... 700 18,988
General Cigar Holdings Inc.* ........... 590 17,368
Human Gendme Sciences Inc.* ............ 310 10,308
Occusystems Inc.* ...................... 730 21,170
Parexel International Corp.* ........... 785 24,924
Performance Food Group Co.* ............ 750 15,750
Renal Treatment Centers Inc.* .......... 720 19,350
Suiza Foods Corp.* ..................... 590 24,190
Worthington Foods Inc. ................. 730 17,885
----------
169,933
----------
CONSUMER DURABLE GOODS - 0.3%
Miller Industries Inc.* ................ 1,335 21,360
Tower Automotive Inc.* ................. 310 13,330
----------
34,690
----------
CONSUMER NON-DURABLES - 0.4%
Henry Schein Inc.* ..................... 580 18,125
Men's Wearhouse Inc.* .................. 470 14,805
Wilmar Industries Inc.* ................ 350 8,531
----------
41,461
----------
CONSUMER SERVICES - 0.4%
Premier Pks Inc.* ...................... 490 18,069
Regal Cinemas Inc.* .................... 580 19,140
----------
37,209
----------
ENERGY - 0.3%
Forcenergy Inc.* ....................... 630 19,136
Lomak Pete Inc.* ....................... 930 16,566
----------
35,702
----------
FINANCE - 0.3%
Allied Group Inc. ...................... 475 18,050
Metris Cosmetics Inc. .................. 280 9,188
----------
27,238
----------
GENERAL BUSINESS - 1.9%
Abacus Direct Corp.* ................... 790 25,675
Equity Corp. International* ............ 810 19,592
Executive Risk Inc. .................... 370 19,240
Heftel Broadcasting Corp.* ............. 475 26,243
Lamar Advertising Co.* ................. 800 20,400
Metro Networks Inc.* ................... 835 20,249
Profit Recovery Group Intl Inc.* ....... 280 3,884
Registry Inc.* ......................... 320 14,720
Snyder Communications Inc.* ............ 740 19,933
Whittman Hart Inc.* .................... 825 23,203
----------
193,139
----------
MISCELLANEOUS - 0.9%
Melita Intl Corp.* ..................... 920 11,500
NFO Research Inc.* ..................... 380 9,405
Rental Service Corp. ................... 850 22,313
Sirrom Cap Corp. ....................... 505 17,423
Suburban Lodges America Inc.* .......... 925 19,425
Synthetic Industries Inc.* ............. 200 4,224
Xionics Document Technologies* ......... 500 7,375
----------
91,665
----------
TECHNOLOGY - 0.7%
CDW Computer Ctrs. Inc.* ............... 230 12,204
Claremont Technology Group Inc.* ....... 830 19,713
E Trade Group Inc.* .................... 730 14,325
Inso Corp. ............................. 300 6,169
Periphonics Corp.* ..................... 870 18,705
----------
71,116
----------
TRANSPORTATION - 0.1%
Eagle U.S.A. Airfreight Inc.* .......... 580 15,733
----------
TOTAL COMMON STOCKS ............................... 772,692
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................. 12,661
----------
TOTAL SMALL CAP GROWTH ............................ 785,353
----------
SMALL CAP VALUE--8.0%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 7.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Carpenter Technology Corp. ............. 200 9,150
Keystone Consolidated Inds Inc.* ....... 3,400 36,975
----------
46,125
----------
CAPITAL GOODS - 1.4%
Astro Medical Inc. ..................... 700 6,169
Commercial Intertech Corp. ............. 1,300 18,119
D.R. Horton Inc.* ...................... 2,700 28,013
Esco Electronics Corp.* ................ 2,500 31,563
Global Industries Technologies Inc.* ... 400 8,200
JLG Industries Inc. .................... 1,500 20,438
United Industrial Corp. ................ 4,000 35,750
----------
148,252
----------
CONSUMER BASICS - 0.9%
Matrix Pharmaceuticals* ................ 4,300 28,756
MMI Cosmetics Inc. ..................... 1,000 26,125
Schultz Sav O Stores Inc. .............. 1,700 30,174
Standard Commercial Corp. .............. 505 8,774
----------
93,829
----------
CONSUMER DURABLE GOODS - 0.7%
Coachmen Industries Inc. ............... 800 13,700
Flexsteel Industries Inc. .............. 500 5,875
Haskel International Inc. .............. 3,500 42,000
West Inc. .............................. 500 14,313
----------
75,888
----------
CONSUMER NON-DURABLES - 0.8%
Cato Corp. ............................. 3,700 20,119
Haverty Furniture Cos. Inc. ............ 2,500 31,249
Syms Corp.* ............................ 2,900 28,819
----------
80,187
----------
CONSUMER SERVICES - 0.3%
Aztar Corp.* ........................... 4,000 28,250
----------
ENERGY - 0.1%
Atwood Oceanics Inc.* .................. 100 6,700
----------
FINANCE - 0.5%
Flagstar Bancorp Inc. .................. 1,300 21,125
Homeside Inc.* ......................... 1,200 26,249
Matrix Capital Corp. ................... 100 1,400
----------
48,774
----------
GENERAL BUSINESS - 0.4%
Devon Group Inc.* ...................... 700 25,024
Ennis Business Forms Inc. .............. 1,900 18,288
----------
43,312
----------
MISCELLANEOUS - 1.1%
Commonwealth Industries Inc. ........... 1,700 34,638
Durco International Inc. ............... 1,000 29,250
Kevco Inc. ............................. 300 4,050
Spacehab Inc.* ......................... 4,600 40,825
Spectralink Corp. ...................... 400 2,250
Symons International Group Inc.* ....... 100 1,525
----------
112,538
----------
SHELTER - 0.8%
Beazer Homes USA Inc.* ................. 1,200 19,200
Belmont Homes Inc.* .................... 1,000 6,874
Morgan Products Ltd.* .................. 4,000 30,000
Patrick Industries Inc. ................ 400 6,600
Ryland Group Inc. ...................... 1,500 21,188
Southern Energy Homes Inc.* ............ 300 2,738
----------
86,600
----------
TRANSPORTATION - 0.2%
Fritz Companies Inc.* .................. 2,600 25,188
----------
TOTAL COMMON STOCKS ............................... 795,643
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGTIONS -- 0.4%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................. 44,665
----------
TOTAL SMALL CAP VALUE ............................. 840,308
----------
INTERNATIONAL EQUITY--8.1%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 7.9%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ........................ 135 10,469
----------
AUSTRALIA - 0.4%
Australia & New Zealand
Bank Group ............................ 2,350 17,583
Pioneer International Ltd. ............. 3,675 14,220
Quantas Airways ........................ 3,355 7,860
----------
39,663
----------
CANADA - 0.4%
Bank N S Halifax 255 .................. 11,172
Canadian Imperial Bank Toronto 345 ..... 8,694
Imasco Ltd. ............................ 450 13,035
Noranda Inc. ........................... 255 5,484
----------
38,385
----------
FINLAND - 0.2%
Rauma Oy ............................... 208 4,767
UPM Kymmene Oy ......................... 540 12,479
----------
17,246
----------
FRANCE - 0.5%
Elf Aquitaine .......................... 60 6,473
Lafarge ................................ 220 13,683
Pernod Ricard .......................... 315 16,241
Usinor Sacilor ......................... 655 11,814
----------
48,211
----------
GERMANY - 0.2%
Commerzbank AG ......................... 680 19,260
----------
GREAT BRITAIN - 1.9%
Abbey National ......................... 965 13,178
Allied Domecq PLC ...................... 2,200 15,827
Bat Industries ......................... 1,400 12,531
BTR .................................... 4,460 15,263
Coats Viyella .......................... 6,900 14,478
Commercial Union ....................... 880 9,254
Energy Group ........................... 790 8,433
Hanson ................................. 3,665 18,188
Harrison & Crosfield ................... 7,365 13,491
Hyder .................................. 965 13,017
Lex Service ............................ 1,750 11,001
Powergen ............................... 1,225 14,566
Redland ................................ 2,215 12,541
Safeway ................................ 2,460 14,236
Tate & Lyle ............................ 1,720 12,789
----------
198,793
----------
HONG KONG - 0.5%
China Light & Power .................... 500 2,833
Dickson Concept Industries ............. 1,500 5,460
Hang Lung Development Co. .............. 3,000 5,499
Hong Kong Telecomm ..................... 3,600 8,597
HSBC Holdings .......................... 500 15,038
Manhattan Card Co. .....................24,000 10,920
New World Development Co. .............. 1,000 5,963
Sth China Morn Post .................... 2,000 1,962
----------
56,272
----------
IRELAND - 0.2%
Smurfit ................................ 6,200 18,023
----------
ITALY - 0.1%
Eni Spa ................................ 2,400 13,592
----------
JAPAN - 1.1%
Koito Mfg. Co. ......................... 2,000 15,285
Nichicon Corp. ......................... 1,000 13,523
Nintendo Co. ........................... 200 16,751
Promise Co. ............................ 200 11,447
Sekisui Chemical ....................... 1,000 10,120
Sony Corp. ............................. 100 8,716
Suzuki Motor Corp. ..................... 2,000 25,301
Yodogawa Steelworks 2,000 12,214
----------
113,357
----------
MALAYSIA - 0.2%
Arab Malaysian Finance ................. 3,000 6,359
Bolton Properties ...................... 4,600 6,561
Kedah Cement Holdings .................. 1,200 1,873
Malaysian International Shipping ....... 2,900 7,526
----------
22,319
----------
NETHERLANDS - 0.6%
Akzo Nobel NV .......................... 110 15,075
ABN Amro Holdings NV ................... 1,050 19,578
Hollandsche Beton ...................... 53 12,088
Ing Groep NV ........................... 275 12,679
Kon PTT Nederland ...................... 300 11,768
----------
71,188
----------
NEW ZEALAND - 0.1%
Fletcher Challenge (Building) .......... 2,900 8,726
Fletcher Challenge (Paper) ............. 116 165
----------
8,891
----------
NORWAY - 0.2%
Kvaerner ASA ........................... 235 14,220
Nycomed ................................ 790 11,318
----------
25,538
----------
SPAIN - 0.3%
Banco Santander SA ..................... 630 19,411
Repsol SA .............................. 390 16,489
----------
35,900
----------
SWEDEN - 0.1%
Electrolux AB .......................... 105 7,574
----------
SWITZERLAND - 0.7%
Forbo Hldg ............................. 39 16,829
Nestle SA .............................. 10 13,192
Schw Ruckversicher ..................... 13 18,387
Sig Schw Ind HG AG ..................... 2 6,062
Sulzer AG .............................. 17 14,555
----------
69,025
----------
UNITED STATES - 0.1%
Jardine Matheson ....................... 2,000 14,200
----------
TOTAL COMMON STOCKS ............................... 827,906
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.2%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97 ................................ 15,772
----------
TOTAL INTERNATIONAL EQUITY ........................ 843,678
----------
DOMESTIC FIXED INCOME--25.3%
- --------------------------------------------------------------------------------
FIXED INCOME -- 24.3%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 0.9%
Commonwealth Edison Electric Co.
7.00% due 7/01/05 .................. $ 43,000 42,462
Jackson National Life Insurance Co.
8.15% due 3/15/27 .................. 50,000 51,051
----------
93,513
----------
ASSET BACKED - 1.2%
Atlantic City Electric Co.
7.01% due 8/02/23 ................... 40,000 40,162
Federal National Mortgage Association
7.35% due 8/17/21 ................... 50,000 50,813
Merrill Lynch Mortgage Investors Inc.
6.95% due 6/18/29 ................... 35,000 35,219
----------
126,194
----------
MORTGAGE BACKED - 1.2%
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 ................... 323,683 25,659
Federal Home Loan Mortgage Corp.
6.50% due 1/01/99 ................... 100,000 98,977
----------
124,636
----------
U. S. TREASURY ISSUES - 21.0%
United States Treasury Bond
6.50% due 11/15/16 .................. 105,000 100,701
United States Treasury Notes
6.00% due 5/31/98 ................... 502,000 502,939
5.875% due 1/31/99 .................. 399,000 398,190
5.875% due 11/15/99 ................. 285,000 283,173
6.25% due 1/31/02 ................... 617,000 613,624
6.50% due 5/31/02 ................... 100,000 100,406
6.50% due 10/15/06 .................. 204,000 203,139
----------
2,202,172
----------
TOTAL FIXED INCOME ................................ 2,546,515
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 1.0%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................. 100,347
----------
TOTAL DOMESTIC FIXED INCOME ....................... 2,646,862
----------
INTERNATIONAL BOND--22.9%
- --------------------------------------------------------------------------------
FIXED-INCOME -- 20.2%
- --------------------------------------------------------------------------------
CURRENCY
--------
ARGENTINA - 0.2%
Government of Argentina Bocon
3.242% due 4/01/01 ........ ARS 20,000 24,326
----------
AUSTRIA - 0.2%
Republic of Austria
7.625% due 10/18/04 ....... ATS 290,000 26,769
----------
CANADA - 2.0%
Canadian Government
8.75% due 12/01/05 ........ CAD 199,000 167,846
Canadian Government
4.25% due 12/01/26 ........ CAD 61,356 44,120
----------
211,966
----------
CROATIA - 0.3%
Republic of Croatia
6.50% due 7/31/06 ......... USD 28,914 27,974
----------
DENMARK - 0.5%
Denmark (Kingdom)
8.00% due 5/15/03 ......... DKK 300,000 51,136
----------
FINLAND - 2.0%
Finland (Rep of)
7.25% due 4/18/06 ......... FIM 1,000,000 208,864
----------
FRANCE - 1.1%
Government of France
7.75% due 10/25/05 ........ FRF 594,000 116,997
----------
GERMANY - 4.4%
Germany (Fed) Rep
5.875% due 5/15/00 ........ DEM 765,000 461,869
----------
GREAT BRITAIN - 2.0%
Treasury
8.50% due 12/07/05 ........ GBP 114,000 206,693
----------
GREECE - 0.2%
Hellenic Republic
11.10% due 6/17/03 ........ GRD 1,200,000 4,502
Republic of Greece
14.00% due 10/23/03 ....... GRD 4,400,000 16,644
----------
21,146
----------
ITALY - 1.5%
Republic of Italy
6.00% due 1/01/00 ......... ITL 50,000,000 29,455
Republic of Italy
9.50% due 1/01/05 ......... ITL 195,000,000 132,175
----------
161,630
----------
JAPAN - 1.7%
Japan 6.40% due 3/20/00 .... JPY 11,200,000 111,345
Japan 4.10% due 12/22/03 ... JPY 6,900,000 67,290
----------
178,635
----------
PHILIPPINES - 0.4%
Eurobank Recon & Development
9.00% due 4/22/98 ......... PHP 1,000,000 37,913
SOUTH AFRICA - 0.3%
Republic of South Africa
14.00% due 8/15/97 ........ ZAR 130,000 28,577
----------
SPAIN - 0.6%
Government of Spain
10.00% due 2/28/05 ........ ESP 7,000,000 58,715
----------
SWEDEN - 2.8%
Sweden (Kingdom)
10.25% due 5/05/00 ........ SEK 2,000,000 292,478
----------
TOTAL FIXED INCOME ........................... 2,115,688
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 1.3%
- --------------------------------------------------------------------------------
Argentina Treasury Bill
due 3/20/98 ............... ARS 10,000 9,467
Canadian Treasury Bill
due 4/02/98 ............... CAD 75,000 52,454
Mexican Cetes
due 7/24/97 ............... MEX 50,000 6,194
Mexican Cetes
due 7/31/97 ............... MEX 50,000 6,169
Mexican Cetes
due 10/02/97 .............. MEX 50,000 5,941
Mexican Cetes
due 10/30/97 .............. MEX 60,000 7,014
Poland Treasury Bill
due 12/03/97 .............. PLN 60,000 17,919
Poland Treasury Bill
due 4/22/98 ............... PLN 60,000 16,329
Poland Treasury Bill
due 5/13/98 ............... PLN 40,000 10,737
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ........................ 3,577
----------
135,801
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS -- 1.4%
- --------------------------------------------------------------------------------
Purchased calls
AST 310,000 Australian Government Bonds
@ 107.603 exp. date 9/26/97 ................. 23,320
JPY 14,000,000 Japanese Government Bonds
@ 102.586 exp. date 9/16/97 ................. 12,272
JPY 86,000,000 Japanese Government Bonds
@ 97.239 exp. date 9/25/97 .................. 112,568
----------
TOTAL INTERNATIONAL BOND OPTIONS ............. 148,160
----------
TOTAL INTERNATIONAL BOND ..................... 2,399,649
----------
SHORT-TERM -- 17.9%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ........................ $ 1,869,139
----------
TOTAL INVESTMENTS
(Identified Cost $10,467,701) ....... 103.6% 10,839,472
OTHER ASSETS,
LESS LIABILITIES .................... (3.6) (381,276)
----- -----------
NET ASSETS ........................... 100.0% $10,458,196
===== ===========
* Non income producing
(+)The Portfolio owns in aggregate Shearson Lehman Repurchase Agreements 5.85%,
due 7/01/97 valued at $2,064,000, collateralized by $2,080,000 Federal Home
Loan Mortgage 7.41%, due 3/05/07, portions of which are listed separately by
each Asset Class.
(++)The Portfolio owns in aggregate 395 shares of Deere & Co. valued at $21,676,
890 shares in Philip Morris Cos. Inc. valued at $39,494, 260 shares in Chubb
Corp. valued at $17,388, 350 shares in E I du Pont de Nemours & Co. valued
at $22,007, 165 shares in Compaq Computers Inc. valued at $16,376, and 265
shares of Federal National Mortgage Association, valued at $11,561.
