<PAGE>
CITISELECT(R) VIP PORTFOLIOS
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1998
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 semi-annual report for the CitiSelect(R) VIP
Portfolios. The report covers the period from January 1, 1998 to June 30, 1998.
During that time, the Funds' investment manager, Citibank, N.A., has been busy
putting your variable annuity insurance assets to work to help you reach your
long-term financial goals.
As you have probably heard, Citicorp recently announced its intention to
merge with The Travelers Group. The completion of the merger is subject to the
satisfaction of certain conditions. As necessary, we will provide you with
information that specifically affects the fund.
Thank you for your participation in the CitiSelect VIP Portfolios. We look
forward to serving your variable annuity investment needs in the months and
years ahead.
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE ASIAN CRISIS INFLUENCED FINANCIAL MARKETS WORLDWIDE when 1998 began.
Heightened market volatility and sharp declines in segments of the U.S. and
European stock markets were largely attributed to investors' concerns that
Asia's problems would slow economic growth. Reduced demand from Asian businesses
and consumers, together with the potential for tough competition from
lower-priced Asian imports, were expected to erode sales and profits for many
companies, especially those with significant exposure to Asian markets.
However, this scenario materialized more slowly than many analysts
anticipated. Economic growth in the U.S. and Europe during the first quarter of
1998 was stronger than most economists predicted, and earnings growth remained
high for many companies. Stocks and bonds rose in the U.S. and Europe between
January and April, driven by undiminished demand for financial assets from
individuals, institutions and retirement plans. In Japan and the rest of Asia,
however, most stocks declined amid weak economic conditions.
Conditions in the developed markets changed during the second quarter of
1998, however. In the U.S., stocks declined sharply in May when investors began
to see a more pronounced slow-down of corporate earnings growth, especially
among companies with exposure to Asian markets. Further deterioration of the
Asian markets, Asian political instability and economic problems in Russia also
contributed to higher levels of volatility in most sectors of the U.S. stock
market in May.
Despite continued day-to-day volatility in June, large-cap U.S. stocks
regained a portion of their losses, producing a 2.8% gain for the S&P 500 index
in the second quarter. However, small-cap U.S. stocks ended the second quarter
with a 5.4% loss in the Russell 2000 index. International stocks, as measured by
the MSCI EAFE index, rose just 1.1% during the second quarter of the year, with
gains in European stocks offsetting poor performance in Japan and Asia. In
contrast, the U.S. bond market rallied modestly and relatively steadily in
anticipation of slower economic growth, continued low inflation and an unchanged
monetary policy.
THE CITISELECT VIP PORTFOLIOS HELPED CUSHION THE RECENT VOLATILITY in the
U.S. and international stock markets. The portfolios' investments in
fixed-income securities were especially beneficial because the U.S. bond market
fared well when the equity markets declined. We believe that the stock markets'
recent volatility and divergent performance underscore the risks of investing in
only a single market, particularly one that has experienced a strong rally as
large-capitalization U.S. stocks have. Because the CitiSelect portfolios are
broadly diversified among the world's major stock and bond markets, our
shareholders were spared the full brunt of stock market volatility during the
second quarter.
LOOKING FORWARD, WE EXPECT THE U.S. AND EUROPEAN ECONOMIES TO REMAIN SOUND.
However, we are cautious with regard to the short-term prospects of the global
stock markets. In our view, economic growth in the world's developed nations
will ultimately slow during the second half of 1998 because of the fall-out from
Asia. At the same time, global competition and productivity improvements should
help keep the inflation rate low.
In the U.S., we believe that lower demand for U.S. goods and lower prices for
imports from Asia during the second half of the year are likely to constrain
earnings growth for many domestic companies. We expect the stock market to trade
near current levels, albeit with heightened volatility, over the near term as
investors digest corporate earnings reports. Over the longer term, however, we
remain encouraged by the U.S. economy's continuing prospects for strong growth
and low inflation. If positive economic conditions persist, we believe corporate
earnings and stock prices should move higher. In the U.S. bond market, we expect
these economic influences to allow long-term yields to move modestly lower,
potentially benefitting the various market sectors in which the fixed-income
portion of the portfolio invests.
Our view of the international stock and bond markets is mixed. We are
optimistic about Europe, where the advent of the European Monetary Union in
January 1999, will eliminate cross-border currency risks and form a single
marketplace. European bonds have rallied as various nations' interest rates
converge in anticipation of economic union. European companies are consolidating
aggressively to take advantage of the new market, and shareholders are
benefitting accordingly. In contrast, Japan remains mired in an economic
recession, which we do not expect to end until Japan makes substantial changes
in its financial systems. Finally, the CitiSelect VIP portfolios have little
exposure to the emerging markets of Asia, Latin America and Eastern Europe,
where we expect volatility to continue.
Regardless of which market, region or investment style prevails over the rest
of this year, CitiSelect VIP portfolios' shareholders are well positioned to
achieve returns consistent with their attitudes toward risk. We believe that
such constancy is of great value to long-term investors.
<PAGE>
CITISELECT(R) VIP FOLIO 200
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
SINCE
SIX ONE 2/10/97
MONTHS* YEAR INCEPTION**
-------- ----- -----------
CitiSelect(R)VIP Folio 200 .......... 5.15% 8.67% 9.48%
Composite Benchmark+................. 6.00% 10.70% 11.71%
- --------------------------------------------------------------------------------
* Not Annualized.
