<PAGE>
ANNUAL REPORT
- --------------------------------------------------------------------------------
DECEMBER 31, 1997
CITISELECT(R) VIP PORTFOLIOS
CITISELECT(R) VIP FOLIO 200
CITISELECT(R) VIP FOLIO 300
CITISELECT(R) VIP FOLIO 400
CITISELECT(R) VIP FOLIO 500
We are pleased to present this annual report for the CitiSelect(R) VIP
Portfolios. The report covers the period February 10, 1997
(Commencement of Operations) to December 31, 1997. During that time,
the Funds' investment adviser, Citibank, N.A., has been busy putting
your variable annuity insurance assets to work to help you reach your
long-term financial goals. Thank you for your participation in the
CitiSelect(R) VIP Portfolios. We look forward to serving your variable
annuity investment needs in the months and years ahead.
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
Report of Independent Accountants
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or any of
its affiliates
o Are subject to investment risks, including possible loss of
the principal amount invested
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
Lawrence P. Keblusek, U.S. Chief Investment Officer of Citibank, has been the
overall portfolio manager of the Funds since their inception and is responsible
for determining asset allocations, supervising and monitoring the performance of
the Citibank personnel described below who are responsible for the Funds'
securities, and supervising and monitoring the performance of the Subadvisers.
Prior to joining Citibank in 1995, Mr. Keblusek, who has 25 years experience in
the investment management industry, was 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.
The following individuals at Citibank are responsible for daily management of
the following kinds of securities of the Funds (and related investments).
LARGE CAPITALIZATION GROWTH SECURITIES
Grant D. Hobson and Richard Goldman have been responsible for the daily
management of large cap growth securities since November, 1997. Mr. Hobson is
responsible for managing U.S. equity portfolios for mutual funds, trust and
pension accounts of Citibank Global Asset Management and currently manages, or
co-manages, more than $4 billion of total assets at Citibank. Prior to joining
Citibank in 1993, Mr. Hobson was a securities analyst and sector manager for
pension accounts and mutual funds for Axe Houghton, formerly a division of
USF&G. Mr. Goldman is responsible for managing U.S. equity portfolios for mutual
funds and institutional accounts, and for quantitative equity research for the
U.S. institutional business of Citibank Global Asset Management. He currently
manages, or co-manages, approximately $4 billion of total assets at Citibank. He
joined Citicorp's Investment Management Division in 1985 and from 1988 to 1994
was responsible for running Citicorp's Institutional Investor Relations
Department.
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. Miller Anderson is an indirect wholly-owned subsidiary of Morgan Stanley,
Dean Witter, Discover & Co., a financial services company with three major
businesses: full service brokerage, credit service and asset management. 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 1988, has been
responsible for the daily management of small capitalization value securities
since the Funds' inception. Mr. Lippman also serves as Senior Vice President of
Franklin Resources, Inc. and Franklin Advisers, Inc. He has been in the
securities industry for over 30 years and with the Franklin Templeton Group
since 1988.
INTERNATIONAL EQUITY SECURITIES
Hotchkis and Wiley, is a division of the Merrill Lynch Capital Management Group
which is an operating business unit of Merrill Lynch Asset Management, L.P.
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 has served on the
Investment Policy Committee at Hotchkis and Wiley since joining the fund. Mr.
Hartford was with The Investment Bank of Ireland, as a senior manager, 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(R) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
STRATEGY AND OUTLOOK
The forces that have driven the financial markets higher over the past two years
continued to prevail during 1997. The U.S. economy remains characterized by low
inflation, moderate growth and modestly declining interest rates. Yet,
short-term volatility in the stock and bond markets also continues to increase,
with the markets reacting to each new release of global economic data as well as
to statements by the Chairman of the U.S. Federal Reserve Board. The performance
of international stocks and bonds was mixed, with Europe and Latin America
enjoying strong gains. Japan and Southeast Asia, however, performed poorly in
the midst of economic problems.
In this volatile environment, the four CitiSelect VIP portfolios performed
relative to one another as designed. Since their inception in February, 1997,
CitiSelect VIP Folio 500 produced the greatest gains, VIP Folio 400 the next
greatest with VIP Folios 300 and 200 following in respective order. At the same
time, CitiSelect VIP Folio 200 provided the least volatility, with VIP Folios
300, 400 and 500 following in respective order. We believe that these results
are a reflection of our strategic approach to diversifying investment assets
among different securities, markets, investment styles and geographic regions.
Our approach offers an efficient way to attempt to cushion the volatility
associated with any single market, yet at the same time offers an opportunity to
participate in the long-term gains stocks, bonds and cash equivalents have
historically provided.
While we continue to see some signs that positive global economic conditions
could continue, we remain cautious in light of the economic crises in Asia and
the volatility in the world's stock markets. As a result, we expect to find the
greatest opportunities in small-capitalization stocks in the U.S. and both
stocks and bonds in Europe. We are maintaining a cautious stance toward
large-cap U.S. stocks, especially those with exposure to Asian markets.
<PAGE>
FUND DATA THE PERIOD ENDED DECEMBER 31, 1997
- --------------------------------------------------------------------------------
TOTAL RETURN
------------
SINCE
2/10/97
INCEPTION**
---------
CITISELECT(R)VIP FOLIO 200 ...................................... 7.79%
COMPOSITE BENCHMARK+ ............................................ 9.97%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(R) VIP FOLIO 200
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,779 (as of 12/31/97). The graph shows how the Fund compares to our
benchmarks over the same period February 10, 1997 to December 31, 1997.
Lehman
Bros.
Intermediate
S&P 500 Gov't/Corp.
CitiSelect VIP Composite Index Bond Index
Folio 200 Benchmark (unmanaged) (unmanaged)
--------- --------- ----------- -----------
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,960.00 9,979.58 10,080.67 9,970.60
3/31/97 9,810.00 9,826.25 9,667.37 9,901.80
4/30/97 9,830.00 9,915.64 10,243.54 10,017.65
5/31/97 10,210.00 10,312.00 10,866.35 10,100.80
6/30/97 10,430.00 10,532.16 11,353.16 10,192.72
7/31/97 10,620.00 10,747.70 12,255.74 10,399.63
8/31/97 10,590.00 10,660.11 11,569.42 10,347.63
9/30/97 10,920.00 10,986.55 12,202.26 10,467.66
10/31/97 10,790.00 10,906.78 11,794.71 10,583.86
11/30/97 10,780.00 10,925.76 12,340.80 10,607.14
12/31/97 10,779.13 10,996.61 12,553.06 10,692.00
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. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+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 THE PERIOD ENDED DECEMBER 31, 1997
TOTAL RETURN
------------
SINCE
2/10/97
INCEPTION**
---------
CITISELECT(R)VIP FOLIO 300 ............................... 8.65%
COMPOSITE BENCHMARK+ ..................................... 11.87%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(R) VIP FOLIO 300
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,865 (as of 12/31/97). The graph shows how the Fund compares to our
benchmarks over the same period February 10, 1997 to December 31, 1997.
Lehman
Bros.
Intermediate
S&P 500 Gov't/Corp.
CitiSelect VIP Composite Index Bond Index
Folio 300 Benchmark (unmanaged) (unmanaged)
--------- --------- ----------- -----------
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,950.00 9,978.12 10,080.67 9,970.60
3/31/97 9,750.00 9,775.48 9,667.37 9,901.80
4/30/97 9,780.00 9,890.44 10,243.54 10,017.65
5/31/97 10,250.00 10,398.56 10,866.35 10,100.80
6/30/97 10,520.00 10,687.90 11,353.16 10,192.72
7/31/97 10,770.00 10,975.94 12,255.74 10,399.63
8/31/97 10,700.00 10,820.47 11,569.42 10,347.63
9/30/97 11,110.00 11,244.47 12,202.26 10,467.66
10/31/97 10,890.00 11,069.00 11,794.71 10,583.86
11/30/97 10,890.00 11,097.77 12,340.80 10,607.14
12/31/97 10,864.67 11,186.56 12,553.06 10,692.00
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. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+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 THE PERIOD ENDED DECEMBER 31, 1997
TOTAL RETURN
------------
SINCE
2/10/97
INCEPTION**
---------
CITISELECT(R)VIP FOLIO 400 ..................................... 9.22%
COMPOSITE BENCHMARK+ ........................................... 13.12%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(R) VIP FOLIO 400
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,922 (as of 12/31/97). The graph shows how the Fund compares to our
benchmarks over the same period February 10, 1997 to December 31, 1997.
Lehman
Bros.
Intermediate
S&P 500 Gov't/Corp.
CitiSelect VIP Composite Index Bond Index
Folio 400 Benchmark (unmanaged) (unmanaged)
--------- --------- ----------- -----------
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,930.00 9,980.91 10,080.67 9,970.60
3/31/97 9,730.00 9,747.24 9,667.37 9,901.80
4/30/97 9,670.00 9,845.93 10,243.54 10,017.65
5/31/97 10,290.00 10,512.90 10,866.35 10,100.80
6/30/97 10,640.00 10,888.94 11,353.16 10,192.72
7/31/97 10,920.00 11,206.79 12,255.74 10,399.63
8/31/97 10,820.00 11,001.48 11,569.42 10,347.63
9/30/97 11,360.00 11,549.36 12,202.26 10,467.66
10/31/97 10,990.00 11,204.61 11,794.71 10,583.86
11/30/97 10,960.00 11,210.43 12,340.80 10,607.14
12/31/97 10,922.37 11,311.61 12,553.06 10,692.00
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. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+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 THE PERIOD ENDED DECEMBER 31, 1997
TOTAL RETURN
------------
SINCE
2/10/97
INCEPTION**
---------
CITISELECT(R)VIP FOLIO 500 ............................... 10.76%
COMPOSITE BENCHMARK+ ..................................... 14.33%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT(R) VIP FOLIO 500
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$11,076 (as of 12/31/97). The graph shows how the Fund compares to our
benchmarks over the same period February 10, 1997 to December 31, 1997.
Salomon Non-
MSCI EAFE $ World Gov't
CitiSelect VIP Composite Index Bond Index
Folio 500 Benchmark (unmanaged) (unmanaged)
--------- --------- ----------- -----------
2/10/97 10,000.00 10,000.00 10,000.00 10,000.00
2/28/97 9,890.00 9,993.34 10,075.53 9,912.84
3/31/97 9,710.00 9,748.74 10,114.52 9,849.40
4/30/97 9,650.00 9,867.65 10,170.15 9,649.45
5/31/97 10,380.00 10,616.83 10,834.26 10,004.55
6/30/97 10,810.00 11,059.95 11,434.48 10,127.61
7/31/97 11,170.00 11,444.34 11,622.01 9,863.28
8/31/97 11,020.00 11,160.26 10,756.17 9,907.66
9/30/97 11,610.00 11,785.99 11,360.66 10,148.42
10/31/97 11,110.00 11,285.23 10,490.44 10,375.74
11/30/97 11,130.00 11,303.85 10,385.53 10,110.13
12/31/97 11,075.80 11,432.69 10,479.00 10,008.01
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. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ 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(R) VIP FOLIO 200
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1997
Issuer Shares Value
- -------------------------------------------------------------------------------
LARGE CAP GROWTH--7.6%
- --------------------------------------------------------------------------------
COMMON STOCKS - 7.3%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.7%
Deere & Co.(++) ...................... 125 $ 7,289
General Electric Co. ................. 570 41,824
Illinois Tool Works .................. 260 15,632
Xerox Corp. .......................... 130 9,596
----------
74,341
----------
COMMERCIAL SERVICES - 0.2%
Automatic Data Processing Inc.* ...... 145 8,899
Interpublic Group Companies Inc. ..... 155 7,721
----------
16,620
----------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. ................. 225 9,422
----------
CONSUMER NON-DURABLES - 0.8%
Clorox Co. ........................... 170 13,441
Coca Cola Co. ........................ 405 26,983
Gillette Co. ......................... 180 18,079
Mattel Inc. .......................... 230 8,567
Procter & Gamble Co. ................. 240 19,155
----------
86,225
----------
CONSUMER SERVICES - 0.6%
Carnival Corp. ....................... 275 15,228
Clear Channels Communications* ....... 210 16,682
Cracker Barrel Old Country Store ..... 300 10,012
Gannett Inc. ......................... 240 14,835
Walt Disney Co. ...................... 75 7,430
----------
64,187
----------
ENERGY - 0.1%
Schlumberger Ltd. .................... 95 7,648
----------
FINANCE - 1.1%
American International Group Inc. .... 95 10,331
Chubb Corp.(++) ...................... 150 11,344
Federal National Mortgage Association(++) 335 19,116
MGIC Investment Corp. ................ 175 11,638
Norwest Corp. ........................ 260 10,043
State Street Corp. ................... 180 10,474
Travelers Group Inc. ................. 300 16,163
U.S. Bancorp ......................... 75 8,395
Zions Bancorp ........................ 235 10,663
----------
108,167
----------
HEALTHCARE - 1.7%
Abbott Labs .......................... 235 15,407
Cardinal Health Inc. ................. 145 10,893
Health Management Association* ....... 360 9,090
Johnson & Johnson .................... 250 16,469
Lilly, Eli & Co. ..................... 225 15,666
Lincare Holdings Inc.* ............... 260 14,820
Merck & Co. .......................... 265 28,156
Pfizer Inc. .......................... 350 26,097
Schering Plough Corp. ................ 250 15,531
Warner Lambert Co. ................... 135 16,740
----------
168,869
----------
RETAIL - 1.0%
Bed Bath & Beyond Inc.* .............. 370 14,24
Consolidated Stores* ................. 235 10,325
Gap Inc. ............................. 270 9,568
Home Depot ........................... 362 21,313
Kohls Corp.* ......................... 175 11,922
Wal Mart Stores Inc. ................. 565 22,282
Walgreen Co. ......................... 450 14,119
----------
103,774
----------
TECHNOLOGY - 0.9%
Adaptec Inc. ......................... 135 5,011
Ameritech Corp. ...................... 245 19,723
Cisco Systems Inc.* .................. 240 13,380
Computer Association International Inc. 255 13,482
HBO & Co. ............................ 255 12,240
Intel Corp. .......................... 160 11,240
Parametic Technology Corp.* .......... 160 7,580
Sun Guard Data Systems* .............. 415 12,865
----------
95,521
----------
TRANSPORTATION - 0.1%
Southwest Airlines Co. ............... 480 11,820
----------
TOTAL COMMON STOCKS .................. 746,594
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 0.3%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ................ 34,893
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $666,195) .......... 781,487
----------
LARGE CAP VALUE--7.3%
- --------------------------------------------------------------------------------
COMMON STOCKS - 7.2%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Cabot Corp. .......................... 200 5,525
Dow Chemical Co. ..................... 100 10,150
E. I. du Pont de Nemours & Co. ....... 100 6,006
FMC Corp.* ........................... 100 6,731
Great Lakes Chemical Corp. ........... 200 8,975
IMC Global Inc. ...................... 200 6,550
Inland Steel Industries Inc. ......... 200 3,425
Rohm & Haas Co. ...................... 100 9,575
Westvaco Corp. ....................... 100 3,144
----------
60,081
----------
CAPITAL GOODS - 0.8%
Arrow Electronics Inc.* .............. 200 6,488
Caterpillar Inc. ..................... 200 9,713
Cummins Engine Inc. .................. 300 17,719
Deere & Co.(++) ...................... 100 5,831
Harnischfeger Industries Inc. ........ 300 10,594
Kennametal Inc. ...................... 200 10,363
Parker Hannifin Corp. ................ 150 6,881
Tecumseh Products Co. ................ 200 9,750
----------
77,339
----------
CONSUMER BASICS - 0.8%
Bergen Brunswig Corp. ................ 150 6,318
Columbia/HCA Healthcare Corp. ........ 300 8,888
IBP Inc. ............................. 200 4,188
Mallinckrodt Inc. .................... 200 7,600
Maxicare Health Plans Inc.* .......... 300 3,262
Philip Morris Companies Inc. ......... 400 18,125
RJR Nabisco Holdings Corp. ........... 400 15,000
Tupperware Corp. ..................... 200 5,575
Universal Foods Corp. ................ 200 8,450
Vencor Inc.* ......................... 100 2,444
----------
79,850
----------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. ........................... 200 9,500
Eaton Corp. .......................... 100 8,925
Ford Motor Co. ....................... 600 29,212
General Motors Corp. ................. 200 12,125
Goodyear Tire and Rubber ............. 300 19,088
----------
78,850
----------
CONSUMER NON-DURABLES - 0.5%
Federated Department Stores Inc.* .... 200 8,612
Russell Corp. ........................ 200 5,312
Sears Roebuck & Co. .................. 200 9,050
Springs Industries Inc. .............. 100 5,200
Toys "R" Us Inc.* .................... 300 9,430
V F Corp. ............................ 200 9,188
----------
46,792
----------
CONSUMER SERVICES - 0.2%
AMR Corp.* ........................... 100 12,850
Delta Airlines Inc. .................. 100 11,900
----------
24,750
----------
ENERGY - 0.6%
Amoco Corp. .......................... 100 8,513
Atlantic Richfield Co. ............... 100 8,013
British Petroleum PLC ................ 100 7,969
Phillips Petroleum Co. ............... 200 9,725
Repsol SA ............................ 200 8,513
Ultra Mar Diamond Shamrock ........... 200 6,375
YPF Sociedad Anonima ................. 300 10,256
----------
59,364
----------
FINANCE - 1.7%
Allstate Corp. ....................... 100 9,088
American General Corp. ............... 100 5,406
Bank of New York Inc. ................ 100 5,780
Case Corp. ........................... 300 18,130
Chase Manhattan Corp. ................ 100 10,950
Chubb Corp.(++) ...................... 100 7,562
Cigna Corp. .......................... 100 17,306
Crestar Financial Corp. .............. 100 5,700
Everest Reinsurance Holdings ......... 200 8,250
Federal National Mortgage Association(++) 100 5,705
First Union Corp. .................... 420 21,525
Foundation Health Systems* ........... 260 5,818
Hartford Financial Services Group .... 100 9,355
Mellon Bank Corp. .................... 200 12,125
Old Republic International Corp. ..... 200 7,438
Reliastar Financial Corp. ............ 200 8,238
Republic NY Corp. .................... 100 11,419
TIG Holdings Inc. .................... 100 3,319
Transatlantic Holdings Inc. .......... 50 3,575
----------
176,689
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ......................... 400 6,000
Standard Register .................... 100 3,475
----------
9,475
----------
MISCELLANEOUS - 0.2%
Aeroquip Vickers Inc. ................ 400 19,625
Dillards Inc. ........................ 200 7,050
Raytheon Co. ......................... 12 592
----------
27,267
----------
SHELTER - 0.1%
Owens Corning ........................ 200 6,825
----------
TECHNOLOGY - 0.6%
Beckman Industries Inc. .............. 200 8,000
International Business Machines ...... 200 20,913
Quantum Corp.* ....................... 200 4,013
Seagate Technology* .................. 200 3,850
Stratus Computer Inc.* ............... 300 11,344
TRW Inc. ............................. 100 5,338
Tektronix Inc. ....................... 150 5,953
Western Digital Corp.* ............... 200 3,214
----------
62,625
----------
TRANSPORTATION - 0.0%
CSX Corp. ............................ 100 5,400
----------
UTILITIES - 0.2%
Cinergy Corp. ........................ 100 3,830