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP FOLIO 200 (UNAUDITED)
- --------------------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------- ------ ----- ------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) .................... Germany $332,825 $ 339,007 July-97 $(6,182)
Deutsche Mark (Sell) ................... Germany 164,241 166,965 July-97 2,724
Deutsche Mark (Sell) ................... Germany 1,064,665 1,080,477 August-97 15,812
Deutsche Mark (Buy) .................... Germany 898,554 907,515 September-97 (8,961)
Dollar (Sell) .......................... Australia 37,104 37,063 July-97 (41)
Dollar (Buy) ........................... Australia 38,549 39,576 July-97 (1,027)
Dollar (Buy) ........................... Canada 55,770 55,878 July-97 (108)
Dollar (Sell) .......................... Canada 55,797 55,768 July-97 29
Dollar (Buy) ........................... Canada 98,967 98,529 September-97 438
Dollar (Sell) .......................... Canada 77,865 77,773 September-97 (92)
Dollar (Sell) .......................... Canada 183,393 186,679 March-98 3,286
Drachma (Sell) ......................... Greece 2,547 2,567 July-97 20
ECU (Sell) ............................. Europe 23,175 23,912 July-97 737
Franc (Buy) ............................ Belgium 70,662 72,372 July-97 (1,710)
Franc (Sell) ........................... Belgium 17,846 18,013 July-97 167
Franc (Buy) ............................ Belgium 25,051 25,389 September-97 (338)
Franc (Buy) ............................ France 18,741 19,503 July-97 (762)
Franc (Sell) ........................... France 1,472 1,523 July-97 51
Franc (Buy) ............................ France 55,483 56,036 August-97 (553)
Franc (Sell) ........................... France 44,894 45,351 August-97 457
Franc (Buy) ............................ France 78,002 78,810 September-97 (808)
Franc (Sell) ........................... Switzerland 1,529 1,549 July-97 20
Franc (Sell) ........................... Switzerland 90,076 93,299 August-97 3,223
Franc (Sell) ........................... Switzerland 262,992 267,274 September-97 4,282
Guilder (Buy) .......................... Netherlands 105,077 107,236 July-97 (2,159)
Guilder (Sell) ......................... Netherlands 7,684 7,859 September-97 175
Koruna (Sell) .......................... Czechoslovakia 2,128 2,138 August-97 10
Koruna (Buy) ........................... Czechoslovakia 22,498 23,514 August-97 (1,016)
Krone (Buy) ............................ Sweden 34,917 34,825 July-97 92
Krone (Sell) ........................... Sweden 268,987 271,346 July-97 2,359
Krone (Sell) ........................... Sweden 12,050 12,042 August-97 (8)
Lira (Buy) ............................. Italy 241,280 240,154 July-97 1,126
Lira (Sell) ............................ Italy 39,772 39,734 July-97 (38)
Markka (Sell) .......................... Finland 412,126 416,821 July-97 4,695
Markka (Buy) ........................... Finland 21,234 21,488 July-97 (254)
Markka (Buy) ........................... Finland 416,007 417,912 August-97 (1,905)
Markka (Sell) .......................... Finland 209,162 209,562 August-97 400
Peseta (Buy) ........................... Spain 95,789 96,831 July-97 (1,042)
Peseta (Sell) .......................... Spain 17,841 18,010 August-97 169
Peseta (Buy) ........................... Spain 115,407 116,518 August-97 (1,111)
Peseta (Buy) ........................... Spain 91,570 92,837 September-97 1,267
Peso (Buy) ............................. Chile 7,446 7,381 July-97 65
Peso (Buy) ............................. Philippines 12,466 12,468 July-97 (2)
Pound (Buy) ............................ Great Britain 33,295 32,427 July-97 868
Pound (Sell) ........................... Great Britain 3,073 3,005 July-97 (68)
Pound (Sell) ........................... Great Britain 42,638 41,845 August-97 (793)
Pound (Buy) ............................ Great Britain 36,584 35,948 August-97 636
Pound (Buy) ............................ Great Britain 16,600 16,298 October-97 302
Rand (Sell) ............................ South Africa 4,354 4,392 August-97 38
Rupiah (Buy) ........................... Indonesia 11,992 11,877 July-97 115
Won (Buy) .............................. South Korea 12,162 12,007 July-97 155
Yen (Sell) ............................. Japan 135,486 133,142 July-97 (2,344)
Yen (Buy) .............................. Japan 695,209 638,585 July-97 56,624
Yen (Buy) .............................. Japan 77,150 76,420 August-97 730
Yen (Sell) ............................. Japan 149,126 146,626 August-97 (2,500)
--------
$ 67,250
========
</TABLE>
<PAGE>
CITISELECT(SM) VIP FOLIO 300
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.5%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 9.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
E I du Pont de Nemours & Co.(++) ...................... 340 $ 21,378
Illinois Tool Works ................................... 410 20,474
Kimberly Clark Corp. .................................. 235 11,691
Nucor Corp. ........................................... 175 9,888
Praxair ............................................... 280 15,680
------------
79,111
------------
CAPITAL GOODS - 1.0%
Applied Materials* .................................... 150 10,622
Deere & Co.(++) ....................................... 410 22,499
Emerson Electric Co. .................................. 255 14,041
General Electric Co. .................................. 715 46,743
Ucar Int'l Inc.* ...................................... 180 8,235
------------
102,140
------------
CONSUMER BASICS - 3.3%
Abbott Labs ........................................... 380 25,365
Clorox Co. ............................................ 125 16,500
Coca Cola Co. ......................................... 595 40,163
Colgate Palmolive Co. ................................. 450 29,363
Gillette Co. .......................................... 260 24,635
Health Management Association* ........................ 515 14,677
Johnson & Johnson ..................................... 380 24,462
Lilly Eli & Co. ....................................... 165 18,037
Merck & Co. ........................................... 180 18,630
PepsiCo ............................................... 665 24,979
Pfizer Inc. ........................................... 190 22,705
Philip Morris Cos. Inc.(++) ........................... 680 30,175
Procter & Gamble Co. .................................. 150 21,187
Schering Plough Corp. ................................. 360 17,235
Warner Lambert Co. .................................... 185 22,986
------------
351,099
------------
CONSUMER DURABLES - 0.2%
Leggett + Platt Inc. .................................. 150 6,450
Sherwin Williams Co. .................................. 400 12,350
------------
18,800
------------
CONSUMER NON-DURABLES - 0.7%
Consolidated Stores ................................... 550 19,113
Gap Inc. .............................................. 165 6,414
Home Dept ............................................. 155 10,685
Kohls Corp.* .......................................... 330 17,469
Walgreen Co. .......................................... 425 22,791
------------
76,472
------------
CONSUMER SERVICES - 0.3%
Carnival Corp. ........................................ 385 15,881
Walt Disney Co. ....................................... 180 14,445
------------
30,326
------------
FINANCE - 0.9%
American International Group Inc. ..................... 120 17,925
Chubb Corp.(++) ....................................... 225 15,047
Federal National Mtg. Association(++) ................. 230 10,034
Norwest Corp. ......................................... 185 10,406
State Street Corporation .............................. 260 12,025
Travelers Group Inc. .................................. 335 21,126
Zions Bancorp ......................................... 375 14,109
------------
100,672
------------
GENERAL BUSINESS - 0.9%
Automated Data Processing Inc. ........................ 400 18,800
First Data Corp. ...................................... 365 16,037
Gannett Inc. .......................................... 280 27,650
Interpublic Group Cos Inc. ............................ 250 15,328
Service Corp. International ........................... 400 13,150
------------
90,965
------------
TECHNOLOGY - 1.3%
Compaq Computer Corp.*(++) ............................ 90 8,933
Hewlett Packard Co. ................................... 200 11,200
Intel Corp. ........................................... 160 22,690
Microsoft Corp.* ...................................... 325 41,072
Motorola Inc. ......................................... 135 10,260
Perkin Elmer Corp. .................................... 265 21,084
Xerox Corp. ........................................... 285 22,479
------------
137,718
------------
TOTAL COMMON STOCKS ............................................. 987,303
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ........................................... 12,381
------------
TOTAL LARGE CAP GROWTH .......................................... 999,684
------------
LARGE CAP VALUE--9.7%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 9.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Cabot Corp. ........................................... 300 8,513
Dow Chemical Co. ...................................... 100 8,712
E I du Pont de Nemours & Co.(++) ...................... 100 6,287
FMC Corp.* ............................................ 100 7,944
Great Lakes Chemical Corp. ............................ 300 15,713
IMC Global Inc. ....................................... 200 7,000
Premark International Inc. ............................ 100 2,675
Rohm & Haas Co. ....................................... 100 9,006
Westvaco Corp. ........................................ 200 6,288
------------
72,138
------------
CAPITAL GOODS - 0.9%
Caterpillar Inc. ...................................... 100 10,738
Cummins Engine Inc. ................................... 400 28,225
Deere & Co.(++) ....................................... 100 5,488
Harnischfeger Industries Inc. ......................... 400 16,600
Kennametal Inc. ....................................... 300 12,900
Parker Hannifin Corp. ................................. 200 12,137
Tecumseh Products Co. ................................. 200 11,975
------------
98,063
------------
CONSUMER BASICS - 1.1%
Bergen Brunswig Corp. ................................. 375 10,453
Columbia/HCA Healthcare Corp. ......................... 400 15,725
IBP Inc. .............................................. 300 6,975
Mallinckrodt Inc. ..................................... 200 7,600
Maxicare Health Plans Inc.* ........................... 200 4,475
Nellcor Puritan Bennett Inc.* ......................... 400 7,250
Philip Morris Cos. Inc.(++) ........................... 600 26,625
RJR Nabisco Holdings Corp. ............................ 500 16,500
Tupperware Corp. ...................................... 300 10,950
Universal Foods Corp. ................................. 300 11,437
------------
117,990
------------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. ............................................ 300 11,400
Eaton Corp. ........................................... 100 8,731
Ford Motor Co. Del .................................... 700 26,425
General Motors Corp. .................................. 200 11,138
Goodyear Tire and Rubber .............................. 400 25,325
------------
83,019
------------
CONSUMER NON-DURABLES - 0.6%
Russell Corp. ......................................... 400 11,850
Springs Industries Inc. ............................... 100 5,275
Talbots Inc. .......................................... 400 13,600
Toys "R" Us Inc. ...................................... 300 10,500
V F Corp. ............................................. 200 16,950
------------
58,175
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ........................................ 100 9,250
UAL Corp.* ............................................ 100 7,156
------------
16,406
------------
ENERGY - 0.8%
Amoco Corp. ........................................... 100 8,694
Atlantic Richfield Co. ................................ 200 14,100
British Petroleum PLC ................................. 200 14,975
Mapco Inc. ............................................ 300 9,450
Phillips Petroleum Co. ................................ 300 13,125
Repsol ................................................ 200 8,488
Ultra Mar Diamond Shamrock ............................ 200 6,525
YPF Sociedad Anonima .................................. 400 12,300
------------
87,657
------------
FINANCE - 2.0%
Aegon ................................................. 86 6,025
Allstate Corp. ........................................ 200 14,600
American General Corp. ................................ 200 9,550
Bank of New York Inc. ................................. 200 8,700
Capital One Financial Corp. ........................... 200 7,550
Case Corp. ............................................ 400 27,550
Chase Manhattan Corp. ................................. 200 19,413
Chubb Corp.(++) ....................................... 100 6,688
Crestar Financial Corp. ............................... 100 3,887
Everest Reinsurance Holdings .......................... 300 11,888
Federal Home Loan Mortgage Corp. ...................... 100 3,438
Federal National
Mortgage Association(++) ............................. 200 8,725
First Union Corp. ..................................... 100 9,250
Foundation Health Systems* ............................ 420 12,731
Mellon Bank Corp. ..................................... 200 9,025
Old Republic Intl. Corp. .............................. 300 9,094
Reliastar Financial Corp. ............................. 100 7,313
Republic NY Corp. ..................................... 100 10,750
Signet Banking Corp. .................................. 200 7,200
Tig Holdings Inc. ..................................... 200 6,250
Transatlantic Holdings Inc. ........................... 100 9,925
------------
209,552
------------
GENERAL BUSINESS - 0.1%
Olsten Corp. .......................................... 400 7,775
Standard Register ..................................... 100 3,063
------------
10,838
------------
MISCELLANEOUS - 0.4%
Aeroquip Vickers Inc. ................................. 500 23,625
Dillard Inc. .......................................... 200 6,925
Hartford Financial Services Group ..................... 100 8,275
Providian Financial Corp. ............................. 200 6,425
Textron Inc. .......................................... 100 6,637
------------
51,887
------------
SHELTER - 0.2%
Owens Corning ......................................... 400 17,250
------------
TECHNOLOGY - 1.1%
Beckman Industries Inc. ............................... 300 14,475
Compaq Computer Corp.*(++) ............................ 200 19,850
International Business Machines ....................... 300 27,056
Raytheon Co. .......................................... 100 5,100
Seagate Technology* ................................... 300 10,556
Stratus Computer Inc.* ................................ 100 5,000
Tektronix Inc. ........................................ 200 12,000
TRW Inc. .............................................. 200 11,362
Western Digital Corp.* ................................ 400 12,650
------------
118,049
------------
TRANSPORTATION - 0.2%
Burlington Northern Santa Fe .......................... 100 8,987
CSX Corp. ............................................. 200 11,100
------------
20,087
------------
UTILITIES - 0.4%
Central ME Power Co. .................................. 300 3,712
Cinergy Corp. ......................................... 100 3,481
DTE Energy Co. ........................................ 300 8,287
Duke Power Co. ........................................ 104 4,986
EL Paso Natural Gas Co. ............................... 100 5,500
Entergy Corp. ......................................... 300 8,212
GPU Inc. .............................................. 200 7,175
------------
41,353
------------
TOTAL COMMON STOCKS ............................................. 1,002,464
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.2%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ........................................... 20,328
------------
TOTAL LARGE CAP VALUE ........................................... 1,022,792
------------
SMALL CAP GROWTH--9.8%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 9.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Central Packing Corp. ................................. 710 24,717
OM Group Inc. ......................................... 480 15,900
------------
40,617
------------
CAPITAL GOODS - 0.2%
Hardinge Bros. Inc. ................................... 780 22,815
------------
CONSUMER BASICS - 2.0%
Cytyc Corp.* .......................................... 930 25,226
General Cigar Holdings Inc.* .......................... 710 20,901
Human Gendme Sciences Inc.* ........................... 410 13,632
Occusystems Inc.* ..................................... 680 19,720
Parexel International Corp.* .......................... 1,050 33,337
Performance Food Group Co.* ........................... 980 20,580
Renal Treatment Centers Inc.* ......................... 1,000 26,875
Suiza Foods Corp.* .................................... 710 29,110
Worthington Foods Inc. ................................ 950 23,275
------------
212,656
------------
CONSUMER DURABLES - 0.5%
Miller Industries Inc.* ............................... 1,780 28,480
Tower Automotive Inc.* ................................ 430 18,490
------------
46,970
------------
CONSUMER NON-DURABLES - 0.5%
Henry Schein Inc.* .................................... 650 20,312
Men's Wearhouse Inc.* ................................. 570 17,955
Wilmar Industries Inc.* ............................... 460 11,213
------------
49,480
------------
CONSUMER SERVICES - 0.5%
Premier Pks Inc.* ..................................... 655 24,153
Regal Cinemas Inc.* ................................... 760 25,080
------------
49,233
------------
ENERGY - 0.4%
Forcenergy Inc.* ...................................... 765 23,237
Lomak Pete Inc.* ...................................... 1,250 22,266
------------
45,503
------------
FINANCE - 0.3%
Allied Group Inc. ..................................... 560 21,280
Metris Cosmetics Inc. ................................. 360 11,813
------------
33,093
------------
GENERAL BUSINESS - 2.4%
Abacus Direct Corp.* .................................. 1,030 33,475
Equity Corp. International* ........................... 1,000 24,187
Executive Risk Inc. ................................... 570 29,640
Heftel Broadcasting Corp.* ............................ 500 27,625
Lamar Advertising Co.* ................................ 1,060 27,030
Metro Networks Inc.* .................................. 1,070 25,948
Profit Recovery Group Intl Inc.* ...................... 370 5,134
Registry Inc.* ........................................ 500 23,000
Snyder Communications Inc.* ........................... 960 25,860
Whittman Hart Inc.* ................................... 1,140 32,062
------------
253,961
------------
MISCELLANEOUS - 1.1%
Melita Intl Corp.* .................................... 1,190 14,875
NFO Research Inc.* .................................... 480 11,880
Rental Service Corp. .................................. 1,100 28,875
Sirrom Cap Corp. ...................................... 585 20,182
Suburban Lodges America Inc.* ......................... 1,140 23,940
Synthetic Industries Inc.* ............................ 270 5,704
Xionics Document Technologies* ........................ 880 12,980
------------
118,436
------------
TECHNOLOGY - 0.9%
CDW Computer Ctrs Inc.* ............................... 300 15,919
Claremont Technology Group Inc.* ...................... 1,000 23,750
E Trade Group Inc.* ................................... 1,000 19,625
Inso Corp. ............................................ 356 7,320
Periphonics Corp.* .................................... 1,100 23,650
------------
90,264
------------
TRANSPORTATION - 0.2%
Eagle U.S.A. Airfreight Inc.* ......................... 750 20,344
------------
TOTAL COMMON STOCKS ............................................. 983,372
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.4%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ........................................... 41,685
----------
TOTAL SMALL CAP GROWTH .......................................... 1,025,057
----------
SMALL CAP VALUE--10.4%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 10.1%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Carpenter Technology Corp. ............................ 600 27,450
Keystone Consolidated Inds Inc.* ...................... 2,800 30,450
------------
57,900
------------
CAPITAL GOODS - 1.9%
Astro Medical Inc. .................................... 1,000 8,813
Commercial Intertech Corp. ............................ 1,700 23,694
D.R. Horton Inc.* ..................................... 5,000 51,875
Esco Electronics Corp.* ............................... 3,300 41,662
Global Industries Technologies Inc.* .................. 600 12,300
JLG Industries Inc. ................................... 2,500 34,062
United Industrial Corp. ............................... 3,100 27,706
------------
200,112
------------
CONSUMER BASICS - 1.3%
MMI Cosmetics Inc. .................................... 1,300 33,962
Matrix Pharmaceuticals* ............................... 5,700 38,119
Schultz Sav O Stores Inc. ............................. 1,900 33,725
Standard Coml Corp. ................................... 1,818 31,588
------------
137,394
------------
CONSUMER DURABLE GOODS - 0.8%
Coachmen Industries Inc. .............................. 1,500 25,688
Flexsteel Industries Inc. ............................. 800 9,400
Haskel International Inc. ............................. 2,500 30,000
West Inc. ............................................. 700 20,037
------------
85,125
------------
CONSUMER NON-DURABLES - 1.1%
Cato Corp. ............................................ 4,900 26,644
Haverty Furniture Cos. Inc. ........................... 3,500 43,750
Syms Corp.* ........................................... 4,600 45,713
------------
116,107
------------
CONSUMER SERVICES - 0.4%
Aztar Corp.* .......................................... 5,500 38,844
------------
ENERGY - 0.1%