** Average Annual Total Return.
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,334 (as of 6/30/98). The graph shows how the Fund compares to its benchmarks
over the same period.
Lehman Bros.
CitiSelect Intermediate
VIP 200 Gov't/Corp Composite
Portfolio Bond Index S&P 500 Index Benchmark+
2/10/97 $10,000 $10,000 $10,000 $10,000
2/28/97 9,960 9,971 10,081 9,980
3/31/97 9,810 9,902 9,668 9,826
4/30/97 9,830 10,018 10,244 9,916
5/31/97 10,210 10,101 10,870 10,312
6/30/97 10,430 10,193 11,353 10,532
7/31/97 10,620 10,400 12,256 10,748
8/31/97 10,590 10,348 11,570 10,660
9/30/97 10,920 10,468 12,203 10,987
10/31/97 10,790 10,584 11,795 10,907
11/30/97 10,780 10,607 12,341 10,926
12/31/97 10,779 10,692 12,553 10,997
1/31/98 10,790 10,832 12,692 11,074
2/28/98 11,137 10,823 13,607 11,391
3/31/98 11,326 10,858 14,303 11,549
4/30/98 11,389 10,912 14,449 11,656
5/31/98 11,263 10,992 14,201 11,556
6/30/98 11,334 11,062 14,777 11,653
<PAGE>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (15%); Russell 2000 Index --
Small Cap Stocks (15%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ 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>
CITISELECT(R) VIP FOLIO 300
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
SINCE
SIX ONE 2/10/97
MONTHS* YEAR INCEPTION**
-------- ----- -----------
CitiSelect(R)VIP Folio 300 .......... 6.29% 9.77% 10.96%
Composite Benchmark+ ................ 7.48% 12.47% 14.25%
- --------------------------------------------------------------------------------
* Not Annualized.
** Average Annual Total Return.
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,548 (as of 6/30/98). The graph shows how the Fund compares to its benchmarks
over the same period.
Lehman Bros.
CitiSelect Intermediate
VIP 300 Gov't/Corp Composite
Portfolio Bond Index S&P 500 Index Benchmark+
2/10/97 $10,000 $10,000 $10,000 $10,000
2/28/97 9,950 9,971 10,081 9,978
3/31/97 9,750 9,902 9,668 9,775
4/30/97 9,780 10,018 10,244 9,880
5/31/97 10,250 10,101 10,870 10,399
6/30/97 10,520 10,193 11,353 10,688
7/31/97 10,770 10,400 12,256 10,976
8/31/97 10,700 10,348 11,570 10,820
9/30/97 11,110 10,468 12,203 11,244
10/31/97 10,890 10,584 11,795 11,069
11/30/97 10,890 10,607 12,341 11,098
12/31/97 10,885 10,692 12,553 11,187
1/31/98 10,917 10,832 12,692 11,281
2/28/98 11,346 10,823 13,607 11,716
3/31/98 11,597 10,858 14,303 11,943
4/30/98 11,660 10,912 14,449 12,060
5/31/98 11,472 10,992 14,201 11,903
6/30/98 11,548 11,062 14,777 12,025
<PAGE>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (20%); Morgan Stanley EAFE Index -- International Stocks
(10%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ 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>
CITISELECT(R) VIP FOLIO 400
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
SINCE
SIX ONE 2/10/97
MONTHS* YEAR INCEPTION**
------- ------ -----------
CitiSelect(R)VIP Folio 400 .......... 6.59% 9.41% 11.61%
Composite Benchmark+................. 8.92% 13.15% 16.31%
- --------------------------------------------------------------------------------
* Not Annualized.
** Average Annual Total Return.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,642 (as of 6/30/98). The graph shows how the Fund compares to its benchmarks
over the same period.
Lehman Bros.
CitiSelect Intermediate
VIP 400 Gov't/Corp Composite
Portfolio Bond Index S&P 500 Index Benchmark+
2/10/97 $10,000 $10,000 $10,000 $10,000
2/28/97 9,930 9,971 10,081 9,981
3/31/97 9,730 9,902 9,668 9,747
4/30/97 9,670 10,018 10,244 9,848
5/31/97 10,290 10,101 10,870 10,513
6/30/97 10,640 10,193 11,353 10,889
7/31/97 10,920 10,400 12,256 11,207
8/31/97 10,820 10,348 11,570 11,001
9/30/97 11,360 10,468 12,203 11,549
10/31/97 10,990 10,584 11,795 11,205
11/30/97 10,960 10,607 12,341 11,210
12/31/97 10,922 10,692 12,553 11,312
1/31/98 10,901 10,832 12,692 11,412
2/28/98 11,496 10,823 13,607 12,012
3/31/98 11,847 10,858 14,303 12,323
4/30/98 11,921 10,912 14,449 12,449
5/31/98 11,613 10,992 14,201 12,196
6/30/98 11,642 11,062 14,777 12,317
<PAGE>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (5%);
Salomon Bros. Non-$ 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>
CITISELECT(R) VIP FOLIO 500
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
SINCE
SIX ONE 2/10/97
MONTHS* YEAR INCEPTION**
------- ------ -----------
CitiSelect(R)VIP Folio 500 .......... 7.63% 10.27% 13.54%
Composite Benchmark+ ................ 10.31% 13.98% 18.24%
===== ===== =====
- --------------------------------------------------------------------------------
* Not Annualized.