DTE Energy Co. ....................... 200 6,938
Duke Power Co. ....................... 104 5,759
Entergy Corp. ........................ 200 5,988
GPU Inc. ............................. 100 4,212
----------
26,727
----------
TOTAL COMMON STOCKS .................. 742,034
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 0.1%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ................ 6,265
----------
TOTAL LARGE CAP VALUE
(Identified Cost $661,951) .......... 748,299
----------
SMALL CAP GROWTH--7.8%
- --------------------------------------------------------------------------------
COMMON STOCKS - 7.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Central Packing Corp. ................ 690 $ 31,266
OM Group Inc. ........................ 375 13,733
----------
44,999
----------
CAPITAL GOODS - 0.3%
Hardinge Brothers Inc.* .............. 520 19,370
ITEQ Inc.* ........................... 960 11,040
----------
30,410
----------
CONSUMER BASICS - 1.0%
Human Genome Sciences Inc.* .......... 405 16,099
Parexel International Corp.* ......... 610 22,570
Renal Treatment Centers Inc.* ........ 510 18,424
Suiza Foods Corp.* ................... 510 30,377
Whole Foods Market Inc.* ............. 300 15,338
----------
102,808
----------
CONSUMER DURABLE - 0.1%
Tower Automotive Inc.* ............... 325 13,670
----------
CONSUMER NON-DURABLES - 0.3%
Henry Schein Inc.* ................... 565 19,775
Men's Wearhouse Inc.* ................ 490 17,028
----------
36,803
----------
CONSUMER SERVICES - 0.2%
Premier Parks Inc.* .................. 410 16,605
----------
ENERGY - 0.5%
Forcenergy Inc.* ..................... 665 17,415
Key Energy Group Inc.* ............... 460 9,976
Lomak Petroleum Inc. ................. 1,030 16,738
Superior Energy Services Inc.* ....... 375 3,797
----------
47,926
----------
FINANCE - 0.3%
Allied Group Inc. .................... 757 21,669
Metris Companies Inc.* ............... 290 9,933
----------
31,602
----------
GENERAL BUSINESS - 2.0%
Abacus Direct Corp.* ................. 475 19,475
Executive Risk Inc. .................. 345 24,085
Heftel Broadcasting Corp.* ........... 630 29,453
Intelliquest Information Group* ...... 450 5,963
Lamar Advertising Co.* ............... 595 23,651
Metro Networks Inc.* ................. 295 9,661
NFO Research Inc.* ................... 970 20,309
Profit Recovery Group International Inc.* 700 12,425
Registry Inc.* ....................... 335 15,368
Snyder Communications Inc.* .......... 750 27,375
Whittman Hart Inc.* .................. 535 18,324
----------
206,089
----------
MISCELLANEOUS - 1.5%
AHL Services Inc.* ................... 280 6,895
American Disposal Services Inc.* ..... 290 10,585
Concentra Managed Care Inc.* ......... 585 19,744
Gray Communications Systems Inc. ..... 415 10,686
Probusiness Services Inc.* ........... 40 915
QAD Inc.* ............................ 690 8,710
Rental Service Corp.* ................ 885 21,738
Romac International Inc.* ............ 355 8,675
Sirrom Capital Corp. ................. 530 27,626
Suburban Lodges America Inc.* ........ 975 12,980
Synthetic Industries Inc.* ........... 490 12,128
Viropharma Inc.* ..................... 440 7,755
Wilmar Industries Co.* ............... 480 11,460
----------
159,897
----------
TECHNOLOGY - 0.8%
CDW Computer Centers Inc.* ........... 315 16,419
Claremont Technology Group Inc.* ..... 425 7,863
E Trade Group Inc.* .................. 240 5,520
ETEC Systems Inc.* ................... 145 6,742
Harbinger Corp.* ..................... 355 9,984
Inacom Corp.* ........................ 310 8,699
Sipex Corp.* ......................... 405 12,251
Somas Medical Technology* ............ 375 4,781
Speedfam International Inc.* ......... 235 6,228
----------
78,487
----------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ........ 615 17,528
Hub Group Inc.* ...................... 280 8,330
----------
25,858
----------
TOTAL COMMON STOCKS .................. 795,154
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 0.1%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ................ 15,213
----------
TOTAL SMALL CAP GROWTH
(Identified Cost $662,874) .......... 810,367
----------
SMALL CAP VALUE--8.2%
- --------------------------------------------------------------------------------
COMMON STOCKS - 8.2%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Atchison Casting Corp.* .............. 100 1,625
Carpenter Technology Corp. ........... 100 4,806
Keystone Consolidated Industries Inc.* 1,200 14,400
LTV Corp. ............................ 2,300 22,425
Oil-Dri Corp. of America ............. 800 13,200
Reliance Steel & Aluminum Co. ........ 200 5,950
----------
62,406
----------
CAPITAL GOODS - 1.4%
American Buildings Co.* .............. 400 10,100
Astro-Med Inc. ....................... 700 5,600
Commercial Intertech Corp. ........... 700 12,450
D.R. Horton Inc. ..................... 1,000 17,375
ESCO Electronics Corp.* .............. 1,100 18,563
Global Industrial Technologies Inc.* . 800 13,550
JLG Industries Inc. .................. 2,000 28,250
Perini Corp.* ........................ 500 4,500
Ultrak Inc.* ......................... 1,100 10,106
United Industrial Corp. .............. 1,700 18,488
----------
138,982
----------
CONSUMER BASICS - 1.4%
Cohr Inc.* ........................... 800 10,200
Dimon Inc. ........................... 700 18,375
Ekco Group Inc.* ..................... 2,300 17,825
MMI Companies Inc. ................... 900 22,613
Matrix Pharmaceuticals* .............. 2,400 8,250
Nash Finch Co. ....................... 200 3,800
Orthologic Corp.* .................... 1,800 10,012
RLI Corp. ............................ 100 4,980
Schultz Sav-O Stores Inc. ............ 750 11,625
Schweitzer-Mauduit International Inc. 300 11,175
Standard Commercial Corp.* ........... 1,305 21,614
ThermoTrex Corp.* .................... 400 8,850
----------
149,319
----------
CONSUMER DURABLE GOODS - 0.6%
Coachmen Industries Inc. ............. 1,000 21,563
Flexsteel Industries Inc. ............ 500 7,063
Haskel International Inc. ............ 500 5,969
Oshkosh Truck Corp. Class B .......... 600 10,838
Republic Automotive Parts Inc.* ...... 400 5,850
West Co. Inc. ........................ 300 8,925
----------
60,208
----------
CONSUMER NON-DURABLES - 0.2%
Brookstone Inc.* ..................... 800 10,000
Haverty Furniture Companies Inc. ..... 300 4,050
Syms Corp.* .......................... 1,100 13,062
----------
27,112
----------
CONSUMER SERVICES - 0.2%
Aztar Corp.* ......................... 1,900 11,875
Cannondale Corp.* .................... 600 13,050
----------
24,925
----------
ENERGY - 0.0%
Atwood Oceanics Inc.* ................ 50 2,369
----------
FINANCE - 1.2%
APS Holdings Corp. Class A* .......... 1,900 4,750
Allied Life Financial Corp. .......... 500 10,938
BankAtlantic Bancorp Inc. Class A .... 500 8,156
BankAtlantic Bancorp Inc. Class B .... 300 5,025
Centris Group Inc. ................... 100 2,231
Downey Financial Corp. ............... 400 11,375
FBL Financial Group Inc. Class A ..... 200 8,025
Farm Family Holdings Inc.* ........... 300 9,769
Flagstar Bancorp Inc. ................ 600 11,878
GA Financial Inc. .................... 300 5,663
Homeside Inc.* ....................... 500 13,780
Matrix Capital Corp.* ................ 700 10,675
Ocwen Asset Investment Corp. ......... 500 10,250
Penn-America Group Inc. .............. 100 2,050
Professionals Insurance Company
Management Group* ................... 100 4,300
----------
118,865
----------
GENERAL BUSINESS - 0.2%
Ennis Business Forms Inc. ............ 1,900 17,575
----------
MISCELLANEOUS - 0.7%
Commonwealth Industries Inc. ......... 500 7,250
Duckwall Alto Stores Inc.* ........... 100 1,488
Flowserve Corp. ...................... 500 13,969
Kevco Inc.* .......................... 400 6,600
Manchester Equipment Inc.* ........... 1,200 4,800
Motor Cargo Industries Inc.* ......... 100 1,200
Rush Enterprises Inc.* ............... 500 4,000
Seibels Bruce Group Inc.* ............ 1,500 11,250
Spacehab Inc.* ....................... 1,300 13,730
Spectralink Corp.* ................... 400 1,125
Symons International Group Inc.* ..... 300 5,766
----------
71,178
----------
SHELTER - 1.0%
Ameron International Corp. ........... 100 6,325
Beazer Homes USA Inc.* ............... 900 17,944
Belmont Homes Inc. ................... 1,000 7,688
Butler Manufacturing Co. ............. 200 6,450
Morgan Products Ltd.* ................ 2,900 15,406
Patrick Industries Inc. .............. 600 8,850
Ryland Group Inc. .................... 700 16,450
Southern Energy Homes Inc.* .......... 1,200 9,600
U.S. Home Corp.* ..................... 300 11,775
----------
100,488
----------
TECHNOLOGY - 0.4%
Alliant Techsystems Inc.* ............ 100 5,575
Interlink Computer Sciences Inc.* .... 900 3,319
Komag Inc.* .......................... 1,100 16,363
Read-Rite Corp.* ..................... 600 9,450
Trident Microsystems Inc.* ........... 500 4,530
----------
39,237
----------
TRANSPORTATION - 0.3%
Fritz Companies Inc.* ................ 1,800 25,088
Kenan Transport Co. .................. 200 7,325
----------
32,413
----------
TOTAL SMALL CAP VALUE
(Identified Cost $832,926) .......... 845,077
----------
INTERNATIONAL EQUITY--7.3%
- --------------------------------------------------------------------------------
COMMON STOCKS - 7.3%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ...................... 135 7,914
----------
AUSTRALIA - 0.3%
Australia & New Zealand Bank Group ... 2,055 13,581
Pioneer International Ltd. ........... 3,185 8,698
Quantas Airways ...................... 3,355 5,939
----------
28,218
----------
CANADA - 0.4%
Bank of Nova Scotia .................. 180 8,483
Canadian Imperial Bank ............... 345 10,767
Imasco Ltd. .......................... 410 14,489
Noranda Inc. ......................... 255 4,515
----------
38,254
----------
FINLAND - 0.1%
Rauma Oy ............................. 208 3,243
UPM Kymmene Oy ....................... 540 10,798
----------
14,041
----------
FRANCE - 0.6%
Elf Aquitaine ........................ 60 6,978
Lafarge Coppee ....................... 220 14,435
Pernod Ricard ........................ 275 16,175
Seita ................................ 400 14,356
Societe Generale ..................... 37 5,041
Usinor Sacilor ....................... 585 8,447
----------
65,432
----------
GERMANY - 0.2%
Commerzbank AG ....................... 565 22,236
----------
GREAT BRITAIN - 1.9%
Abbey National ....................... 805 14,491
Allied Domecq PLC .................... 1,600 13,823
BTR PLC .............................. 4,860 14,688
Bat Industries ....................... 1,400 12,767
Coats Viyella ........................ 6,900 10,313
Commercial Union ..................... 880 12,271
Cookson Group ........................ 1,300 4,206
Energy Group ......................... 790 8,720
Hanson ............................... 3,055 13,630
Harrison & Crosfield ................. 5,665 13,120
Hillsdown Holdings ................... 4,300 10,453
Hyder ................................ 965 15,343
Lex Service .......................... 1,750 13,366
Powergen ............................. 1,075 13,984
Safeway .............................. 2,060 11,606
Tate & Lyle .......................... 1,260 10,368
Tomkins .............................. 800 3,784
----------
196,933
----------
HONG KONG - 0.5%
China Light & Power .................. 500 2,775
Dickson Concept Industries ........... 2,500 3,646
HSBC Holdings ........................ 500 12,324
Hang Lung Development Co. ............ 3,000 4,220
Hong Kong Telecomm ................... 3,600 7,410
New World Development Co. ............ 1,000 3,459
South China Morning Post ............. 2,000 1,407
Swire Pacific ........................ 2,000 10,969
----------
46,210
----------
IRELAND - 0.1%
Jefferson Smurfit .................... 3,750 10,568
----------
ITALY - 0.1%
Eni Spa .............................. 2,400 13,608
----------
JAPAN - 0.9%
Koito Manufacturing Co. .............. 2,000 7,965
Kyocera Corp. ........................ 200 9,068
Nichicon Corp. ....................... 1,000 9,267
Nintendo Co. ......................... 100 9,803
Promise Co. .......................... 220 12,199
Sekisui Chemical ..................... 1,000 5,078
Sony Corp. ........................... 100 8,884
Suzuki Motor Corp. ................... 2,000 18,075
Yodogawa Steel Works ................. 2,000 8,134
----------
88,473
----------
NETHERLANDS - 0.6%
ABN Amro Holdings NV ................. 680 13,247
Akzo Nobel NV ........................ 96 16,552
Hollandsche Beton .................... 530 9,855
Ing Group NV ......................... 269 11,330
Koninklijke PTT NV ................... 300 12,517
----------
63,501
----------
NEW ZEALAND - 0.1%
Fletcher Challenge ................... 2,900 5,927
----------
NORWAY - 0.2%
Kvaerner ASA ......................... 170 8,654
Nycomed Amersham* .................... 376 13,643
----------
22,297
----------
SPAIN - 0.3%
Banco Santander SA ................... 475 15,870
Repsol SA ............................ 345 14,719
----------
30,589
----------
SWEDEN - 0.1%
Electrolux AB ........................ 150 10,409
----------
SWITZERLAND - 0.7%
Forbo Holdings ....................... 34 13,891
Nestle SA ............................ 10 14,981
Saurer AG ............................ 10 7,254
Schweizerische
Rueckversicherungs-Gesellschaft ..... 8 14,958
Schweizerische
Industrie-Gesellschaft Holding AG ... 5 13,687
Sulzer AG ............................ 17 10,773
----------
75,544
----------
UNITED STATES - 0.1%
Jardine Matheson ..................... 2,000 10,200
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $719,586) .......... 750,354
----------
DOMESTIC FIXED INCOME--24.7%
- --------------------------------------------------------------------------------
FIXED INCOME - 23.5%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 2.7%
Atlantic City Electric Co.
7.01% due 8/23/02 ...................$ 40,000 41,308
Commonwealth Edison Co.
7.00% due 7/01/05 ................... 43,000 44,403
Equitable Life Assurance
6.95% due 12/01/05 .................. 30,000 30,542
GTE North Inc.
6.40% due 2/15/05 ................... 20,000 19,968
International Business Machines
6.22% due 8/01/27 ................... 35,000 35,291
Jackson National Life Insurance Co.
8.15% due 3/15/27 ................... 50,000 54,926
Lockheed Martin Corp.
7.20% due 5/01/36 ................... 50,000 54,186
----------
280,624
----------
MORTGAGE BACKED - 1.3%
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 ................... 27,744 26,522
Federal National Mortgage Association
7.349% due 8/17/21 .................. 50,000 54,280
Structured Asset Securities Corp.
6.79% due 10/15/34 .................. 49,819 50,925
----------
131,727
----------
U. S. TREASURY OBLIGATIONS - 19.5%
United States Treasury Bonds
6.50% due 11/15/26 .................. 105,000 112,088
6.375% due 8/15/27 .................. 50,000 52,735
----------
164,823
----------
UNITED STATES TREASURY NOTES
6.00% due 5/31/98 ................... 502,000 502,863
5.875% due 1/31/99 .................. 399,000 399,934
5.875% due 11/15/99 ................. 125,000 125,449
6.25% due 1/31/02 ................... 617,000 627,989
6.50% due 5/31/02 ................... 100,000 102,922
6.25% due 6/30/02 ................... 40,000 40,794
6.50% due 10/15/06 .................. 50,000 52,352
----------
1,852,303
----------
TOTAL U.S. TREASURY OBLIGATIONS ..... 2,017,126
----------
TOTAL FIXED INCOME ................... 2,429,477
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 1.2%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ................ 124,134
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $2,504,798) ........ 2,553,611
----------
INTERNATIONAL BOND--27.0%
- --------------------------------------------------------------------------------
FIXED INCOME - 20.0%
- --------------------------------------------------------------------------------
Currency
---------
ARGENTINA - 0.3%
Republic of Argentina Bocon
3.39% due 4/01/01 ........ ARS 28,000 $ 28,411
----------
AUSTRALIA - 0.8%
Australia Government
7.50% due 9/15/09 ........ AUD 108,000 79,038
----------
CANADA - 1.6%
Canadian Government
8.75% due 12/01/05 ....... CAD 199,000 167,091
----------
CROATIA - 0.3%
Republic of Croatia
6.625% due 7/31/06 ....... $ 28,323 27,403
----------
DENMARK - 0.5%
Kingdom of Denmark
8.00% due 5/15/03 ........ DKK 300,000 49,436
----------
FRANCE - 1.1%
Government of France
7.75% due 10/25/05 ....... FRF 594,000 114,684
----------
GERMANY - 0.8%
Treuhandanstalt
7.375% due 12/02/02 ...... DEM 130,000 80,170
----------
GREAT BRITAIN - 3.0%
U. K. Treasury
8.50% due 12/07/05 ....... GBP 114,000 211,294
7.25% due 12/07/07 ....... GBP 58,000 102,023
----------
313,317
----------
GREECE - 1.1%
Hellenic Republic
11.10% due 6/17/03 ....... GRD 1,200,000 4,051
Republic of Greece
11.00% due 10/23/03 ...... GRD 4,400,000 14,979
8.80% due 6/19/07 ........ GRD 30,500,000 98,782
----------
117,812
----------
ITALY - 0.9%
Republic of Italy
6.00% due 1/01/00 ........ ITL 50,000,000 28,942
7.25% due 11/01/26 ....... ITL 95,000,000 62,510
----------
91,452
----------
JAPAN - 1.9%
Government of Japan
4.10% due 12/22/03 ....... JPY 6,900,000 60,768
2.60% due 9/20/07 ........ JPY 16,550,000 134,560
----------
195,328
----------
PHILLIPPINES - 0.2%
Eurobank Reconstruction &
Development
9.00% due 4/22/98 ........ PHP 1,000,000 21,235
----------
POLAND - 0.2%
Government of Poland
6.687% due 10/27/24 ...... $ 24,000 23,130
----------
SPAIN - 0.5%
Government of Spain
10.00% due 2/28/05 ....... ESP 7,000,000 58,228
----------
SWEDEN - 4.3%
Kingdom of Sweden
11.00% due 1/21/99 ....... SEK 100,000 13,346
10.25% due 5/05/00 ....... SEK 2,000,000 278,245
8.00% due 8/15/07 ........ SEK 1,100,000 158,691
----------
450,282
----------
UNITED STATES - 2.5%
United States Treasury Notes
3.625% due 7/15/02 ....... $ 252,235 250,974
----------
TOTAL FIXED INCOME ........ 2,067,991
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 6.8%
- --------------------------------------------------------------------------------
American Telephone & Telegraph
5.76% due 2/12/98 ........ $ 100,000 99,328
Aubrey G. Lanston
Repurchase Agreement
5.25% due 1/02/98(+) ..... 104,274
Canadian Government
5.72% due 1/30/98 ........ $ 100,000 99,539
Canadian Treasury Bills
3.98% due 4/02/98 ........ CAD 75,000 51,959
Ford Motor Co.
5.54% due 1/08/98 ........ $ 100,000 99,892
General Electric Credit Corp.
5.55% due 1/21/98 ........ $ 100,000 99,692
New Center Asset Trust
5.56% due 1/21/98 ........ $ 100,000 99,691
Poland Treasury Bills
5.00% due 4/22/98 ........ PLN 60,000 15,887
4.94% due 5/13/98 ........ PLN 40,000 10,458
Republic of Argentina
7.34% due 3/20/98 ........ $ 10,000 9,745
United States Treasury Bills
4.93% due 2/05/98 ........ $ 10,000 9,952
----------
TOTAL SHORT-TERM OBLIGATIONS 700,417
----------
- --------------------------------------------------------------------------------
INTENATIONAL BOND OPTIONS - 0.2%
- --------------------------------------------------------------------------------
Purchased calls
AUD 310,000 Australian Government Bonds
@ AUD 106.96 exp. date 2/09/98 ...... 20,037
----------
TOTAL INTERNATIONAL BOND OPTIONS ..... 20,037
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $2,864,603) ........ $ 2,788,445
----------
SHORT-TERM--15.8%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 15.8%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+)
(Identified Cost $1,636,222) ........ 1,636,222
----------
TOTAL INVESTMENTS
(Identified Cost $10,549,155) ....... 105.7% 10,913,862
OTHER ASSETS,
LESS LIABILITIES .................... (5.7) (592,797)
----- ----------
TOTAL NET ASSETS ..................... 100.0% $10,321,065
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Aubrey G. Lanston Repurchase Agreements
5.25%, due 1/02/98 valued at $1,921,001, proceeds at maturity $1,921,561,
collateralized by $1,836,000 United States Treasury Note, 7.50% due
11/15/01, with a value of $1,943,865, portions of which are separately
listed by each asset class.
(++) The Portfolio owns in aggregate 225 shares of Deere & Co., valued at
$13,120; 250 shares of Chubb Corp., valued at $18,906; and 435 shares of
Federal National Mortgage Association, valued at $24,821, portions of which
are separately listed by each asset class.