Atwood Oceanics Inc.* ................................. 200 13,400
------------
FINANCE - 0.7%
Flagstar Bancorp Inc. ................................. 2,000 32,500
Homeside Inc.* ........................................ 1,500 32,812
Matrix Cap. Corp. ..................................... 100 1,400
Ocwen Asset Invt Corp. ................................ 600 12,150
------------
78,862
------------
GENERAL BUSINESS - 0.6%
Devon Group Inc.* ..................................... 1,000 35,750
Ennis Business Forms Inc. ............................. 2,500 24,063
------------
59,813
------------
MISCELLANEOUS - 1.2%
Commonwealth Industries Inc. .......................... 1,300 26,488
Durco International Inc. .............................. 1,000 29,250
Kevco Inc. ............................................ 600 8,100
Spacehab Inc.* ........................................ 6,200 55,025
Spectralink Corp. ..................................... 600 3,375
Symons International Group Inc.* ...................... 100 1,525
------------
123,763
------------
SHELTER - 1.1%
Beazer Homes USA Inc.* ................................ 1,700 27,200
Belmont Homes Inc.* ................................... 3,200 22,000
Morgan Products Ltd.* ................................. 3,600 27,000
Patrick Industries Inc. ............................... 600 9,900
Ryland Group Inc. ..................................... 2,000 28,250
Southern Energy Homes Inc.* ........................... 300 2,737
------------
117,087
------------
TRANSPORTATION - 0.3%
Fritz Companies Inc.* ................................. 3,500 33,906
------------
TOTAL COMMON STOCKS ............................................. 1,062,313
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.3%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ........................................... 33,386
---------
TOTAL SMALL CAP VALUE ........................................... 1,095,699
---------
INTERNATIONAL EQUITY--13.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 13.0%
- --------------------------------------------------------------------------------
AUSTRIA - 0.2%
Bohler Uddeholm ....................................... 227 17,603
------------
AUSTRALIA - 0.5%
Australia & New Zealand Bank Group .................... 3,578 26,770
Pioneer International Ltd ............................. 4,050 15,671
Quantas Airways ....................................... 5,746 13,462
------------
55,903
------------
CANADA - 0.6%
Bank N S Halifax ...................................... 536 23,482
Canadian Imperial Bank Toronto ........................ 560 14,112
Imasco Ltd. ........................................... 690 19,986
Noranda Inc. .......................................... 410 8,818
------------
66,398
------------
FINLAND - 0.2%
Rauma Oy .............................................. 423 9,694
UPM Kymmene Oy ........................................ 680 15,714
------------
25,408
------------
FRANCE - 0.7%
Elf Aquitaine ......................................... 105 11,328
Lafarge ............................................... 295 18,347
Pernod Ricard ......................................... 465 23,975
Usinor Sacilor ........................................ 870 15,692
------------
69,342
------------
GERMANY - 0.3%
Commerzbank AG ........................................ 970 27,474
------------
GREAT BRITAIN - 3.3%
Abbey National ........................................ 1,070 14,611
Allied Domecq PLC ..................................... 3,445 24,784
Bat Industries ........................................ 2,647 23,693
BTR ................................................... 7,934 27,152
Coats Viyella ......................................... 11,662 24,470
Commercial Union ...................................... 1,340 14,092
Energy Group .......................................... 1,150 12,276
Hanson ................................................ 5,434 26,967
Harrison & Crosfield .................................. 13,940 25,536
Hillsdown Holdings .................................... 4,856 13,707
Hyder ................................................. 1,598 21,555
Lex Service ........................................... 2,580 16,219
National Westminster .................................. 890 11,968
Powergen .............................................. 2,260 26,872
Redland ............................................... 4,279 24,228
Safeway ............................................... 4,130 23,900
Tate & Lyle ........................................... 2,800 20,820
------------
352,850
------------
HONG KONG - 0.8%
China Light & Power ................................... 4,000 22,666
Hang Lung Development Co. ............................. 5,000 9,165
Hong Kong Telecomm .................................... 4,000 9,552
HSBC Holdings ......................................... 500 15,038
Manhattan Card Co. .................................... 40,000 18,200
New World Development Co. ............................. 1,000 5,963
Sth China Morn Post ................................... 2,000 1,962
------------
82,546
------------
ITALY - 0.3%
Eni Spa ............................................... 4800 27,183
------------
IRELAND - 0.3%
Smurfit ............................................... 9,900 28,778
------------
JAPAN - 2.1%
Koito Mfg. Co. ........................................ 2,000 15,285
MOS Food Services ..................................... 2,200 40,691
Nichicon Corp. ........................................ 2,000 27,046
Nintendo Co. .......................................... 200 16,751
Promise Co. ........................................... 500 28,616
Sekisui Chemical ...................................... 2,000 20,241
Sony Corp. ............................................ 200 17,432
Suzuki Motor Corp. .................................... 2,000 25,301
Yodogawa Steelworks ................................... 4,000 24,429
------------
215,792
------------
MALAYSIA - 0.3%
Arab Malaysian Finance ................................ 4,200 8,903
Bolton Properties ..................................... 6,400 9,128
Kedah Cement Holdings ................................. 5,800 9,054
Malaysian International Shipping ...................... 2,700 7,007
------------
34,092
----------
NETHERLANDS - 1.1%
Akzo Nobel NV ......................................... 192 26,312
ABN Amro Holdings NV .................................. 1,390 25,918
Hollandsche Beton ..................................... 80 18,246
Ing Groep NV .......................................... 509 23,468
Kon PTT Nederland ..................................... 660 25,890
------------
119,834
------------
NEW ZEALAND - 0.1%
Fletcher Challenge (Building) ......................... 4,020 12,096
Fletcher Challenge (Paper) ............................ 161 230
------------
12,326
------------
NORWAY - 0.4%
Kvaerner ASA .......................................... 315 19,061
Nycomed ............................................... 1,240 17,765
------------
36,826
------------
SPAIN - 0.3%
Banco Santander SA .................................... 540 16,638
Repsol SA ............................................. 480 20,295
------------
36,933
------------
SWEDEN - 0.1%
Electrolux AB ......................................... 180 12,984
------------
SWITZERLAND - 1.1%
Forbo Hldg ............................................ 59 25,459
Nestle SA ............................................. 15 19,788
Schw Ruckversicher .................................... 20 28,288
Sig Schw Ind HG AG .................................... 6 18,185
Sulzer AG ............................................. 32 27,397
------------
119,117
------------
UNITED STATES - 0.3%
Jardine Matheson ...................................... 4,100 29,110
------------
TOTAL COMMON STOCKS ............................................. 1,370,499
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.2%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ........................................... 14,905
------------
TOTAL INTERNATIONAL EQUITY ...................................... 1,385,404
------------
DOMESTIC FIXED INCOME--24.8%
- --------------------------------------------------------------------------------
FIXED INCOME -- 23.8%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 0.5%
Jackson National Life Insurance Co.
8.15% due 3/15/27 .................................... 50,000 51,050
------------
ASSET BACKED - 1.9%
Atlantic City Electric Co.
7.01% due 8/02/23 .................................... 45,000 45,183
Commonwealth Edison Co.
7.00% due 7/01/05 .................................... 43,000 42,462
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 .................................... 32,368 29,936
Federal National Mortgage Association
7.35% due 8/17/21 .................................... 50,000 50,812
Merrill Lynch Mortgage Investments Inc.
due 6/18/29 .......................................... 35,000 35,219
------------
203,612
------------
U. S. TREASURY OBLIGATIONS - 20.4%
United States Treasury Bond
6.50% due 11/05/26 ................................... 110,000 105,497
UNITED STATES TREASURY NOTES
6.00% due 5/31/98 .................................... $578,000 579,081
5.875% due 11/15/99 .................................. 969,000 962,789
6.25% due 1/31/02 .................................... 157,000 156,141
6.50% due 5/31/02 .................................... 100,000 100,406
6.50% due 10/15/06 ................................... 246,000 244,962
------------
2,148,876
------------
U.S. GOVERNMENT AGENCIES - 1.0%
Federal Home Loan Mortgage Corp.
6.50% due 1/01/99 .................................... 100,000 98,977
------------
TOTAL FIXED INCOME .............................................. 2,502,515
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 1.0%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ........................................... 100,406
------------
TOTAL DOMESTIC FIXED INCOME ..................................... 2,602,921
------------
INTERNATIONAL BOND--21.1%
- --------------------------------------------------------------------------------
FIXED INCOME -- 17.1%
- --------------------------------------------------------------------------------
CURRENCY
--------
ARGENTINA - 0.5%
Government of Argentina Bocon
3.242% due 4/01/01 ......... ARS 53,057 48,653
----------
AUSTRIA - 0.2%
Republic of Austria
7.625% due 10/18/04 ........ ATS 290,000 26,769
----------
CANADA - 1.3%
Canadian Government
8.75% due 12/01/05 ......... CAD 159,000 134,108
----------
CROATIA - 0.3%
Croatia (Rep of)
6.50% due 7/31/06 .......... USD 38,551 37,299
----------
DENMARK - 0.5%
Denmark (Kingdom)
8.00% due 5/15/03 .......... DKK 300,000 51,136
----------
FINLAND - 2.0%
Finland (Rep of)
7.25% due 4/18/06 .......... FIM 1,000,000 208,864
----------
FRANCE - 0.9%
Government of France
7.75% due 10/25/05 ......... FRF 490,000 96,513
----------
GERMANY - 3.6%
Germany (Fed) Rep
7.125% due 12/20/02 ........ DEM 630,000 380,362
----------
GREAT BRITAIN - 2.0%
Treasury
8.50% due 12/07/05 ......... GBP 114,000 206,693
----------
GREECE - 0.2%
Hellenic Republic
14.80% due 6/17/03 ......... GRD 1,600,000 6,003
Republic of Greece
14.00% due 10/23/03 ........ GRD 5,200,000 19,670
----------
25,673
----------
ITALY - 1.5%
Republic of Italy
6.00% due 1/01/00 .......... ITL 50,000,000 29,455
Republic of Italy
9.50% due 1/01/05 .......... ITL 195,000,000 132,175
----------
161,630
----------
PHILLIPPINES - 0.4%
Eurobank Recon & Developement
9.00% due 4/22/98 .......... PHP 1,000,000 37,913
----------
SOUTH AFRICA - 0.3%
Republic of South Africa
14.00% due 8/15/97 ......... ZAR 160,000 35,171
----------
SPAIN - 0.6%
Government of Spain
10.00% due 2/28/05 ......... ESP 7,000,000 58,715
----------
SWEDEN - 2.8%
Sweden (Kingdom)
10.25% due 5/05/00 ......... SEK 2,000,000 292,478
----------
TOTAL FIXED INCOME ........................... 1,801,977
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 2.3%
- --------------------------------------------------------------------------------
Argentina Treasury Bill
due 3/20/98 ................ ARS 10,000 9,548
Canadian Treasury Bill
due 4/02/98 ................ CAD 80,000 56,168
Mexican Cetes
due 7/24/97 ................ MEX 60,000 7,450
Mexican Cetes
due 7/31/97 ................ MEX 60,000 7,419
Mexican Cetes
due 10/02/97 ............... MEX 60,000 7,157
Mexican Cetes
due 10/30/97 ............... MEX 70,000 8,218
Poland Treasury Bill
due 5/13/98 ................ PLN 40,000 10,236
Poland Treasury Bill
due 10/22/97 ............... PLN 10,000 2,854
Poland Treasury Bill
due 12/03/97 ............... PLN 60,000 16,721
Poland Treasury Bill
due 4/22/98 ................ PLN 80,000 20,698
United States Treasury Bill
4.30% due 7/03/97(+) ........................ 99,462
----------
245,931
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS -- 1.7%
- --------------------------------------------------------------------------------
Purchased calls
AST 310,000 Australian Government Bonds
@107.603 exp. date 9/26/97 .................. 23,320
JPY 23,000,000 Japanese Government Bonds
@102.586 exp. date 9/16/97 .................. 20,160
JPY 101,000,000 Japanese Government Bonds
@97.239 exp. date 9/25/97 ................... 132,202
----------
TOTAL INTERNATIONAL BOND OPTIONS ............. 175,682
----------
TOTAL INTERNATIONAL BOND ..................... 2,223,590
----------
SHORT-TERM--4.6%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ............................. $ 488,369
-----------
TOTAL INVESTMENTS
(Identified Cost $10,336,887) ......... 103.1% 10,843,516
OTHER ASSETS,
LESS LIABILITIES ...................... (3.1) (323,047)
---- -----------
NET ASSETS ............................. 100.0% $10,520,469
===== ===========
* Non income producing
(+)The Portfolio owns in aggregate U.S. Treasury Bills 4.30%, due 7/03/97
valued at $810,922, portions of which are listed separately by each Asset
Class.
(++)The Portfolio owns in aggregate 510 shares of Deere & Co. valued at $27,987,
440 shares in E I du Pont de Nemours & Co. valued at $27,665, 1,280 shares
in Philip Morris Cos. Inc. valued at $56,800, 325 shares in Chubb Corp.
valued at $21,735, 290 shares in Compaq Computers Corp. valued at $28,783,
and 430 shares of Federal National Mortgage Association, valued at $18,759.
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP FOLIO 300 (UNAUDITED)
- --------------------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------- ------ ----- ------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) .................... Germany $432,669 $439,979 July-97 $ (7,310)
Deutsche Mark (Sell) ................... Germany 266,212 268,423 July-97 2,211
Deutsche Mark (Sell) ................... Germany 982,957 997,919 August-97 14,962
Deutsche Mark (Buy) .................... Germany 979,319 989,291 September-97 (9,972)
Dollar (Sell) .......................... Australia 37,104 37,063 July-97 (41)
Dollar (Buy) ........................... Australia 38,549 39,576 July-97 (1,027)
Dollar (Buy) ........................... Canada 63,019 63,260 July-97 (241)
Dollar (Sell) .......................... Canada 55,797 55,824 July-97 27
Dollar (Buy) ........................... Canada 109,155 108,672 September-97 483
Dollar (Sell) .......................... Canada 176,057 179,211 March-98 3,154
Drachma (Sell) ......................... Greece 8,006 8,069 July-97 63
ECU (Sell) ............................. Europe 21,280 22,092 July-97 812
ECU (Buy) .............................. Europe 11,288 11,367 July-97 (79)
Franc (Buy) ............................ Belgium 91,543 93,686 July-97 (2,143)
Franc (Sell) ........................... Belgium 39,646 40,017 July-97 371
Franc (Buy) ............................ Belgium 25,051 25,389 September-97 (338)
Franc (Buy) ............................ France 52,807 54,611 July-97 (1,804)
Franc (Sell) ........................... France 1,602 1,655 July-97 53
Franc (Buy) ............................ France 76,652 77,416 August-97 (764)
Franc (Sell) ........................... France 89,280 90,177 August-97 897
Franc (Buy) ............................ France 91,858 92,809 September-97 (951)
Franc (Sell) ........................... Switzerland 1,529 1,549 July-97 20
Franc (Sell) ........................... Switzerland 90,076 93,299 August-97 3,223
Franc (Sell) ........................... Switzerland 346,011 351,722 Sep-97 5,711
Guilder (Buy) .......................... Netherlands 105,077 107,236 July-97 (2,159)
Guilder (Sell) ......................... Netherlands 7,684 7,859 September-97 175
Koruna (Sell) .......................... Czechoslovakia 6,993 7,026 August-97 33
Koruna (Buy) ........................... Czechoslovakia 27,059 28,280 August-97 (1,221)
Krone (Buy) ............................ Denmark 7,537 7,657 July-97 (120)
Krone (Buy) ............................ Sweden 43,969 43,853 July-97 116
Krone (Sell) ........................... Sweden 268,987 271,346 July-97 2,359
Krone (Sell) ........................... Sweden 20,084 20,069 August-97 (15)
Lira (Buy) ............................. Italy 272,462 271,464 July-97 998
Lira (Sell) ............................ Italy 89,487 89,402 July-97 (85)
Lira (Buy) ............................. Italy 13,290 13,372 October-97 (82)
Markka (Sell) .......................... Finland 206,449 208,801 July-97 2,352
Markka (Buy) ........................... Finland 25,095 25,395 July-97 (300)
Markka (Buy) ........................... Finland 416,007 417,912 August-97 (1,905)
Markka (Sell) .......................... Finland 209,162 209,562 August-97 400
Markka (Sell) .......................... Finland 219,043 220,703 September-97 1,660
Peseta (Buy) ........................... Spain 41,402 41,934 July-97 (532)
Peseta (Sell) .......................... Spain 39,646 40,023 August-97 377
Peseta (Buy) ........................... Spain 115,407 116,518 August-97 (1,111)
Peseta (Sell) .......................... Spain 89,668 90,909 September-97 1,241
Peso (Buy) ............................. Chile 9,127 9,048 July-97 79
Peso (Buy) ............................. Philippines 12,468 12,470 July-97 (2)
Pound (Buy) ............................ Great Britain 83,238 81,070 July-97 2,168
Pound (Sell) ........................... Great Britain 10,705 10,619 July-97 (86)
Pound (Sell) ........................... Great Britain 92,524 90,799 August-97 (1,725)
Pound (Buy) ............................ Great Britain 81,482 80,066 August-97 1,416
Pound (Buy) ............................ Great Britain 16,600 16,298 October-97 302
Rand (Sell) ............................ South Africa 10,886 10,954 August-97 68
Rupiah (Buy) ........................... Indonesia 14,333 14,196 July-97 137
Won (Buy) .............................. South Korea 14,527 14,341 July-97 186
Yen (Sell) ............................. Japan 149,916 147,508 July-97 (2,408)
Yen (Buy) .............................. Japan 749,358 687,084 July-97 62,274
Yen (Buy) .............................. Japan 170,606 165,371 August-97 5,235
Yen (Sell) ............................. Japan 298,253 294,165 August-97 (4,088)
--------
$ 73,054
========
</TABLE>
<PAGE>
CITISELECT(SM) VIP FOLIO 400
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--8.1%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 8.0%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
E I du Pont de Nemours & Co.(++) ...................... 290 $ 18,234
Illinois Tool Works ................................... 350 17,478
Kimberly Clark Corp. .................................. 205 10,199
Nucor Corp. ........................................... 140 7,910
Praxair ............................................... 235 13,160
------------
66,981
------------
CAPITAL GOODS - 0.8%
Applied Materials* .................................... 125 8,852
Deere & Co.(++) ....................................... 350 19,206
Emerson Electric Co. .................................. 220 12,114
General Electric Co. .................................. 610 39,879
Ucar Int'l Inc.* ...................................... 155 7,091
------------
87,142
------------
CONSUMER BASICS - 2.8%
Abbott Labs ........................................... 320 21,360
Clorox Co. ............................................ 105 13,860
Coca Cola Co. ......................................... 515 34,763
Colgate Palmolive Co. ................................. 395 25,774
Gillette Co. .......................................... 225 21,319
Health Management Association* ........................ 440 12,540
Johnson & Johnson ..................................... 330 21,244
Lilly Eli & Co. ....................................... 140 15,304
Merck & Co. ........................................... 155 16,043
PepsiCo ............................................... 565 21,223
Philip Morris Cos. Inc.(++) ........................... 585 25,959
Pfizer Inc. ........................................... 165 19,718
Proctor & Gamble ...................................... 130 18,363
Schering Plough Corp. ................................. 310 14,841
Warner Lambert Co. .................................... 155 19,259
------------
301,570
------------
CONSUMER DURABLES - 0.2%
Leggett & Platt Inc. .................................. 115 4,945
Sherwin Williams Co. .................................. 335 10,343
------------
15,288
------------
CONSUMER NON-DURABLES - 0.6%
Consolidated Stores* .................................. 463 16,072
Gap Inc. .............................................. 125 4,859
Home Depot ............................................ 140 9,651
Kohls Corp.* .......................................... 290 15,352
Walgreen Co. .......................................... 365 19,573
------------
65,507
------------
CONSUMER SERVICES - 0.3%
Carnival Corp. ........................................ 330 13,613
Walt Disney Co. ....................................... 150 12,038
------------
25,651
------------
FINANCE - 0.8%
American International Group Inc. ..................... 105 15,684
Chubb Corp.(++) ....................................... 195 13,041
Federal National Mtg. Association(++) ................. 195 8,507
Norwest Corp. ......................................... 160 9,000
State Street Corp. .................................... 230 10,638
Travelers Group Inc. .................................. 290 18,288
Zions Bancorp ......................................... 320 12,040
------------
87,198
------------
GENERAL BUSINESS - 0.8%