** Average Annual Total Return.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,920 (as of 6/30/98). The graph shows how the Fund compares to its benchmarks
over the same period.
CitiSelect Salomon
VIP 500 non-$ MSCI EAFE Composite
Portfolio World Gov/Bd Index Benchmark+
2/10/97 $10,000 $10,000 $10,000 $10,000
2/28/97 9,890 9,913 10,076 9,993
3/31/97 9,710 9,849 10,115 9,749
4/30/97 9,650 9,649 10,170 9,888
5/31/97 10,380 10,005 10,834 10,617
6/30/97 10,810 10,128 11,434 11,060
7/31/97 11,170 9,863 11,622 11,444
8/31/97 11,020 9,908 10,756 11,160
9/30/97 11,610 10,148 11,361 11,786
10/31/97 11,110 10,376 10,490 11,285
11/30/97 11,130 10,110 10,386 11,304
12/31/97 11,076 10,008 10,479 11,433
1/31/98 11,034 10,076 10,961 11,562
2/28/98 11,773 10,218 11,667 12,272
3/31/98 12,217 10,050 12,029 12,672
4/30/98 12,281 10,271 12,126 12,783
5/31/98 11,911 10,254 12,070 12,481
6/30/98 11,920 10,217 12,164 12,617
<PAGE>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (35%); Morgan Stanley EAFE Index -- International Stocks
(30%); Salomon Bros. Non-$ 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 VIP FOLIO 200
PORTFOLIO OF INVESTMENTS June 30, 1998
(Unaudited)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH -- 8.2%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 7.7%
- -------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURER -- 0.8%
- -------------------------------------------------------------------------------
Danaher Corp. 260 $ 9,539
E. I. du Pont de Nemours & Co.(++) 245 18,283
General Electric Co. 760 69,160
Illinois Tool Works 305 20,340
-----------
117,322
-----------
COMMERCIAL SERVICES -- 0.1%
- -------------------------------------------------------------------------------
Cintas Corp. 205 10,455
Interpublic Group Companies Inc. 180 10,924
-----------
21,379
-----------
CONSUMER DURABLES -- 0.1%
- -------------------------------------------------------------------------------
Leggett & Platt Inc. 405 10,125
-----------
CONSUMER NON-DURABLES -- 0.9%
- -------------------------------------------------------------------------------
Clorox Co. 315 30,043
Coca Cola Co. 685 58,567
Gillette Co. 180 10,204
Procter & Gamble Co. 285 25,953
-----------
124,767
-----------
CONSUMER SERVICES -- 0.4%
- -------------------------------------------------------------------------------
Carnival Corp. 485 19,218
Clear Channels Communications* 185 20,188
Gannett Inc. 280 19,898
-----------
59,304
-----------
ENERGY -- 0.1%
- -------------------------------------------------------------------------------
Schlumberger Ltd. 150 10,247
-----------
FINANCE -- 0.7%
- -------------------------------------------------------------------------------
American International Group Inc. 90 13,140
Federal National Mortgage Association 380 23,085
Fifth Third Bancorp 195 12,285
MGIC Investment Corp. 165 9,415
State Street Corp. 160 11,120
U.S. Bancorp 240 10,320
Zions Bancorp 335 17,797
-----------
97,162
-----------
HEALTHCARE -- 1.8%
- -------------------------------------------------------------------------------
Cardinal Health Inc. 230 21,563
HBO & Co. 580 20,445
Health Management Association* 240 8,025
Johnson & Johnson 145 10,694
Lilly, Eli & Co. 195 12,882
Lincare Holdings Inc.* 365 15,353
Medtronic Inc. 355 22,631
Merck & Co. 240 32,100
Pfizer Inc. 285 30,976
Safeskin Corp.* 265 10,898
Schering Plough Corp. 285 26,113
Steris Corp.* 155 9,857
Warner Lambert Co. 350 24,281
-----------
245,818
-----------
RETAIL -- 0.9%
- -------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 220 11,399
Gap Inc. 230 14,174
Home Depot 292 24,254
Kohls Corp.* 365 18,934
Lowes Companies Inc. 255 10,343
Wal Mart Stores Inc. 555 33,716
Walgreen Co. 305 12,600
-----------
125,420
-----------
TECHNOLOGY -- 1.8%
- -------------------------------------------------------------------------------
American Power Conversion Corp.* 320 9,600
Automatic Data Processing Inc.* 260 18,947
BMC Software Inc.* 240 12,465
Cisco Systems Inc.* 285 26,238
Compuware Corp.* 205 10,481
EMC Corp.* 395 17,701
Intel Corp. 155 11,489
Linear Technology Corp. 140 8,444
Microsoft Corp.* 645 69,902
Parametic Technology Corp.* 315 8,544
Paychex Inc. 390 15,868
Solectron Corp.* 225 9,464
Sun Guard Data Systems* 460 17,653
-----------
236,796
-----------
UTILITIES -- 0.1%
- -------------------------------------------------------------------------------
Ameritech Corp. 240 10,770
-----------
TOTAL COMMON STOCKS 1,059,110
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 68,145
-----------
TOTAL LARGE CAP GROWTH (Identified Cost $886,264) 1,127,255
-----------
LARGE CAP VALUE -- 7.6%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 7.2%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 0.6%
- -------------------------------------------------------------------------------
Air Products & Chemicals Inc. 200 8,000