See notes to financial statements
- --------------------------------------------------------------------------------
Foreign Currency Legend
-----------------------
Symbol Country
------ -------
ARS Argentina
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
PHP Phillippines
PLN Poland
ESP Spain
SEK Sweden
<PAGE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 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>
Deutsche Mark (Buy) .................... Germany $622,950 $641,629 January-1998 $(18,679)
Deutsche Mark (Sell) ................... Germany 95,769 99,610 January-1998 3,841
Deutsche Mark (Buy) .................... Germany 547,884 556,673 March-1998 (8,789)
Deutsche Mark (Sell) ................... Germany 718,610 725,234 March-1998 6,624
Dollar (Buy) ........................... Australia 21,514 24,375 January-1998 (2,861)
Dollar (Buy) ........................... Canada 46,908 47,755 January-1998 (847)
Dollar (Buy) ........................... Canada 162,695 163,449 March-1998 (754)
Dollar (Sell) .......................... Canada 175,318 186,678 March-1998 11,360
Drachma (Buy) .......................... Greece 75,955 77,094 January-1998 (1,139)
Drachma (Sell) ......................... Greece 116,890 119,517 January-1998 2,627
Drachma (Sell) ......................... Greece 66,457 66,780 February-1998 323
ECU (Buy) .............................. Europe 47,497 49,485 January-1998 (1,988)
ECU (Sell) ............................. Europe 47,273 48,554 January-1998 1,281
Franc (Buy) ............................ Belgium 51,284 52,055 January-1998 (771)
Franc (Buy) ............................ Belgium 24,320 24,447 March-1998 (127)
Franc (Buy) ............................ France 20,620 21,538 January-1998 (918)
Franc (Buy) ............................ France 83,384 84,090 March-1998 (706)
Franc (Buy) ............................ Switzerland 1,370 1,377 January-1998 (7)
Franc (Buy) ............................ Switzerland 75,151 76,984 March-1998 (1,833)
Franc (Sell) ........................... Switzerland 120,585 122,478 January-1998 1,893
Franc (Sell) ........................... Switzerland 144,657 145,858 February-1998 1,201
Franc (Sell) ........................... Switzerland 1,382 1,389 March-1998 7
Guilder (Buy) .......................... Netherlands 106,620 111,034 January-1998 (4,414)
Guilder (Sell) ......................... Netherlands 7,433 7,549 March-1998 116
Koruna (Buy) ........................... Czechoslovakia 4,588 4,722 January-1998 (134)
Koruna (Sell) .......................... Czechoslovakia 4,588 4,604 January-1998 16
Krone (Buy) ............................ Norway 47,394 49,784 February-1998 (2,390)
Krona (Sell) ........................... Sweden 244,529 258,857 January-1998 14,328
Lira (Buy) ............................. Italy 193,584 199,319 January-1998 (5,735)
Markka (Buy) ........................... Finland 27,834 28,825 January-1998 (991)
Markka (Sell) .......................... Finland 20,190 21,082 January-1998 892
Peseta (Buy) ........................... Spain 98,548 103,194 January-1998 (4,646)
Pound (Buy) ............................ Great Britain 52,489 54,079 January-1998 (1,590)
Pound (Sell) ........................... Great Britain 27,083 27,043 January-1998 (40)
Pound (Buy) ............................ Ireland 56,905 60,400 January-1998 (3,495)
Pound (Sell) ........................... Ireland 42,679 45,049 January-1998 2,370
Ringgit (Buy) .......................... Malaysia 15,437 15,734 January-1998 (297)
Ringgit (Sell) ......................... Malaysia 15,436 15,680 January-1998 244
Rupiah (Buy) ........................... Indonesia 10,157 13,629 January-1998 (3,472)
Rupiah (Sell) .......................... Indonesia 10,130 10,358 January-1998 228
Schilling (Buy) ........................ Austria 25,534 25,906 January-1998 (372)
Yen (Buy) .............................. Japan 631,375 677,543 January-1998 (46,168)
Yen (Sell) ............................. Japan 79,896 81,016 January-1998 1,120
---------
$(64,692)
=========
</TABLE>
<PAGE>
CITISELECT(R) VIP FOLIO 300
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1997
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.7%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.2%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.9%
Deere & Co.(++) ..................... 220 $ 12,829
General Electric Co. ................ 980 71,908
Illinois Tool Works Inc. ............ 455 27,357
Xerox Corp. ......................... 230 16,977
----------
129,071
----------
COMMERCIAL SERVICES - 0.2%
Automatic Data Processing Inc.* ..... 330 20,254
Interpublic Group Companies Inc. .... 275 13,698
----------
33,952
----------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. ................ 395 16,541
----------
CONSUMER NON-DURABLES - 1.1%
Clorox Co. .......................... 295 23,323
Coca Cola Co. ....................... 705 46,971
Gillette Co. ........................ 315 31,638
Mattel Inc. ......................... 415 15,459
Procter & Gamble Co. ................ 415 33,122
----------
150,513
----------
CONSUMER SERVICES - 0.8%
Carnival Corp. ...................... 480 26,580
Clear Channel Communications* ....... 370 29,392
Cracker Barrel Old Country Store .... 505 16,854
Gannett Inc. ........................ 420 25,961
Walt Disney Co. 130 12,878
----------
111,665
----------
ENERGY - 0.1%
Schlumberger Ltd. ................... 165 13,283
----------
FINANCE - 1.3%
American International Group Inc. ... 170 18,488
Chubb Corp.(++) ..................... 275 20,797
Federal National Mortgage Association(++) 580 33,096
MGIC Investment Corp. ............... 300 19,950
Norwest Corp. ....................... 450 17,381
State Street Corp. .................. 315 18,329
Travelers Group Inc. ................ 525 28,284
U.S. Bancorp. ....................... 135 15,112
Zions Bancorp ....................... 415 18,831
----------
190,268
----------
HEALTHCARE - 2.1%
Abbott Labs ......................... 420 27,536
Cardinal Health Inc. ................ 270 20,284
Health Management Association* ...... 650 16,413
Johnson & Johnson ................... 445 29,314
Lilly, Eli & Co. .................... 395 27,502
Lincare Holding Inc.* ............... 445 25,365
Merck & Co. ......................... 475 50,469
Pfizer Inc. ......................... 610 45,483
Schering Plough Corp. ............... 430 26,714
Warner Lambert Co. .................. 235 29,140
----------
298,220
----------
RETAIL - 1.3%
Bed Bath & Beyond Inc.* ............. 620 23,870
Consolidated Stores* ................ 410 18,014
Gap Inc. ............................ 480 17,010
Home Depot .......................... 630 37,091
Kohls Corp.* ........................ 310 21,119
Wal Mart Stores Inc. ................ 1,010 39,832
Walgreen Co. ........................ 765 24,002
----------
180,938
----------
TECHNOLOGY - 1.2%
Adaptec Inc. ........................ 245 9,095
Ameritech Corp. ..................... 430 34,614
Cisco Systems Inc.* ................. 435 24,250
Computer Association International Inc. 440 23,265
HBO & Co. ........................... 445 21,360
Intel Corp. ......................... 280 19,670
Parametric Technology Corp.* ........ 295 13,976
Sun Guard Data Systems* ............. 715 22,165
----------
168,395
----------
TRANSPORTATION - 0.1%
Southwest Airlines Co. .............. 850 20,931
----------
TOTAL COMMON STOCKS 1,313,777
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.5%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ............... 66,768
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $1,211,777 ) ...... 1,380,545
----------
LARGE CAP VALUE--9.4%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.2%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
Cabot Corp. ......................... 300 8,287
Dow Chemical Co. .................... 200 20,300
E. I. du Pont de Nemours & Co. ...... 200 12,012
FMC Corp.* .......................... 200 13,462
Great Lakes Chemical Corp. .......... 400 17,950
IMC Global Inc. ..................... 300 9,825
Inland Steel Industries Inc. ........ 400 6,850
National Steel Corp.* ............... 300 3,469
Rohm & Haas Co. ..................... 200 19,150
Westvaco Corp. ...................... 200 6,287
----------
117,592
----------
CAPITAL GOODS - 0.9%
Arrow Electronics Inc.* ............. 400 12,975
Caterpillar Inc. .................... 200 9,712
Cummins Engine Inc. ................. 500 29,531
Deere & Co.(++) ..................... 200 11,663
Harnischfeger Industries Inc. ....... 600 21,187
Kennametal Inc. ..................... 300 15,544
Parker Hannifin Corp. ............... 400 18,350
Tecumseh Products Co. ............... 300 14,625
----------
133,587
----------
CONSUMER BASICS - 1.0%
Bergen Brunswig Corp. ............... 175 7,372
Columbia/HCA Healthcare Corp. ....... 600 17,775
IBP Inc. ............................ 400 8,375
Mallinckrodt Inc. ................... 300 11,400
Maxicare Health Plans Inc.* ......... 300 3,262
Philip Morris Companies Inc. ........ 700 31,719
RJR Nabisco Holdings Corp. .......... 800 30,000
Tupperware Corp. .................... 300 8,363
Universal Foods Corp. ............... 300 12,674
Vencor Inc.* ........................ 200 4,888
Wellpoint Health Networks Inc. ...... 200 8,450
----------
144,278
----------
CONSUMER DURABLE GOODS - 1.0%
Dana Corp. .......................... 300 14,250
Eaton Corp. ......................... 200 17,850
Ford Motor Co. ...................... 1,000 48,688
General Motors Corp. ................ 400 24,250
Goodyear Tire and Rubber ............ 500 31,813
----------
136,851
----------
CONSUMER NON-DURABLES - 0.6%
Federated Department Stores Inc.* ... 400 17,225
Russell Corp. ....................... 300 7,969
Sears Roebuck & Co. ................. 400 18,100
Springs Industries Inc. ............. 200 10,400
Toys "R" Us Inc.* ................... 400 12,575
V F Corp. ........................... 400 18,375
----------
84,644
----------
CONSUMER SERVICES - 0.4%
AMR Corp.* .......................... 200 25,700
Delta Airlines Inc. ................. 200 23,800
----------
49,500
----------
ENERGY - 0.8%
Amoco Corp. ......................... 200 17,025
Atlantic Richfield Co. .............. 200 16,025
British Petroleum PLC ............... 200 15,938
Phillips Petroleum Co. .............. 300 14,588
Repsol .............................. 300 12,769
Ultra Mar Diamond Shamrock .......... 400 12,750
YPF Sociedad Anonima ................ 500 17,094
----------
106,189
----------
FINANCE - 2.0%
Allstate Corp. ...................... 200 $ 18,175
American General Corp. .............. 200 10,812
Bank of New York Inc. ............... 200 11,562
Case Corp. .......................... 500 30,219
Chase Manhattan Corp. ............... 200 21,900
Chubb Corp.(++) ..................... 100 7,562
Cigna Corp. ......................... 100 17,306
Crestar Financial Corp. ............. 100 5,700
Everest Reinsurance Holdings ........ 400 16,500
Federal National Mortgage Association(++) 200 11,413
First Union Corp. ................... 530 27,163
Foundation Health Systems* .......... 620 13,873
Hartford Financial Services Group ... 200 18,712
Mellon Bank Corp. ................... 200 12,125
Old Republic International Corp. .... 400 14,875
Reliastar Financial Corp. ........... 400 16,475
Republic NY Corp. ................... 100 11,419
TIG Holdings Inc. ................... 300 9,956
Transatlantic Holdings Inc. ......... 150 10,725
----------
286,472
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ........................ 900 13,500
Standard Register ................... 200 6,950
----------
20,450
----------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. ............... 700 34,344
Dillards Inc. ....................... 300 10,575
Raytheon Co. ........................ 25 1,233
----------
46,152
----------
SHELTER - 0.1%
Owens Corning ....................... 400 13,650
----------
TECHNOLOGY - 0.8%
Beckman Industries Inc. ............. 400 16,000
International Business Machines ..... 400 41,825
Quantum Corp.* ...................... 300 6,019
Seagate Technology* ................. 400 7,700
Stratus Computer Inc.* .............. 500 18,906
TRW Inc. ............................ 200 10,675
Tektronix Inc. ...................... 300 11,906
Western Digital Corp.* .............. 400 6,425
----------
119,456
----------
TRANSPORTATION - 0.1%
CSX Corp. ........................... 200 10,800
----------
UTILITIES - 0.3%
Cinergy Corp. ....................... 200 7,663
DTE Energy Co. ...................... 300 10,406
Duke Energy Co. ..................... 104 5,759
Entergy Corp. ....................... 300 $ 8,981
GPU Inc. ............................ 200 8,425
----------
41,234
----------
TOTAL COMMON STOCKS ................. 1,310,855
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ............... 24,279
----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,237,040 ) ...... 1,335,134
----------
SMALL CAP GROWTH--10.8%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.8%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Central Packing Corp. ............... 1,057 47,918
OM Group Inc. ....................... 685 25,088
----------
73,006
----------
CAPITAL GOODS - 0.3%
Hardinge Brothers Inc.* ............. 735 27,379
ITEQ Inc.* .......................... 1,680 19,320
----------
46,699
----------
CONSUMER BASICS - 1.3%
Human Genome Sciences Inc.* ......... 710 28,223
Parexel International Corp.* ........ 1,075 39,775
Renal Treatment Centers Inc.* ....... 905 32,693
Suiza Foods Corp.* .................. 920 54,798
Whole Foods Market Inc.* ............ 515 26,329
----------
181,818
----------
CONSUMER DURABLE GOODS - 0.2%
Tower Automotive Inc.* .............. 615 25,868
----------
CONSUMER NON-DURABLES - 0.4%
Henry Schein Inc.* .................. 960 33,600
Men's Wearhouse Inc.* ............... 815 28,321
----------
61,921
----------
CONSUMER SERVICES - 0.2%
Premier Parks Inc.* ................. 590 23,895
----------
ENERGY - 0.6%
Forcenergy Inc.* .................... 1,105 28,937
Key Energy Group Inc.* .............. 800 17,350
Lomak Petroleum Inc. ................ 1,800 29,250
Superior Energy Services Inc.* ...... 695 7,037
----------
82,574
----------
FINANCE - 0.4%
Allied Group Inc. ................... 1,205 34,493
Metris Companies Inc.* .............. 650 22,263
----------
56,756
----------
GENERAL BUSINESS - 2.5%
Abacus Direct Corp.* ................ 745 30,545
Executive Risk Inc. ................. 600 $ 41,887
Heftel Broadcasting Corp.* .......... 1,040 48,620
Intelliquest Information Group* ..... 765 10,136
Lamar Advertising Co.* .............. 895 35,576
Metro Networks Inc.* ................ 410 13,429
NFO Worldwide Inc.* ................. 1,675 35,070
Profit Recovery Group International
Inc.* ............................. 1,265 22,454
Registry Inc.* ...................... 710 32,571
Snyder Communications Inc.* ......... 1,250 45,625
Whittman Hart Inc.* ................. 975 33,394
----------
349,307
----------
MISCELLANEOUS - 2.1%
AHL Services Inc.* .................. 440 10,835
American Disposal Services Inc.* .... 500 18,250
Concentra Managed Care Inc.* ........ 995 33,581
Gray Communications Systems Inc. .... 695 17,896
Probusiness Services Inc.* .......... 830 18,986
QAD Inc.* ........................... 1,155 14,582
Rental Service Corp.* ............... 1,685 41,388
Romac International Inc.* ........... 790 19,306
Sirrom Capital Corp. ................ 835 43,524
Suburban Lodges America Inc.* ....... 1,390 18,504
Synthetic Industries Inc.* .......... 855 21,161
Viropharma Inc.* .................... 930 16,391
Wilmar Industries Inc.* ............. 855 20,413
----------
294,817
----------
TECHNOLOGY - 1.0%
CDW Computer Centers Inc.* .......... 540 28,148
Claremont Technology Group Inc.* .... 740 13,690
E Trade Group Inc.* ................. 430 9,890
ETEC Systems Inc.* .................. 370 17,205
Harbinger Corp.* .................... 615 17,297
Inacom Corp.* ....................... 565 15,855
Sipex Corp.* ........................ 710 21,477
Somas Medical Technology* ........... 680 8,670
Speedfam International Inc.* ........ 420 11,130
----------
143,362
----------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ....... 1,085 30,922
Hub Group Inc.* ..................... 510 15,173
----------
46,095
----------
TOTAL COMMON STOCKS ................. 1,386,118
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.0%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ............... 149,382
----------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,343,392 ) ...... 1,535,500
----------
SMALL CAP VALUE--10.2%
BASIC INDUSTRIES - 0.9%
Atchison Casting Corp.* ............. 500 8,125
Carpenter Technology Corp. .......... 600 $ 28,838
Keystone Consolidated Industries Inc.* 2,500 30,000
LTV Corp. ........................... 3,500 34,125
Oil-Dri Corp. of America 1,100 ...... 18,150
Reliance Steel & Aluminum Co. ....... 500 14,875
----------
134,113
----------
CAPITAL GOODS - 1.6%
American Buildings Co.* ............. 500 12,625
Astro-Med Inc. ...................... 1,000 8,000
Commercial Intertech Corp. .......... 1,200 24,900
D.R. Horton Inc. .................... 1,600 27,800
ESCO Electronics Corp.* ............. 2,000 33,750
Global Industrial Technologies Inc.* 1,200 20,325
JLG Industries Inc. ................. 2,800 39,550
Perini Corp.* ....................... 900 8,100
Ultrak Inc.* ........................ 1,700 15,619
United Industrial Corp. ............. 3,100 33,713
----------
224,382
----------
CONSUMER BASICS - 1.6%
Cohr Inc.* .......................... 1,400 17,850
Dimon Inc. .......................... 1,100 28,875
Ekco Group Inc.* .................... 3,000 23,250
MMI Companies Inc. .................. 1,200 30,150
Matrix Pharmaceuticals* ............. 3,100 10,656
Nash Finch Co. ...................... 200 3,800
Orthologic Corp.* ................... 2,700 15,019
RLI Corp. ........................... 400 19,925
Schultz Sav-O Stores Inc. ........... 1,350 20,925
Schweitzer-Mauduit International Inc. 500 18,625
Standard Commercial Corp.* .......... 2,018 33,423
ThermoTrex Corp.* ................... 500 11,063
----------
233,561
----------
CONSUMER DURABLE GOODS - 0.8%
Coachmen Industries Inc. ............ 1,600 34,500
Flexsteel Industries Inc. ........... 800 11,300
Haskel International Inc. ........... 1,400 16,713
Oshkosh Truck Corp. Class B ......... 1,200 21,675
Republic Automotive Parts Inc.* ..... 700 10,238
West Co. Inc. ....................... 700 20,825
----------
115,251
----------
CONSUMER NON-DURABLES - 0.3%
Brookstone Inc.* .................... 1,200 15,000
Haverty Furniture Companies Inc. .... 500 6,750
Syms Corp.* ......................... 1,900 22,563
----------
44,313
----------
CONSUMER SERVICES - 0.3%
Aztar Corp.* ........................ 3,100 19,375
Cannondale Corp.* ................... 800 17,400
----------
36,775
----------
ENERGY - 0.0%
Atwood Oceanics Inc.* ............... 50 2,368
----------
FINANCE - 1.3%
APS Holdings Corp. Class A* ......... 2,800 7,000
Allied Life Financial Corp. ......... 900 19,687
BankAtlantic Bancorp Inc. Class A ... 800 13,050
BankAtlantic Bancorp Inc. Class B ... 400 6,700
Centris Group Inc. .................. 100 2,231
Downey Financial Corp. .............. 700 19,906
FBL Financial Group Inc. Class A .... 300 12,038
Farm Family Holdings Inc.* .......... 400 13,025
Flagstar Bancorp Inc. ............... 900 17,817
GA Financial Inc. ................... 500 9,437
Homeside Inc.* ...................... 800 22,050
Matrix Capital Corp.* ............... 700 10,675
Ocwen Asset Investment Corp. ........ 800 16,400
Penn America Group Inc. ............. 100 2,050
Professionals Insurance Company
Management Group* .................. 200 8,600
----------
180,666
----------
GENERAL BUSINESS - 0.2%
Ennis Business Forms Inc. ........... 2,600 24,050
----------
MISCELLANEOUS - 0.9%
Commonwealth Industries Inc. ........ 800 11,600
Duckwall Alto Stores Inc.* .......... 100 1,488
Flowserve Corp ...................... 900 25,144
Kevco Inc.* ......................... 1,000 16,500
Manchester Equipment Inc.* .......... 1,800 7,200
Motor Cargo Industries Inc.* ........ 700 8,400
Rush Enterprise Inc.* ............... 800 6,400
Seibels Bruce Group Inc.* ........... 2,200 16,500
Spacehab Inc.* ...................... 2,000 21,125
Spectralink Corp.* .................. 600 1,688
Symons International Group Inc.* .... 500 9,608
----------
125,653
----------
SHELTER - 1.1%
Ameron International Corp. .......... 100 6,325
Beazer Homes USA Inc.* .............. 1,400 27,913
Belmont Homes Inc. .................. 1,700 13,068
Butler Manufacturing Co. ............ 300 9,675
Morgan Products Ltd.* ............... 3,600 19,125
Patrick Industries Inc. ............. 800 11,800
Ryland Group Inc. ................... 1,300 30,550
Southern Energy Homes Inc.* ......... 1,900 15,200
U.S. Home Corp.* .................... 500 19,625
----------
153,281
----------
TECHNOLOGY - 0.4%
Alliant Techsystems Inc.* ........... 200 11,150
Interlink Computer Sciences Inc.* ... 1,500 5,531
Komag Inc.* ......................... 1,400 20,825
Read-Rite Corp.* .................... 1,000 15,750
Trident Microsystems Inc.* .......... 1,300 11,781
----------
65,037
----------
TRANSPORTATION - 0.3%
Fritz Companies Inc.* ............... 2,400 $ 33,450
Kenan Transport Co. ................. 200 7,325
----------
40,775
----------
TOTAL COMMON STOCKS ................. 1,380,225
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.5%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ............... 64,535
----------
TOTAL SMALL CAP VALUE
(Identifed Cost $1,406,909 ) ....... 1,444,760
----------
INTERNATIONAL EQUITY--11.5%
- --------------------------------------------------------------------------------
COMMON STOCKS--10.9%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ..................... 342 20,049
----------
AUSTRALIA - 0.3%
Australia & New Zealand Bank Group .. 4,023 26,587
Pioneer International Ltd. .......... 4,050 11,060
Quantas Airways ..................... 5,746 10,171
----------
47,818
----------
CANADA - 0.5%
Bank of Nova Scotia ................. 316 14,893
Canadian Imperial Bank .............. 560 17,477
Imasco Ltd. ......................... 690 24,383
Noranda Inc. ........................ 410 7,259
----------
64,012
----------
DENMARK - 0.3%
BG Bank ............................. 570 38,350
----------
FINLAND - 0.3%
Rauma Oy ............................ 423 6,596
UPM Kymmene Oy ...................... 1,305 26,095
----------
32,691
----------
FRANCE - 0.9%
Elf Aquitaine ....................... 105 12,212
Lafarge Coppee ...................... 295 19,356
Pernod Ricard ....................... 580 34,115
Seita ............................... 800 28,711
Societe Generale .................... 183 24,933
Usinor Sacilor ...................... 870 12,562
----------
131,889
----------
GERMANY - 0.5%
Commerzbank AG ...................... 970 38,176
Draegerwerk AG ...................... 840 15,316
Dyckerhoff AG ....................... 85 22,444
----------
75,936
----------
GREAT BRITAIN - 2.8%
Abbey National ...................... 1,470 26,463
Allied Domecq PLC ................... 2,545 21,988
BTR PLC ............................. 7,934 23,978
Bat Industries ...................... 2,947 26,874
Coats Viyella ....................... 11,662 17,431
Commercial Union .................... 1,340 18,686
Cookson Group ....................... 5,300 17,149
Energy Group ........................ 1,150 12,693
Hanson .............................. 6,254 27,902
Harrison & Crosfield ................ 10,840 25,105
Hillsdown Holdings .................. 7,056 17,152
Hyder ............................... 1,598 25,407
Lex Service ......................... 2,580 19,705
National Westminster ................ 1,860 30,917
Powergen ............................ 1,785 23,220
Safeway ............................. 3,430 19,324
Tate & Lyle ......................... 2,800 23,041
Tomkins ............................. 4,500 21,287
----------
398,322
----------
HONG KONG - 0.7%
China Light & Power ................. 2,500 13,873
Dickson Concept Industries .......... 4,000 5,833
HSBC Holdings ....................... 500 12,324
Hang Lung Development Co. ........... 5,000 7,033
Hong Kong Telecomm .................. 4,000 8,233
Manhattan Card Co. .................. 40,000 14,066
New World Development Co. ........... 1,000 3,459
South China Morning Post ............ 14,000 9,846
Swire Pacific ....................... 4,500 24,681
----------
99,348
----------
IRELAND - 0.3%
Greencore Group ..................... 4,500 21,136
Jefferson Smurfit ................... 9,165 25,828
----------
46,964
----------
ITALY - 0.2%
Eni Spa ............................. 4,420 25,061
----------
JAPAN - 1.1%
Koito Manufacturing Co. ............. 2,000 7,965
Kyocera Corp. ....................... 500 22,670
MOS Food Services ................... 1,200 13,878
Nichicon Corp. ...................... 1,000 9,267
Nintendo Co. ........................ 200 19,606
Promise Co. ......................... 440 24,398
Sekisui Chemical .................... 2,000 10,155
Sony Corp. .......................... 200 17,768
Suzuki Motor Corp. .................. 2,000 18,075
Yodogawa Steel Works ................ 4,000 16,267
----------
160,049
----------
NETHERLANDS - 0.8%
ABN Amro Holdings NV ................ 1,120 21,818
Akzo Nobel NV ....................... 160 27,587
Hollandsche Beton ................... 1,330 24,729
Ing Groep NV ........................ 447 18,827
Koninklijke PTT NV .................. 605 25,242
----------
118,203
----------
NEW ZEALAND - 0.1%
Fletcher Challenge .................. 4,021 $ 8,217
----------
NORWAY - 0.3%
Kvaerner ASA ........................ 260 13,236
Nycomed Amersham* ................... 761 27,614
----------
40,850
----------
SPAIN - 0.3%
Banco Santander SA .................. 540 27,306
Repsol SA ........................... 640 18,041
----------
45,347
----------
SWEDEN - 0.1%
Electrolux AB ....................... 250 17,349
----------
SWITZERLAND - 1.1%
Forbo Holding ....................... 70 28,600
Nestle SA ........................... 20 29,962
Saurer AG ........................... 20 14,509
Schweizerische Rueckversicherungs-
Gesellschaft ....................... 19 35,524
Schweizerische Industrie-
Gesellschaft Holding AG ............ 10 27,375
Sulzer AG ........................... 32 20,279
----------
156,249
----------
UNITED STATES - 0.2%
Jardine Matheson .................... 4,100 20,910
----------
TOTAL COMMON STOCKS ................. 1,547,614
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ............... 84,414
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $1,586,042 ) ...... 1,632,028
----------
DOMESTIC FIXED INCOME - 24.1%
- --------------------------------------------------------------------------------
FIXED INCOME--21.7%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 2.1%
Atlantic City Electric Co.