Automated Data Processing Inc. ........................ 345 16,215
First Data Corp. ...................................... 315 13,840
Gannett Inc. .......................................... 240 23,700
Interpublic Group Cos Inc. ............................ 215 13,182
Service Corp. International ........................... 370 12,164
------------
79,101
----------
TECHNOLOGY - 1.1%
Compaq Computer Corp.*(++) ............................ 80 7,940
Hewlett Packard Co. ................................... 170 9,520
Intel Corp. ........................................... 135 19,145
Motorola Inc. ......................................... 115 8,740
Microsoft Corp.* ...................................... 280 35,385
Perkin Elmer Corp. .................................... 230 18,299
Xerox Corp. ........................................... 245 19,324
------------
118,353
------------
TOTAL COMMON STOCKS ................................... 846,791
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 12,346
----------
TOTAL LARGE CAP GROWTH ................................ 859,137
----------
LARGE CAP VALUE--8.3%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 8.1%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Cabot Corp. ........................................... 200 5,675
E I du Pont de Nemours & Co. .......................... 100 6,288
FMC Corp.* ............................................ 100 7,944
Great Lakes Chemical Corp. ............................ 300 15,713
IMC Global Inc. ....................................... 200 7,000
Premark International Inc. ............................ 200 5,350
Rohm & Haas Co. ....................................... 100 9,006
Westvaco Corp. ........................................ 100 3,144
------------
60,120
------------
CAPITAL GOODS - 0.9%
Caterpillar Inc. ...................................... 100 10,738
Cummins Engine Inc. ................................... 400 28,225
Deere & Co.(++) ....................................... 100 5,488
Harnischfeger Industries Inc. ......................... 300 12,450
Kennametal Inc. ....................................... 200 8,600
Parker Hannifin Corp. ................................. 200 12,138
Tecumseh Products Co. ................................. 200 11,975
------------
89,614
------------
CONSUMER BASICS - 1.0%
Bergen Brunswig Corp. ................................. 375 10,453
Columbia /HCA Healthcare Corp. ........................ 400 15,725
IBP Inc. .............................................. 300 6,975
Mallinckrodt Inc. ..................................... 200 7,600
Maxicare Health Plans Inc.* ........................... 200 4,475
Nellcor Puritan Bennett Inc.* ......................... 300 5,438
Philip Morris Cos. Inc.(++) ........................... 500 22,188
RJR Nabisco Holdings Corp. ............................ 400 13,200
Tupperware Corp. ...................................... 300 10,950
Universal Foods Corp. ................................. 200 7,625
------------
104,629
------------
CONSUMER DURABLE GOODS - 0.7%
Dana Corp. ............................................ 200 7,600
Eaton Corp. ........................................... 100 8,731
Ford Motor Co. Del .................................... 700 26,425
General Motors Corp. .................................. 200 11,138
Goodyear Tire and Rubber .............................. 300 18,994
------------
72,888
------------
CONSUMER NON-DURABLES - 0.4%
Russell Corp. ......................................... 300 8,888
Springs Industries Inc. ............................... 100 5,275
Talbots Inc. .......................................... 300 10,200
Toys "R" Us Inc.* ..................................... 200 7,000
V F Corp. ............................................. 100 8,475
------------
39,838
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ........................................ 100 9,250
UAL Corp.* ............................................ 100 7,156
------------
16,406
------------
ENERGY - 0.7%
Amoco Corp. ........................................... 100 8,694
Atlantic Richfield Co. ................................ 200 14,100
British Petroleum PLC ................................. 200 14,975
Mapco Inc. ............................................ 300 9,450
Phillips Petroleum Co. ................................ 200 8,750
Repsol ................................................ 200 8,488
Ultra Mar Diamond Shamrock ............................ 200 6,525
YPF Sociedad Anonima .................................. 300 9,225
------------
80,207
------------
FINANCE - 1.6%
Aego .................................................. 43 3,013
Allstate Corp. ........................................ 200 14,600
American General Corp. ................................ 200 9,550
Bank of New York Inc. ................................. 200 8,700
Capital One Financial Corp. ........................... 200 7,550
Case Corp. ............................................ 300 20,663
Chase Manhattan Corp. ................................. 100 9,706
Chubb Corp.(++) ....................................... 100 6,688
Crestar Financial Corp. ............................... 100 3,888
Everest Reinsurance Holdings .......................... 300 11,888
Federal Home Loan Mortgage Corp. ...................... 100 3,438
Federal National
Mortgage Association(++) ............................. 200 8,725
First Union Corp. ..................................... 100 9,250
Foundation Health Systems* ............................ 290 8,791
Mellon Bank Corp. ..................................... 200 9,025
Old Republic Intl Corp. ............................... 200 6,063
Reliastar Financial Corp. ............................. 100 7,313
Republic NY Corp. ..................................... 100 10,750
Signet Banking Corp. .................................. 200 7,200
Tig Holdings Inc. ..................................... 100 3,125
Transatlantic Holdings Inc. ........................... 100 9,925
------------
179,851
------------
GENERAL BUSINESS - 0.1%
Olsten Corp. .......................................... 200 3,888
Standard Register ..................................... 100 3,063
------------
6,951
------------
MISCELLANEOUS - 0.4%
Aeroquip Vickers Inc. ................................. 400 18,900
Dillards Inc. ......................................... 200 6,925
Hartford Financial Services Group ..................... 100 8,275
Providian Financial Corp. ............................. 100 3,213
Textron Inc. .......................................... 100 6,638
------------
43,951
------------
SHELTER - 0.1%
Owens Corning 300 ..................................... 12,938
------------
TECHNOLOGY - 0.9%
Beckman Industries Inc. ............................... 200 9,650
Compaq Computer Corp.*(++) ............................ 100 9,925
International Business Machines ....................... 300 27,056
Raytheon Co. .......................................... 100 5,100
Seagate Technology* ................................... 300 10,556
Stratus Computer Inc.* ................................ 100 5,000
Tektronix Inc. ........................................ 100 6,000
TRW Inc. .............................................. 200 11,363
Western Digital Corp.* ................................ 400 12,650
------------
97,300
------------
TRANSPORTATION - 0.2%
Burlington Northern Santa Fe .......................... 100 8,988
CSX Corp. ............................................. 200 11,100
------------
20,088
------------
UTILITIES - 0.3%
Central ME Power Co. .................................. 200 2,475
Cinergy Corp. ......................................... 100 3,481
DTE Energy Co. ........................................ 200 5,525
Duke Power Co. ........................................ 104 4,986
El Paso Natural Gas Co. ............................... 100 5,500
Entergy Corp. ......................................... 200 5,475
GPU Inc. .............................................. 100 3,588
------------
31,030
------------
TOTAL COMMON STOCKS ................................... 855,811
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.2%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 21,117
----------
TOTAL LARGE CAP VALUE ................................. 876,928
----------
SMALL CAP GROWTH--14.6%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 14.0%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Central Packing Corp. ................................. 1,060 36,901
OM Group Inc. ......................................... 710 23,519
------------
60,420
------------
CAPITAL GOODS - 0.3%
Hardinge Bros. Inc. ................................... 1,250 36,563
------------
CONSUMER BASICS - 3.0%
Cytyc Corp.* .......................................... 1,360 36,890
General Cigar Holdings Inc.* .......................... 1,070 31,498
Human Gendme Sciences Inc.* ........................... 630 20,948
Occusystems Inc.* ..................................... 1,030 29,870
Parexel International Corp.* .......................... 1,530 48,578
Performance Food Group Co.* ........................... 1,500 31,500
Renal Treatment Centers Inc.* ......................... 1,470 39,506
Suiza Foods Corp.* .................................... 1,110 45,510
Worthington Foods Inc. ................................ 1,450 35,525
------------
319,825
------------
CONSUMER DURABLE GOODS - 0.6%
Miller Industries Inc.* ............................... 2,510 40,160
Tower Automotive Inc.* ................................ 605 26,015
------------
66,175
------------
CONSUMER NON-DURABLES - 0.8%
Henry Schein Inc.* .................................... 1,260 39,375
Men's Wearhouse Inc.* ................................. 920 28,980
Wilmar Industries Inc.* ............................... 700 17,063
------------
85,418
------------
CONSUMER SERVICES - 0.7%
Premier Pks Inc.* ..................................... 990 36,506
Regal Cinemas Inc.* ................................... 1,150 37,950
------------
74,456
------------
ENERGY - 0.7%
Forcenergy Inc.* ...................................... 1,260 38,273
Lomak Pete Inc.* ...................................... 1,840 32,775
------------
71,048
------------
FINANCE - 0.5%
Allied Group Inc. ..................................... 865 32,870
Metris Cosmetics Inc. ................................. 540 17,719
------------
50,589
------------
GENERAL BUSINESS - 3.5%
Abacus Direct Corp.* .................................. 1,560 50,700
Equity Corp. International* ........................... 1,550 37,491
Executive Risk Inc. ................................... 770 40,040
Heftel Broadcasting Corp.* ............................ 740 40,885
Lamar Advertising Co.* ................................ 1,620 41,310
Metro Networks Inc.* .................................. 1,550 37,588
Profit Recovery Group Intl Inc.* ...................... 550 7,631
Registry Inc.* ........................................ 810 37,260
Snyder Communications Inc.* ........................... 1,400 37,713
Whittman Hart Inc.* ................................... 1,730 48,656
------------
379,274
------------
MISCELLANEOUS - 1.7%
Gray Communications Sys. Inc. ......................... 100 2,088
Melita Intl Corp.* .................................... 1,800 22,500
NFO Research Inc.* .................................... 740 18,315
Rental Service Corp. .................................. 1,730 45,413
Sirrom Cap Corp. ...................................... 880 30,360
Suburban Lodges America Inc.* ......................... 1,620 34,020
Synthetic Industries Inc.* ............................ 400 8,450
Xionics Document Tech* ................................ 1,340 19,765
------------
180,911
------------
TECHNOLOGY - 1.3%
CDW Computer Ctrs. Inc.* .............................. 450 23,878
Claremont Technology Group Inc.* ...................... 1,580 37,525
E Trade Group Inc.* ................................... 1,500 29,438
Inso Corp. ............................................ 459 9,438
Periphonics Corp.* .................................... 1,770 38,055
------------
138,334
------------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ......................... 1,140 30,923
------------
TOTAL COMMON STOCKS ................................... 1,493,936
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.6%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 58,775
------------
TOTAL SMALL CAP GROWTH ................................ 1,552,711
------------
SMALL CAP VALUE--15.5%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 15.1%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
Carpenter Technology Corp. ............................ 900 41,175
Keystone Consolidated Inds Inc.* ...................... 4,200 45,675
------------
86,850
------------
CAPITAL GOODS - 2.7%
Astro Medical Inc. .................................... 1,500 13,219
Commercial Intertech Corp. ............................ 2,500 34,844
D.R. Horton Inc.* ..................................... 6,800 70,550
Esco Electronics Corp.* ............................... 5,000 63,125
Global Industries Technologies Inc.* .................. 900 18,450
JLG Industries Inc. ................................... 3,500 47,688
United Industrial Corp. ............................... 4,600 41,113
------------
288,989
------------
CONSUMER BASICS - 2.0%
Matrix Pharmaceuticals* ............................... 8,600 57,513
MMI Cosmetics Inc. .................................... 2,000 52,250
Schultz Sav O Stores Inc. ............................. 2,900 51,475
Standard Commercial Corp. ............................. 2,626 45,627
------------
206,865
------------
CONSUMER DURABLE GOODS - 1.2%
Coachmen Industries Inc. .............................. 2,200 37,675
Flexsteel Industries Inc. ............................. 1,200 14,100
Haskel International Inc. ............................. 3,700 44,400
West Inc. ............................................. 1,000 28,625
------------
124,800
------------
CONSUMER NON-DURABLES - 1.6%
Cato Corp. ............................................ 7,300 39,694
Haverty Furniture Cos. Inc. ........................... 5,000 62,500
Syms Corp.* ........................................... 6,400 63,600
------------
165,794
------------
CONSUMER SERVICES - 0.5%
Aztar Corp.* .......................................... 8,000 56,500
------------
ENERGY - 0.1%
Atwood Oceanics Inc.* ................................. 200 13,400
------------
FINANCE - 1.5%
Flagstar Bancorp Inc. ................................. 3,000 48,750
Homeside Inc.* ........................................ 2,300 50,313
Matrix Cap Corp. ...................................... 100 1,400
Ocwen Asset Invt Corp. ................................ 3,000 60,750
------------
161,213
------------
GENERAL BUSINESS - 0.8%
Devon Group Inc.* ..................................... 1,500 53,625
Ennis Business Forms Inc. ............................. 3,700 35,613
------------
89,238
------------
MISCELLANEOUS - 1.8%
Commonwealth Industries Inc. .......................... 2,000 40,750
Durco International Inc. .............................. 1,400 40,950
Kevco Inc. ............................................ 800 10,800
Spacehab Inc.* ........................................ 9,200 81,650
Spectralink Corp. ..................................... 1,200 6,750
Symons International Group Inc.* ...................... 800 12,200
------------
193,100
------------
SHELTER - 1.6%
Beazer Homes USA Inc.* ................................ 2,500 40,000
Belmont Homes Inc.* ................................... 4,800 33,000
Morgan Products Ltd.* ................................. 5,300 39,750
Patrick Industries Inc. ............................... 800 13,200
Ryland Group Inc. ..................................... 3,000 42,375
Southern Energy Homes Inc.* ........................... 300 2,738
------------
171,063
------------
TRANSPORTATION - 0.5%
Fritz Companies Inc.* ................................. 5,200 50,375
------------
TOTAL COMMON STOCKS ................................... 1,608,187
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.4%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. $ 44,534
----------
TOTAL SMALL CAP VALUE ................................. 1,652,721
----------
INTERNATIONAL EQUITY--25.8%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 25.8%
- --------------------------------------------------------------------------------
AUSTRIA - 0.3%
Bohler Uddeholm ....................................... 438 33,966
------------
AUSTRALIA - 1.1%
Australia & New Zealand Bank Group .................... 7,652 57,252
Pioneer International Ltd. ............................ 9,570 37,031
Quantas Airways ....................................... 11,162 26,151
------------
120,434
------------
CANADA - 1.2%
Bank N S Halifax ...................................... 964 42,233
Canadian Imperial Bank Toronto ........................ 1,200 30,240
Imasco Ltd. ........................................... 1,425 41,276
Noranda Inc. .......................................... 745 16,023
------------
129,772
------------
FINLAND - 0.5%
Rauma Oy .............................................. 819 18,769
UPM Kymmene Oy ........................................ 1,580 36,512
------------
55,281
------------
FRANCE - 1.6%
Elf Aquitain .......................................... 230 24,813
Lafarge ............................................... 650 40,427
Pernod Ricard ......................................... 1,320 68,059
Usinor Sacilor ........................................ 1,930 34,812
------------
168,111
------------
GERMANY - 0.6%
Commerzbank AG ........................................ 2,135 60,472
------------
GREAT BRITAIN - 6.1%
Abbey National ........................................ 2,150 29,359
Allied Domecq PLC ..................................... 7,510 54,028
Bat Industries ........................................ 5,040 45,113
BTR ................................................... 15,594 53,366
Coats Viyella ......................................... 23,490 49,289
Commercial Union ...................................... 2,240 23,557
Energy Group .......................................... 2,040 21,776
Hanson ................................................ 10,719 53,194
Harrison & Crosfield .................................. 25,946 47,529
Hyder ................................................. 3,283 44,284
Lex Service ........................................... 5,170 32,501
National Westminister ................................. 735 9,884
Powergen .............................................. 4,254 50,581
Redland ............................................... 7,987 45,223
Safeway ............................................... 8,500 49,189
Tate & Lyle ........................................... 5,730 42,606
------------
651,479
------------
HONG KONG - 1.6%
China Light & Power ................................... 6,300 35,699
Hang Lung Development Co. ............................. 10,000 18,329
Hong Kong Telecomm .................................... 9,200 21,969
HSBC Holdings ......................................... 1,100 33,082
Manhattan Card Co. .................................... 79,000 35,945
New World Development Co. ............................. 3,000 17,890
Sth China Morn Post ................................... 4,000 3,924
------------
166,838
------------
IRELAND - 0.7%
Smurfit ............................................... 24,720 71,858
------------
ITALY - 0.5%
Eni Spa ............................................... 9,300 52,668
------------
JAPAN - 3.8%
Koito Mfg. Co. ........................................ 5,000 38,213
MOS Food Services ..................................... 3,300 61,036
Nichicon Corp. ........................................ 4,000 54,092
Nintendo Co. .......................................... 400 33,502
Promise Co. ........................................... 900 51,509
Sekisui Chemical ...................................... 4,000 40,481
Sony Corp. ............................................ 400 34,863
Suzuki Motor Corp. .................................... 4,000 50,602
Yodogawa Steelworks ................................... 6,000 36,643
------------
400,941
------------
MALAYSIA - 0.6%
Arab Malaysian Finance ................................ 8,700 18,441
Bolton Properties ..................................... 13,700 19,540
Kedah Cement Holdings ................................. 9,000 14,049
Malaysian International Shipping ...................... 5,800 15,052
------------
67,082
------------
NETHERLANDS - 2.1%
Akzo Nobel NV ......................................... 420 57,558
ABN Amro Holdings NV .................................. 3,160 58,921
Hollandsche Beton ..................................... 130 29,651
Ing Groep NV .......................................... 830 38,267
Kon PTT Nederland ..................................... 1,071 42,013
------------
226,410
------------
NEW ZEALAND - 0.2%
Fletcher Challenge(Building) .......................... 8,020 24,133
Fletcher Challenge(Paper) ............................. 321 458
------------
24,591
------------
NORWAY - 0.8%
Kvaerner ASA .......................................... 720 43,568
Nycomed 2,565 ......................................... 36,747
------------
80,315
------------
SINGAPORE - 0.1%
Sembawang Corp. ....................................... 2000 9,093
------------
SPAIN - 1.0%
Banco Santander SA .................................... 1,950 60,081
Repsol SA ............................................. 1,060 44,817
------------
104,898
------------
SWEDEN - 0.2%
Electolux AB .......................................... 345 24,887
------------
SWITZERLAND - 2.3%
Forbo Hldg ............................................ 124 53,507
Nestle SA ............................................. 33 43,533
Schw Ruckversicher .................................... 39 55,161
Sig Schw Ind HG AG .................................... 13 39,401
Sulzer AG ............................................. 61 52,226
------------
243,828
------------
UNITED STATES - 0.5%
Jardine Matheson ...................................... 7,700 54,670
------------
TOTAL INTERNATIONAL EQUITY ............................ 2,747,594
------------
DOMESTIC FIXED INCOME--4.7%
- --------------------------------------------------------------------------------
FIXED INCOME -- 4.7%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 0.2%
Commonwealth Edison Co.