Dow Chemical Co. 100 9,669
E I du Pont de Nemours & Co.(++) 100 7,463
FMC Corp.* 100 6,819
Great Lakes Chemical Corp. 300 11,831
IMC Global Inc. 300 9,038
Inland Steel Industries Inc. 400 11,275
Rohm & Haas Co. 100 10,394
W R Grace & Co. 300 5,119
Westvaco Corp. 100 2,823
-----------
82,431
-----------
CAPITAL GOODS -- 0.7%
- -------------------------------------------------------------------------------
Aeroquip Vickers Inc. 400 23,350
Caterpillar Inc. 100 5,288
Cummins Engine Inc. 400 20,500
Harnischfeger Industries Inc. 400 11,325
Kennametal Inc. 200 8,350
Parker Hannifin Corp. 250 9,531
Tecumseh Products Co. 200 10,562
-----------
88,906
-----------
CONSUMER BASICS -- 0.6%
- -------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 400 11,650
IBP Inc. 300 5,438
Mallinckrodt Inc. 200 5,938
Maxicare Health Plans Inc.* 200 1,350
Philip Morris Companies Inc. 500 19,688
RJR Nabisco Holdings Corp. 500 11,875
Tenet Health Plans Corp. 100 3,123
Tupperware Corp. 200 5,625
Universal Foods Corp. 500 11,094
Vencor Inc.* 100 725
-----------
76,506
-----------
CONSUMER DURABLES -- 0.8%
- -------------------------------------------------------------------------------
Dana Corp. 200 10,700
Eaton Corp. 100 7,775
Ford Motor Co. 600 35,400
General Motors Corp. 500 33,406
Goodyear Tire and Rubber 300 19,331
-----------
106,612
-----------
CONSUMER NON-DURABLES -- 0.7%
- -------------------------------------------------------------------------------
Dillards Inc. 300 12,430
Federated Department Stores Inc.* 100 5,381
Ross Stores Inc. 200 8,600
Russell Corp. 200 6,038
Sears Roebuck & Co. 200 12,213
Springs Industries Inc. 200 9,225
Toys "R" Us Inc.* 700 16,494
V F Corp. 300 15,450
Venator Group* 400 7,650
-----------
93,481
-----------
CONSUMER SERVICES -- 0.2%
- -------------------------------------------------------------------------------
AMR Corp.* 100 8,325
Delta Airlines Inc. 100 12,925
-----------
21,250
-----------
ENERGY -- 0.4%
- -------------------------------------------------------------------------------
Atlantic Richfield Co. 100 7,813
British Petroleum PLC 100 8,825
Lubrizol Corp. 100 3,025
Nabors Industries Inc.* 300 5,944
Phillips Petroleum Co. 200 9,638
Ultra Mar Diamond Shamrock 300 9,468
YPF Sociedad Anonima 400 12,025
-----------
56,738
-----------
FINANCE -- 1.8%
- -------------------------------------------------------------------------------
Allstate Corp. 200 18,313
American General Corp. 200 14,238
Associates First Capital Corp. 1 77
Banc One Corp. 200 11,163
Case Corp. 600 28,950
Chase Manhattan Corp. 400 30,200
Cigna Corp. 200 13,800
Crestar Financial Corp. 100 5,456
Everest Reinsurance Holdings 300 11,531
First Union Corp. 420 24,465
Foundation Health Systems* 460 12,133
Hartford Financial Services Group 100 11,438
Loews Corp. 100 8,713
Nationsbank Corp. 100 7,650
Old Republic International Corp. 400 11,725
Reliastar Financial Corp. 200 9,600
Republic NY Corp. 200 12,588
Transatlantic Holdings Inc. 150 11,597
Washington Mutual Inc. 150 6,512
-----------
250,149
-----------
GENERAL BUSINESS -- 0.1%
- -------------------------------------------------------------------------------
Olsten Corp. 600 6,712
Standard Register 100 3,538
-----------
10,250
-----------
SHELTER -- 0.1%
- -------------------------------------------------------------------------------
Owens Corning 400 16,325
-----------
TECHNOLOGY -- 0.8%
- -------------------------------------------------------------------------------
Arrow Electronics Inc.* 300 6,525
Avnet Inc. 200 10,938
Beckman Coulter 300 17,475
Electronic Data Systems Corp. 300 12,000
International Business Machines 300 34,444
Stratus Computer Inc.* 300 7,593
TRW Inc. 200 10,925
Tektronix Inc. 450 15,919
-----------
115,819
-----------
TRANSPORTATION -- 0.1%
- -------------------------------------------------------------------------------
Burlington, Northern Santa Fe Co. 100 9,819
CSX Corp. 200 9,100
-----------
18,919
-----------
UTILITIES -- 0.3%
- -------------------------------------------------------------------------------
Bell Atlantic Corp. 200 9,125
Cinergy Corp. 100 3,500
DTE Energy Co. 200 8,075
Duke Power Co. 104 6,162
Entergy Corp. 200 5,750
GPU Inc. 200 7,563
-----------
40,175
-----------
TOTAL COMMON STOCKS 977,561
-----------
SHORT-TERM OBLIGATION -- 0.4%
- -------------------------------------------------------------------------------
Federal Home Loan
Bank Discount Note
5.40% due 7/01/98(+) 48,714
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $937,333) 1,026,275
----------
SMALL CAP GROWTH -- 8.1%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 7.4%
- -------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 2.0%
- -------------------------------------------------------------------------------
Abacus Direct Corp.* 615 31,942
AHL Services Inc.* 530 20,869