7.01% due 8/23/02 .................. $ 45,000 46,471
Commonwealth Edison Co.
7.00% due 7/01/05 .................. 43,000 44,403
Equitable Life Assurance
6.95% due 12/01/05 ................. 40,000 40,724
GTE North Inc.
6.40% due 2/15/05 .................. 20,000 19,968
International Business Machines
6.22% due 8/01/27 .................. 35,000 35,292
Jackson National Life Insurance Co.
8.15% due 3/15/27 .................. 50,000 54,926
Lockheed Martin Corp.
7.20% due 5/01/36 .................. 50,000 54,186
----------
295,970
----------
MORTGAGE BACKED - 1.0%
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 .................. $ 32,368 $ 30,942
Federal National Mortgage Association
7.349% due 8/17/21 ................. 50,000 54,281
Structured Asset Securities Corp.
6.79% due 10/15/34 ................. 49,820 50,925
----------
136,148
----------
U. S. TREASURY OBLIGATIONS - 18.6%
United States Treasury Bonds
6.375% due 8/15/25 ................. 45,000 47,461
6.500% due 11/15/26 ................ 110,000 117,425
----------
164,886
----------
United States Treasury Notes
6.00% due 5/31/98 .................. 578,000 578,994
5.875% due 11/15/99 ................ 776,000 778,786
6.25% due 1/31/02 .................. 468,000 476,335
6.50% due 5/31/02 .................. 100,000 102,922
6.25% due 6/30/02 .................. 250,000 254,960
6.500% due 10/15/06 275,000 287,933
----------
2,479,930
----------
TOTAL U.S. TREASURY OBLIGATIONS ..... 2,644,816
----------
TOTAL FIXED INCOME .................. 3,076,934
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ............... 337,232
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $3,361,836) ....... 3,414,166
----------
INTERNATIONAL BOND - 28.2%
- --------------------------------------------------------------------------------
FIXED INCOME--21.7%
- --------------------------------------------------------------------------------
Currency
--------
ARGENTINA - 0.3%
Republic of Argentina Bocon
3.39% due 4/01/01 ........ ARS 56,533 49,715
----------
AUSTRALIA - 0.7%
Australia Government
7.50% due 9/15/09 ........ AUD 140,000 102,457
----------
CANADA - 0.9%
Canadian Government
8.75% due 12/01/05 ....... CAD 159,000 133,505
----------
CROATIA - 0.3%
Republic of Croatia
6.625% due 7/31/06 ....... $ 37,765 36,537
----------
DENMARK - 0.3%
Kingdom of Denmark
8.00% due 5/15/03 ........ DKK 300,000 49,436
----------
FINLAND - 2.7%
Republic of Finland
6.00% due 4/25/08 ........ FIN 2,000,000 380,264
----------
FRANCE - 0.7%
Government of France
7.75% due 10/25/05 ....... FRF 490,000 $ 94,605
----------
GERMANY - 1.2%
Treuhandanstalt
7.375% due 12/02/02 ...... DEM 275,000 169,590
----------
GREAT BRITAIN - 2.9%
U. K. Treasury
7.00% due 11/06/01 ....... GBP 66,000 109,658
8.50% due 12/07/05 ....... GBP 114,000 211,295
7.25% due 12/07/07 ....... GBP 51,000 89,710
----------
410,663
----------
GREECE - 0.9%
Hellenic Republic
11.10% due 6/17/03 ....... GRD 1,600,000 5,402
Republic of Greece
11.00% due 10/23/03 ...... GRD 5,200,000 17,702
8.80% due 6/19/07 ........ GRD 31,300,000 101,374
----------
124,478
----------
ITALY - 0.6%
Republic of Italy
6.00% due 1/01/00 ........ ITL 50,000,000 28,942
7.25% due 11/01/26 ....... ITL 95,000,000 62,510
----------
91,452
----------
JAPAN - 1.1%
Government of Japan
2.60% due 9/20/07 ........ JPY 20,300,000 165,049
----------
POLAND - 0.2%
Government of Poland
6.687% 10/27/24 .......... $ 27,000 26,021
----------
PHILIPPINES - 0.2%
Eurobank Reconstruction &
Development
9.00% due 4/22/98 ........ PHP 1,000,000 21,234
----------
SPAIN - 0.4%
Government of Spain
10.00% due 2/28/05 ....... ESP 7,000,000 58,228
----------
SWEDEN - 1.0%
Kingdom of Sweden
11.00% due 1/21/99 ....... SEK 100,000 13,346
8.00% due 8/15/07 ........ SEK 900,000 129,838
----------
143,184
----------
UNITED STATES - 1.8%
United States Treasury Notes
3.625% due 7/15/02 ....... $ 252,235 250,974
----------
TOTAL FIXED INCOME ........................... 2,307,392
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--11.8%
- --------------------------------------------------------------------------------
American Express Credit Corp.
5.83% due 1/13/98 ........ $ 100,000 99,806
American Telephone &
Telegraph Co.
5.78% due 1/16/98 ........ $ 100,000 $ 99,759
Aubrey G. Lanston
Repurchase Agreement
5.25% due 1/02/98(+) ..... 87,568
Bellsouth
Telecommunications Inc.
5.79% due 1/29/98 ........ $ 100,000 99,550
Canadian Government
5.72% due 1/30/98 ........ $ 100,000 99,539
Canadian Treasury Bills
3.98% due 4/02/98 ........ CAD 80,000 55,423
Canadian Wheat Board
5.73% due 2/11/98 ........ $ 100,000 99,347
Federal National
Mortgage Association
Discount Note
5.50% due 1/02/98 ........ $ 50,000 49,992
5.75% due 1/21/98 ........ $ 227,000 226,275
Florida Power Corp.
5.90% due 1/13/98 ........ $ 100,000 99,803
Ford Motor Credit Co.
5.54% due 1/08/98 ........ $ 100,000 99,892
General Electric Capital Corp.
5.73% due 1/26/98 ........ $ 100,000 99,602
General Motors Corp.
5.79% due 1/21/98 ........ $ 100,000 99,678
KFW International
Financing Inc.
5.73% due 2/02/98 ........ $ 100,000 99,491
New Center Asset Trust
5.56% due 1/21/98 ........ $ 100,000 99,691
Poland Treasury Bills
6.03% due 1/21/98 ........ PLN 10,000 2,803
5.00%due 4/22/98 ......... PLN 80,000 21,183
4.94% due 5/13/98 ........ PLN 40,000 10,459
Republic of Argentina
7.34% due 3/20/98 ........ $ 10,000 9,745
United States Treasury Bills
4.93% due 2/05/98 ........ $ 10,000 9,952
Wisconsin Electric Power Co.
5.77% due 1/26/98 ........ $ 100,000 99,599
----------
TOTAL SHORT-TERM OBLIGATIONS 1,669,157
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--0.2%
- --------------------------------------------------------------------------------
Purchased calls
AUD 90,000 Australian Government Bonds
@ AUD 94.75 exp. date 2/09/98 ............... 9,689
AUD 310,000 Australian Government Bonds
@ AUD 106.96 exp. date 2/09/98 .............. 20,037
----------
TOTAL INTERNATIONAL BOND OPTIONS ............. 29,726
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $4,066,653) ................ 4,006,275
----------
SHORT-TERM--4.8%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--4.8%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) ........................ $ 674,822
-----------
TOTAL SHORT-TERM
(Identified Cost $674,822) .................. 674,822
-----------
TOTAL INVESTMENTS
(Identified Cost $14,888,471) ...... 108.7% 15,423,230
OTHER ASSETS,
LESS LIABILITIES ................... (8.7) (1,231,567)
----- -----------
TOTAL NET ASSETS .................... 100.0% $14,191,663
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Aubrey G. Langston Repurchase Agreements
5.25% due 1/02/98 valued at $1,489,000, proceeds at maturity $1,489,434,
collateralized by $1,331,000 United States Treasury Notes 7.25% due
5/15/16, with a value of $1,507,981, portions of which are listed
separately by each asset class.
(++) The Portfolio owns in aggregate 420 shares of Deere & Co., valued at
$24,492; 375 shares of Chubb Corp., valued at $28,359; and 780 shares of
Federal National Mortgage Association, valued at $44,509, portions of which
are listed separately by each asset class.
See notes to financial statements
Foreign Currency Legend
- -----------------------------------------------
Symbol Country
- -----------------------------------------------
ARS Argentina
AUD Australia
CAD Canadian
DKK Denmark
FIN Finland
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
PLN Poland
ESP Spain
SEK Sweden
<PAGE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 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>
Deutsche Mark (Buy) .................... Germany $ 812,654 $ 834,070 January-1998 $ (21,416)
Deutsche Mark (Sell) ................... Germany 356,309 366,626 January-1998 10,317
Deutsche Mark (Buy) .................... Germany 42,886 43,179 February-1998 (293)
Deutsche Mark (Buy) .................... Germany 723,073 734,673 March-1998 (11,600)
Deutsche Mark (Sell) ................... Germany 802,857 810,765 March-1998 7,908
Dollar (Buy) ........................... Australia 21,514 24,376 January-1998 (2,862)
Dollar (Buy) ........................... Canada 279,797 281,201 March-1998 (1,404)
Dollar (Sell) .......................... Canada 168,305 179,211 March-1998 10,906
Drachma (Buy) .......................... Greece 82,669 83,966 January-1998 (1,297)
Drachma (Sell) ......................... Greece 128,121 130,967 January-1998 2,846
Drachma (Sell) ......................... Greece 67,888 68,217 February-1998 329
ECU (Buy) .............................. Europe 50,534 52,701 January-1998 (2,167)
ECU (Sell) ............................. Europe 50,574 52,030 January-1998 1,456
Franc (Buy) ............................ Belgium 50,391 51,149 January-1998 (758)
Franc (Buy) ............................ Belgium 24,320 24,448 March-1998 (128)
Franc (Buy) ............................ France 23,613 24,677 January-1998 (1,064)
Franc (Sell) ........................... France 14,301 14,930 March-1998 629
Franc (Buy) ............................ France 145,255 146,485 March-1998 (1,230)
Franc (Buy) ............................ Switzerland 1,370 1,377 January-1998 (7)
Franc (Sell) ........................... Switzerland 211,918 217,742 January-1998 5,824
Franc (Sell) ........................... Switzerland 227,318 229,205 February-1998 1,887
Franc (Buy) ............................ Switzerland 155,819 159,617 March-1998 (3,798)
Franc (Sell) ........................... Switzerland 1,382 1,389 March-1998 7
Guilder (Buy) .......................... Netherlands 101,685 105,894 January-1998 (4,209)
Guilder (Sell) ......................... Netherlands 7,433 7,549 March-1998 116
Koruna (Buy) ........................... Czechoslovakia 4,588 4,723 January-1998 (135)
Koruna (Sell) .......................... Czechoslovakia 4,588 4,604 January-1998 16
Krone (Buy) ............................ Denmark 7,303 7,645 January-1998 (342)
Krone (Buy) ............................ Norway 89,061 90,465 January-1998 (1,404)
Krone (Buy) ............................ Norway 50,382 52,922 February-1998 (2,540)
Krona (Buy) ............................ Sweden 300,607 306,709 January-1998 (6,102)
Krona (Sell) ........................... Sweden 246,420 260,737 January-1998 14,317
Lira (Buy) ............................. Italy 224,502 230,685 January-1998 (6,183)
Markka (Buy) ........................... Finland 23,861 24,847 January-1998 (986)
Markka (Sell) .......................... Finland 23,861 24,916 January-1998 1,055
Peseta (Buy) ........................... Spain 115,684 119,883 January-1998 (4,199)
Pound (Buy) ............................ Great Britain 163,764 165,317 January-1998 (1,553)
Pound (Sell) ........................... Great Britain 15,583 15,994 January-1998 411
Pound (Buy) ............................ Ireland 64,942 68,571 January-1998 (3,629)
Pound (Sell) ........................... Ireland 42,679 45,049 January-1998 2,370
Ringgit (Buy) .......................... Malaysia 15,436 15,734 January-1998 (298)
Ringgit (Sell) ......................... Malaysia 15,436 15,680 January-1998 244
Rupiah (Buy) ........................... Indonesia 9,918 13,664 January-1998 (3,746)
Rupiah (Sell) .......................... Indonesia 9,900 10,123 January-1998 223
Schilling (Buy) ........................ Austria 33,604 34,112 January-1998 (508)
Yen (Buy) .............................. Japan 1,533,986 1,635,162 January-1998 (101,176)
Yen (Sell) ............................. Japan 116,906 118,726 January-1998 1,820
---------
$(122,353)
=========
</TABLE>
<PAGE>
CITISELECT(R) VIP FOLIO 400
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1997
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.2%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.2%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.8%
Deere & Co.(++) ........................ 155 $ 9,038
General Electric Co. ................... 705 51,729
Illinois Tool Works .................... 325 19,541
Xerox Corp. ............................ 165 12,179
----------
92,487
----------
COMMERCIAL SERVICES - 0.2%
Automatic Data Processing Inc.* ........ 185 11,354
Interpublic Group Companies Inc. ....... 197 9,813
----------
21,167
----------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. ................... 285 11,934
----------
CONSUMER NON-DURABLES - 0.9%
Clorox Co. ............................. 210 16,603
Coca Cola Co. .......................... 510 33,979
Gillette Co. ........................... 225 22,598
Mattel Inc. ............................ 295 10,989
Procter & Gamble Co. ................... 290 23,146
----------
107,315
----------
CONSUMER SERVICES - 0.7%
Carnival Corp. ......................... 345 19,104
Clear Channel Communications* .......... 265 21,051
Cracker Barrel Old Country Store ....... 365 12,182
Walt Disney Co. ........................ 95 9,411
Gannett Inc. ........................... 310 19,162
----------
80,910
----------
ENERGY - 0.1%
Schlumberger Ltd. ...................... 115 9,258
----------
FINANCE - 1.2%
American International Group Inc. ...... 122 13,268
Chubb Corp.(++) ........................ 190 14,369
Federal National Mortgage Association(++) 415 23,681
MGIC Investment Corp. .................. 220 14,630
Norwest Corp. .......................... 320 12,360
State Street Corp. ..................... 230 13,383
Travelers Group Inc. ................... 380 20,472
U.S. Bancorp ........................... 95 10,634
Zions Bancorp .......................... 275 12,478
----------
135,275
----------
HEALTHCARE - 1.9%
Abbott Labs ............................ 285 18,685
Cardinal Health Inc. ................... 180 13,522
Health Management Association* ......... 455 11,489
Johnson & Johnson ...................... 320 21,080
Lilly, Eli & Co. ....................... 280 19,495
Lincare Holdings Inc.* ................. 325 18,525
Merck & Co. ............................ 335 35,594
Pfizer Inc. ............................ 435 32,435
Schering Plough Corp. .................. 305 18,948
Warner Lambert Co. ..................... 165 20,460
----------
210,233
----------
RETAIL - 1.1%
Bed Bath & Beyond Inc.* ................ 465 17,903
Consolidated Stores* ................... 267 11,731
Gap Inc. ............................... 335 11,872
Home Depot ............................. 445 26,199
Kohls Corp.* ........................... 220 14,988
Wal Mart Stores Inc. ................... 700 27,606
Walgreen Co. ........................... 550 17,256
----------
127,555
----------
TECHNOLOGY - 1.1%
Adaptec Inc. ........................... 170 6,311
Ameritech Corp. ........................ 310 24,955
Cisco Systems Inc.* .................... 293 16,307
Computer Association International Inc. 320 16,920
HBO & Company .......................... 310 14,880
Intel Corp. ............................ 200 14,050
Parametric Technology Corp.* ........... 205 9,712
Sun Guard Data Systems* ................ 540 16,740
----------
119,875
----------
TRANSPORTATION - 0.1%
Southwest Airlines Co. ................. 597 14,701
----------
TOTAL COMMON STOCKS .................... 930,710
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.0%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) .................. 110,884
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $907,047) ............ 1,041,594
----------
LARGE CAP VALUE--8.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--8.3%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Cabot Corp. ............................ 200 5,525
Dow Chemical Co. ....................... 100 10,150
E. I. du Pont de Nemours & Co. ......... 100 6,006
FMC Corp.* ............................. 100 6,731
Great Lakes Chemical Corp. ............. 300 13,463
IMC Global Inc. ........................ 200 6,550
Inland Steel Industries Inc. ........... 200 3,425
National Steel Corp.* .................. 100 1,156
Rohm & Haas Co. ........................ 100 9,575
Westvaco Corp. ......................... 100 3,144
----------
65,725
----------
CAPITAL GOODS - 0.9%
Arrow Electronics Inc.* ................ 300 9,731
Caterpillar Inc. ....................... 200 9,713
Cummins Engine Inc. .................... 400 23,625
Deere & Co.(++) ........................ 100 5,831
Harnischfeger Industries Inc. .......... 400 14,125
Kennametal Inc. ........................ 200 10,363
Parker Hannifin Corp. .................. 300 13,763
Tecumseh Products Co. .................. 200 9,750
----------
96,901
----------
CONSUMER BASICS - 0.9%
Bergen Brunswig Corp. .................. 175 7,372
Columbia /HCA Healthcare Corp. ......... 400 11,850
IBP Inc. ............................... 300 6,281
Mallinckrodt Inc. ...................... 200 7,600
Maxicare Health Plans Inc.* ............ 200 2,175
Philip Morris Companies Inc. ........... 500 22,656
RJR Nabisco Holdings Corp. ............. 500 18,750
Tupperware Corp. ....................... 200 5,575
Universal Foods Corp. .................. 200 8,450
Vencor Inc.* ........................... 200 4,888
Wellpoint Health Networks, Inc. ........ 100 4,225
----------
99,822
----------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. ............................. 200 9,500
Eaton Corp. ............................ 100 8,925
Ford Motor Co. ......................... 700 34,081
General Motors Corp. ................... 300 18,188
Goodyear Tire and Rubber ............... 300 19,087
----------
89,781
----------
CONSUMER NON-DURABLES - 0.6%
Federated Department Stores Inc.* ...... 300 12,919
Russell Corp. .......................... 200 5,313
Sears Roebuck & Co. .................... 300 13,575
Springs Industries Inc. ................ 200 10,400
Toys "R" Us Inc.* ...................... 300 9,431
V F Corp. .............................. 300 13,781
----------
65,419
----------
CONSUMER SERVICES - 0.3%
AMR Corp.* ............................. 100 12,850
Delta Airlines Inc. .................... 200 23,800
----------
36,650
----------
ENERGY - 0.5%
Amoco Corp. ............................ 100 8,513
Atlantic Richfield Co. ................. 100 8,013
British Petroleum PLC .................. 100 7,969
Phillips Petroleum Co. ................. 200 9,725
Repsol SA .............................. 200 8,512
Ultra Mar Diamond Shamrock ............. 300 9,562
YPF Sociedad Anonima ................... 300 10,256
----------
62,550
----------
FINANCE - 2.0%
Allstate Corp. ......................... 200 18,175
American General Corp. ................. 200 10,812
Bank of New York Inc. .................. 100 5,781
Case Corp. ............................. 300 18,131
Chase Manhattan Corp. .................. 200 21,900
Chubb Corp.(++) ........................ 100 7,563
Cigna Corp. ............................ 100 17,306
Crestar Financial Corp. ................ 100 5,700
Everest Reinsurance Holdings ........... 300 12,375
Federal National Mortgage Association(++) 100 5,706
First Union Corp. ...................... 420 21,525
Foundation Health Systems* ............. 390 8,726
Hartford Financial Services Group ...... 100 9,356
Mellon Bank Corp. ...................... 200 12,125
Old Republic International Corp. ....... 300 11,156
Reliastar Financial Corp. .............. 300 12,356
Republic NY Corp. ...................... 100 11,419
TIG Holdings Inc. ...................... 200 6,638
Transatlantic Holdings Inc. ............ 150 10,725
----------
227,475
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ........................... 500 7,500
Standard Register ...................... 100 3,475
----------
10,975
----------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. .................. 500 24,531
Dillards Inc. .......................... 200 7,050
Raytheon Co. ........................... 19 937
----------
32,518
----------
SHELTER - 0.1%
Owens Corning .......................... 300 10,238
----------
TECHNOLOGY - 0.8%
Beckman Industries Inc. ................ 300 12,000
International Business Machines ........ 300 31,369
Quantum Corp.* ......................... 200 4,012
Seagate Technology* .................... 200 3,850
Stratus Computer Inc.* ................. 400 15,125
TRW Inc. ............................... 200 10,675
Tektronix Inc. ......................... 300 11,906
Western Digital Corp.* ................. 300 4,819
----------
93,756
----------
TRANSPORTATION - 0.1%
CSX Corp. .............................. 200 10,800
----------
UTILITIES - 0.3%
Cinergy Corp. .......................... 100 3,831
DTE Energy Co. ......................... 200 6,937
Duke Energy Co. ........................ 104 5,759
Entergy Corp. .......................... 200 5,988
GPU Inc. ............................... 200 8,425
----------
30,940
----------
TOTAL COMMON STOCKS .................... 933,550
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/2/98(+) ................... 68,926
----------
TOTAL LARGE CAP VALUE
(Identified Cost $907,348) ............ 1,002,476
----------
SMALL CAP GROWTH--15.8%
- --------------------------------------------------------------------------------
COMMON STOCKS--14.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
Central Packing Corp. .................. 1,360 61,625