7.00% due 7/01/05 .................................... $11,000 10,862
Jackson National Life Insurance Co.
8.15% due 3/15/27 .................................... 10,000 10,210
------------
21,072
------------
ASSET BACKED - 0.2%
Atlantic City Electric Co.
7.01% due 8/02/23 .................................... 10,000 10,041
Federal National Mortgage Association
7.35% due 8/17/21 .................................... 10,000 10,163
Merrill Lynch Mortgage Investors Inc.
6.95% due 6/18/29 .................................... 5,000 5,031
------------
25,235
------------
MORTGAGE BACKED - 0.1%
Federal National Mortgage Association
6.00% due 3/15/09 .................................... 9,248 8,553
------------
U. S. TREASURY OBLIGATIONS - 4.2%
United States Treasury Bond
6.50% due 11/15/26 ................................... 20,000 19,181
------------
United States Treasury Notes
6.00% due 5/31/98 .................................... 150,000 150,281
5.875% due 11/15/99 .................................. 120,000 119,231
6.25% due 1/31/02 .................................... 88,000 87,519
6.50% due 5/31/02 .................................... 23,000 23,093
6.50% due 10/15/06 ................................... 47,000 46,802
------------
426,926
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.0%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 780
----------
TOTAL U.S. TREASURY OBLIGATIONS ....................... 446,887
----------
TOTAL DOMESTIC FIXED INCOME ........................... 501,747
----------
INTERNATIONAL BOND--20.7%
- --------------------------------------------------------------------------------
FIXED INCOME -- 16.7%
- --------------------------------------------------------------------------------
CURRENCY
--------
ARGENTINA - 0.5%
Government of Argentina Bocon
3.242% due 4/01/01 .................. ARS 40,000 48,653
----------
AUSTRIA - 0.3%
Republic of Austria
7.625% due 10/18/04 ................. ATS 290,000 26,769
----------
CANADA - 1.3%
Canadian Government
8.75% due 12/01/05 .................. CAD 158,000 133,265
----------
CROATIA - 0.3%
Republic of Croatia
6.50% due 7/31/06 ................... USD 38,551 37,299
----------
DENMARK - 0.5%
Denmark (Kingdom)
8.00% due 5/15/03 ................... DKK 300,000 51,136
----------
FINLAND - 2.0%
Finland (Rep of)
7.25% due 4/18/06 ................... FIM 1,000,000 208,864
----------
FRANCE - 0.9%
Government of France
7.75% due 10/25/05 .................. FRF 490,000 96,513
----------
GERMANY - 3.6%
Germany (Fed) Rep
5.875% due 5/15/00 .................. DEM 630,000 380,362
----------
GREAT BRITAIN - 1.8%
Treasury
8.50% due 12/07/05 .................. GBP 106,000 192,188
----------
GREECE - 0.2%
Hellenic Republic
14.80% due 6/17/03 .................. GRD 1,500,000 5,628
Republic of Greece
14.00% due 10/23/03 ................. GRD 5,000,000 18,914
----------
24,542
----------
ITALY - 1.4%
Republic of Italy
6.00% due 1/01/00 ................... ITL 50,000,000 29,455
Republic of Italy
9.50% due 1/01/05 ................... ITL 185,000,000 125,396
----------
154,851
----------
PHILIPPINES - 0.4%
Eurobank Recon & Development
9.00% due 4/22/98 ................... PHP $1,000,000 37,913
----------
SOUTH AFRICA - 0.3%
Republic of South Africa
14.00% due 8/15/97 .................. ZAR 150,000 32,973
----------
SPAIN - 0.5%
Government of Spain
10.00% due 2/28/05 .................. ESP 7,000,000 58,715
----------
SWEDEN - 2.7%
Sweden (Kingdom)
10.25% due 5/05/00 .................. SEK 2,000,000 292,478
----------
TOTAL FIXED INCOME 1,776,521
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 2.5%
- --------------------------------------------------------------------------------
Argentina Treasury Bill
due 3/20/98 ......................... ARS 10,000 9,548
Canadian Treasury Bill
due 4/02/98 ......................... CAD 80,000 56,168
General Motors Acceptance Corp.
5.65% due 7/30/97 ................... 100,000 99,545
Mexican Cetes
due 7/24/97 ......................... MEX 60,000 7,450
Mexican Cetes
due 7/31/97 ......................... MEX 60,000 7,419
Mexican Cetes
due 10/02/97 ........................ MEX 60,000 7,157
Mexican Cetes
due 10/30/97 ........................ MEX 70,000 8,218
Poland Treasury Bill
due 10/22/97 ........................ PLN 10,000 2,854
Poland Treasury Bill
due 12/03/97 ........................ PLN 60,000 16,721
Poland Treasury Bill
due 4/22/98 ......................... PLN 70,000 18,111
Poland Treasury Bill
due 5/13/98 ......................... PLN 60,000 15,354
United States Treasury Bill
4.30% due 7/03/97(+) ................ 15,384
----------
263,929
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS -- 1.5%
- --------------------------------------------------------------------------------
Purchased calls
AST 310,000 Australian Government Bonds
@ 107.603 exp. date 9/16/97 ........................... 23,320
JPY 18,000,000 Japanese Government Bonds
@ 102.586 exp. date 9/16/97 ........................... 15,778
JPY 97,000,000 Japanese Government Bonds
@ 97.239 exp. date 9/25/97 ............................ 126,967
----------
TOTAL INTERNATIONAL BOND OPTIONS ....................... 166,065
----------
TOTAL INTERNATIONAL BOND ............................... 2,206,515
----------
SHORT-TERM--3.1%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) $ 325,950
-----------
Total Investments
(Identified Cost $10,012,127) 100.8% 10,723,303
Other Assets,
Less Liabilities (0.8) (84,100)
---- -----------
Net Assets 100.0% $10,639,203
===== ===========
*Non income producing
(+)The Portfolio owns in aggregate U.S. Treasury Bills 4.30%, due 7/03/97
valued at $491,232, portions of which are listed separately by each Asset
Class.
(++)The Portfolio owns in aggregate 450 shares of Deere & Co. valued at $24,694,
390 shares in E I du Pont de Nemours & Co. valued at $24,522, 1,085 shares
in Philip Morris Cos. Inc. valued at $48,147, 295 shares in Chubb Corp.
valued at $19,729, 180 shares in Compaq Computer Corp. valued at $17,865 and
395 shares of Federal National Mortgage Association, valued at $17,232.
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP FOLIO 400
- --------------------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------- ------ ----- ------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) .................... Germany $401,682 $409,906 July-97 $ (8,224)
Deutsche Mark (Sell) ................... Germany 239,462 241,492 July-97 2,030
Deutsche Mark (Sell) ................... Germany 984,735 999,760 August-97 15,025
Deutsche Mark (Buy) .................... Germany 957,969 967,702 September-97 (9,733)
Dollar (Sell) .......................... Australia 37,104 37,063 July-97 (41)
Dollar (Buy) ........................... Australia 38,549 39,576 July-97 (1,027)
Dollar (Buy) ........................... Canada 70,268 70,460 July-97 (192)
Dollar (Sell) .......................... Canada 55,770 55,797 July-97 27
Dollar (Buy) ........................... Canada 104,789 104,325 September-97 464
Dollar (Sell) .......................... Canada 183,393 186,679 March-98 3,286
Drachma (Sell) ......................... Greece 6,915 6,968 July-97 53
ECU (Sell) ............................. Europe 26,922 27,765 July-97 843
ECU (Buy) .............................. Europe 11,288 11,367 July-97 (79)
Franc (Buy) ............................ Belgium 88,202 90,303 July-97 (2,101)
Franc (Sell) ........................... Belgium 33,688 34,003 July-97 315
Franc (Buy) ............................ Belgium 23,124 23,436 Sep-97 (312)
Franc (Buy) ............................ France 45,992 47,492 July-97 (1,500)
Franc (Sell) ........................... France 1,472 1,523 July-97 51
Franc (Buy) ............................ France 93,723 94,658 August-97 (935)
Franc (Sell) ........................... France 99,777 100,784 August-97 1,007
Franc (Sell) ........................... France 83,476 82,612 September-97 (864)
Franc (Sell) ........................... Switzerland 1,529 1,549 July-97 20
Franc (Sell) ........................... Switzerland 90,332 93,562 August-97 3,230
Franc (Sell) ........................... Switzerland 325,256 330,610 September-97 5,354
Guilder (Buy) .......................... Netherlands 105,077 107,236 July-97 (2,159)
Guilder (Sell) ......................... Netherlands 9,733 9,955 September-97 222
Koruna (Sell) .......................... Czechoslovakia 6,385 6,415 August-97 30
Koruna (Buy) ........................... Czechoslovakia 26,451 27,645 August-97 (1,194)
Krone (Buy) ............................ Denmark 4,522 4,594 July-97 (72)
Krone (Buy) ............................ Sweden 42,676 42,564 July-97 112
Krone (Sell) ........................... Sweden 268,987 271,346 July-97 2,359
Krone (Sell) ........................... Sweden 20,084 20,069 August-97 (15)
Lira (Buy) ............................. Italy 277,051 275,807 July-97 1,244
Lira (Sell) ............................ Italy 89,487 89,402 July-97 (85)
Lira (Buy) ............................. Italy 6,451 6,491 October-97 (40)
Markka (Sell) .......................... Finland 206,449 208,801 July-97 2,352
Markka (Buy) ........................... Finland 23,164 23,442 July-97 (278)
Markka (Buy) ........................... Finland 208,004 208,955 August-97 (951)
Peseta (Buy) ........................... Spain 117,470 118,760 July-97 (1,290)
Peseta (Sell) .......................... Spain 33,699 34,019 August-97 320
Peseta (Buy) ........................... Spain 115,407 116,518 August-97 (1,111)
Peseta (Sell) .......................... Spain 83,282 84,435 September-97 1,153
Peso (Buy) ............................. Chile 8,887 8,810 July-97 77
Peso (Buy) ............................. Philippines 12,844 12,842 July-97 (2)
Pound (Buy) ............................ Great Britain 66,591 64,860 July-97 1,731
Pound (Sell) ........................... Great Britain 3,406 3,329 July-97 (77)
Pound (Sell) ........................... Great Britain 78,091 76,638 August-97 (1,453)
Pound (Buy) ............................ Great Britain 76,493 75,164 August-97 1,329
Pound (Buy) ............................ Great Britain 16,600 16,298 October-97 302
Rand (Sell) ............................ South Africa 8,709 8,763 August-97 54
Rupiah (Buy) ........................... Indonesia 14,005 13,870 July-97 135
Won (Buy) .............................. South Korea 14,189 14,008 July-97 181
Yen (Sell) ............................. Japan 152,530 149,849 July-97 (2,681)
Yen (Buy) .............................. Japan 756,345 693,491 July-97 62,854
Yen (Buy) .............................. Japan 142,902 140,105 August-97 2,797
Yen (Sell) ............................. Japan 279,842 276,008 August-97 (3,834)
Yen (Sell) ............................. Japan 73,395 74,992 September-97 1,597
--------
$ 70,304
========
</TABLE>
<PAGE>
CITISELECT(SM) VIP FOLIO 500
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--7.8%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 7.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
E I du Pont de Nemours & Co. .......................... 290 $ 18,234
Illinois Tool Works ................................... 340 16,979
Kimberly Clark Corp. .................................. 195 9,701
Nucor Corp. ........................................... 140 7,910
Praxair ............................................... 235 13,160
------------
65,984
------------
CAPITAL GOODS - 0.8%
Applied Materials* .................................... 120 8,497
Deere & Co.(++) ....................................... 340 18,657
Emerson Electric Co. .................................. 210 11,563
General Electric Co. .................................. 585 38,244
Ucar Intl Inc.* ....................................... 150 6,862
------------
83,823
------------
CONSUMER BASICS - 2.8%
Abbott Labs ........................................... 320 21,360
Clorox Co. ............................................ 100 13,200
Coca Cola Co. ......................................... 500 33,750
Colgate Palmolive Co. ................................. 385 25,121
Gillette Co. .......................................... 220 20,845
Health Management Association* ........................ 420 11,970
Johnson & Johnson ..................................... 315 20,278
Lilly Eli & Co. ....................................... 130 14,211
Merck & Co. ........................................... 150 15,525
PepsiCo ............................................... 550 20,659
Philip Morris Cos. Inc.(++) ........................... 575 25,516
Pfizer Inc. ........................................... 160 19,120
Procter & Gamble Co. .................................. 125 17,656
Schering Plough Corp. ................................. 300 14,362
Warner Lambert Co. .................................... 155 19,259
------------
292,832
------------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. .................................. 105 4,515
Sherwin Williams Co. .................................. 340 10,497
------------
15,012
------------
CONSUMER NON-DURABLES - 0.6%
Consolidated Stores* .................................. 456 15,855
Gap Inc. .............................................. 120 4,665
Home Dept Inc. ........................................ 130 8,962
Kohls Corp.* .......................................... 280 14,823
Walgreen Co. .......................................... 355 19,037
------------
63,342
------------
CONSUMER SERVICES - 0.2%
Carnival Corp. ........................................ 310 12,788
Walt Disney Co. ....................................... 150 12,037
------------
24,825
------------
FINANCE - 0.8%
American International Group Inc. ..................... 100 14,937
Chubb Corp.(++) ....................................... 185 12,372
Federal National Mtg. Association(++) ................. 195 8,507
Norwest Corp. ......................................... 150 8,437
State Street Corporation .............................. 220 10,175
Travelers Group Inc. .................................. 275 17,342
Zions Bancorp ......................................... 305 11,476
------------
83,246
------------
GENERAL BUSINESS - 0.7%
Automated Data Processing Inc. ........................ 330 15,510
First Data Corp. ...................................... 295 12,962
Gannett Inc. .......................................... 235 23,206
Interpublic Group Cos Inc. ............................ 210 12,876
Service Corp. International ........................... 330 10,849
------------
75,403
----------
TECHNOLOGY - 1.1%
Compaq Computer Corp.*(++) ............................ 75 7,444
Hewlett Packard Co. ................................... 165 9,240
Intel Corp. ........................................... 130 18,436
Microsoft Corp.* ...................................... 265 33,489
Motorola Inc. ......................................... 110 8,360
Perkin Elmer Corp. .................................... 225 17,902
Xerox Corp. ........................................... 240 18,930
------------
113,801
------------
TOTAL COMMON STOCKS ................................... 818,268
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 8,348
------------
TOTAL LARGE CAP GROWTH ................................ 826,616
------------
LARGE CAP VALUE--8.0%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 7.9%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Cabot Corp. ........................................... 200 5,675
Dow Chemical Co. ...................................... 100 8,713
E I du Pont de Nemours & Co. .......................... 100 6,287
FMC Corp.* ............................................ 100 7,944
Great Lakes Chemical Corp. ............................ 200 10,475
IMC Global Inc. ....................................... 100 3,500
Premark International Inc. ............................ 200 5,350
Rohm & Haas Co. ....................................... 100 9,006
Westvaco Corp. ........................................ 100 3,144
------------
60,094
------------
CAPITAL GOODS - 0.8%
Caterpillar Inc. ...................................... 100 10,738
Cummins Engine Inc. ................................... 400 28,225
Deere & Co.(++) ....................................... 100 5,488
Harnischfeger Industries Inc. ......................... 300 12,450
Kennametal Inc. ....................................... 200 8,600
Parker Hannifin Corp. ................................. 200 12,137
Tecumseh Products Co. ................................. 200 11,975
------------
89,613
------------
CONSUMER BASICS - 0.9%
Bergen Brunswig Corp. ................................. 250 6,969
Columbia /HCA Healthcare Corp. ........................ 200 7,862
IBP Inc. .............................................. 300 6,975
Mallinckrodt Inc. ..................................... 200 7,600
Maxicare Health Plans Inc.* ........................... 200 4,475
Nellcor Puritan Bennett Inc.* ......................... 400 7,250
Philip Morris Cos. Inc.(++) ........................... 500 22,187
RJR Nabisco Holdings Corp. ............................ 400 13,200
Tupperware Corp. ...................................... 200 7,300
Universal Foods Corp. ................................. 200 7,625
------------
91,443
------------
CONSUMER DURABLE GOODS - 0.7%
Dana Corp. ............................................ 200 7,600
Eaton Corp. ........................................... 100 8,731
Ford Motor Co. Del .................................... 700 26,425
General Motors Corp. .................................. 200 11,138
Goodyear Tire and Rubber .............................. 300 18,994
------------
72,888
------------
CONSUMER NON-DURABLES - 0.4%
Russell Corp. ......................................... 200 5,925
Springs Industries Inc. ............................... 100 5,275
Talbots Inc. .......................................... 300 10,200
Toys "R" Us Inc.* ..................................... 300 10,500
V F Corp. ............................................. 100 8,475
------------
40,375
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ........................................ 100 9,250
UAL Corp.* ............................................ 100 7,156
------------
16,406
------------
ENERGY - 0.7%
Amoco Corp. ........................................... 100 8,694
Atlantic Richfield Co. ................................ 200 14,100
British Petroleum PLC ................................. 200 14,975
Mapco Inc. ............................................ 200 6,300
Phillips Petrolium Co. ................................ 200 8,750
Repsol ................................................ 200 8,487
Ultra Mar Diamond Shamrock ............................ 200 6,525
YPF Sociedad Anonima .................................. 300 9,225
------------
77,056
------------
FINANCE - 1.7%
Aegon ................................................. 43 3,013
Allstate Corp. ........................................ 200 14,600
American General Corp. ................................ 200 9,550
Bank of New York Inc. ................................. 200 8,700
Capital One Financial Corp. ........................... 200 7,550
Case Corp. ............................................ 300 20,662
Chase Manhattan Corp. ................................. 100 9,706
Chubb Corp.(++) ....................................... 100 6,688
Crestar Financial Corp. ............................... 100 3,887
Everest Reinsurance Holdings .......................... 300 11,888
Federal Home Loan Mortgage Corp. ...................... 100 3,438
Federal National Mortgage Association(++) ............. 200 8,725
First Union Corp. ..................................... 100 9,250
Foundation Health Systems* ............................ 290 8,791
Mellon Bank Corp. ..................................... 200 9,025
Old Republic Intl Corp. ............................... 200 6,063
Reliastar Financial Corp. ............................. 100 7,313
Republic NY Corp. ..................................... 100 10,750
Signet Banking Corp. .................................. 200 7,200
Tig Holdings Inc. ..................................... 100 3,125
Transatlantic Holdings Inc. ........................... 100 9,925
------------
179,849
------------
GENERAL BUSINESS - 0.1%
Olsten Corp. .......................................... 300 5,831
Standard Register ..................................... 100 3,063