Cultural Access Worldwide 610 5,948
Hardinge Brothers Inc. 685 16,568
Lamar Advertising Co.* 942 33,794
Metro Networks Inc.* 380 16,388
Metzler Group Inc. 425 15,566
NFO Worldwide Inc. 915 16,298
Probusiness Services Inc.* 50 2,338
Professional Detailing Inc. 445 11,069
Profit Recovery Group International Inc.* 735 20,534
Rental Service Corp.* 840 28,245
Romac International Inc.* 450 13,669
Suiza Foods Corp.* 380 22,680
Wilmar Industries Co.* 480 12,240
-----------
268,148
-----------
COMMODITIES & PROCESSING -- 0.3%
- -------------------------------------------------------------------------------
ITEQ Inc.* 1290 9,594
OM Group Inc. 480 19,800
Synthetic Industries Inc.* 550 8,009
-----------
37,403
-----------
CONSUMER DURABLES -- 0.2%
- -------------------------------------------------------------------------------
American Italian Pasta Co. 215 8,008
Tower Automotive Inc.* 420 18,008
-----------
26,016
-----------
CONSUMER NON-DURABLES -- 0.1%
- -------------------------------------------------------------------------------
Beringer Wine Estates Holdings* 350 15,422
-----------
CONSUMER SERVICES -- 0.8%
- -------------------------------------------------------------------------------
Central Packing Corp. 595 27,668
Gray Communications Systems Inc. 535 16,518
Heftel Broadcasting Corp.* 465 20,809
Premier Parks Inc.* 530 35,311
SFX Entertainment Inc. 160 7,340
-----------
107,646
-----------
ELECTRONICS/TECHNICAL SERVICES -- 1.0%
- -------------------------------------------------------------------------------
Anicom Inc. 120 1,785
CDW Computer Centers Inc.* 400 20,000
ETEC Systems Inc.* 355 12,492
Inacom Corp.* 510 16,193
PC Connection Inc. 285 4,346
QAD Inc.* 1,020 9,180
Renaissance Worldwide Inc. 870 18,923
Sapient Corp. 210 11,078
Sipex Corp.* 605 13,008
Tier Technologies Inc. 685 12,202
Whittman Hart Inc.* 515 24,911
-----------
144,118
-----------
ENERGY/MINERALS -- 0.3%
- -------------------------------------------------------------------------------
Forcenergy Inc.* 750 13,359
Key Energy Group Inc.* 735 9,647
Lomak Petroleum Inc. 1,330 13,882
-----------
36,888
-----------
FINANCE -- 0.8%
- -------------------------------------------------------------------------------
Executive Risk Inc. 355 26,181
First Republic Bank of San Francisco* 295 10,657
Litchfield Financial Corp. 305 6,405
Medallion Financial Corp. 465 12,788
Metris Companies Inc.* 375 23,906
Sirrom Capital Corp. 980 25,480
-----------
105,417
-----------
HEALTH SERVICES/TECHNOLOGY -- 0.9%
- -------------------------------------------------------------------------------
Concentra Managed Care Inc.* 625 16,250
Henry Schein Inc.* 430 19,834
Human Genome Sciences Inc.* 525 18,736
Parexel International Corp.* 570 20,734
Somas Medical Technology* 600 4,913
Renal Treatment Centers Inc. 880 30,360
Viropharma Inc.* 570 13,251
-----------
124,078
-----------
INDUSTRIAL SERVICES -- 0.2%
- -------------------------------------------------------------------------------
American Disposal Services Inc.* 375 17,578
Service Experts Inc. 355 12,248
Waste Connections Inc. 205 4,074
-----------
33,900
-----------
PRODUCER MANUFACTURING -- 0.1%
- -------------------------------------------------------------------------------
Ha Lo Industries Inc. 380 11,828
-----------
RETAIL -- 0.4%
- -------------------------------------------------------------------------------
CD Now Inc. 395 7,949
Men's Wearhouse Inc.* 665 21,945
Whole Foods Market Inc.* 410 24,805
-----------
54,699
-----------
TRANSPORTATION -- 0.3%
- -------------------------------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 795 27,577
Hub Group Inc.* 125 2,640
United Road Services Inc. 470 8,989
-----------
39,206
-----------
TOTAL COMMON STOCKS 1,004,769
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.7%
- -------------------------------------------------------------------------------
Federal Home Loan
Bank Discount Note
5.40% due 7/01/98(+) 88,286
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $912,777) 1,093,055
-----------
SMALL CAP VALUE -- 7.3%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 7.0%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 0.7%
- -------------------------------------------------------------------------------
Atchison Casting Corp.* 700 12,513
Carpenter Technology Corp. 100 5,025
Keystone Consolidated Industries Inc.* 1,200 14,250
Lone Star Technologies Inc.* 700 10,675
LTV Corp. 2,300 21,994
M A Hanna Co. 500 9,156
Oil-Dri Corp. of America 900 12,994
Tuscarora Inc. 700 11,112
-----------
97,719
-----------
CAPITAL GOODS -- 1.3%
- -------------------------------------------------------------------------------
American Buildings Co.* 400 11,900
Astro-Med Inc. 700 5,337
Commercial Intertech Corp. 800 14,500
D.R. Horton Inc. 700 14,613
ESCO Electronics Corp.* 900 17,100
Global Industrial Technologies Inc.* 1,100 15,813