OM Group Inc. .......................... 815 29,849
----------
91,474
----------
CAPITAL GOODS - 0.5%
Hardinge Brothers Inc.* ................ 830 30,918
ITEQ Inc.* ............................. 1,950 22,425
----------
53,343
----------
CONSUMER BASICS - 1.9%
Human Genome Sciences Inc.* ............ 865 34,384
Parexel International Corp.* ........... 1,285 47,545
Renal Treatment Centers Inc.* .......... 1,040 37,570
Suiza Foods Corp.* ..................... 1,045 62,243
Whole Foods Market Inc.* ............... 615 31,442
----------
213,184
----------
CONSUMER DURABLE GOODS - 0.2%
Tower Automotive Inc.* ................. 700 29,444
----------
CONSUMER NON-DURABLES - 0.7%
Henry Schein Inc.* ..................... 1,100 38,500
Men's Wearhouse Inc.* .................. 1,060 36,835
----------
75,335
----------
CONSUMER SERVICES - 0.3%
Premier Parks Inc.* .................... 780 31,590
----------
ENERGY - 0.9%
Forcenergy Inc.* ....................... 1,445 37,841
Key Energy Group Inc.* ................. 920 19,953
Lomak Petroleum Inc. ................... 2,120 34,450
Superior Energy Services Inc.* ......... 785 7,948
----------
100,192
----------
FINANCE - 0.5%
Allied Group Inc. ...................... 1,487 42,565
Metris Companies Inc.* ................. 625 21,406
----------
63,971
----------
GENERAL BUSINESS - 3.8%
Abacus Direct Corp.* ................... 980 40,180
Executive Risk Inc. .................... 725 50,614
Heftel Broadcasting Corp.* ............. 1,325 61,944
Intelliquest Information Group* ........ 920 12,190
Lamar Advertising Co.* ................. 1,155 45,911
Metro Networks Inc.* ................... 550 18,013
NFO Worldwide Inc.* .................... 2,000 41,875
Profit Recovery Group International Inc.* 1,435 25,471
Registry Inc.* ......................... 930 42,664
Snyder Communications Inc.* ............ 1,535 56,027
Whittman Hart Inc.* .................... 1,095 37,504
----------
432,393
----------
MISCELLANEOUS - 2.9%
AHL Services Inc.* ..................... 530 13,051
American Disposal Services Inc.* ....... 500 18,250
Concentra Managed Care Inc.* ........... 1,185 $ 39,994
Gray Communications Systems Inc. ....... 825 21,244
Probusiness Services Inc.* ............. 255 5,833
QAD Inc.* .............................. 1,420 17,927
Rental Service Corp.* .................. 1,970 48,388
Romac International Inc.* .............. 875 21,383
Sirrom Capital Corp. ................... 1,010 52,646
Suburban Lodges America Inc.* .......... 1,635 21,766
Synthetic Industries Inc.* ............. 1,010 24,997
Viropharma Inc.* ....................... 905 15,951
Wilmar Industries Inc.* ................ 1,000 23,875
----------
325,305
----------
TECHNOLOGY - 1.5%
CDW Computer Centers Inc.* ............. 640 33,360
Claremont Technology Group Inc.* ....... 875 16,187
E Trade Group Inc.* .................... 490 11,270
ETEC Systems Inc.* ..................... 415 19,298
Harbinger Inc.* ........................ 650 18,281
Inacom Corp.* .......................... 655 18,381
Sipex Corp.* ........................... 840 25,410
Somas Medical Technology* .............. 780 9,945
Speedfam International Inc.* ........... 495 13,117
----------
165,249
----------
TRANSPORTATION - 0.5%
Eagle U.S.A. Airfreight Inc.* .......... 1,310 37,335
Hub Group Inc.* ........................ 560 16,660
----------
53,995
----------
TOTAL COMMON STOCKS .................... 1,635,475
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.3%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) .................. 142,487
----------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,487,238) .......... 1,777,962
----------
SMALL CAP VALUE--15.3%
- --------------------------------------------------------------------------------
COMMON STOCKS--15.0%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.2%
Atchison Casting Corp.* ................ 500 8,125
Carpenter Technology Corp. ............. 200 9,613
Keystone Consolidated Industries Inc.* . 2,500 30,000
LTV Corp. .............................. 4,400 42,900
Oil-Dri Corp. of America ............... 1,600 26,400
Reliance Steel & Aluminum Co. .......... 500 14,875
----------
131,913
----------
CAPITAL GOODS - 2.6%
American Buildings Co.* ................ 800 20,200
Astro-Med Inc. ......................... 1,500 12,000
Commercial Intertech Corp. ............. 1,500 31,125
D.R. Horton Inc. ....................... 2,500 43,438
ESCO Electronics Corp.* ................ 2,100 35,437
Global Industries Technologies Inc.* ... 1,500 25,406
JLG Industries Inc. .................... 3,700 $ 52,263
Perini Corp.* .......................... 1,000 9,000
Ultrak Inc.* ........................... 2,200 20,212
United Industrial Corp. ................ 3,700 40,238
----------
289,319
----------
CONSUMER BASICS - 2.6%
Cohr Inc.* ............................. 1,500 19,125
Dimon Inc. ............................. 1,300 34,125
Ekco Group Inc.* ....................... 4,500 34,875
MMI Companies Inc. ..................... 1,900 47,737
Matrix Pharmaceuticals* ................ 4,600 15,812
Nash Finch Co. ......................... 400 7,600
Orthologic Corp.* ...................... 3,400 18,913
RLI Corp. .............................. 300 14,944
Schultz Sav-O Stores Inc. .............. 1,400 21,700
Schweitzer-Mauduit International Inc. .. 600 22,350
Standard Commercial Corp.* ............. 2,526 41,837
ThermoTrex Corp.* ...................... 600 13,275
----------
292,293
----------
CONSUMER DURABLE GOODS - 1.1%
Coachmen Industries Inc. ............... 1,800 38,812
Flexsteel Industries Inc. .............. 1,200 16,950
Haskel International Inc. .............. 1,100 13,131
Oshkosh Truck Corp.Class B ............. 1,400 25,288
Republic Automotive Parts Inc.* ........ 800 11,700
West Co. Inc. .......................... 500 14,875
----------
120,756
----------
CONSUMER NON-DURABLES - 0.5%
Brookstone Inc.* ....................... 1,500 18,750
Haverty Furniture Companies Inc. ....... 700 9,450
Syms Corp.* ............................ 2,100 24,937
----------
53,137
----------
CONSUMER SERVICES - 0.5%
Aztar Corp.* ........................... 4,500 28,125
Cannondale Corp.* ...................... 1,100 23,925
----------
52,050
----------
ENERGY - 0.0%
Atwood Oceanics Inc.* .................. 100 4,738
----------
FINANCE - 2.1%
APS Holdings Corp. Class A* ............ 3,600 9,000
Allied Life Financial Corp. ............ 1,200 26,250
BankAtlantic Bancorp Inc. Class A ...... 1,100 17,944
BankAtlantic Bancorp Inc. Class B ...... 600 10,050
Centris Group Inc. ..................... 100 2,231
Downey Financial Corp. ................. 800 22,750
FBL Financial Group Inc. Class A ....... 400 16,050
Farm Family Holdings Inc.* ............. 600 19,537
Flagstar Bancorp Inc. .................. 1,300 25,736
GA Financial Inc. ...................... 700 13,213
Homeside Inc.* ......................... 1,100 30,319
Matrix Capital Corp.* .................. 1,100 16,775
Ocwen Asset Investment Corp. ........... 900 18,450
Penn America Group Inc. ................ 200 4,100
Professionals Insurance Company
Management Group* ...................... 200 8,600
----------
241,005
----------
GENERAL BUSINESS - 0.3%
Ennis Business Forms Inc. .............. 3,700 34,225
----------
MISCELLANEOUS - 1.3%
Commonwealth Industries Inc. ........... 1,000 14,500
Duckwall Alto Stores Inc.* ............. 100 1,487
Flowserve Corp. ........................ 1,000 27,938
Kevco Inc.* ............................ 1,200 19,800
Manchester Equipment Inc.* ............. 2,000 8,000
Motor Cargo Industries Inc.* ........... 700 8,400
Rush Enterprises Inc.* ................. 400 3,200
Siebels Bruce Group Inc.* .............. 2,300 17,250
Spacehab Inc.* ......................... 2,600 27,462
Spectralink Corp.* ..................... 1,200 3,375
Symons International Group Inc.* ....... 800 15,375
----------
146,787
----------
SHELTER - 1.7%
Ameron International Corp. ............. 100 6,325
Beazer Homes USA Inc.* ................. 1,800 35,888
Belmont Homes Inc. ..................... 2,600 19,987
Butler Manufacturing Co. ............... 400 12,900
Morgan Products Ltd.* .................. 5,300 28,156
Patrick Industries Inc. ................ 1,200 17,700
Ryland Group Inc. ...................... 1,400 32,900
Southern Energy Homes Inc.* ............ 1,800 14,400
U.S. Home Corp.* ....................... 700 27,475
----------
195,731
----------
TECHNOLOGY - 0.6%
Alliant Techsystems Inc.* .............. 100 5,575
Interlink Computer Sciences Inc.* ...... 1,800 6,638
Komag Inc.* ............................ 2,100 31,237
Read-Rite Corp.* ....................... 1,100 17,325
Trident Microsystems Inc.* ............. 1,400 12,688
----------
73,463
----------
TRANSPORTATION - 0.5%
Fritz Companies Inc.* .................. 3,600 50,175
Kenan Transport Co. .................... 200 7,325
----------
57,500
----------
TOTAL COMMON STOCKS .................... 1,692,917
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) .................. 31,296
----------
TOTAL SMALL CAP VALUE
(Identified Cost $1,692,595) .......... 1,724,213
----------
INTERNATIONAL EQUITY--22.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--22.2%
- --------------------------------------------------------------------------------
AUSTRIA - 0.2%
Bohler Uddeholm ........................ 438 $ 25,677
----------
AUSTRALIA - 0.8%
Australia & New Zealand Bank Group ..... 6,692 44,226
Pioneer International Ltd. ............. 9,570 26,134
Quantas Airways ........................ 11,162 19,758
----------
90,118
----------
CANADA - 1.2%
Bank of Nova Scotia .................... 644 30,351
Canadian Imperial Bank ................. 1,200 37,451
Imasco Ltd. ............................ 1,425 50,357
Noranda Inc. ........................... 745 13,190
----------
131,349
----------
FINLAND - 0.4%
Rauma Oy ............................... 819 12,771
UPM Kymmene Oy ......................... 1,580 31,595
----------
44,366
----------
FRANCE - 1.9%
Elf Aquitaine .......................... 230 26,751
Lafarge Coppee ......................... 650 42,649
Pernod Ricard .......................... 1,050 61,760
Seita .................................. 1,200 43,067
Societe Generale ....................... 123 16,758
Usinor Sacilor ......................... 1,930 27,867
----------
218,852
----------
GERMANY - 0.7%
Commerzbank AG ......................... 2,135 84,026
----------
GREAT BRITAIN - 5.5%
Abbey National ......................... 2,150 38,704
Allied Domecq PLC ...................... 5,210 45,012
BTR PLC ................................ 15,594 47,128
Bat Industries ......................... 5,040 45,961
Coats Viyella .......................... 23,490 35,110
Commercial Union ....................... 2,240 31,236
Cookson Group .......................... 4,200 13,590
Energy Group ........................... 2,040 22,517
Hanson ................................. 10,419 46,484
Harrison & Crosfield ................... 20,446 47,351
Hillsdown Holdings ..................... 6,000 14,585
Hyder .................................. 3,283 52,197
Lex Service ............................ 5,170 39,487
National Westminister .................. 735 12,217
Powergen ............................... 3,554 46,233
Safeway ................................ 7,100 40,000
Tate & Lyle ............................ 3,980 32,751
Tomkins ................................ 2,400 11,353
----------
621,916
----------
HONG KONG - 1.5%
China Light & Power .................... 5,300 29,410
Dickson Concept Industries ............. 8,000 11,666
HSBC Holdings .......................... 1,100 27,113
Hang Lung Development Co. .............. 10,000 14,066
Hong Kong Telecomm ..................... 9,200 18,937
Manhattan Card Co. ..................... 67,000 23,561
New World Development Co. .............. 3,000 10,376
South China Morning Post ............... 4,000 2,813
Swire Pacific .......................... 7,000 38,392
----------
176,334
----------
IRELAND - 0.3%
Jefferson Smurfit ...................... 12,600 35,509
----------
ITALY - 0.5%
Eni Spa ................................ 9,300 52,730
----------
JAPAN - 2.7%
Koito Manufacturing Co. ................ 5,000 19,913
Kyocera Corp ........................... 800 36,272
MOS Food Services ...................... 2,300 26,599
Nichicon Corp. ......................... 3,000 27,801
Nintendo Co. ........................... 300 29,409
Promise Co. ............................ 770 42,696
Sekisui Chemical ....................... 4,000 20,311
Sony Corp. ............................. 400 35,536
Suzuki Motor Corp. ..................... 4,000 36,149
Yodogawa Steel Works ................... 6,000 24,401
----------
299,087
----------
NETHERLANDS - 1.8%
ABN Amro Holdings NV ................... 2,140 41,689
Akzo Nobel NV .......................... 320 55,173
Hollandsche Beton ...................... 1,300 24,171
Ing Groep NV ........................... 830 34,958
Koninklijke PTT NV ..................... 1,071 44,685
----------
200,676
----------
NEW ZEALAND - 0.2%
Fletcher Challenge ..................... 8,020 16,392
----------
NORWAY - 0.7%
Kvaerner ASA ........................... 530 26,981
Nycomed Amersham* ...................... 1,528 55,445
----------
82,426
----------
SPAIN - 0.9%
Banco Santander SA ..................... 1,575 52,621
Repsol SA .............................. 1,060 45,224
----------
97,845
----------
SWEDEN - 0.2%
Electrolux AB .......................... 390 27,065
----------
SWITZERLAND - 2.3%
Forbo Holdings ......................... 109 44,534
Nestle SA .............................. 33 49,437
Saurer AG .............................. 33 23,939
Schweizerische
Rueckversicherungs-Gesellschaft ........ 31 57,961
Schweizerische Industrie-Gesellschaft
Holding AG ............................. 15 41,062
Sulzer AG .............................. 61 $ 38,657
----------
255,590
----------
UNITED STATES - 0.4%
Jardine Matheson ....................... 7,700 39,270
----------
TOTAL COMMON STOCKS .................... 2,499,228
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.7%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) .................. 87,929
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $2,466,623) .......... 2,587,157
----------
DOMESTIC FIXED INCOME--4.7%
- --------------------------------------------------------------------------------
FIXED INCOME--4.1%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 0.5%
Atlantic City Electric Co. .............
7.01% due 8/23/02 ...................... $10,000 10,327
Commonwealth Edison Co. ................
7.00% due 7/01/05 ...................... 11,000 11,359
Equitable Life Assurance
6.95% due 12/01/05 ..................... 5,000 5,091
GTE North Inc. .........................
6.40% due 2/15/05 ...................... 5,000 4,992
International Business Machines
6.22% due 8/01/27 ...................... 10,000 10,083
Jackson National Life Insurance Co. ....
8.15% due 3/15/27 ...................... 10,000 10,985
Lockheed Martin Corp. ..................
7.20% due 5/01/36 ...................... 10,000 10,837
----------
63,674
----------
MORTGAGE BACKED - 0.3%
Federal Home Loan Mortgage Corp. .......
6.00% due 3/15/09 ...................... 9,248 8,841
Federal National Mortgage Association
7.349% due 8/17/21 ..................... 10,000 10,856
Structured Asset Securities Corp. ......
6.79% due 10/15/34 ..................... 9,964 10,185
----------
29,882
----------
U. S. TREASURY OBLIGATIONS - 3.3%
United States Treasury Bonds
6.50% due 11/15/26 ..................... 20,000 21,350
6.375% due 8/15/27 ..................... 10,000 10,547
----------
31,897
----------
United States Treasury Notes
6.00% due 5/31/98 ...................... 138,000 138,238
5.875% due 11/15/99 .................... 77,000 77,276
6.25% due 1/31/02 ...................... 88,000 89,567
6.50% due 5/31/02 ...................... 23,000 23,672
6.50% due 10/15/06 ..................... 10,000 10,470
----------
339,223
----------
TOTAL U.S. TREASURY OBLIGATIONS ........ 371,120
----------
TOTAL FIXED INCOME ..................... 464,676
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) .................. $ 62,714
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $516,912) ............ 527,390
----------
INTERNATIONAL BOND--29.4%
- --------------------------------------------------------------------------------
FIXED INCOME--17.0%
- --------------------------------------------------------------------------------
Currency
--------
ARGENTINA - 0.4
Republic of Argentina Bocon
3.39% due 4/01/01 ........... ARS 55,379 48,699
----------
AUSTRALIA - 2.6%
Australia Government
9.50% due 8/15/03 ........... AUD 310,000 237,877
7.50% due 9/15/09 ........... AUD 74,000 54,156
----------
292,033
----------
CANADA - 1.2%
Canadian Government
8.75% due 12/01/05 ......... CAD 158,000 132,665
----------
CROATIA - 0.3%
Republic of Croatia
6.625% due 7/31/06 ......... $ 37,764 36,537
----------
DENMARK - 0.5%
Kingdom of Denmark
8.00% due 5/15/03 .......... DKK 300,000 49,436
----------
FINLAND - 1.7%
Republic of Finland
6.00% due 4/25/08 .......... FIN 1,000,000 190,132
----------
FRANCE - 0.8%
Government of France
7.75% due 10/25/05 ......... FRF 490,000 94,605
----------
GERMANY - 0.3%
Treuhandanstalt
7.375% due 12/02/02 ........ DEM 45,000 27,751
----------
GREAT BRITAIN - 3.4%
U. K. Treasury
7.00% due 11/06/01 ......... GBP 67,000 111,320
8.50% due 12/07/05 ......... GBP 106,000 196,466
7.25% due 12/07/07 ......... GBP 46,000 80,915
----------
388,701
----------
Greece - 1.0%
Hellenic Republic
11.10% due 6/17/03 ......... GRD 1,500,000 5,064
Republic of Greece
11.00% due 10/23/03 ........ GRD 5,000,000 17,021
8.80% due 6/19/07 .......... GRD 29,100,000 94,248
----------
116,333
----------
ITALY - 0.8%
Republic of Italy
6.00% due 1/01/00 .............. ITL 50,000,000 28,942
7.25% due 11/01/26 ............. ITL 90,000,000 59,220
----------
88,162
----------
PHILLIPPINES - 0.2%
Eurobank Reconstruction
& Development
9.00% due 4/22/98 .......... PHP 1,000,000 21,235
----------
POLAND - 0.2%
Government of Poland
6.687% due 10/27/24 ........ $ 24,000 23,130
----------
SPAIN - 0.5%
Government of Spain
10.00% due 2/28/05 ......... ESP 7,000,000 58,228
----------
SWEDEN - 1.3%
Kingdom of Sweden
11.00% due 1/21/99 ......... SEK 100,000 13,346
8.00% due 8/15/07 .......... SEK 900,000 129,838
----------
143,184
----------
UNITED STATES - 1.8%
United States Treasury Notes
3.625% due 7/15/02 ......... $ 201,788 200,779
----------
TOTAL FIXED INCOME ..................... 1,911,610
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--11.6%
- --------------------------------------------------------------------------------
American Telephone & Telegraph Co.
5.76% due 2/12/98 .............. $ 100,000 99,328
Aubrey G. Lanston Repurchase
Agreement
5.25% due 1/02/98(+) ........... 147,759
Canadian Government
5.72% due 1/30/98 .............. $ 100,000 99,539
Canadian Treasury Bill
3.98% due 4/02/98 .............. CAD 80,000 55,423
Coca Cola Co.
5.83% due 1/21/98 .............. $ 100,000 99,676
E I du Pont de Nemours & Co.
5.83% due 1/28/98 .............. $ 100,000 99,563
Federal National Mortgage
Association Discount Notes
5.77% due 1/26/98 .............. $ 100,000 99,599
Federal Home Loan
Mortgage Discount Notes
5.70% due 1/23/98 .............. $ 400,000 398,607
Federal Farm Credit Bank
Discount Notes
5.55% due 1/15/98 .............. $ 155,000 154,666
Poland Treasury Bills
6.03% due 1/21/98 .............. PLN 10,000 2,803
5.00% due 4/22/98 .............. PLN 70,000 18,535
4.94% due 5/13/98 .............. PLN 60,000 15,687
Republic of Argentina
7.34% due 3/20/98 .............. ARS 10,000 9,745
United States Treasury Bills
4.93% due 2/05/98 .............. $ 10,000 9,952
----------
TOTAL SHORT-TERM OBLIGATIONS .... 1,310,882
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--0.8%
- --------------------------------------------------------------------------------
Purchased calls
AUD 60,000 Australian Government Bonds
@ AUD 94.750 exp. date 2/09/98 ........ 6,459
JPY 74,000,000 Japanese Government Bonds
@ JPY 97.781 exp. date 1/27/98 ........ 84,716
----------
TOTAL INTERNATIONAL BOND OPTIONS ....... 91,175
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $3,354,890) .......... 3,313,667
----------
SHORT-TERM--3.9%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.9%
- --------------------------------------------------------------------------------
Aubrey G. Lanston Repurchase Agreement
5.25% due 1/02/98(+) .................. 440,006
----------
TOTAL SHORT-TERM
(Identified Cost $440,006) ............ 440,006
----------
TOTAL INVESTMENTS
(Identified Cost $11,772,659) ......... 110.1% 12,414,465
OTHER ASSETS, LESS LIABILITIES ......... (10.1) (1,135,511)
----- ----------
TOTAL NET ASSETS ....................... 100.0% $11,278,954
===== ==========
* Non income producing
(+) The Portfolio owns in aggregate Aubrey G. Lanston Repurchase Agreements
5.25%, due 1/02/98 valued at $1,092,001, proceeds at maturity $1,092,319,
collateralized by $960,000 United States Treasury Note 7.125% due 2/15/23,
with a value of $1,089,150, portions of which are listed separately by each
asset class.