------------
8,894
------------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. ................................. 400 18,900
Dillard Inc. .......................................... 200 6,925
Hartford Financial Services Group ..................... 100 8,275
Providian Financial Corp. ............................. 100 3,212
------------
37,312
------------
SHELTER - 0.1%
Owens Corning ......................................... 200 8,625
------------
TECHNOLOGY - 1.0%
Beckman Industries Inc. ............................... 300 14,475
Compaq Computer Corp.*(++) ............................ 100 9,925
International Business Machines ....................... 300 27,056
Raytheon Co. .......................................... 100 5,100
Seagate Technology* ................................... 300 10,556
Stratus Computer Inc.* ................................ 100 5,000
Tektronix Inc. ........................................ 200 12,000
TRW Inc. .............................................. 200 11,362
Western Digital Corp.* ................................ 200 6,325
------------
101,799
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe .......................... 100 8,987
CSX Corp. ............................................. 100 5,550
------------
14,537
------------
UTILITIES - 0.3%
Central ME Power Co. .................................. 200 2,475
Cinergy Corp. ......................................... 100 3,481
DTE Energy Co. ........................................ 200 5,525
Duke Power Co. ........................................ 104 4,985
EL Paso Natural Gas Co. ............................... 100 5,500
Entergy Corp. ......................................... 200 5,475
GPU Inc. .............................................. 200 7,175
------------
34,616
------------
TOTAL COMMON STOCKS ................................... 833,507
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 15,267
------------
TOTAL LARGE CAP VALUE ................................. 848,774
------------
SMALL CAP GROWTH--16.7%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 16.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Central Packing Corp. ................................. 1,305 45,430
OM Group Inc. ......................................... 830 27,494
------------
72,924
------------
CAPITAL GOODS - 0.4%
Hardinge Bros. Inc. ................................... 1,540 45,045
------------
CONSUMER BASICS - 3.5%
Cytyc Corp.* .......................................... 1,725 46,791
General Cigar Holdings Inc.* .......................... 1,295 38,122
Human Gendme Sciences Inc.* ........................... 700 23,275
Occusystems Inc.* ..................................... 1,180 34,220
Parexel International Corp.* .......................... 1,930 61,277
Performance Food Group Co.* ........................... 1,695 35,595
Renal Treatment Centers Inc.* ......................... 1,535 41,253
Suiza Foods Corp.* .................................... 1,325 54,325
Worthington Foods Inc. ................................ 1,600 39,200
------------
374,058
------------
CONSUMER DURABLES - 0.8%
Miller Industries Inc.* ............................... 3,085 49,360
Tower Automotive Inc.* ................................ 745 32,035
------------
81,395
------------
CONSUMER NON-DURABLES - 0.8%
Henry Schein Inc.* .................................... 1,200 37,500
Men's Wearhouse Inc.* ................................. 925 29,138
Wilmar Industries Inc.* ............................... 790 19,256
------------
85,894
------------
CONSUMER SERVICES - 0.8%
Premier Pks Inc.* ..................................... 1,215 44,803
Regal Cinemas Inc.* ................................... 1,295 42,735
------------
87,538
------------
ENERGY - 0.8%
Forcenergy Inc.* ...................................... 1,395 42,373
Lomak Pete Inc. ....................................... 2,120 37,763
------------
80,136
------------
FINANCE - 0.6%
Allied Group Inc. ..................................... 1,045 39,710
Metris Cosmetics Inc. ................................. 670 21,984
------------
61,694
------------
GENERAL BUSINESS - 4.2%
Abacus Direct Corp.* .................................. 1,830 59,475
Equity Corp. International* ........................... 2,110 51,036
Executive Risk Inc. ................................... 775 40,300
Heftel Broadcasting Corp.* ............................ 965 53,316
Lamar Advertising Co.* ................................ 1,830 46,665
Metro Networks Inc.* .................................. 1,930 46,803
Profit Recovery Group Intl Inc.* ...................... 500 6,937
Registry Inc.* ........................................ 865 39,790
Snyder Communications Inc.* ........................... 1,295 34,884
Whittman Hart Inc.* ................................... 2,175 61,172
------------
440,378
------------
MISCELLANEOUS - 2.0%
Gray Communications ................................... 100 2,088
Melita Intl Corp.* .................................... 1,970 24,625
NFO Research Inc.* .................................... 910 22,523
Rental Service Corp. .................................. 2,010 52,762
Sirrom Cap Corp. ...................................... 965 33,292
Suburban Lodges America Inc.* ......................... 2,215 46,515
Synthetic Industries Inc.* ............................ 460 9,718
Xionics Document Technologies* ........................ 1,110 16,373
------------
207,896
------------
TECHNOLOGY - 1.5%
CDW Computer Ctrs Inc.* ............................... 540 28,654
Claremont Technology Group Inc.* ...................... 1,750 41,562
E Trade Group Inc.* ................................... 1,700 33,363
Inso Corp. ............................................ 600 12,338
Periphonics Corp.* .................................... 1,825 39,238
------------
155,155
------------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ......................... 1,290 34,991
------------
TOTAL COMMON STOCKS ................................... 62,865 1,727,104
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.3%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 36,380
------------
TOTAL SMALL CAP GROWTH ................................ 1,763,484
------------
SMALL CAP VALUE--17.8%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 17.3%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.9%
Carpenter Technology Corp. ............................ 200 9,150
Keystone Consolidated Inds Inc.* ...................... 7,800 84,825
------------
93,975
------------
CAPITAL GOODS - 3.1%
Astro Medical Inc.* ................................... 1,600 14,100
Commercial Intertech Corp. ............................ 5,500 76,656
D.R. Horton Inc.* ..................................... 5,900 61,213
Esco Electronics Corp.* ............................... 5,800 73,225
Global Industries Technologies Inc.* .................. 1,000 20,500
United Industrial Corp. ............................... 9,500 84,906
------------
330,600
------------
CONSUMER BASICS - 1.8%
MMI Cosmetics Inc. .................................... 2,300 60,088
Matrix Pharmaceuticals* ............................... 10,000 66,875
Schultz Sav O Stores Inc. ............................. 1,000 17,750
Standard Coml Corp. ................................... 2,323 40,362
------------
185,075
------------
CONSUMER DURABLE GOODS - 1.8%
Coachmen Industries Inc. .............................. 900 15,413
Flexsteel Industries Inc. ............................. 700 8,225
Haskel International Inc. ............................. 7,600 91,200
West Inc. ............................................. 2,500 71,562
------------
186,400
------------
CONSUMER NON-DURABLES - 2.0%
Cato Corp. ............................................ 15,500 84,281
Haverty Furniture Cos. Inc. ........................... 5,500 68,750
Syms Corp.* ........................................... 5,800 57,638
------------
210,669
------------
CONSUMER SERVICES - 0.6%
Aztar Corp.* .......................................... 9,500 67,094
------------
ENERGY - 0.1%
Atwood Oceanics Inc.* ................................. 200 13,400
------------
FINANCE - 0.7%
Flagstar Bancorp Inc. ................................. 700 11,375
Homeside Inc.* ........................................ 2,300 50,313
Matrix Cap. Corp. ..................................... 100 1,400
Ocwen Asset Invt Corp. ................................ 300 6,075
------------
69,163
------------
GENERAL BUSINESS - 1.2%
Devon Group Inc.* ..................................... 1,800 64,350
Ennis Business Forms Inc. ............................. 6,500 62,562
------------
126,912
------------
MISCELLANEOUS - 2.3%
Commonwealth Industries Inc. .......................... 4,000 81,500
Durco International Inc. .............................. 3,000 87,750
Spacehab Inc.* ........................................ 7,900 70,113
Spectralink Corp. ..................................... 400 2,250
Symons International Group Inc.* ...................... 100 1,525
------------
243,138
------------
SHELTER - 2.2%
Beazer Homes USA Inc.* ................................ 4,400 70,400
Belmont Homes Inc.* ................................... 2,000 13,750
Morgan Products Ltd.* ................................. 9,000 67,500
Patrick Industries Inc. ............................... 300 4,950
Ryland Group Inc. ..................................... 5,400 76,275
Southern Energy Homes Inc.* ........................... 300 2,737
------------
235,612
------------
TRANSPORTATION - 0.6%
Fritz Companies Inc. .................................. 6,100 59,094
------------
TOTAL COMMON STOCKS ................................... 155,723 1,821,132
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.5%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 52,539
------------
TOTAL SMALL CAP VALUE ................................. 1,873,671
------------
INTERNATIONAL EQUITY--36.1%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 34.67%
- --------------------------------------------------------------------------------
AUSTRIA - 0.4%
Bohler Uddeholm ....................................... 610 47,304
------------
AUSTRALIA - 1.6%
Australia & New Zealand Bank Grp ...................... 10,560 79,009
Pioneer International Ltd ............................. 13,810 53,437
Quantas Airways ....................................... 16,990 39,805
------------
172,251
------------
CANADA - 1.8%
Bank N S Halifax ...................................... 1,170 51,258
Canadian Imperial Bank Toronto ........................ 1,800 45,360
Imasco Ltd. ........................................... 2,030 58,800
Noranda Inc. .......................................... 1,620 34,841
------------
190,259
------------
FINLAND - 0.7%
Rauma Oy .............................................. 875 20,052
UPM Kymmene Oy ........................................ 2,305 53,267
------------
73,319
------------
FRANCE - 2.3%
Elf Aquitaine ......................................... 360 38,838
Lafarge ............................................... 1,160 72,146
Pernod Ricard ......................................... 1,220 62,903
Usinor Sacilor ........................................ 3,810 68,722
------------
242,609
------------
GERMANY - 0.7%
Commerzbank AG ........................................ 2,610 73,926
------------
GREAT BRITAIN - 7.9%
Abbey National ........................................ 3,430 46,838
Allied Domecq PLC ..................................... 6,770 48,704
Bat Industries ........................................ 6,890 61,672
BTR ................................................... 19,300 66,048
Coats Viyella ......................................... 29,250 61,375
Commercial Union ...................................... 3,790 39,857
Energy Group .......................................... 4,000 42,698
Hanson ................................................ 10,557 52,390
Harrison & Crosfield .................................. 23,995 43,955
Hillsdown Holdings .................................... 5,050 68,119
Lex Service ........................................... 10,920 68,649
Powergen .............................................. 5,410 64,326
Redland ............................................... 11,100 62,848
Safeway ............................................... 8,120 46,990
Tate & Lyle ........................................... 8,190 60,897
------------
835,366
------------
HONG KONG - 2.3%
China Light & Power ................................... 3,000 16,999
Dickson Concept Inc. .................................. 7,700 28,028
Hang Lung Development Co. ............................. 16,000 29,326
Hong Kong Telecomm .................................... 14,600 34,864
HSBC Holdings ......................................... 1,500 45,112
Manhattan Card Co. .................................... 106,000 48,230
New World Development Co. ............................. 5,000 29,817
Sth China Morn Post ................................... 5,900 5,788
------------
238,164
------------
ITALY - 0.5%
Eni Spa ............................................... 10,000 56,632
------------
IRELAND - 0.6%
Smurfit ............................................... 22,500 65,405
------------
JAPAN - 5.2%
Koito Mfg. Co. ........................................ 6,000 45,856
MOS Food Services ..................................... 2,200 40,691
Nichicon Corp. ........................................ 6,000 81,138
Nintendo Co. .......................................... 700 58,629
Promise Co. ........................................... 1,300 74,402
Sekisui Chemical ...................................... 5,000 50,602
Sony Corp. ............................................ 600 52,295
Suzuki Motor Corp. .................................... 8,000 101,204
Yodogawa Steelworks ................................... 7,000 42,750
------------
547,567
------------
MALAYSIA - 0.9%
Arab Malaysian Finance ................................ 11,400 24,164
Bolton Properties ..................................... 23,400 33,376
Kedah Cement Holdings ................................. 7,900 12,332
Malaysian International Shipping ...................... 8,500 22,058
------------
91,930
------------
NETHERLANDS - 2.9%
Akzo Nobel NV ......................................... 490 67,151
ABN Amro Holdings NV .................................. 3,940 73,465
Hollandsche Beton ..................................... 60 13,685
Ing Groep NV .......................................... 1,690 77,918
Kon PTT Nederland ..................................... 1,760 69,041
------------
301,260
------------
NEW ZEALAND - 0.3%
Fletcher Challenge (Building) ......................... 11,460 34,484
Fletcher Challenge (Paper) ............................ 458 653
------------
35,137
------------
NORWAY - 0.8%
Kvaerner ASA .......................................... 960 58,091
Nycomed ............................................... 1,880 26,933
------------
85,024
------------
SPAIN - 1.4%
Banco Santander SA .................................... 2,446 75,364
Repsol SA ............................................. 1,610 68,071
------------
143,435
------------
SWEDEN - 0.3%
Electrolux AB ......................................... 470 33,903
------------
SWITZERLAND - 3.3%
Forbo Hldg ............................................ 186 80,260
Nestle SA ............................................. 55 72,555
Schw Ruckversicher .................................... 53 74,962
Sig Schw Ind HG AG .................................... 18 54,555
Sulzer AG ............................................. 82 70,205
------------
352,537
------------
UNITED STATES - 0.7%
Jardine Matheson ...................................... 9,800 69,580
------------
TOTAL COMMON STOCKS ................................... 535,320 3,655,608
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 1.5%
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ................................. 152,573
------------
TOTAL INTERNATIONAL EQUITY ............................ 3,808,181
------------
INTERNATIONAL BOND--12.6%
- --------------------------------------------------------------------------------
FIXED INCOME -- 8.2%
- --------------------------------------------------------------------------------
CURRENCY
- --------------------------------------------------------------------------------
ARGENTINA - 0.2%
Government of Argentina Bocon
3.242% due 4/01/01 ......... ARS 26,528 24,326
----------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ........ ATS 150,000 13,846
----------
CANADA - 0.8%
Canadian Government
8.75% due 12/01/05 ......... CAD 104,000 87,719
----------
DENMARK - 0.2%
Denmark (Kingdom)
8.00% due 5/15/03 .......... DKK 150,000 25,568
----------
FRANCE - 0.7%
Government of France
7.75% due 10/25/05 ......... FRF 360,000 70,907
----------
GERMANY - 2.3%
Germany (Fed) Rep
5.875% due 5/15/00 ......... DEM 405,000 244,519
----------
GREAT BRITAIN - 0.9%
Treasury
8.50% due 12/07/05 ......... GBP 50,000 90,655
----------
GREECE - 0.1%
Hellenic Republic
14.80% due 6/17/03 ......... GRD 300,000 1,126
Republic of Greece
14.00% due 10/23/03 ........ GRD 2,000,000 7,565
----------
8,691
----------
ITALY - 0.8%
Republic of Italy
6.00% due 1/01/00 .......... ITL 50,000,000 29,455
Republic of Italy
9.50% due 1/01/05 .......... ITL 80,000,000 54,225
----------
83,680
----------
JAPAN - 0.3%
Government of Japan
4.10% due 12/22/03 ......... JPY 3,000,000 30,472
----------
SOUTH AFRICA - 0.1%
Republic of South Africa
14.00% due 8/15/97 ......... ZAR 60,000 13,189
----------
SPAIN - 0.3%
Government of Spain
10.00% due 2/28/05 ......... ESP 4,000,000 33,551
----------
SWEDEN - 1.4%
Sweden (Kingdom)
10.25% due 5/05/00 ......... SEK 1,000,000 146,239
----------
TOTAL FIXED INCOME 873,362
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 3.7%
- --------------------------------------------------------------------------------
Canadian Treasury Bill
due 4/02/98 ................ CAD 40,000 28,084
Federal Home Loan Mortgage Discount Notes
5.44% due 7/14/97 .......... $200,000 199,607
Federal National Mortgage Association
5.45% due 8/01/97 .......... $100,000 99,531
Mexican Cetes
due 7/24/97 ................ MEX 20,000 2,386
Mexican Cetes
due 7/31/97 ................ MEX 20,000 2,386
Mexican Cetes
due 10/02/97 ............... MEX 20,000 2,386
Mexican Cetes
due 10/30/97 ............... MEX 30,000 3,578
Poland Treasury Bill
due 5/13/98 ................ PLN 20,000 5,118
Poland Treasury Bill
due 12/03/97 ............... PLN 20,000 5,574
Poland Treasury Bill
due 4/22/98 ................ PLN 30,000 7,762
United States Treasury Bill
4.30% due 7/03/97(+) 31,514
----------
387,926
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS -- 0.7%
- --------------------------------------------------------------------------------
Purchased calls
AST 150,000 Australian Government Bonds
@107.603 exp. date 9/26/97 ......................... 11,284
JPY 7,000,000 Japanese Government Bonds
@102.586 exp. date 9/16/97 ......................... 6,136
JPY 41,000,000 Japanese Government Bonds
@97.239 exp. date 9/25/97 .......................... 53,666
----------
TOTAL INTERNATIONAL BOND OPTIONS .................... 71,086
----------
TOTAL INTERNATIONAL BOND ............................ 1,332,374
----------
SHORT TERM--4.6%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS
- --------------------------------------------------------------------------------
United States Treasury Bill
4.30% due 7/03/97(+) ............................... 488,369
-----------
Total Investments
(Identified Cost $10,091,032) ........ 103.6% 10,941,469
Other Assets,
Less Liabilities ..................... (3.6) (381,123)
------ -----------
Net Assets ............................ 100.0% $10,560,346
====== ===========
*Non income producing
(+)The Portfolio owns in aggregate U.S. Treasury Bill 4.30%, due 7/03/97 valued
at $784,990, portions of which are listed separately by each Asset Class.
(++)The Portfolio owns in aggregate 440 shares of Deere & Co. valued at $24,521,
1,075 shares in Philip Morris Cos. Inc. valued at $47,703, 285 shares in
Chubb Corp. valued at $19,060, 390 shares in E I du Pont de Nemours & Co.
valued at $24,521, 175 shares in Compaq Computers Corp. valued at $17,369
and 395 shares of Federal National Mortgage Association, valued at $17,232.