Hurco Co. Inc.* 300 2,175
JLG Industries Inc. 2,000 40,500
Perini Corp.* 600 5,137
Speedfam International Inc.* 500 9,219
Ultrak Inc.* 1,600 13,600
United Industrial Corp. 1,400 18,200
Watts Industrial Inc. 400 8,350
-----------
176,444
-----------
CONSUMER BASICS -- 1.1%
- -------------------------------------------------------------------------------
Cohr Inc.* 2,100 10,763
Depotech Corp.* 900 1,406
Dimon Inc. 1,600 18,000
EKCO Group Inc.* 2,500 19,688
MMI Companies Inc. 700 16,187
Matrix Pharmaceuticals Inc.* 2,000 8,750
Nash Finch Co. 200 3,013
Orthologic Corp.* 1,800 9,225
RLI Corp. 125 5,086
Schultz Sav-O Stores Inc. 750 12,187
Schweitzer-Mauduit International Inc. 500 14,500
Sola International Inc.* 100 3,286
Standard Commercial Corp.* 2,205 24,255
-----------
146,346
-----------
CONSUMER DURABLES -- 0.5%
- -------------------------------------------------------------------------------
Coachmen Industries Inc. 600 15,675
Flexsteel Industries Inc. 500 7,000
Haskel International Inc. 700 7,000
Keystone Automotive Industrial Inc.* 200 4,625
Myers Industries Inc. 400 9,600
TBC Corp.* 800 5,300
Tropical Sportswear International Corp.* 300 6,375
West Co. Inc. 400 11,325
-----------
66,900
-----------
CONSUMER NON-DURABLES -- 0.2%
- -------------------------------------------------------------------------------
Brookstone Inc.* 800 12,000
Haverty Furniture Companies Inc. 200 4,425
Ridgeview Inc.* 100 600
Syms Corp.* 900 12,825
-----------
29,850
-----------
CONSUMER SERVICES -- 0.2%
- -------------------------------------------------------------------------------
Aztar Corp.* 1,400 9,538
Cannondale Corp.* 1,300 17,387
-----------
26,925
-----------
ENERGY -- 0.3%
- -------------------------------------------------------------------------------
Atwood Oceanics Inc.* 250 9,953
Cliffs Drilling Co.* 500 16,406
Nuevo Energy Co.* 500 16,062
-----------
42,421
-----------
FINANCE -- 0.6%
- -------------------------------------------------------------------------------
Acceptance Insurance Company* 400 9,825
Allied Life Financial Corp. 500 14,437
Centris Group Inc. 700 8,662
Matrix Capital Corp.* 700 18,900
Ocwen Asset Investment Corp. 300 4,969
Penn-America Group Inc. 900 12,150
Presidential Life Corp. 300 6,412
Professionals Insurance Company Management Group* 200 7,500
-----------
82,855
-----------
GENERAL BUSINESS -- 0.1%
- -------------------------------------------------------------------------------
Ennis Business Forms Inc. 900 10,463
Reynolds & Reynolds Co. 300 5,456
-----------
15,919
-----------
MISCELLANEOUS -- 1.0%
- -------------------------------------------------------------------------------
Aehr Test Systems* 1,000 5,969
Commonwealth Industries Inc. 800 8,000
Conrad Industrials Inc.* 300 3,413
Duckwall-ALCO Stores Inc.* 500 8,750
Easco Inc. 300 3,020
Flowserve Corp. 600 14,775
Kevco Inc.* 300 6,619
Ladish Co. Inc.* 1,100 13,750
Manchester Equipment Co. Inc.* 1,200 4,725
Motor Cargo Industries Inc.* 1,000 10,625
PBOC Holdings Inc.* 300 4,144
Rockshox Inc.* 400 1,600
Rush Enterprises Inc.* 500 5,187
Seibels Bruce Group Inc.* 1,600 11,800
Spacehab Inc.* 1,300 15,031
Spectralink Corp.* 400 1,750
Symons International Group Inc.* 500 9,375
Unisource Worldwide Inc. 700 7,568
-----------
136,101
-----------
SHELTER -- 0.3%
- -------------------------------------------------------------------------------
Butler Manufacturing Co. 200 6,813
Eagle Homes Inc. 300 4,688
Morgan Products Ltd.* 2,900 13,231
Patrick Industries Inc. 500 7,625
Southern Energy Homes Inc.* 200 1,962
-----------
34,319
-----------
TECHNOLOGY -- 0.5%
- -------------------------------------------------------------------------------
Alliant Techsystems Inc.* 200 12,650
Interlink Computer Sciences Inc.* 900 3,150
Komag Inc.* 3,500 18,703
RadiSys Corp.* 500 10,750
Read-Rite Corp.* 1,500 13,594
Trident Microsystems Inc.* 400 2,125
-----------
60,972
-----------
TRANSPORTATION -- 0.2%
- -------------------------------------------------------------------------------
Fritz Companies Inc.* 1,800 24,075
Kenan Transport Co. 200 6,875
-----------
30,950
-----------
TOTAL COMMON STOCKS 947,721
-----------
SHORT-TERM OBLIGATIONS -- 0.3%
- -------------------------------------------------------------------------------
Federal Home Loan
Bank Discount Note
5.40% due 7/01/98(+) 39,450
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $1,031,552) 987,171
-----------
INTERNATIONAL EQUITY -- 5.7%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 5.2%
- -------------------------------------------------------------------------------
AUSTRIA -- 0.1%
- -------------------------------------------------------------------------------
Boehler Uddeholm 95 6,282
- -------------------------------------------------------------------------------
AUSTRALIA -- 0.1%