(++) The Portfolio owns in aggregate 255 shares of Deere & Co., valued at
$14,869; 290 shares of Chubb Corp., valued at $21,932; and 515 shares of
Federal National Mortgage Association, valued at $29,387, portions of which
are listed separately by each asset class.
See notes to financial statements
FOREIGN CURRENCY LEGEND
-------------------------------
SYMBOL COUNTRY
-------------------------------
ARS Argentina
AUD Australia
CAD Canada
DKK Denmark
FIN Finland
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
PHP Philippines
PLN Poland
ESP Spain
SEK Sweden
<PAGE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 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>
Deutsche Mark (Buy) .................... Germany $707,940 $726,984 January-1998 $(19,044)
Deutsche Mark (Sell) ................... Germany 155,903 162,157 January-1998 6,254
Deutsche Mark (Buy) .................... Germany 79,645 80,190 February-1998 (545)
Deutsche Mark (Buy) .................... Germany 97,079 98,590 March-1998 (1,511)
Deutsche Mark (Sell) ................... Germany 224,286 227,707 March-1998 3,421
Dollar (Buy) ........................... Australia 21,514 24,376 January-1998 (2,862)
Dollar (Buy) ........................... Canada 212,486 216,680 March-1998 (4,194)
Dollar (Sell) .......................... Canada 175,318 186,679 March-1998 11,361
Drachma (Buy) .......................... Greece 76,226 77,456 January-1998 (1,230)
Drachma (Sell) ......................... Greece 119,142 121,815 January-1998 2,673
Drachma (Sell) ......................... Greece 63,241 63,548 February-1998 307
ECU (Buy) .............................. Europe 48,393 50,429 January-1998 (2,036)
ECU (Sell) ............................. Europe 48,375 49,773 January-1998 1,398
Franc (Buy) ............................ Belgium 52,932 53,728 January-1998 (796)
Franc (Buy) ............................ Belgium 22,449 22,567 March-1998 (118)
Franc (Buy) ............................ France 18,791 19,637 January-1998 (846)
Franc (Sell) ........................... France 7,815 8,159 January-1998 344
Franc (Buy) ............................ France 108,565 109,485 March-1998 (920)
Franc (Buy) ............................ Switzerland 1,370 1,377 January-1998 (7)
Franc (Sell) ........................... Switzerland 201,618 206,998 January-1998 5,380
Franc (Sell) ........................... Switzerland 56,485 56,954 February-1998 469
Franc (Buy) ............................ Switzerland 1,379 1,413 March-1998 (34)
Franc (Sell) ........................... Switzerland 1,382 1,389 March-1998 7
Guilder (Buy) .......................... Netherlands 106,621 111,034 January-1998 (4,413)
Koruna (Buy) ........................... Czechoslovakia 4,588 4,722 January-1998 (134)
Koruna (Sell) .......................... Czechoslovakia 4,588 4,604 January-1998 16
Krone (Buy) ............................ Denmark 4,381 4,587 January-1998 (206)
Krone (Buy) ............................ Norway 45,086 47,359 February-1998 (2,273)
Krona (Buy) ............................ Sweden 290,701 296,360 January-1998 (5,659)
Krona (Sell) ........................... Sweden 246,798 261,152 January-1998 14,354
Lira (Buy) ............................. Italy 186,404 191,926 January-1998 (5,522)
Markka (Buy) ........................... Finland 39,360 40,626 January-1998 (1,266)
Markka (Sell) .......................... Finland 22,026 22,999 January-1998 973
Peseta (Buy) ........................... Spain 40,466 41,076 January-1998 (610)
Pound (Buy) ............................ Great Britain 97,817 99,138 January-1998 (1,321)
Pound (Sell) ........................... Great Britain 5,742 5,865 January-1998 123
Pound (Buy) ............................ Ireland 56,905 60,400 January-1998 (3,495)
Pound (Sell) ........................... Ireland 42,679 45,049 January-1998 2,370
Ringgit (Buy) .......................... Malaysia 12,863 13,111 January-1998 (248)
Ringgit (Sell) ......................... Malaysia 12,864 13,067 January-1998 203
Rupiah (Buy) ........................... Indonesia 9,774 13,449 January-1998 (3,675)
Rupiah (Sell) .......................... Indonesia 9,707 9,926 January-1998 219
Schilling (Buy) ........................ Austria 25,534 25,906 January-1998 (372)
Yen (Buy) .............................. Japan 586,966 626,578 January-1998 (39,612)
Yen (Sell) ............................. Japan 4,159 4,272 January-1998 113
--------
$(52,964)
========
</TABLE>
<PAGE>
CITISELECT(R) VIP FOLIO 500
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1997
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--8.2%
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.8%
Deere & Co.(++) ........................ 140 $ 8,164
General Electric Co. ................... 630 46,226
Illinois Tool Works .................... 290 17,436
Xerox Corp. ............................ 150 11,072
----------
82,898
----------
COMMERCIAL SERVICES - 0.2%
Automatic Data Processing Inc.* ........ 175 10,741
Interpublic Group Companies Inc. ....... 180 8,966
----------
19,707
----------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. ................... 260 10,888
----------
CONSUMER NON-DURABLES - 0.9%
Clorox Co. ............................. 190 15,022
Coca Cola Co. .......................... 445 29,648
Gillette Co. ........................... 205 20,590
Mattel Inc. ............................ 270 10,058
Procter & Gamble Co. ................... 265 21,150
----------
96,468
----------
CONSUMER SERVICES - 0.7%
Carnival Corp. ......................... 310 17,166
Clear Channel Communications* .......... 230 18,271
Cracker Barrel Old Country Store ....... 330 11,014
Gannett Inc. ........................... 275 16,998
Walt Disney Co. ........................ 85 8,420
----------
71,869
----------
ENERGY - 0.1%
Schlumberger Ltd. ...................... 100 8,050
----------
FINANCE - 1.1%
American International Group Inc. ...... 110 11,963
Chubb Corp.(++) ........................ 170 12,856
Federal National Mortgage Association(++) 345 19,687
MGIC Investment Corp. .................. 190 12,635
Norwest Corp. .......................... 280 10,815
State Street Corp. ..................... 205 11,928
Travelers Group Inc. ................... 337 18,156
U.S. Bancorp ........................... 85 9,515
Zions Bancorp .......................... 260 11,798
----------
119,353
----------
HEALTHCARE - 1.8%
Abbott Labs ............................ 260 17,046
Cardinal Health Inc. ................... 160 12,020
Health Management Association* ......... 400 10,100
Johnson & Johnson ...................... 280 18,445
Lilly, Eli & Co. ....................... 250 17,406
Lincare Holdings Inc.* ................. 290 16,530
Merck & Co. ............................ 290 30,812
Pfizer Inc. ............................ 390 29,079
Schering Plough Corp. .................. 275 17,084
Warner Lambert Co. ..................... 150 18,600
----------
187,122
----------
RETAIL - 1.1%
Bed, Bath & Beyond Inc.* ............... 425 16,362
Consolidated Stores* ................... 236 10,369
Gap Inc. ............................... 308 10,897
Home Depot ............................. 400 23,550
Kohls Corp.* ........................... 195 13,284
Wal Mart Stores Inc. ................... 635 25,043
Walgreen Co. ........................... 500 15,688
----------
115,193
----------
TECHNOLOGY - 1.0%
Adaptec Inc. ........................... 155 5,754
Ameritech Corp. ........................ 270 21,735
Cisco Systems Inc.* .................... 277 15,471
Computer Association International Inc. 285 15,069
HBO & Co. .............................. 280 13,440
Intel Corp. ............................ 175 12,294
Parametric Technology Corp.* ........... 180 8,528
Sun Guard Data Systems* ................ 450 13,950
----------
106,241
----------
TRANSPORTATION- 0.1%
Southwest Airlines Co. ................. 535 13,174
----------
TOTAL COMMON STOCKS 830,963
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Federal Home Loan Bank Discount Notes
4.75% due 1/02/98(+) .................. 30,828
----------
TOTAL LARGE CAP GROWTH
(Identfied Cost $735,305) ............. 861,791
----------
LARGE CAP VALUE--7.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.8%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Cabot Corp. ............................ 200 5,525
Dow Chemical Co. ....................... 100 10,150
E. I. du Pont de Nemours & Co. ......... 100 6,006
FMC Corp.* ............................. 100 6,731
Great Lakes Chemical Corp. ............. 300 13,463
IMC Global Inc. ........................ 200 6,550
Inland Steel Industries Inc. ........... 200 3,425
National Steel Corp.* .................. 100 1,156
Rohm & Haas Co. ........................ 100 9,575
Westvaco Corp. ......................... 300 9,431
----------
72,012
----------
CAPITAL GOODS - 0.8%
Arrow Electronics Inc.* ................ 200 6,488
Caterpillar Inc. ....................... 200 9,712
Cummins Engine Inc. .................... 400 23,625
Deere & Co.(++) ........................ 100 5,831
Harnischfeger Industries Inc. .......... 300 10,594
Kennametal Inc. ........................ 200 10,363
Parker Hannifin Corp. .................. 300 13,762
Tecumseh Products Co. .................. 200 9,750
----------
90,125
----------
CONSUMER BASICS - 0.9%
Bergen Brunswig Corp. .................. 150 6,319
Columbia/HCA Healthcare Corp. .......... 300 8,888
IBP Inc. ............................... 300 6,281
Mallinckrodt Inc. ...................... 200 7,600
Maxicare Health Plans Inc.* ............ 200 2,175
Philip Morris Companies Inc. ........... 500 22,656
RJR Nabisco Holdings Corp. ............. 500 18,750
Tupperware Corp. ....................... 200 5,575
Universal Foods Corp. .................. 200 8,450
Vencor Inc.* ........................... 200 4,887
----------
91,581
----------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. ............................. 200 9,500
Eaton Corp. ............................ 100 8,925
Ford Motor Co. ......................... 600 29,213
General Motors Corp. ................... 300 18,187
Goodyear Tire and Rubber ............... 300 19,088
----------
84,913
----------
CONSUMER NON-DURABLES - 0.5%
Federated Department Stores Inc.* ...... 200 8,612
Russell Corp. .......................... 200 5,312
Sears Roebuck & Co. .................... 300 13,575
Springs Industries Inc. ................ 200 10,400
Toys "R" Us Inc.* ...................... 300 9,431
V F Corp. .............................. 200 9,188
----------
56,518
----------
CONSUMER SERVICES - 0.2%
AMR Corp. * ............................ 100 12,850
Delta Airlines Inc. .................... 100 11,900
----------
24,750
----------
ENERGY - 0.5%
Amoco Corp. ............................ 100 8,513
Atlantic Richfield Co. ................. 100 8,012
British Petroleum PLC .................. 100 7,969
Phillips Petroleum Co. ................. 200 9,725
Repsol SA .............................. 200 8,513
Ultra Mar Diamond Shamrock ............. 200 6,375
YPF Sociedad Anonima ................... 300 10,256
----------
59,363
----------
FINANCE - 1.8%
Allstate Corp. ......................... 100 9,087
American General Corp. ................. 100 5,406
Bank of New York Inc. .................. 100 5,781
Case Corp. ............................. 300 18,131
Chase Manhattan Corp. .................. 200 21,900
Chubb Corp.(++) ........................ 100 7,562
Crestar Financial Corp. ................ 100 5,700
Everest Reinsurance Holdings ........... 300 12,375
Federal National Mortgage Association(++) 100 5,706
First Union Corp. ...................... 420 21,525
Foundation Health Systems* ............. 390 8,726
Hartford Financial Services Group ...... 100 9,356
Mellon Bank Corp. ...................... 200 12,125
Old Republic International Corp. ....... 200 7,437
Reliastar Financial Corp. .............. 200 8,238
Republic NY Corp. ...................... 100 11,419
TIG Holdings Inc. ...................... 200 6,638
Transatlantic Holdings Inc. ............ 150 10,725
----------
187,837
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ........................... 500 7,500
Standard Register ...................... 100 3,475
----------
10,975
----------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. .................. 400 19,625
Dillards Inc. .......................... 200 7,050
Raytheon Co. ........................... 19 937
----------
27,612
----------
SHELTER - 0.1%
Owens Corning .......................... 200 6,825
----------
TECHNOLOGY - 0.7%
Beckman Industries Inc. ................ 300 12,000
International Business Machines ........ 200 20,913
Quantum Corp.* ......................... 200 4,013
Seagate Technology* .................... 200 3,850
Stratus Computer Inc.* ................. 300 11,344
TRW Inc. ............................... 200 10,675
Tektronix Inc. ......................... 150 5,953
Western Digital Corp.* ................. 200 3,213
----------
71,961
----------
TRANSPORTATION - 0.1%
CSX Corp. .............................. 100 5,400
----------
UTILITIES - 0.3%
Cinergy Corp. .......................... 100 3,831
DTE Energy Co. ......................... 200 6,938
Duke Energy Co. ........................ 104 5,759
Entergy Corp. .......................... 200 5,988
GPU Inc. ............................... 200 8,425
----------
30,941
----------
TOTAL COMMON STOCKS .................... 820,813
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Federal Home Loan Bank Discount Notes
4.75% due 1/02/98(+) .................. 12,408
----------
TOTAL LARGE CAP VALUE
(Identfied Cost $743,883) ............. 833,221
----------
SMALL CAP GROWTH--18.1%
- --------------------------------------------------------------------------------
COMMON STOCKS--17.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.0%
Central Packing Corp. .................. 1,490 67,516
OM Group Inc. .......................... 915 33,512
----------
101,028
----------
CAPITAL GOODS - 0.6%
Hardinge Brothers Inc.* ................ 910 33,898
ITEQ Inc.* ............................. 2,110 24,265
----------
58,163
----------
CONSUMER BASICS - 2.2%
Human Genome Sciences Inc.* ............ 945 37,564
Parexel International Corp.* ........... 1,445 53,465
Renal Treatment Centers Inc.* .......... 1,145 41,363
Suiza Foods Corp.* ..................... 1,155 68,795
Whole Foods Market Inc.* ............... 685 35,021
----------
236,208
----------
CONSUMER DURABLE GOODS - 0.3%
Tower Automotive Inc.* ................. 820 34,491
----------
CONSUMER NON-DURABLES - 0.7%
Henry Schein Inc.* ..................... 1,210 42,350
Men's Wearhouse Inc.* .................. 1,015 35,271
----------
77,621
----------
CONSUMER SERVICES - 0.3%
Premier Parks Inc.* .................... 875 35,438
----------
ENERGY - 1.0%
Forcenergy Inc.* ....................... 1,530 40,067
Key Energy Group Inc.* ................. 1,000 21,687
Lomak Petrolium Inc. ................... 2,330 37,862
Superior Energy Services Inc.* ......... 850 8,606
----------
108,222
----------
FINANCE - 0.7%
Allied Group Inc. ...................... 1,717 49,149
Metris Companies Inc.* ................. 740 25,345
----------
74,494
----------
GENERAL BUSINESS - 4.4%
Abacus Direct Corp.* ................... 1,075 44,075
Executive Risk Inc. .................... 810 56,548
Heftel Broadcasting Corp.* ............. 1,475 68,956
Intelliquest Information Group* ........ 1,030 13,647
Lamar Advertising Co.* ................. 1,265 50,284
Metro Networks Inc.* ................... 640 20,960
NFO Research Inc.* ..................... 2,190 45,853
Profit Recovery Group International Inc.* 1,605 28,489
Registry Inc.* ......................... 955 43,811
Snyder Communications Inc.* ............ 1,365 49,823
Whittman Hart Inc.* .................... 1,200 41,100
----------
463,546
----------
MISCELLANEOUS - 3.4%
AHL Services Inc.* ..................... 475 11,697
American Disposal Services Inc.* ....... 545 19,892
Concentra Managed Care Inc.* ........... 1,305 44,044
Gray Communications Systems Inc. ....... 915 23,561
Probusiness Services Inc.* ............. 305 6,977
QAD Inc.* .............................. 1,555 19,632
Rental Service Corp.* .................. 2,195 53,915
Romac International Inc.* .............. 1,020 24,926
Sirrom Capital Corp. ................... 1,065 55,513
Suburban Lodges America Inc.* .......... 1,835 24,428
Synthetic Industries Inc.* ............. 1,090 26,978
Viropharma Inc.* ....................... 980 17,272
Wilmar Industries Inc.* ................ 1,100 26,263
----------
355,098
----------
TECHNOLOGY - 1.7%
CDW Computer Centers Inc.* ............. 695 36,227
Claremont Technology Group Inc.* ....... 970 17,945
E Trade Group Inc.* .................... 545 12,535
ETEC Systems Inc.* ..................... 435 20,227
Harbinger Corp.* ....................... 675 18,984
Inacom Corp.* .......................... 710 19,924
Sipex Corp.* ........................... 925 27,981
Somas Medical Technology* .............. 850 10,838
Speedfam International Inc.* ........... 535 14,178
----------
178,839
----------
TRANSPORTATION - 0.6%
Eagle U.S.A. Airfreight Inc.* .......... 1,415 40,327
Hub Group Inc.* ........................ 595 17,701
----------
58,028
----------
TOTAL COMMON STOCKS .................... 1,781,176
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.2%
- --------------------------------------------------------------------------------
Federal Home Loan Bank Discount Notes
4.75% due 1/02/98(+) 124,864
----------
TOTAL SMALL CAP GROWTH
(Identfied Cost $1,592,586) ........... 1,906,040
----------
SMALL CAP VALUE--18.0%
- --------------------------------------------------------------------------------
COMMON STOCKS--17.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.4%
Atchison Casting Corp.* ................ 400 6,500
Carpenter Technology Corp. ............. 200 9,613
Keystone Consolidated Industries Inc.* . 2,700 32,400
LTV Corp. .............................. 5,000 48,750
Oil-Dri Corp. of America 1,800 ......... 29,700
Reliance Steel & Aluminum Co. .......... 600 17,850
----------
144,813
----------
CAPITAL GOODS - 3.0%
American Buildings Co.* ................ 900 22,725
Astro-Med Inc. ......................... 1,600 12,800
Commercial Intertech Corp. ............. 1,500 31,125
D.R. Horton Inc. ....................... 2,300 39,963
ESCO Electronics Corp.* ................ 2,400 40,500
Global Industrial Technologies Inc.* ... 1,700 28,794
JLG Industries Inc. .................... 4,300 60,738
Perini Corp.* .......................... 1,100 9,900
Ultrak Inc.* ........................... 2,500 22,969
United Industrial Corp. ................ 4,100 44,587
----------
314,101
----------
CONSUMER BASICS - 3.1%
Cohr Inc.* ............................. 1,600 20,400
Dimon Inc. ............................. 1,400 36,750
Ekco Group Inc.* ....................... 5,100 39,525
MMI Companies Inc. ..................... 2,100 52,763
Matrix Pharmaceuticals* ................ 5,200 17,875
Nash Finch Co. ......................... 400 7,600
Orthologic Corp.* ...................... 4,000 22,250
RLI Corp. .............................. 300 14,944
Schultz Sav-O Stores Inc. .............. 1,500 23,250
Schweitzer-Mauduit International Inc. .. 700 26,075
Standard Commercial Corp.* ............. 2,823 46,756
ThermoTrex Corp.* ...................... 700 15,488
----------
323,676
----------
CONSUMER DURABLE GOODS - 1.2%
Coachmen Industries Inc. ............... 2,000 43,125
Flexsteel Industries Inc. .............. 700 9,888
Haskel International Inc. .............. 1,500 17,906
Oshkosh Truck Corp. Class B ............ 1,600 28,900
Republic Automotive Parts Inc.* ........ 900 13,163
West Co. Inc. .......................... 600 17,850
----------
130,832
----------
CONSUMER NON-DURABLES - 0.6%
Brookstone Inc.* ....................... 1,600 20,000
Haverty Furniture Companies Inc. ....... 800 10,800
Syms Corp.* ............................ 2,400 28,500
----------
59,300
----------
CONSUMER SERVICES - 0.5%
Aztar Corp.* ........................... 4,200 26,250
Cannondale Corp.* ...................... 1,300 28,275
----------
54,525
----------
ENERGY - 0.1%
Atwood Oceanics Inc.* .................. 100 4,737
----------
FINANCE - 2.5%
APS Holdings Corp. Class A* ............ 4,100 10,250
Allied Life Financial Corp. ............ 1,100 24,062
BankAtlantic Bancorp Inc. Class A ...... 1,300 21,206
BankAtlantic Bancorp Inc. Class B ...... 600 10,050
Centris Group Inc. ..................... 100 2,231
Downey Financial Corp. ................. 1,100 31,281
FBL Financial Group Inc. Class A ....... 500 20,062
Farm Family Holdings Inc.* ............. 700 22,794
Flagstar Bancorp Inc. .................. 1,400 27,716
GA Financial Inc. ...................... 700 13,212
Homeside Inc.* ......................... 1,200 33,075
Matrix Capital Corp.* .................. 1,200 18,300
Ocwen Asset Investment Corp. ........... 1,000 20,500
Penn-America Group Inc. ................ 200 4,100
Professionals Insurance Company
Management Group* ...................... 200 8,600
----------
267,439
----------
GENERAL BUSINESS - 0.6%
Ennis Business Forms Inc. .............. 6,500 60,125
----------
MISCELLANEOUS - 1.3%
Commonwealth Industries Inc. ........... 1,200 17,400
Duckwall Alto Stores Inc.* ............. 100 1,487
Flowserve Corp. ........................ 1,200 33,525
Kevco Inc.* ............................ 800 13,200
Manchester Equipment Inc.* ............. 2,000 8,000
Motor Cargo Industries Inc.* ........... 500 6,000
Rush Enterprises Inc.* ................. 200 1,600
Seibels Bruce Group Inc.* .............. 2,500 18,750
Spacehab Inc.* ......................... 2,900 30,631
Spectralink Corp.* ..................... 400 1,125
Symons International Group Inc.* ....... 500 9,609
----------
141,327
----------
SHELTER - 2.0%
Ameron International Corp. ............. 100 6,325
Beazer Homes USA Inc.* ................. 2,000 39,875
Belmont Homes Inc. ..................... 2,000 15,375
Butler Manufacturing Co. ............... 400 12,900
Morgan Products Ltd.* .................. 6,400 34,000
Patrick Industries Inc. ................ 1,300 19,175
Ryland Group Inc. ...................... 1,500 35,250
Southern Energy Homes Inc.* ............ 2,100 16,800
U.S. Home Corp.* ....................... 800 31,400
----------
211,100
----------
TECHNOLOGY - 0.7%
Alliant Techsystems Inc.* .............. 100 5,575
Interlink Computer Sciences Inc.* ...... 1,600 5,900
Komag Inc.* ............................ 2,300 34,212
Read-Rite Corp.* ....................... 1,200 18,900
Trident Microsystems Inc.* ............. 1,600 14,500
----------
79,087
----------
TRANSPORTATION - 0.6%
Fritz Companies Inc.* .................. 4,100 57,144
Kenan Transport Co. .................... 200 7,325
----------
64,469
----------
TOTAL COMMON STOCKS .................... 1,855,531
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.4%
- --------------------------------------------------------------------------------
Federal Home Loan Bank Discount Notes
4.75% due 1/02/98(+) .................. 46,063
----------
TOTAL SMALL CAP VALUE
(Identfied Cost $1,884,243) ........... 1,901,594
----------
INTERNATIONAL EQUITY--32.1%
- --------------------------------------------------------------------------------
COMMON STOCKS--31.6%
- --------------------------------------------------------------------------------
AUSTRIA - 0.3%
Bohler Uddeholm ........................ 610 $ 35,760
----------
AUSTRALIA - 1.2%