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP FOLIO 500
- --------------------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------- ------ ----- ------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) .................... Germany $149,771 $152,456 July-97 $ (2,685)
Deutsche Mark (Sell) ................... Germany 45,114 45,689 July-97 575
Deutsche Mark (Buy) .................... Germany 287,451 294,723 August-97 (7,272)
Deutsche Mark (Sell) ................... Germany 294,978 300,357 August-97 5,379
Deutsche Mark (Buy) .................... Germany 160,404 162,213 September-97 (1,809)
Dollar (Sell) .......................... Australia 20,440 20,437 July-97 (3)
Dollar (Buy) ........................... Australia 19,652 20,176 July-97 (524)
Dollar (Buy) ........................... Canada 27,523 27,551 July-97 (28)
Dollar (Sell) .......................... Canada 27,523 27,536 July-97 13
Dollar (Buy) ........................... Canada 50,939 50,714 September-97 225
Dollar (Sell) .......................... Canada 19,661 19,651 September-97 (10)
Dollar (Sell) .......................... Canada 95,364 97,073 March-98 1,709
Drachma (Sell) ......................... Greece 364 361 July-97 (3)
ECU (Sell) ............................. Europe 9,477 9,802 July-97 325
Franc (Buy) ............................ Belgium 30,041 30,740 July-97 (699)
Franc (Sell) ........................... Belgium 4,371 4,412 July-97 41
Franc (Buy) ............................ Belgium 11,562 11,718 Sep-97 (156)
Franc (Buy) ............................ France 3,407 3,529 July-97 (122)
Franc (Sell) ........................... France 534 552 July-97 18
Franc (Buy) ............................ France 25,095 25,346 August-97 (251)
Franc (Sell) ........................... France 10,497 10,607 August-97 110
Franc (Buy) ............................ France 30,790 31,109 September-97 (319)
Franc (Sell) ........................... Switzerland 1,604 827 July-97 (777)
Franc (Sell) ........................... Switzerland 41,593 43,081 August-97 1,488
Franc (Sell) ........................... Switzerland 114,200 116,044 September-97 1,844
Guilder (Buy) .......................... Netherlands 52,539 53,618 July-97 (1,079)
Guilder (Sell) ......................... Netherlands 6,659 6,811 September-97 152
Koruna (Buy) ........................... Czechoslovakia 10,033 10,486 August-97 (453)
Krone (Buy) ............................ Sweden 14,225 14,188 July-97 37
Krone (Sell) ........................... Sweden 134,493 135,673 July-97 1,180
Lira (Buy) ............................. Italy 105,549 105,126 July-97 423
Markka (Sell) .......................... Finland 205,677 208,020 July-97 2,343
Markka (Buy) ........................... Finland 9,652 9,767 July-97 (115)
Markka (Buy) ........................... Finland 208,004 208,955 August-97 (951)
Peseta (Buy) ........................... Spain 45,680 46,165 July-97 (485)
Peseta (Buy) ........................... Spain 54,309 54,832 August-97 (523)
Peseta (Sell) .......................... Spain 47,211 47,864 September-97 653
Peso (Buy) ............................. Chile 3,363 3,333 July-97 30
Pound (Sell) ........................... Great Britain 17,434 17,391 July-97 (43)
Pound (Sell) ........................... Great Britain 5,521 5,420 August-97 (101)
Pound (Buy) ............................ Great Britain 8,314 8,170 August-97 144
Pound (Buy) ............................ Great Britain 16,600 16,298 October-97 302
Rand (Sell) ............................ South Africa 2,177 2,191 August-97 14
Rupiah (Buy) ........................... Indonesia 5,298 5,247 July-97 51
Won (Buy) .............................. South Korea 5,405 5,336 July-97 69
Yen (Sell) ............................. Japan 61,627 60,632 July-97 (995)
Yen (Buy) .............................. Japan 331,884 304,305 July-97 27,579
Yen (Buy) .............................. Japan 6,137 6,080 August-97 57
Yen (Sell) ............................. Japan 5,611 5,533 August-97 (78)
--------
$ 25,280
========
</TABLE>
<PAGE>
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
CITISELECT(SM) CITISELECT(SM) CITISELECT(SM) CITISELECT(SM)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ ------------
ASSETS:
<S> <C> <C> <C> <C>
Investments, at value (Note1A) (Identified Cost, $10,467,701
$10,336,887, $10,012,127 and $10,091,032, respectively) ......... $ 10,839,472 $ 10,843,516 $ 10,723,303 $ 10,941,469
Foreign currency, (cost $10,381, $14,291, $20,426 and $10,668,
respectively) at value .......................................... 11,256 16,302 23,687 14,272
Cash ............................................................. 4,075 1,240 52,708 817
Receivable for securities sold ................................... 3,780,799 4,480,198 4,400,493 1,785,377
Receivable for forward contracts ................................. 101,070 113,563 110,554 44,761
Dividend receivable .............................................. 10,430 19,804 34,849 37,891
Interest receivable .............................................. 81,497 62,347 46,279 17,052
Receivable from sub-administrator (Note 6) ....................... 92,872 91,178 82,448 90,294
Receivable for shares of beneficial interest sold ................ -- -- 10,000 --
Other Assets ..................................................... 95 323 -- 603
------------ ------------ ------------ ------------
Total Assets .................................................... 14,921,566 15,628,471 15,484,321 12,932,536
------------ ------------ ------------ ------------
LIABILITIES:
Payable for securities purchased ................................. 4,304,183 4,877,759 4,667,936 2,225,667
Payable for forward contracts .................................... 33,820 40,509 40,250 19,481
Payable for shares of beneficial interest sold ................... -- 63,759 10,000 --
Management fee payable (Note 2) .................................. 1,784 2,392 3,276 3,460
Accrued expenses and other liabilities ........................... 123,583 123,583 123,656 123,582
------------ ------------ ------------ ------------
Total Liabilities ............................................... 4,463,370 5,108,002 4,845,118 2,372,190
------------ ------------ ------------ ------------
NET ASSETS for 1,002,765, 1,000,093, 1,000,323 and 977,298 shares
respectively, of beneficial interest outstanding ................. $ 10,458,196 $ 10,520,469 $ 10,639,203 $ 10,560,346
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital .................................................. $ 9,953,540 $ 9,818,198 $ 9,774,265 $ 9,702,446
Undistributed net investment income .............................. 157,774 162,244 127,048 90,121
Accumulated net realized gain (loss) on investments .............. (74,668) (20,514) (23,216) (108,818)
Unrealized appreciation of investments and foreign
currency translations ........................................... 421,550 560,541 761,106 876,597
------------ ------------ ------------ ------------
Total Net Assets ................................................. $ 10,458,196 $ 10,520,469 $ 10,639,203 $ 10,560,346
============ ============ ============ ============
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST ................. $ 10.43 $ 10.52 $ 10.64 $ 10.81
============ ============ ============ ============
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE PERIOD FEBRUARY 10, 1997
(COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
CITISELECT(SM) CITISELECT(SM) CITISELECT(SM) CITISELECT(SM)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCOME:
Interest (Note 1B) (net of foreign tax of $0, $0, $149 and $0) ... $ 168,084 $ 155,229 $ 101,942 $ 46,195
Dividends (net of foreign tax of $2,306, $4,425,
$8,531 and $9,881) .............................................. 30,209 53,355 84,320 94,530
--------- --------- --------- ---------
Total investment income ......................................... 198,293 208,584 186,262 140,725
--------- --------- --------- ---------
EXPENSES:
Custodian fees and accounting fees ............................... 100,000 100,000 100,000 100,000
Management fees (Note 2) ......................................... 31,974 36,583 35,537 30,362
Auditing services ................................................ 10,850 10,850 10,850 10,850
Legal services ................................................... 7,500 7,500 7,500 7,500
Trustees fees .................................................... 1,834 1,835 1,835 1,834
Shareholder reports .............................................. 3,705 3,705 3,705 3,705
Miscellaneous .................................................... 1,011 1,013 1,013 1,011
--------- --------- --------- ---------
Total expenses .................................................. 156,874 161,486 160,440 155,262
Less aggregate amount waived by the Manager (Note 2) ............. (23,483) (23,968) (18,778) (14,364)
Less expenses assumed by the Sub-Administrator (Note 6) .......... (92,872) (91,178) (82,448) (90,294)
--------- --------- --------- ---------
Net expenses ..................................................... 40,519 46,340 59,214 50,604
--------- --------- --------- ---------
Net investment income ............................................ 157,774 162,244 127,048 90,121
--------- --------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from investments and
foreign currency transactions ................................... (74,668) (20,514) (23,216) (108,818)
Net change in unrealized appreciation (depreciation) ............. 421,550 560,541 761,106 876,597
--------- --------- --------- ---------
Net realized and unrealized gain (loss) on investments
and foreign currency transactions ............................... 346,882 540,027 737,890 767,779
--------- --------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............. $ 504,656 $ 702,271 $ 864,938 $ 857,900
========= ========= ========= =========
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS -- FOR THE PERIOD FEBRUARY 10, 1997
(COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
CITISELECT(SM) CITISELECT(SM) CITISELECT(SM) CITISELECT(SM)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income ............................................ $ 157,774 $ 162,244 $ 127,048 $ 90,121
Net realized gain (loss) ......................................... (74,668) (20,514) (23,216) (108,818)
Net change in unrealized appreciation of investments ............. 421,550 560,541 761,106 876,597
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations ............ 504,656 702,271 864,938 857,900
------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares ................................. 13,235,582 16,773,262 16,097,754 12,070,476
Cost of shares repurchased ....................................... (3,282,042) (6,955,064) (6,323,489) (2,368,030)
------------ ------------ ------------ ------------
Net increase in net assets from transactions
in shares of beneficial interest ................................ 9,953,540 9,818,198 9,774,265 9,702,446
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ....................................... 10,458,196 10,520,469 10,639,203 10,560,346
NET ASSETS:
Beginning of period .............................................. -- -- -- --
------------ ------------ ------------ ------------
End of period (including undistributed net investment
income of $157,774, $162,244, $127,048 and $90,121) ............. $ 10,458,196 $ 10,520,469 $ 10,639,203 $ 10,560,346
============ ============ ============ ============
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS FOR THE PERIOD FEBRUARY 10, 1997
(COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
CITISELECT(SM) CITISELECT(SM) CITISELECT(SM) CITISELECT(SM)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ............................. $ 10.00 $ 10.00 $ 10.00 $ 10.00
------------ ------------ ------------ ------------
Net investment income ............................................ $ 0.157 $ 0.162 $ 0.127 $ 0.092
Net realized and unrealized gain (loss) on investment ............ 0.273 0.358 0.513 0.718
------------ ------------ ------------ ------------
Total from operations ........................................... 0.430 0.520 0.640 0.810
------------ ------------ ------------ ------------
Net Asset Value, end of period ................................... $ 10.43 $ 10.52 $ 10.64 $ 10.81
============ ============ ============ ============
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) ........................ $ 10,458 $ 10,520 $ 10,639 $ 10,560
Ratio of expenses to average net assets .......................... 0.95%* 0.95%* 1.25%* 1.25%*
Ratio of net investment income to average net assets ............. 3.67%* 3.30%* 2.66%* 2.21%*
Portfolio turnover rates ......................................... 136% 145% 132% 72%
Average commission rate per share (A) ............................ $ 0.0020 $ 0.0019 $ 0.0020 $ 0.0023
Total return ..................................................... 4.30%** 5.20%** 6.40** 8.10%**
Note: If Agents of the Funds had not voluntarily agreed to waive a portion of their fees, and the Administrator
not assumed expenses for the periods indicated, the net investment income
per share and the ratios would have been as follows:
Net investment income (loss) per share ........................... $ 0.041 $ 0.047 $ 0.026 $ (0.015)
Ratios:
Expenses to average net assets ................................... 3.65%* 3.29%* 3.36%* 3.81%*
Net investment income (loss) to average net assets ............... 0.97%* 0.96%* 0.55%* (0.35%)*
(A) The average commission rate paid is applicable for funds that invest greater
than 10% of average net assets in equity transactions on which commissions are
charged.
* Annualized
** Not Annualized
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(SM) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(1) SIGNIFICANT ACCOUNTING POLICIES
CitiSelect(SM) VIP Folio 200, CitiSelect(SM) VIP Folio 300, CitiSelect(SM)
VIP Folio 400 and CitiSelect(SM) VIP Folio 500 (the "Funds") are each a separate
series of Variable Annuity Portfolios (the "Trust"), a Massachusetts business
trust. The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end, management investment company. Citibank, N.A.
("Citibank" or the Manager) is the Investment Manager of each of the Funds.
Landmark Funds Broker-Dealer Services, Inc. ("LFBDS") acts as the Funds'
Sub-Administrator. Shares of each Fund may only be purchased or redeemed through
variable annuity contracts and variable life insurance policies offered by the
separate accounts of participating insurance companies.
The financial statements are prepared in accordance with generally accepted
accounting principles which requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Funds are
as follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities are valued at the last
sale price on the exchange on which they are primarily traded, or at the quoted
bid price for securities in which there were no sales during the day, or for
unlisted securities not reported on the NASDAQ system. Securities listed on a
foreign exchange are valued at the last quoted sale price available. Bonds,
foreign bonds and other fixed income securities (other than short-term
obligations maturing in sixty days or less) are valued on the basis of
valuations furnished by a pricing service, the use of which has been approved by
the Trustees. In making such valuations, the pricing service utilizes both
dealer-supplied valuations and electronic data processing techniques which take
into account appropriate factors such as institutional-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data, without exclusive reliance upon
quoted prices or exchanges or over-the-counter prices. Short-term obligations
maturing in sixty days or less, are valued at amortized cost, which constitutes
fair value as determined by the Trustees. Portfolio securities for which there
are no such quotations or valuations are valued at fair value as determined in
good faith by or under guidelines established by the Trustees. Trading in
securities on most foreign exchanges and over-the-counter markets is normally
completed before the close of the New York Stock Exchange and may also take
place on days on which the New York Stock Exchange is closed. If events
materially affecting the value of foreign securities occur between the time when
the exchange on which they are traded closes and the time when each Fund's net
asset value is calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general supervision of
the Trustees.
B. INCOME -- Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for U.S. federal income tax purposes. Gain and loss from principal
paydowns are recorded as interest income. Dividend income and other
distributions from investments are recorded on ex-dividend date. Dividend income
is recorded net of foreign taxes withheld where recovery of such taxes is not
assured.
C. FOREIGN CURRENCY TRANSLATION -- The accounting records of each of the Funds,
are maintained in U.S. dollars. For each of the Funds' foreign currency amounts
are translated into U.S. dollars at the current rate of exchange to determine
the value of investments, assets and liabilities. Purchases and sales of
securities, and income and expenses are translated at the prevailing rate of
exchange on the respective dates of such transactions. The Funds do not isolate
that portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuation arising from changes in
market prices of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss from investments. Translations of foreign
currency includes net exchange gains and losses, disposition of foreign currency
and the difference between the amount of investment income, expenses and foreign
taxes withheld recorded and the amount actually received or paid.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each of the Funds may enter
into forward foreign currency exchange contracts ("contracts") in connection
with planned purchases or sales of securities, to hedge the U.S. dollar value of
portfolio securities denominated in a particular currency. Each of the Funds
could be exposed to risks if the counter-parties to the contracts are unable to
meet the terms of their contracts and from unanticipated movements in the value
of a foreign currency relative to the U.S. Dollar. The forward foreign currency
exchange contracts are adjusted by the daily exchange rate of the underlying
currency and any gains or losses are recorded for financial statement purposes
as unrealized gains or losses until the contract settlement date.
E. FEDERAL TAXES -- The Funds' policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any realized
gain on investment transactions.
Accordingly, no provision for federal income or excise tax is necessary.
F. EXPENSES -- Each Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and LFBDS. Expenses incurred by the Trust with
respect to any two or more Funds are allocated in proportion to the average net
assets of each Fund, except when allocations of direct expenses to each Fund can
otherwise be made fairly. Expenses directly attributable to a Fund are charged
to that Fund.
G. FUTURES CONTRACTS -- The Funds may engage in futures transactions. The Funds
may use futures contracts in order to protect the Funds from fluctuation in
interest rates without actually buying or selling debt securities, or to manage
the effective maturity or duration of fixed income securities in the Funds in an
effort to reduce potential losses or enhance potential gains. Buying futures
contracts tends to increase the Funds' exposure to the underlying instrument.
Selling futures contracts tends to either decrease the Funds' exposure to the
underlying instrument, or to hedge other fund investments.
Upon entering into a futures contract, the Funds are required to deposit with
the broker an amount of cash or cash equivalents equal to a certain percentage
of the contract amount. This is known as the "initial margin". Subsequent
payments ("variation margin") are made or received by the Funds each day,
depending on the daily fluctuation of the value of the contract. The daily
changes in contract value are recorded as unrealized gains or losses and the
Funds recognize a realized gain or loss when the contract is closed. Futures
contracts are valued at the settlement price established by the board of trade
or exchange on which they are traded.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in the value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in the value of the hedged instruments. In addition,
there is the risk that the Funds may not be able to enter into a closing
transaction because of an illiquid secondary market. Futures contracts involve,
to varying degrees, risk of loss in excess of the futures variation margin
reflected in the Statement of Assets and Liabilities.
H. PURCHASED OPTIONS -- The premium paid by the Funds for the purchase of a call
or a put option is included in the Funds' Statement of Assets and Liabilities as
an investment and subsequently marked-to market to reflect the current market
value of the option. When an option which the Funds have purchased expires on
the stipulated expiration date, the Funds will realize a loss in the amount of
the cost of the option. When the Funds enter into a closing sale transaction,
the Fund will realize a gain or loss, depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Funds exercise a put option, it will realize a gain or loss
from sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Funds exercise a call option,
the cost of the security which the Funds purchase upon exercise will be
increased by the premium originally paid.
I. DISTRIBUTIONS -- Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to each Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carryovers) under income tax rules and regulations.
J. BENEFICIAL INTEREST -- At June 30, 1997, insurance companies or their
separate accounts were the record owners of all the shares of each Fund.
K. OTHER -- Investment transactions are accounted for on the trade date.
Realized gains and losses on investment transactions are determined on the
identified cost basis.
(2) MANAGEMENT FEES
Citibank is responsible for overall management of the Funds' business
affairs, and has a separate Management Agreement with each of the Funds.
Citibank also provides certain administrative services to the Funds. These
administrative services include providing general office facilities and
supervising the overall administration of the Funds. LFBDS acts as
Sub-Administrator and performs such duties and receives such compensation from
Citibank as from time to time are agreed to by Citibank and LFBDS.
The management fees paid to Citibank, are accrued daily and payable
monthly. The management fee is computed at the annual rate of 0.75% of each of
the Funds' average daily net assets.
The management fee paid to Citibank for CitiSelect(SM) VIP Folio 200,
CitiSelect(SM) VIP Folio 300, CitiSelect(SM) VIP Folio 400 and CitiSelect(SM)
VIP Folio 500 amounted to $31,974, $36,583, $35,537 and $30,362, respectively,
of which $23,483, $23,968, $18,778 and $14,364 were voluntarily waived for
period ended June 30, 1997, respectively. The Trust pays no compensation
directly to any Trustee or any other officer who is affiliated with the
Administrator, all of whom receive remuneration for their services to the Trust
from the Administrator or its affiliates.