- -------------------------------------------------------------------------------
Australia & New Zealand Bank Group 1,370 9,474
Pioneer International 2,190 5,234
Quantas Airways 2,785 4,201
-----------
18,909
-----------
CANADA -- 0.2%
- -------------------------------------------------------------------------------
Canadian Imperial Bank of Commerce 275 8,839
Imasco Ltd. 640 11,808
Noranda Inc. 180 3,107
-----------
23,754
-----------
FINLAND -- 0.1%
- -------------------------------------------------------------------------------
The Rauma Group Oy 168 3,448
UPM-Kymmene Oy 420 11,571
-----------
15,019
-----------
FRANCE -- 0.5%
- -------------------------------------------------------------------------------
Elf Aquitaine 95 13,357
Lafarge Coppee 135 13,956
Pernod-Ricard 121 8,386
SEITA 290 13,143
Societe Generale 72 14,970
-----------
63,812
-----------
GERMANY -- 0.4%
- -------------------------------------------------------------------------------
Bayer AG 145 7,495
Buderus AG 15 7,487
Commerzbank AG 320 12,190
Draegerwerk AG 305 7,289
Dyckerhoff AG 25 9,773
Vossloh AG 50 3,188
-----------
47,422
-----------
GREAT BRITAIN -- 1.4%
- -------------------------------------------------------------------------------
Abbey National 695 12,359
Allied Domecq PLC 1,176 11,055
BAT Industries 1,370 13,725
BTR PLC 3,160 8,970
CGU 700 13,067
Coats Viyella 5,520 6,774
Cookson Group 2,840 9,768
Elementis 3,751 9,645
Hanson 2,175 13,228
Hillsdown Holdings 3,865 10,519
Hyder 555 8,729
Lex Service 1,020 8,481
McKechnie 1,200 8,716
Medeva 2,430 6,898
National Westminister Bank 620 11,087
Powergen 615 8,503
Safeway 1,170 7,668
Tate & Lyle 690 5,475
Tomkins 2,520 13,685
-----------
188,352
-----------
HONG KONG -- 0.3%
- -------------------------------------------------------------------------------
CLP Holdings, Ltd. 1,500 6,834
Dickson Concept Industries 1,500 2,091
HSBC Holdings 500 12,229
Hang Lung Development Co. 2,000 1,988
Hong Kong Telecommunications 2,600 4,882
New World Development Co. 1,000 1,936
South China Morning Post 2,000 962
Swire Pacific 2,000 7,550
-----------
38,472
-----------
IRELAND -- 0.2%
- -------------------------------------------------------------------------------
Greencore Group 1,720 9,370
Jefferson Smurfit Group 3,900 11,603
-----------
20,973
-----------
ITALY -- 0.1%
- -------------------------------------------------------------------------------
Eni Spa 2,020 13,245
-----------
JAPAN -- 0.5%
- -------------------------------------------------------------------------------
Koito Manufacturing Co. 1,000 4,954
Kyocera Corp. 200 9,807
Nichicon Corp. 1,000 11,210
Nintendo Co. 100 9,293
Promise Co. 200 8,259
Sony Corp. 100 8,643
Suzuki Motor Corp. 1,000 9,113
Yodogawa Steel Works 2,000 9,387
-----------
70,666
-----------
NETHERLANDS -- 0.4%
- -------------------------------------------------------------------------------
ABN Amro Holdings NV 420 9,835
Akzo Nobel NV 61 13,570
Hollandsche Beton Group 245 5,110
ING Group 200 13,106
Koninklijke PTT NV 195 7,511
TNT Post Group 195 4,988
-----------
54,120
-----------
NEW ZEALAND -- 0.0%
- -------------------------------------------------------------------------------
Fletcher Challenge 2,320 2,897
-----------
NORWAY -- 0.1%
- -------------------------------------------------------------------------------
Kvaerner ASA 145 4,919
Nycomed Amersham* 1,297 9,646
-----------
14,565
-----------
SINGAPORE -- 0.0%
- -------------------------------------------------------------------------------
Jardine Matheson 1,600 4,320
-----------
SPAIN -- 0.1%
- -------------------------------------------------------------------------------
Banco Santander SA 600 15,357
-----------
SWEDEN -- 0.1%
- -------------------------------------------------------------------------------
Electrolux AB 600 10,306
Getinge Industrier 520 10,627
-----------
20,933
-----------
SWITZERLAND -- 0.6%
- -------------------------------------------------------------------------------
Credit Suisse Group 42 9,361
Forbo Holding 22 11,216
Nestle SA 6 12,861
Novartis 7 11,667
Saurer AG 11 11,259
Schweizerische Industrie-Gesellschaft 5 12,666
Sig Holding 15 12,233
Sulzer AG 14 11,067
-----------
92,330
-----------
TOTAL COMMON STOCKS 711,428
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan
Bank Discount Notes 5.40% due 7/01/98(+) 67,056
-----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $702,639) 778,484
-----------
Principal
Amount
- -------------------------------------------------------------------------------
DOMESTIC FIXED INCOME -- 25.1%
- -------------------------------------------------------------------------------
FIXED INCOME -- 23.6%
- -------------------------------------------------------------------------------
CORPORATE BONDS -- 5.0%
- -------------------------------------------------------------------------------
Allied Signal Inc.