Australia & New Zealand Bank Group ..... 9,240 61,065
Pioneer International Ltd. ............. 13,810 37,713
Quantas Airways ........................ 16,990 30,075
----------
128,853
----------
CANADA - 1.8%
Bank of Nova Scotia .................... 835 39,353
Canadian Imperial Bank ................. 1,800 56,177
Imasco Ltd. ............................ 2,030 71,736
Noranda Inc. ........................... 1,620 28,681
----------
195,947
----------
DENMARK - 0.1%
BG Bank ................................ 195 13,120
----------
FINLAND - 0.6%
Rauma Oy ............................... 875 13,644
UPM Kymmene Oy ......................... 2,305 46,092
----------
59,736
----------
FRANCE - 2.9%
Elf Aquitaine .......................... 360 41,871
Lafarge Coppee ......................... 1,015 66,599
Pernod Ricard .......................... 1,220 71,759
Seita .................................. 1,650 59,217
Societe Generale ....................... 167 22,753
Usinor Sacilor ......................... 3,175 45,843
----------
308,042
----------
GERMANY - 0.8%
Commerzbank AG ......................... 2,210 86,977
----------
GREAT BRITAIN - 7.9%
Abbey National 3,430 ................... 61,746
Allied Domecq PLC ...................... 6,770 58,490
BTR PLC ................................ 21,375 64,600
Bat Industries ......................... 6,890 62,831
Coats Viyella .......................... 29,250 43,719
Commercial Union ....................... 3,790 52,851
Cookson Group .......................... 5,700 18,444
Energy Group ........................... 4,000 44,150
Hanson ................................. 10,557 47,099
Harrison & Crosfield ................... 16,495 38,201
Hillsdown Holdings ..................... 19,500 47,403
Hyder .................................. 3,330 52,945
Lex Service ............................ 9,520 72,710
Powergen ............................... 4,780 62,181
Safeway ................................ 8,120 45,746
Tate & Lyle ............................ 5,390 44,354
Tomkins ................................ 3,200 15,137
----------
832,607
----------
HONG KONG - 1.7%
China Light & Power .................... 3,000 $ 16,647
Dickson Concept Industries ............. 10,700 15,603
HSBC Holdings .......................... 1,500 36,973
Hang Lung Development Co. .............. 16,000 22,506
Hong Kong Telecomm ..................... 14,600 30,052
New World Development Co. .............. 5,000 17,293
South China Morning Post ............... 5,900 4,150
Swire Pacific .......................... 6,000 32,907
----------
176,131
----------
IRELAND - 0.5%
Jefferson Smurfit ...................... 17,765 50,064
----------
ITALY - 0.7%
Eni Spa ................................ 12,000 68,038
----------
JAPAN - 3.9%
Koito Manufacturing Co. ................ 6,000 23,895
Kyocera Corp. .......................... 1,100 49,874
MOS Food Services ...................... 2,200 25,442
Nichicon Corp. ......................... 4,000 37,068
Nintendo Co. ........................... 500 49,016
Promise Co. ............................ 1,000 55,449
Sekisui Chemical ....................... 6,000 30,466
Sony Corp. ............................. 500 44,421
Suzuki Motor Corp. ..................... 7,000 63,261
Yodogawa Steel Works ................... 7,000 28,467
----------
407,359
----------
NETHERLANDS - 2.5%
ABN Amro Holdings NV ................... 2,900 56,494
Akzo Nobel NV .......................... 429 73,967
Hollandsche Beton ...................... 600 11,156
Ing Group NV ........................... 1,242 52,310
Koninklijke PTT NV ..................... 1,760 73,433
----------
267,360
----------
NEW ZEALAND - 0.2%
Fletcher Challenge ..................... 11,460 23,423
----------
NORWAY - 0.8%
Kvaerner ASA ........................... 715 36,399
Nycomed Amersham* ...................... 1,223 44,377
----------
80,776
----------
SPAIN - 1.3%
Banco Santander SA ..................... 2,141 71,531
Repsol SA .............................. 1,610 68,691
----------
140,222
----------
SWEDEN - 0.5%
Electrolux AB .......................... 680 47,189
----------
SWITZERLAND - 3.4%
Forbo Holdings ......................... 155 63,328
Nestle SA .............................. 55 82,395
Saurer AG .............................. 43 31,194
Schweizerische
Rueckversicherungs-Gesellschaft ........ 40 74,788
Schweizerische Industrie-Gesellschaft
Holding AG ............................. 20 54,750
Sulzer AG .............................. 82 51,966
----------
358,421
----------
UNITED STATES - 0.5%
Jardine Matheson ....................... 9,800 49,980
----------
TOTAL COMMON STOCKS .................... 3,330,005
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.5%
- --------------------------------------------------------------------------------
Federal Home Loan Bank Discount Notes
4.75% due 1/02/98(+) .................. 52,505
----------
Total International Equity
(Identfied Cost $3,238,313) ........... 3,382,510
----------
INTERNATIONAL BOND--15.2%
- --------------------------------------------------------------------------------
FIXED INCOME--10.6%
- --------------------------------------------------------------------------------
Currency
--------
ARGENTINA - 0.2%
Republic of Argentina Bocon
3.39% due 4/01/01 .......... ARS 27,689 24,350
----------
CANADA - 0.3%
Canadian Government
8.75% due 12/01/05 ......... CAD 38,000 31,907
----------
DENMARK - 0.2%
Kingdom of Denmark
8.00% due 5/15/03 .......... DKK 150,000 24,718
----------
FRANCE - 0.7%
Government of France
7.75% due 10/25/05 ......... FRF 360,000 69,506
----------
GERMANY - 0.8%
Federal Republic of Germany
6.00% due 7/04/07 .......... DEM 150,000 87,584
----------
GREAT BRITAIN - 1.4%
U. K. Treasury
8.50% due 12/07/05 ......... GBP 50,000 92,673
7.25% due 12/07/07 ......... GBP 30,000 52,770
----------
145,443
----------
GREECE - 0.5%
Hellenic Republic
11.10% due 6/17/03 ......... GRD 300,000 1,013
Republic of Greece
11.00% due 10/23/03 ........ GRD 2,000,000 6,808
8.80% due 6/19/07 .......... GRD 14,100,000 45,666
----------
53,487
----------
ITALY - 0.5%
Republic of Italy
6.00% due 1/01/00 .......... ITL 50,000,000 28,942
7.25% due 11/01/26 ......... ITL 35,000,000 23,029
----------
51,971
----------
JAPAN - 2.6%
Government of Japan
6.40% due 3/20/00 .......... JPY 28,500,000 245,580
4.10% due 12/22/03 ......... JPY 3,000,000 26,421
----------
272,001
----------
POLAND - 0.1%
Government of Poland
6.687% due 10/27/24 ........ $ 12,000 11,565
----------
SPAIN - 0.3%
Government of Spain
10.00% due 2/28/05 ......... ESP 4,000,000 33,273
----------
SWEDEN - 2.0%
Kingdom of Sweden
10.25% due 5/05/00 ......... SEK 1,000,000 139,123
8.00% due 8/15/07 .......... SEK 500,000 72,132
----------
211,255
----------
UNITED STATES - 1.0%
United States Treasury Notes
3.625% due 7/15/02 ............. $ 100,894 100,390
----------
TOTAL FIXED INCOME 1,117,450
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--4.4%
- --------------------------------------------------------------------------------
Canadian Treasury Bill
3.98% due 4/02/98 .............. CAD 40,000 27,711
Federal Home Loan Bank
Discount Note
4.75% due 1/02/98(+) ........... $ 100,000 67,433
Federal Home Loan Bank
Mortgage Discount Note
5.60% due 3/26/98 .............. $ 100,000 98,681
Federal National Mortgage
Association Discount Notes
5.77% due 1/26/98 .............. $ 100,000 99,599
International Bank for
Reconstruction and Development
5.55% due 1/21/98 .............. $ 150,000 149,538
Poland Treasury Bills
5.00% due 4/22/98 .............. PLN 30,000 7,943
4.94% due 5/13/98 .............. PLN 20,000 5,229
United States Treasury Bills
5.185% due 3/12/98 ............. $ 10,000 9,890
----------
TOTAL SHORT-TERM OBLIGATIONS ........... 466,024
----------
Purchased calls
AUD 126,000 Australian Government Bonds
@ AUD 94.75 exp. date 2/09/98 ......... 13,564
AUD 75,000 Australian Government Bonds
@ AUD 106.96 exp. date 2/09/98 ........ 4,848
----------
TOTAL INTERNATIONAL BOND OPTIONS ....... 18,412
----------
TOTAL INTERNATIONAL BOND
(Identfied Cost $1,628,844) ........... 1,601,886
----------
SHORT-TERM--4.7%
Federal Home Loan Bank
Discount Notes
4.75% due 1/02/98(+) .................. 497,791
----------
TOTAL SHORT-TERM OBLIGATIONS
(Identfied Cost $497,791) ............. 497,791
----------
TOTAL INVESTMENTS
(Identified Cost $10,320,965) ......... 104.2% 10,984,833
OTHER ASSETS,
LESS LIABILITIES ...................... (4.2) (441,323)
----- -----------
TOTAL NET ASSETS ....................... 100.0% $10,543,510
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate $832,000 Federal Home Loan Bank Discount
Notes 4.75%, due 1/02/98, valued at $831,892, proceeds at maturity
$832,000, collateralized by $832,000 Federal Home Loan Bank due 1/02/98,
portions of which are listed separately by each asset class.
(++) The Portfolio owns in aggregate 240 shares of Deere & Co., valued at
$13,995; 270 shares of Chubb Corp., valued at $20,418; and 445 shares of
Federal National Mortgage Association, valued at $25,393, portions of which
are listed separately by each asset class..
See notes to financial statements.
FOREIGN CURRENCY LEGEND
-----------------------------------
SYMBOL COUNTRY
-----------------------------------
AUD Australia
ARS Argentina
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
PLN Poland
ESP Spain
SEK Sweden
<PAGE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 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>
Deutsche Mark (Buy) .................... Germany $ 62,339 $ 64,259 January-1998 $ (1,920)
Deutsche Mark (Sell) ................... Germany 92,985 96,714 January-1998 3,729
Deutsche Mark (Buy) .................... Germany 64,608 65,051 February-1998 (443)
Deutsche Mark (Buy) .................... Germany 243,256 247,160 March-1998 (3,904)
Deutsche Mark (Sell) ................... Germany 67,509 68,496 March-1998 987
Dollar (Buy) ........................... Australia 9,127 10,341 January-1998 (1,214)
Dollar (Buy) ........................... Canada 15,753 16,083 January-1998 (330)
Dollar (Buy) ........................... Canada 41,375 42,680 March-1998 (1,305)
Dollar (Sell) .......................... Canada 91,165 97,073 March-1998 5,908
Drachma (Buy) .......................... Greece 33,191 33,664 January-1998 (473)
Drachma (Sell) ......................... Greece 51,080 52,225 January-1998 1,145
Drachma (Sell) ......................... Greece 30,729 30,878 February-1998 149
ECU (Buy) .............................. Europe 19,728 20,541 January-1998 (813)
ECU (Sell) ............................. Europe 19,789 20,346 January-1998 557
Franc (Buy) ............................ Belgium 24,925 25,300 January-1998 (375)
Franc (Buy) ............................ Belgium 11,225 11,284 March-1998 (59)
Franc (Buy) ............................ France 15,299 15,972 January-1998 (673)
Franc (Buy) ............................ France 31,853 32,122 March-1998 (269)
Franc (Buy) ............................ Switzerland 685 688 January-1998 (3)
Franc (Sell) ........................... Switzerland 99,434 102,057 January-1998 2,623
Franc (Sell) ........................... Switzerland 55,107 55,565 February-1998 458
Franc (Buy) ............................ Switzerland 30,337 31,076 March-1998 (739)
Franc (Sell) ........................... Switzerland 691 695 March-1998 4
Guilder (Buy) .......................... Netherlands 55,779 58,087 January-1998 (2,308)
Guilder (Sell) ......................... Netherlands 15,857 16,105 March-1998 248
Koruna (Buy) ........................... Czechoslovakia 2,581 2,656 January-1998 (75)
Koruna (Sell) .......................... Czechoslovakia 2,581 2,590 January-1998 9
Krone (Buy) ............................ Norway 22,000 23,109 February-1998 (1,109)
Krona (Sell) ........................... Sweden 124,029 131,281 January-1998 7,252
Lira (Buy) ............................. Italy 101,398 104,402 January-1998 (3,004)
Markka (Buy) ........................... Finland 17,393 17,942 January-1998 (549)
Markka (Sell) .......................... Finland 9,177 9,402 January-1998 225
Peseta (Buy) ........................... Spain 52,545 55,096 January-1998 (2,551)
Peseta (Sell) .......................... Spain 33,941 35,473 January-1998 1,532
Pound (Buy) ............................ Great Britain 27,885 28,728 January-1998 (843)
Pound (Sell) ........................... Great Britain 16,913 16,598 January-1998 (315)
Pound (Buy) ............................ Ireland 39,127 41,190 January-1998 (2,063)
Pound (Sell) ........................... Ireland 28,452 30,033 January-1998 1,581
Ringgit (Buy) .......................... Malaysia 7,718 7,867 January-1998 (149)
Ringgit (Sell) ......................... Malaysia 7,718 7,840 January-1998 122
Rupiah (Buy) ........................... Indonesia 4,682 6,251 January-1998 (1,569)
Rupiah (Sell) .......................... Indonesia 4,678 4,784 January-1998 106
Schilling (Buy) ........................ Austria 12,101 12,278 January-1998 (177)
Yen (Buy) .............................. Japan 320,667 342,274 January-1998 (21,607)
Yen (Sell) ............................. Japan 30,739 32,581 January-1998 1,842
--------
$(20,362)
========
</TABLE>
<PAGE>
<TABLE>
CITISELECT(R) VIP PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1997
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note1A) (Identified Cost, $10,549,155
$14,888,471, $11,772,659 and $10,320,965, respectively) ....... $10,913,862 $15,423,230 $12,414,465 $10,984,833
Foreign currency, (cost $2,347, $6,217, $7,205 and $7,264,
respectively) at value ........................................ 2,320 6,147 7,102 7,134
Cash ............................................................ 2,374 -- 241 269
Receivable for securities sold .................................. 1,032,139 1,293,656 1,830,443 665,007
Receivable for forward contracts ................................ 48,471 62,681 49,985 28,477
Dividends receivable ............................................ 5,350 9,363 11,926 15,303
Interest receivable ............................................. 95,553 95,180 52,713 30,778
Receivable from sub-administrator (Note 6) ...................... 278,684 298,292 282,266 270,266
Other assets .................................................... 6,836 4,804 7,137 8,832
----------- ----------- ----------- -----------
Total assets .................................................. 12,385,589 17,193,353 14,656,278 12,010,899
----------- ----------- ----------- -----------
LIABILITIES:
Payable for securities purchased ................................ 1,882,858 2,745,685 3,202,631 1,346,168
Payable for forward contracts ................................... 113,163 185,034 102,949 48,839
Accrued expenses and other liabilities .......................... 68,503 70,971 71,744 72,382
----------- ----------- ----------- -----------
Total Liabilities ............................................. 2,064,524 3,001,690 3,377,324 1,467,389
----------- ----------- ----------- -----------
NET ASSETS for 1,006,823, 1,366,989, 1,097,340 and 1,006,175 shares,
respectively, of beneficial interest outstanding .............. $10,321,065 $14,191,663 $11,278,954 $10,543,510
=========== =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in capital ................................................. $9,980,060 $13,785,969 $10,758,208 $9,952,196
Overdistributed net investment income ........................... (30,349) (59,621) (98,710) (56,754)
Accumulated/overdistributed net realized gain on investments .... 2,130 (29,711) (27,364) (29,050)
Unrealized appreciation of investments, forward currency contracts,
foreign currency, futures and other assets and liabilities .... 369,224 495,026 646,820 677,118
----------- ----------- ----------- -----------
Total Net Assets ................................................ $10,321,065 $14,191,663 $11,278,954 $10,543,510
=========== =========== =========== ===========
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST ................ $10.25 $10.38 $10.28 $10.48
====== ====== ====== ======
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
CITISELECT(R) VIP PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE PERIOD FEBRUARY 10, 1997 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 1997
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
INCOME:
Interest (Note 1B) .............................................. $ 358,645 $ 326,304 $ 192,526 $ 90,699
Dividends (net of foreign tax of $3,307, $6,082
$11,561, and $14,312) ......................................... 56,099 92,742 136,160 159,706
--------- ----------- ----------- -----------
Total investment income ....................................... 414,744 419,046 328,686 250,405
--------- ----------- ----------- -----------
EXPENSES:
Custodian fees and accounting fees .............................. 291,823 311,269 311,730 286,998
Management fees (Note 2) ........................................ 70,961 79,571 75,204 69,516
Transfer agent fees ............................................. 22,036 24,652 24,632 27,065
Auditing services ............................................... 21,700 21,700 21,700 21,700
Shareholder reports ............................................. 4,207 4,207 4,207 4,207
Trustees fees ................................................... 3,990 4,010 4,010 3,987
Legal services .................................................. 3,843 3,843 3,843 3,843
Miscellaneous ................................................... 1,870 1,871 1,871 1,869
--------- ----------- ----------- -----------
Total expenses ................................................. 420,430 451,123 447,197 419,185
Less aggregate amounts waived by the Manager (Note 2) ........... (51,585) (51,799) (39,271) (32,727)
Less expenses assumed by the Sub-Administrator (Note 6) ......... (278,684) (298,292) (282,266) (270,266)
--------- ----------- ----------- -----------
Net expenses .................................................... 90,161 101,032 125,660 116,192
--------- ----------- ----------- -----------
Net investment income ........................................... 324,583 318,014 203,026 134,213
--------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain from investments, forward currency
contracts, foreign currency transactions and futures .......... 149,835 201,298 296,072 326,068
Net change in unrealized appreciation on investments, forward
currency contracts, foreign currency, futures and
other assets and liabilities .................................. 369,224 495,026 646,820 677,118
--------- ----------- ----------- -----------
Net realized and unrealized gain on investments
and foreign currency ........................................... 519,059 696,324 942,892 1,003,186
--------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $ 843,642 $ 1,014,338 $ 1,145,918 $ 1,137,399
========= =========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
CITISELECT(R) VIP PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS -- FOR THE PERIOD FEBRUARY 10, 1997 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 1997
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ........................................... $ 324,583 $ 318,014 $ 203,026 $ 134,213
Net realized gain (loss) from investments, forward currency
contracts, foreign currency transactions and futures ........... 149,835 201,298 296,072 326,068
Net change in unrealized appreciation of investments, forward
currency contracts, foreign currency, futures and other
assets and liabilities ........................................ 369,224 495,026 646,820 677,118
----------- ----------- ----------- -----------
Net increase in net assets resulting from operations .......... 843,642 1,014,338 1,145,918 1,137,399
----------- ----------- ----------- -----------
DISTRIBUTIONS:
Net income ...................................................... (324,560) (318,014) (203,026) (134,213)
Net realized gain on investments ................................ (149,835) (201,298) (296,072) (326,068)
In excess of net income ......................................... -- (256) (64,623) (49,682)
In excess of realized gain on investments ....................... (28,242) (89,076) (61,451) (36,122)
----------- ----------- ----------- -----------
(502,637) (608,644) (625,172) (546,085)
----------- ----------- ----------- -----------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares ................................ 18,111,458 23,976,027 21,130,190 13,699,362
Net asset value of shares issued to shareholders from
reinvestment of distributions ................................. 502,637 608,644 625,172 546,085
Cost of shares repurchased ...................................... (8,634,035) (10,798,702) (10,997,154) (4,293,251)
----------- ----------- ----------- -----------
Net increase in net assets from transactions
in shares of beneficial interest ............................. 9,980,060 13,785,969 10,758,208 9,952,196
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS ...................................... 10,321,065 14,191,663 11,278,954 10,543,510
NET ASSETS:
Beginning of period ............................................. -- -- -- --
----------- ----------- ----------- -----------
End of period (including overdistributed net investment
income of $(30,349), $(59,621), $(98,710), and $(56,754) ...... $10,321,065 $14,191,663 $11,278,954 $10,543,510
=========== =========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
CITISELECT(R) VIP PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS FOR THE PERIOD FEBRUARY 10, 1997 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 1997
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
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
------ ------ ------ ------
INCOME FROM OPERATIONS:
Net investment income 0.339+ 0.251+ 0.212+ 0.148+
Net realized and unrealized gain (loss) on investment 0.436 0.609 0.701 0.917
------ ------ ------ ------
Total from operations 0.775 0.860 0.913 1.065
------ ------ ------ ------
LESS DISTRIBUTIONS FROM:
Net investment income (0.339) (0.251) (0.206) (0.144)
Net realized gain on investments (0.157) (0.159) (0.300) (0.349)
In excess of net income -- -- (0.065) (0.053)
In excess of realized gains on investments (0.029) (0.070) (0.062) (0.039)
------ ------ ------ ------
(0.525) (0.480) (0.633) (0.585)
------ ------ ------ ------
Net Asset Value, End of Period $10.25 $10.38 $10.28 $10.48
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $10,321 $14,192 $11,279 $10,544
Ratio of expenses to average net assets 0.95%* 0.95%* 1.25%* 1.25%*
Ratio of net investment income to average net assets 3.43%* 3.00%* 2.03%* 1.45%*
Portfolio turnover rates 231% 241% 230% 134%
Average commission rate per share $0.0296 $0.0293 $0.0202 $0.0212
Total return 7.79%** 8.65%** 9.22%** 10.76%**
Note: If Agents of the Funds had not voluntarily agreed to waive a portion of their fees, and the Sub-Administrator not assumed
expenses for the periods indicated, the net investment income per share and the ratios would have been as follows:
Net investment loss per share $(0.006)+ $(0.025)+ $(0.124)+ $(0.186)+
Ratios:
Expenses to average net assets 4.44%* 4.25%* 4.46%* 4.52%*
Net investment loss to average net assets (0.06)%* (0.30)%* (1.18)%* (1.82)%*
* Annualized
** Not Annualized
+ The per share net investment income amounts do not reflect the period's reclassification of differences between book and tax
basis net investment income.