(3) PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of securities, other than short-term obligations, for
the period ended June 30, 1997, were as follows:
PURCHASES SALES
CitiSelect(SM) VIP
Folio 200 ................. $21,233,018 $11,912,382
CitiSelect(SM) VIP
Folio 300 ................. $16,117,883 $26,874,694
CitiSelect(SM) VIP
Folio 400 ................. $24,832,052 $14,297,862
CitiSelect(SM) VIP
Folio 500 ................. $16,479,771 $ 7,101,106
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 1997, as computed on a federal income
tax basis, are as follows:
CITISELECT(SM) VIP FOLIO 200
Aggregate Cost .......................... $10,467,701
===========
Gross unrealized appreciation ........... $ 477,909
Gross unrealized depreciation ........... (106,138)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 371,771
===========
CITISELECT(SM) VIP FOLIO 300
Aggregate Cost .......................... $10,336,887
===========
Gross unrealized appreciation ........... $ 636,433
Gross unrealized depreciation ........... (129,804)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 506,629
===========
CITISELECT(SM) VIP FOLIO 400
Aggregate Cost .......................... $10,012,127
===========
Gross unrealized appreciation ........... $ 880,251
Gross unrealized depreciation ........... (169,075)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 711,176
===========
CITISELECT(SM) VIP FOLIO 500
Aggregate Cost .......................... $10,091,032
===========
Gross unrealized appreciation ........... $ 1,036,184
Gross unrealized depreciation ........... (185,747)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 850,437
===========
(5) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value).
Transactions in shares of beneficial interest are as follows:
CITISELECT(SM) VIP FOLIO 200
Shares sold ................................... 1,324,602
Shares repurchased ............................ (321,837)
---------
Net increase .................................. 1,002,765
---------
CITISELECT(SM) VIP FOLIO 300
Shares sold ................................... 1,678,287
Shares repurchased ............................ (678,194)
---------
Net increase .................................. 1,000,093
---------
CITISELECT(SM) VIP FOLIO 400
Shares sold ................................... 1,613,340
Shares repurchased ............................ (613,017)
---------
Net increase .................................. 1,000,323
---------
CITISELECT(SM) VIP FOLIO 500
Shares sold ................................... 1,205,145
Shares repurchased ............................ (227,847)
---------
Net increase .................................. 977,298
---------
Citicorp Life Insurance Co. and First Citicorp Life Insurance Co., directly
and through their separate accounts, own approximately 99.9% of each CitiSelect
VIP Portfolio.
(6) ASSUMPTION OF EXPENSES
LFBDS has voluntarily agreed to pay a portion of the expenses for the
period ended June 30, 1997. The amounts are as follows:
CitiSelect(SM) VIP Folio 200 $92,872
CitiSelect(SM) VIP Folio 300 $91,178
CitiSelect(SM) VIP Folio 400 $82,448
CitiSelect(SM) VIP Folio 500 $90,294
<PAGE>
- -------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
June 30, 1997
- -------------------------------------------------------------------------------
LANDMARK SMALL CAP EQUITY VIP FUND
We are pleased to present this semi-annual report for the Landmark Small Cap
Equity VIP Fund. The report covers the period February 10, 1997 (commencement of
operations) to June 30, 1997. During that time, the Funds' investment adviser,
Citibank, N.A., has been busy putting your variable annuity insurance assets to
work in order to help you reach your long-term financial goals.
CONTENTS
- -------------------------------------------------------------------------------
Portfolio Manager
The Portfolio Manager Responds
Fund Data
Performance Highlights
Portfolio of Investments
Statement of Assets and Liabilities
Statement of Operations
Statement of Changes in Net Assets
Financial Highlights
Notes to Financial Statements
- -------------------------------------------------------------------------------
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or Citicorp Investment
Services
o Are subject to investment risks, including possible loss of the principal
amount invested
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO MANAGER
LINDA J. INTINI
Vice President, Citibank, N.A.
Linda J. Intini has managed Landmark Small Cap Equity VIP Fund since
inception. Ms. Intini has over nine years of experience specializing in the
management of small cap equities, including over $300 million of Citibank's
small cap portfolios for trusts and individuals. Prior to joining Citibank, she
was a Portfolio Manager and Research Analyst with Manufacturers Hanover in the
Special Equity area. She also specialized in equity research at Eberstadt
Fleming.
- -------------------------------------------------------------------------------
THE PORTFOLIO MANAGER RESPONDS
Small-capitalization stocks continued to underperform their larger
counterparts during the first half of 1997. Individual and institutional
investors seemed to prefer the predictable, consistent earnings growth of well
established firms whose shares trade in high volume. During the second quarter
of the year, however, the small-cap market finally began to show renewed signs
of strength. After the 9.8% correction in large-cap stocks during March and
April, small-cap stocks joined their larger counterparts in the rally that sent
several indexes to new highs.
We worked throughout the period to position the portfolio for the small-cap
rally that finally appeared in May and June. First, we sharpened our focus on
growth companies, selling some holdings that may have been more attractive from
a value perspective than from an earnings-growth standpoint. At the same time,
we identified and invested in several companies that met our disciplined growth
criteria for management strength, market leadership and potential. In addition,
we changed the mix of industries and economic sectors within the portfolio,
increasing our exposure to energy and financial companies while decreasing our
holdings of technology and health care companies.
We remain optimistic regarding the future growth potential of small-cap
stocks. If U.S. economic growth slows from first-half levels as we expect,
corporate earnings growth for large companies should slow commensurately and
investors should begin to look for investments with higher growth rates, which
should lead them to small-capitalization stocks. When small-cap stocks are
"rediscovered" by investors, their prices could rise quickly and decisively.
- -------------------------------------------------------------------------------
FUND DATA All Periods Ended June 30, 1997 (unaudited)
TOTAL RETURNS
-----------
SINCE
2/10/1997
INCEPTION**
-----------
Landmark Small Cap Equity VIP Fund 5.20%
Russell 2000 Index 9.58%
** Not Annualized.
- -------------------------------------------------------------------------------
PERFORMANCE HIGHLIGHTS
A $10,000 investment in the Fund made on inception date would have grown to
$10,520 with sales charge (as of 6/30/97). The graph shows how the Fund compares
to our benchmarks over the same period.
CITISELECT VIP VS BENCHMARK
10 K INVESTMENT
JUNE 30, 1997
Landmark VIP Russell 2000
Small Cap Fund Index (unmanaged)
2/10/97 10,000.00 10,000.00
2/28/97 9,550.00 9,896.50
3/31/97 9,050.00 9,429.48
4/30/97 8,730.00 9,455.89
5/31/97 10,000.00 10,507.38
6/30/97 10,520.00 10,958.15
Notes: All Fund performance numbers represent past performance, and are no
guarantee of future results. The Fund's share price and investment return will
fluctuate, so that the value of an investor's shares, when redeemed, may be
worth more or less than their original cost. Total returns include change in
share price and reinvestment of dividends and distributions, if any. Total
return figures are provided in accordance with SEC guidelines for comparative
purposes for prospective investors.
<PAGE>
Landmark Small Cap Equity VIP Fund
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 1997 (unaudited)
ISSUER SHARES VALUE
- -----------------------------------------------------
- -----------------------------------------------------
COMMON STOCKS - 97.8%
- -----------------------------------------------------
COMMERCIAL SERVICES - 25.6%
Abacus Direct Corp.* ...... 2,840 $ 92,300
Gray Communication Systems 100 2,088
Lamar Advertising Co.* .... 2,600 66,300
Melita International Corp.* 2,000 25,000
Metris Cosmetics Inc.* .... 1,200 39,375
Metro Networks Inc.* ...... 2,600 63,050
NFO Research Inc.* ........ 1,465 36,259
Registry Inc.* ............ 1,420 65,320
Rental Services Corp.* .... 3,070 80,588
Snyder Communications Inc.* 2,200 59,263
Suiza Foods Corp. * ....... 2,215 90,815
Tower Automotive* ......... 1,190 51,170
Whittman - Hart Inc.* ..... 3,080 86,625
Wilmar Industries Inc.* ... 1,630 39,731
----------
797,884
----------
COMMODITIES & PROCESSING - 4.1%
Central Parking Corp. ..... 2,135 74,325
Om Group Inc. ............. 1,600 53,000
----------
127,325
----------
CONSUMER NON-DURABLES - 6.5%
General Cigar Holdings Inc.* 2,200 64,763
Performance Food Group Co.* 3,000 63,000
Worthington Foods Inc. .... 3,050 74,725
----------
202,488
----------
CONSUMER SERVICES - 11.6%
Equity Corp. Intl. * ...... 3,025 73,167
Heftel Broadcasting Corp.* 1,465 80,941
Premier Parks Inc.* ....... 1,650 60,844
Regal Cinemas* ............ 2,325 76,724
Suburban Lodges America* .. 3,300 69,300
----------
360,976
----------
ELECTRONICS/TECHNOLOGICAL SERVICES - 9.3%
Claremont Technology Group Inc.* 3,025 71,844
E Trade Group Inc.* ....... 2,795 54,852
Inso Corporation .......... 900 18,506
Iona Technologies ADR* .... 3,480 68,730
Periphonics Corp.* ........ 2,380 51,170
Xionics Document Technology Inc.* 1,750 25,813
----------
290,915
----------
ENERGY/MINERAL - 3.8%
Forcenergy Gas Exploration* 2,105 63,939
Lomak Petroleum Inc. ...... 3,115 55,486
----------
119,425
----------
FINANCE - 13.7%
Allied Group .............. 1,695 64,410
Executive Risk Inc. ....... 1,375 71,500
Investors Financial Services Co. 1,650 78,374
Profit Recovery Group Intl* 1,000 13,874
Sirrom Capital Corp. ...... 1,650 56,925
Texas Regional Bank Shares A 1,740 73,080
WestAmerica Bancorp ....... 915 69,540
----------
427,703
----------
HEALTH SERVICES/TECHNOLOGY - 12.7%
Cytyc Corp.* .............. 2,430 65,914
Henry Schein Inc.* ........ 2,060 64,374
Human Genome Sciences Inc.* 1,235 41,064
Occusystems Inc.* ......... 2,040 59,160
Parexel International Corp.* 3,120 99,060
Renal Treatment Center* ... 2,380 63,963
----------
393,535
----------
PRODUCER/MANUFACTURING - 5.5%
Hardinge Inc. ............. 2,380 69,615
Miller Industries Inc./Tenn.* 5,230 83,680
Synthetic Industries Inc.* 820 17,323
----------
170,618
----------
RETAIL TRADE - 3.0%
CDW Computer Center Inc.* . 870 46,164
The Men's Wearhouse Inc.* . 1,465 46,148
----------
92,312
----------
TRANSPORTATION - 2.0%
Eagle USA Airfreight Inc.* 2,290 62,116
----------
TOTAL INVESTMENTS
(Identified Cost $2,615,204) 97.8% 3,045,297
OTHER ASSETS,
LESS LIABILITIES ......... 2.2 69,052
----- ----------
NET ASSETS ................ 100.0% $3,114,349
===== ==========
* Non-Income Producing
ADRs--American Depository Receipts
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES June 30, 1997 (unaudited)
<TABLE>
<S> <C>
ASSETS:
Investment at value (Note 1A) (Identified Cost $2,615,204) .................................. $3,045,297
Cash ........................................................................................ 47,222
Receivable for investment sold .............................................................. 32,982
Dividend receivable ......................................................................... 156
Receivable from the Sub-Administrator ....................................................... 36,652
----------
Total assets ............................................................................... 3,162,309
----------
LIABILITIES:
Payable for securities purchased ............................................................ 2,058
Accrued expenses and other liabilities ...................................................... 45,902
----------
Total liabilities .......................................................................... 47,960
----------
NET ASSETS for 296,067 shares of beneficial interest outstanding ............................ $3,114,349
==========
NET ASSETS CONSIST OF:
Paid-in capital ............................................................................. $2,937,870
Unrealized appreciation of investment ....................................................... 430,093
Undistributed net investment loss ........................................................... (4,351)
Accumulated net realized loss on investments ................................................ (249,263)
----------
Total ...................................................................................... $3,114,349
==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST ....................... $10.52
======
</TABLE>
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For period February 10, 1997 (commencement of operations) to June 30, 1997 (unaudited)
<S> <C> <C>
INVESTMENT INCOME (Note 1B):
Dividend Income ........................................................... $ 4,348
Interest Income ........................................................... 2,278
----------
Total investment income .................................................. $ 6,626
EXPENSES:
Custodian fees ............................................................ 22,000
Auditing fees ............................................................. 10,850
Management fee (Note 2) ................................................... 9,148
Legal fees ................................................................ 7,500
Shareholder reports ....................................................... 3,705
Trustees fees ............................................................. 2,571
Miscellaneous ............................................................. 1,003
----------
Total expenses ........................................................... 56,777
Less expenses assumed by the Sub-Administrator (Note 6) ................... (36,652)
Less aggregate amount waived by the Manager (Note 2) ...................... (9,148)
----------
Net expenses ............................................................. 10,977
--------
Net investment loss ...................................................... (4,351)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investments .......................................... (249,263)
Net change in unrealized appreciation (depreciation) from investments ..... 430,093
----------
Net realized and unrealized gain (loss) on investments ................... 180,830
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $176,479
========
</TABLE>
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FEBRUARY 10, 1997
(COMMENCEMENT
OF OPERATIONS) TO
JUNE 30, 1997
(UNAUDITED)
----------------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss ............................................... $ (4,351)
Net realized loss on investments .................................. (249,263)
Net change in unrealized appreciation (depreciation) from investments 430,093
----------
Net increase in net assets resulting from operations ............. 176,479
----------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares .................................. 3,626,532
Cost of shares repurchased ........................................ (688,662)
----------
Net increase in net assets from transactions in shares
of beneficial interest ........................................... 2,937,870
----------
NET INCREASE IN NET ASSETS ........................................ 3,114,349
NET ASSETS:
Beginning of period ............................................... --
----------
End of period (including undistributed investment loss of $4,351) $3,114,349
==========
</TABLE>
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
FEBRUARY 10, 1997
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
(UNAUDITED)
----------------
<S> <C>
Net Asset Value, beginning of period .............................. $10.00
------
Income From Operations:
Net investment loss ............................................... (0.01)
Net realized and unrealized gain on investment .................... 0.53
------
Total from operations ............................................ 0.52
------
Net Asset Value, end of period .................................... $10.52
======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ......................... $3,114
Ratio of expenses to average net assets ........................... 0.90%*
Ratio of net investment loss to average net assets ................ (0.36)%*
Portfolio turnover ................................................ 67%
Average commission rate per share (A) ............................. 0.0020
Total return ...................................................... 5.20%**
Note: If Agents of Landmark Small Cap Equity VIP Fund had not voluntarily waived a portion of their fees,
and assumed Fund expenses for the period ended June 30, 1997, the net investment loss per share and the
ratios would have been as follows:
Net investment loss per share .................................... $(0.17)
Ratios:
Expenses to average net assets ................................... 4.65%*
Net investment loss to average net assets ........................ (4.11)%*
(A) The average commission rate paid is applicable for funds that invest greater than 10% of average net assets in
equity transactions on which commissions are charged.
* Annualized
** Not Annualized
</TABLE>
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
(1) SIGNIFICANT ACCOUNTING POLICIES
The Landmark Small Cap Equity VIP Fund (the "Fund"), a separate series of
Variable Annuity Portfolios (the "Trust"), is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company which was organized as a Massachusetts business trust. The
Investment Manager of the Fund is Citibank, N.A. ("Citibank"). Landmark Funds
Broker-Dealer Services, Inc. Ltd. ("LFBDS") acts as the Fund's
Sub-Administrator. Shares of the fund may only be purchased or redeemed through
variable annuity contracts and variable life insurance policies offered by the
separate accounts of participating insurance companies.
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Fund are as
follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted securities or listed securities for which last sales prices are not
available are valued at last quoted bid prices. Debt securities (other than
short-term obligations maturing in sixty days or less), are valued on the basis
of valuations furnished by pricing services which take into account appropriate
factors such as institutional-size trading in similar groups of securities,
yield, quality, coupon rate, maturity, type of issue, and other market data,
without exclusive reliance on quoted prices or exchange or over-the-counter
prices, since such valuations are believed to reflect more accurately the fair
value of the securities. Short-term obligations, maturing in sixty days or less,
are valued at amortized cost, which approximates market value. Securities, if
any, for which there are no such valuations or quotations are valued at fair
value as determined in good faith by or under guidelines established by the
Trustees.
B. INCOME -- Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for U.S. federal income tax purposes. Dividend income is recorded
on the ex-dividend date.
C. FEDERAL TAXES -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES -- The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and LFBDS. Expenses incurred by the Trust with
respect to any two or more portfolios or series are allocated in proportion to
the average net assets of each fund, except when allocations of direct expenses
to each portfolio can otherwise be made fairly. Expenses directly attributable
to a fund are charged to that fund.
E. DISTRIBUTIONS -- Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to the Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carryovers) under income tax rules and regulations.
F. REPURCHASE AGREEMENTS -- It is the policy of the Fund to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry System or to have segregated within the custodian bank's
vault, all securities held as collateral in support of repurchase agreements.
Additionally, procedures have been established by the Portfolio to monitor, on a
daily basis, the market value of the repurchase agreement's underlying
investments to ensure the existence of a proper level of collateral.
G. BENEFICIAL INTEREST -- At June 30, 1997, insurance companies or their
separate accounts were the record owners of all the shares of the Fund.
H. OTHER -- Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
(2) MANAGEMENT FEES
Citibank is responsible for overall management of the Fund's business affairs,
and has a separate Management Agreement with the Fund. Citibank also provides
certain administrative services to the Fund. These administrative services
include providing general office facilities and supervising the overall
administration of the Fund. LFBDS acts as Sub-Administrator and performs such
duties and receives such compensation from Citibank as from time to time is
agreed to by Citibank and LFBDS. The management fee paid to Citibank, is accrued
daily, payable monthly. The management fee is computed at an annual rate of
0.75% of the Fund's average daily net assets. The management fee paid to
Citibank amounted to $9,148, all of which was voluntarily waived for the period
ended June 30, 1997.
(3) PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments, other than short-term obligations,
aggregated $4,875,297 and $2,010,830, respectively, for the period ended June
30, 1997.
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at June 30, 1997 as computed on a federal income tax basis, are
as follows:
Aggregate cost ....................... 2,615,204
=========
Gross unrealized appreciation ........ 461,501
Gross unrealized depreciation ........ (31,408)
---------
Net unrealized appreciation .......... 430,093
=========
(5) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in shares of beneficial interest were as follows:
FEBRUARY 10, 1997
(COMMENCEMENT OF
OPERATIONS) TO
JUNE 30, 1997
(UNAUDITED)
---------------
Shares sold ......................... 364,007
Shares issued to shareholders from
reinvestment of distributions ...... --
Shares repurchased .................. (67,940)
-------
Net increase ........................ 296,067
=======
Citicorp Life Insurance Co. and First Citicorp Life Insurance Co., directly and
through their separate accounts, own approximately 99.9% of Landmark Small Cap
Equity VIP Fund.
(6) ASSUMPTION OF EXPENSES
LFBDS has voluntarily agreed to pay a portion of the unwaived expenses of the
Fund for the period ended June 30, 1997, which amounted to $36,652.