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
(1) SIGNIFICANT ACCOUNTING POLICIES
CitiSelect(R) VIP Folio 200, CitiSelect(R) VIP Folio 300, CitiSelect(R) VIP
Folio 400 and CitiSelect(R) 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.
CFBDS, Inc. ("CFBDS", formerly Landmark Funds Broker-Dealer Services, Inc.) 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 require 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 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 the ex-dividend date. Dividend
and interest 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 Fund are
maintained in U.S. dollars. 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, as well as 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, foreign taxes recorded and the amount
actually received or paid.
D. FORWARD FOREIGN CURRENCY CONTRACTS -- Each of the Funds may enter into
forward foreign currency 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
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 -- Each 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 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 CFBDS. 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, a Fund is 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 Fund 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 Fund recognizes a
realized gain or loss when the contract is closed or expires. 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 a Fund 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 a Fund has purchased expires on the
stipulated expiration date, the Fund will realize a loss in the amount of the
cost of the option. When a Fund enters 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 a
Fund exercises a put option, the Fund 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 a Fund exercises a call option, the cost of the
security which the Fund purchases 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. For the period ended
December 31, 1997 CitiSelect(R) VIP Folio 200, CitiSelect(R) VIP Folio 300,
CitiSelect(R) VIP Folio 400 CitiSelect(R) VIP Folio 500 reclassified $30,372,
$59,365, $34,087 and $7,072, respectively, overdistributed net investment income
to accumulated/overdistributed net realized gains on investments.
J. BENEFICIAL INTEREST -- At December 31, 1997, insurance companies or their
separate accounts were the record owners of all the shares of each Fund. (See
note 5.)
K. REPURCHASE AGREEMENTS -- It is the policy of the Funds 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 secureities held as collateral in support of repurchase agreements.
Additionally, procedures have been established by each Fund 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.
L. 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. CFBDS 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 CFBDS.
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 fees paid to Citibank for CitiSelect(R) VIP Folio 200,
CitiSelect(R) VIP Folio 300, CitiSelect(R) VIP Folio 400 and CitiSelect(R) VIP
Folio 500 amounted to $70,961, $79,571, $75,204 and $69,516, respectively, of
which $51,585, $51,799, $39,271 and $32,727, respectively were voluntarily
waived for the period ended December 31, 1997. 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 December 31, 1997, were as follows:
PURCHASES SALES
CitiSelect(R) VIP
Folio 200 ................. $28,241,335 $20,185,300
CitiSelect(R)VIP
Folio 300 ................. $37,953,717 $26,135,896
CitiSelect(R)VIP
Folio 400 ................. $33,749,202 $23,976,907
CitiSelect(R)VIP
Folio 500 ................. $22,023,216 $13,161,963
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at December 31, 1997, as computed on a federal
income tax basis, are as follows:
CITISELECT(R) VIP FOLIO 200
Aggregate Cost .......................... $10,558,140
===========
Gross unrealized appreciation ........... $ 654,127
Gross unrealized depreciation ........... (298,405)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 355,722
===========
CitiSelect(R) VIP Folio 300
Aggregate Cost .......................... $14,915,673
===========
Gross unrealized appreciation ........... $ 934,506
Gross unrealized depreciation ........... (426,949)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 507,557
===========
CitiSelect(R) VIP Folio 400
Aggregate Cost .......................... $11,794,496
===========
Gross unrealized appreciation ........... $ 1,124,045
Gross unrealized depreciation ........... (504,076)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 619,969
===========
CitiSelect(R) VIP Folio 500
Aggregate Cost .......................... $10,325,998
===========
Gross unrealized appreciation ........... $ 1,217,473
Gross unrealized depreciation ........... (558,638)
-----------
Net unrealized appreciation
(depreciation) .......................... $ 658,835
===========
(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(R) VIP FOLIO 200
Shares sold ................................... 1,779,423
Shares reinvested ............................. 49,423
Shares repurchased ............................ (822,023)
---------
Net increase .................................. 1,006,823
---------
CITISELECT(R) VIP FOLIO 300
Shares sold ................................... 2,343,967
Shares reinvested ............................. 59,206
Shares repurchased ............................ (1,036,184)
---------
Net increase .................................. 1,366,989
---------
CITISELECT(R) VIP FOLIO 400
Shares sold ................................... 2,073,367
Shares reinvested ............................. 61,714
Shares repurchased ............................ (1,037,741)
---------
Net increase .................................. 1,097,340
---------
CITISELECT(R) VIP FOLIO 500
Shares sold ................................... 1,351,914
Shares reinvested ............................. 53,069
Shares repurchased ............................ (398,808)
---------
Net increase .................................. 1,006,175
---------
Citicorp Life Insurance Co. and First Citicorp Life Insurance Co., directly
and through their separate accounts, own approximately 99.99% of each CitiSelect
VIP Portfolio.
(6) ASSUMPTION OF EXPENSES
CFBDS has voluntarily agreed to pay a portion of the expenses for the
period ended December 31, 1997. The amounts are as follows:
CitiSelect(R)VIP Folio 200 $278,684
CitiSelect(R)VIP Folio 300 $298,292
CitiSelect(R)VIP Folio 400 $282,266
CitiSelect(R)VIP Folio 500 $270,266
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Variable Annuity Portfolios and the Shareholders of
CitiSelect(R) VIP Folio 200
CitiSelect(R) VIP Folio 300
CitiSelect(R) VIP Folio 400
CitiSelect(R) VIP Folio 500
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CitiSelect(R) VIP Folio 200,
CitiSelect(R) VIP Folio 300, CitiSelect(R) VIP Folio 400 and CitiSelect(R) VIP
Folio 500 (four of the funds constituting the Variable Annuity Portfolios,
hereafter referred to as the "Funds") at December 31, 1997, and the results of
each of their operations, the changes in each of their net assets and the
financial highlights for the period from February 10, 1997 (commencement of
operations) to December 31, 1997, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audit, which included
confirmation of securities owned at December 31, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provides a reasonable basis
for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 2, 1998
<PAGE>
ANNUAL REPORT
December 31, 1997
LANDMARK(SM) SMALL CAP EQUITY VIP FUND
We are pleased to present this annual report for the Landmark(SM) Small Cap
Equity VIP Fund. The report covers the period February 10, 1997
(Commencement of Operations) to December 31, 1997. During that time, the
Fund's 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. Thank you for your participation in the
Landmark(SM) Small Cap Equity VIP Fund. We look forward to serving your
variable annuity investments needs in the months and years ahead.
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
Independent Auditors' Report
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or or any of
its affiliates
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 the Landmark Small Cap Equity VIP Fund since
inception. Ms. Intini has over ten years of experience specializing in the
management of small cap equities, including over $750 million of Citibank's
small cap portfolios for trusts, individuals and institutions. 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
The performance of small-cap stocks did not keep pace with larger capitalization
stocks in 1997, marking the third consecutive year of underperformance for this
sector of the stock market. The rally we experienced in the third quarter was
not sustained in the fourth quarter, when large-capitalization stocks resumed
their market leadership. This is because investors aversion to risk remained a
prominent theme in equity investing this year, and large-capitalization stocks
tend to provide less risk and greater liquidity.
Early in the year, 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. We used the proceeds from those sales to invest
in several companies that met our criteria for management strength, market
leadership and growth potential. We found particularly compelling opportunities
in financial companies, which we believed would benefit from the continuation of
low inflation and declining interest rates. In addition, some of our positions
in the health care industry have benefitted from renewed investor interest.
We remain optimistic regarding the potential of the small-capitalization market.
We expect the economy to remain on its present low-inflation, moderate-growth
course. We believe that the U.S. dollar should remain strong relative to other
currencies, which should support continued investor interest in small companies
that are able to produce higher levels of earnings growth than large,
multi-national companies whose overseas earnings may be eroded. In addition,
many investors have become wary of the high valuations of large-capitalization
stocks after their multi-year rally. We believe that small-capitalization stocks
are attractively valued by comparison, and could offer investors the greatest
opportunities for investment gains in the months ahead.
Please note that effective March 2, 1998, the name of the Fund will be changed
to CitiFundsSM Small Cap Growth VIP Portfolio.
<PAGE>
FUND DATA For the Period Ended December 31, 1997
- --------------------------------------------------------------------------------
TOTAL RETURN
-----------
SINCE
2/10/97
INCEPTION*
----------
Landmark Small Cap Equity VIP Fund ............................... 12.10%
Russell 2000(R)Index ............................................. 21.67%
* Not Annualized.
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$11,210 (as of 12/31/97). The graph shows how the Fund compares to our
benchmarks over the same period.
Landmark Russell 2000
VIP Small Index
Cap Fund (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
7/31/97 10,860.00 11,467.58
8/31/97 11,020.00 11,730.19
9/30/97 11,960.00 12,588.84
10/31/97 11,350.00 12,036.19
11/30/97 11,240.00 11,957.95
12/31/97 11,210.00 12,167.22
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. Total returns reflect certain voluntary fee
waivers. If the waivers were not in place, total returns would be lower.
<PAGE>
Landmark Small Cap Equity VIP Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 1997
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--94.7%
COMMERCIAL SERVICES - 28.5%
Abacus Direct Corp.* ................... 1,795 $ 73,595
AHL Services Inc.* ..................... 730 17,976
ITEQ Inc.* ............................. 3,385 38,927
Intelliquest Information Group* ........ 1,735 22,989
Lamar Advertising Co.* ................. 2,095 83,276
Metro Networks Inc.* ................... 1,125 36,844
NFO Research Inc.* ..................... 2,247 47,047
Probusiness Services Inc.* ............. 410 9,379
Profit Recovery Group* ................. 2,550 45,263
Registry Inc.* ......................... 1,450 66,519
Rental Services Corp.* ................. 3,135 77,003
Romac International Inc.* .............. 1,530 37,389
Snyder Communications Inc.* ............ 2,250 82,125
Suiza Foods Corp.* ..................... 2,265 134,909
Whitman - Hart Inc.* ................... 1,895 64,904
Wilmar Industries Inc.* ................ 1,815 43,333
----------
881,478
----------
COMMODITIES & PROCESSING - 2.7%
Om Group Inc. .......................... 1,330 48,711
Synthetic Industries Inc.* ............. 1,450 35,887
----------
84,598
----------
CONSUMER DURABLES - 1.7%
Tower Automotive Inc.* ................. 1,215 51,106
----------
CONSUMER SERVICES - 11.3%
Central Packing Corp. .................. 2,243 101,613
Gray Communications Systems Inc. ....... 1,520 39,140
Heftel Broadcasting Corp.* ............. 2,220 103,785
Premier Parks Inc.* .................... 1,565 63,382
Suburban Lodges of America * ........... 3,165 42,134
----------
350,054
----------
ELECTRONICS/TECHNOLOGICAL SERVICES - 9.6%
Claremont Technology Group Inc.* ....... 1,560 28,860
E Trade Group Inc.* .................... 905 20,815
ETEC Systems Inc.* ..................... 745 34,643
Harbinger Corp.* ....................... 1,145 32,203
Inacom Corp.* .......................... 1,130 31,711
Lernout & Hauspie Speech
Products* .............................. 1,125 52,313
QAD Inc.* .............................. 2,240 28,280
Sipex Corp.* ........................... 1,470 44,468
Speedfam International Inc.* ........... 840 22,260
----------
295,553
----------
ENERGY/MINERAL - 5.5%
Forcenergy Gas Exploration* ............ 2,150 56,303
Key Energy Group* ...................... 1,625 35,242
Lomak Petroleum Inc. ................... 4,000 65,000
Superior Energy Services Inc.* ......... 1,360 13,770
----------
170,315
----------
FINANCE - 11.2%
Allied Group ........................... 2,595 74,282
Executive Risk Inc. .................... 1,210 84,473
Metris Companies Inc. .................. 1,225 41,956
Sirrom Capital Corp. ................... 1,685 87,831
WestAmerica Bancorp .................... 555 56,749
----------
345,291
----------
HEALTH SERVICES/TECHNOLOGY - 12.8%
Concentra Managed Care Inc.* ........... 2,085 70,369
Henry Schein Inc.* ..................... 1,900 66,500
Human Genome Sciences Inc.* ............ 1,570 62,408
Parexel International Corp.* ........... 2,370 87,690
Renal Treatment Center* ................ 1,810 65,386
Somnus Medical Technologies* ........... 1,400 17,850
Viropharma Inc.* ....................... 1,450 25,556
----------
395,759
----------
INDUSTRIAL SERVICES - 1.0%
American Disposal Services Inc.* ....... 850 31,025
----------
PRODUCER/MANUFACTURING - 2.0%
Hardinge Brothers Inc. ................. 1,695 63,139
----------
RETAIL TRADE - 5.3%
CDW Computer Centers Inc.* ............. 1,095 57,077
Men's Wearhouse Inc.* .................. 1,700 59,075
Whole Foods Market Inc.* ............... 930 47,546
----------
163,698
----------
TRANSPORTATION - 3.1%
Eagle USA Airfreight Inc.* ............. 2,340 66,690
Hub Group Inc.* ........................ 970 28,857
----------
95,547
----------
TOTAL COMMON STOCKS .................... 2,927,563
(Identified Cost $2,368,663)
----------
SHORT-TERM--3.3%
State Street Bank Repurchase Agreement
2.00% due 1/02/98 proceeds at maturity
$101,011, (collateralized by $105,000
U.S. Treasury Note 6.00% , due 5/31/98) $ 101,000
----------
TOTAL INVESTMENTS
(Identified Cost $2,469,663) 98.0% 3,028,563
OTHER ASSETS,
LESS LIABILITIES ......... 2.0 62,788
----- ---------
NET ASSETS ................ 100.0% $3,091,351
===== ==========
* Non-Income Producing
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES December 31, 1997
ASSETS:
Investments at value (Note 1A) (Identified Cost $2,469,663) ...... $3,028,563
Cash ............................................................. 623
Receivable for shares of beneficial interest sold ................ 3,000
Dividends and interest receivable ................................ 628
Receivable from the Sub-Administrator ............................ 108,058
----------
Total assets .................................................... 3,140,872
----------
LIABILITIES:
Payable for shares of beneficial interest repurchased ............ 3,000
Accrued expenses and other liabilities ........................... 46,521
----------
Total liabilities .............................................. 49,521
----------
NET ASSETS for 275,654 shares of beneficial interest outstanding . $3,091,351
==========
NET ASSETS CONSIST OF:
Paid-in capital .................................................. $2,702,787
Unrealized appreciation of investments ........................... 558,900
Accumulated net realized loss on investments ..................... (170,336)
----------
Total .......................................................... $3,091,351
==========
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL
INTEREST ....................................................... $11.21
======
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For period February 10, 1997 (commencement of operations) to December 31, 1997
INVESTMENT INCOME (Note 1B):
Dividend income ........................................ $ 8,968
Interest income ........................................ 2,572
--------
Total investment income .............................. $ 11,540
EXPENSES:
Custodian fees ......................................... 68,701
Auditing fees .......................................... 23,700
Management fees (Note 2) ............................... 21,036
Transfer agent fees .................................... 20,949
Trustees fees .......................................... 5,602
Shareholder reports .................................... 4,731
Legal fees ............................................. 3,843
Miscellaneous .......................................... 5,771
--------
Total expenses ........................................ 154,333
Less expenses assumed by the Sub-Administrator (Note 6) (108,058)
Less aggregate amount waived by the Manager (Note 2) ... (21,036)
--------
Net expenses .......................................... 25,239
--------
Net investment loss ................................... (13,699)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investments ....................... (170,336)
Net change in unrealized appreciation from investments . 558,900
--------
Net realized and unrealized gain on investments ...... 388,564
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ... $374,865
========
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
FEBRUARY 10, 1997
(COMMENCEMENT
OF OPERATIONS) TO
DECEMBER 31, 1997
-----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss ........................................... $ (13,699)
Net realized loss on investments .............................. (170,336)
Net change in unrealized appreciation from investments ........ 558,900
----------
Net increase in net assets resulting from operations ......... 374,865
----------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares .............................. 3,994,408
Cost of shares repurchased .................................... (1,277,922)
----------
Net increase in net assets from transactions in shares
of beneficial interest ...................................... 2,716,486
----------
NET INCREASE IN NET ASSETS .................................... 3,091,351
NET ASSETS:
Beginning of period ........................................... --
----------
End of period ................................................. $3,091,351
==========
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FEBRUARY 10, 1997
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31, 1997
-----------------
Net Asset Value, beginning of period ........................ $10.00
------
Income From Operations:
Net investment loss ......................................... (0.05)+
Net realized and unrealized gain on investments ............. 1.26
------
Total from operations ...................................... 1.21
------
Net Asset Value, end of period .............................. $11.21
======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ................... $3,091
Ratio of expenses to average net assets ..................... 0.90%*
Ratio of net investment loss to average net assets .......... (0.49)%*
Portfolio turnover .......................................... 113%
Average commission rate per share ........................... $0.0500
Total return ................................................ 12.10%**
Note: If Agents of the Fund had not voluntarily waived a portion of their
fees, and assumed Fund expenses for the period ended December 31, 1997, the
net investment loss per share and the ratios would have been as follows:
Net investment loss per share ............................... $(0.52)+
Ratios:
Expenses to average net assets .............................. 5.50%*
Net investment loss to average net assets ................... (5.09)%*
* Annualized
** Not Annualized
+ The per share amounts were computed using a monthly average number of shares
outstanding during the year.
See notes to financial statements
<PAGE>
Landmark Small Cap Equity VIP Fund
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
(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"). CFBDS, Inc.
("CFBDS" formerly Landmark Funds Broker-Dealer Services, Inc. Ltd.) 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. At December 31, 1997, the Fund, for federal income tax
purposes, had a capital loss carryover of $139,687 which will expire on December
31, 2005. Such capital loss carryover will reduce the Fund's taxable income
arising from future net realized capital gain on investment transactions, if
any, to the extent permitted by the Internal Revenue Code, and thus will reduce
the amount of the distributions to shareholders which would otherwise be
necessary to relieve the Fund of any liability for federal income or excise tax.
D. EXPENSES -- The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more funds or series 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.
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. For the period ended
December 31, 1997, the Fund reclassified $13,699 from paid-in capital to
accumulated net investment loss.
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 Fund 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 December 31, 1997, insurance companies or their
separate accounts were the record owners of all the shares of the Fund. (See
note 5)
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. CFBDS 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 CFBDS. The management fee paid to Citibank, is accrued
daily and 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 $21,036, all of which was voluntarily waived for the period
ended December 31, 1997.
(3) PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments, other than short-term obligations,
aggregated $5,813,974 and $3,274,975, respectively, for the period ended
December 31, 1997.
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at December 31, 1997 as computed on a federal income tax basis,
are as follows:
Aggregate cost ........................ $2,469,839
==========
Gross unrealized appreciation ......... $ 675,334
Gross unrealized depreciation ......... (116,610)
----------
Net unrealized appreciation ........... 558,724
==========
(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
DECEMBER 31, 1997
----------------
Shares sold ......................... 396,702
Shares repurchased .................. (121,048)
--------
Net increase ........................ 275,654
========
Citicorp Life Insurance Co. and First Citicorp Life Insurance Co., directly and
through their separate accounts, own approximately 99.9% of the Fund.
(6) ASSUMPTION OF EXPENSES
CFBDS has voluntarily agreed to pay a portion of the unwaived expenses of the
Fund for the period ended December 31, 1997, which amounted to $108,058.
(7) SUBSEQUENT EVENT
Effective March 2, 1998, the name of the Fund will be changed to CitiFundssm
Small Cap Growth VIP Portfolio.
<PAGE>
Landmark Small Cap Equity VIP Fund
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REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Variable Annuity Portfolios and the Shareholders of Landmark
Small Cap Equity VIP Fund:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Landmark Small Cap Equity VIP Fund
(one of the funds constituting Variable Annuity Portfolios, the "Fund") at
December 31, 1997, and the results of its operations, the changes in its net
assets and the financial highlights for the period from February 10, 1997
(commencement of operations) through December 31, 1997 in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audit. We conducted our audit
of these financial statements in accordance with generally accepted auditing
standards which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities owned at December 31, 1997 by
correspondence with the custodian, provides a reasonable basis for the opinion
expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 2, 1998