6.20% due 2/01/08 $20,000 20,199
Atlantic City Electric Co.
7.01% due 8/23/02 40,000 41,532
BB & T Corp.
6.375% due 6/30/05 35,000 34,955
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 20,000 19,718
Commonwealth
Edison Electric Co.
7.00% due 7/01/05 43,000 44,812
Computer Associates
International Inc.
6.375% due 4/15/05 10,000 9,938
Conseco Inc. Medium Term
Senior Notes 6.40%
due 6/15/01 35,000 34,978
Dayton Hudson Corp.
5.95% due 6/15/00 15,000 14,995
Donaldson Lufkin
& Jenrette
6.50% due 6/01/08 20,000 19,998
Equitable Life Assurance
6.95% due 12/01/05 30,000 31,144
Ford Motor Co.
6.625% due 2/15/28 20,000 20,017
GTE Corp.
6.36% due 4/15/06 25,000 24,882
Jackson National
Life Insurance Co.
8.15% due 3/15/27 50,000 58,412
Lehman Brothers
Holdings Inc.
6.00% due 2/26/01 10,000 9,981
6.15% due 3/15/00 10,000 10,023
Lockheed Martin Corp.
7.20% due 5/01/36 50,000 54,614
MCI Communications
Corp. 6.125% due
4/15/06 35,000 34,870
Norfolk Southern Crop
7.35% due 5/15/07 20,000 21,457
Occidental Petroleum
Corp. 6.40%
due 4/01/03 30,000 29,940
Pacificorp
6.375% due 5/15/08 20,000 20,117
Philadelphia Electric Co.
7.125% due 9/01/02 10,000 10,317
6.625% due 3/01/03 20,000 20,308
Sears Roebuck
Acceptance Corp.
6.00% due 3/20/03 25,000 24,761
Suntrust Banks Inc.
6.00% due 1/15/28 25,000 24,604
Union Pacific
Resource Group
6.50% due 5/15/05 35,000 34,734
-----------
671,306
-----------
MORTGAGE BACKED -- 1.1%
- -------------------------------------------------------------------------------
Federal Home
Loan Mortgage Corp.
6.00% due 1/01/99 30,000 29,587
Federal National
Mortgage Association
7.35% due 8/17/21 50,000 53,383
J. P. Morgan Commercial
Mortgage Finance Corp.
6.375% due 1/15/30 19,485 19,698
Structured Asset
Securities Corp.
6.79% due 10/15/34 49,263 50,754
-----------
153,422
-----------
U. S. TREASURY OBLIGATIONS -- 17.3%
- -------------------------------------------------------------------------------
United States Treasury Bonds
6.50% due 11/15/26 105,000 116,599
6.375% due 8/15/27 50,000 54,906
-----------
171,505
-----------
United States Treasury Notes
5.875% due 1/31/99 399,000 399,874
6.375% due 5/15/99 400,000 402,876
5.875% due 11/15/99 125,000 125,566
5.625% due 4/30/00 70,000 70,131
6.25% due 1/31/02 465,000 475,388
6.50% due 5/31/02 300,000 309,984
6.25% due 6/30/02 40,000 41,006
5.50% due 3/31/03 150,000 149,906
5.875% due 2/15/04 170,000 173,135
6.50% due 10/15/06 20,000 21,237
-----------
2,169,103
-----------
YANKEE BOND -- 0.2%
- -------------------------------------------------------------------------------
Ontario Province, Canada
7.00% due 8/04/05 30,000 31,762
-----------
TOTAL FIXED INCOME 3,197,098
-----------
SHORT-TERM OBLIGATIONS -- 1.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 202,893
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $3,340,805) 3,399,991
-----------
INTERNATIONAL BOND -- 30.9%
- -------------------------------------------------------------------------------
FIXED INCOME -- 19.5%
- -------------------------------------------------------------------------------
CURRENCY
- -------------------------------------------------------------------------------
AUSTRALIA -- 3.9%
- -------------------------------------------------------------------------------
Australia Commonwealth
13.00% due 7/15/00 AUD 310,000 221,220
10.00% due 10/15/07 AUD 85,000 69,424
8.75% due 8/15/08 AUD 100,000 77,136
7.50% due 9/15/09 AUD 220,000 157,928
-----------
525,708
-----------
CANADA -- 0.4%
- -------------------------------------------------------------------------------
Canadian Government
8.00% due 6/01/23 CAD 59,000 53,465
-----------
CROATIA -- 0.2%
- -------------------------------------------------------------------------------
Republic of Croatia
6.50% due 7/31/06 $ 27,734 24,752
-----------
DENMARK -- 0.4%
- -------------------------------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 300,000 49,947
-----------
FRANCE -- 3.2%
- -------------------------------------------------------------------------------
France Government Bonds
7.75% due 10/25/05 FRF 2,044,000 402,329
5.25% due 4/25/08 FRF 234,000 39,955
-----------
442,284
-----------
GREAT BRITAIN -- 3.6%
- -------------------------------------------------------------------------------
U. K. Treasury
8.50% due 12/07/05 GBP 102,000 194,525
7.25% due 12/07/07 GBP 160,000 294,201
-----------
488,726
-----------
GREECE -- 1.3%
- -------------------------------------------------------------------------------
Hellenic Republic
12.80% due 6/17/03 GRD 1,200,000 4,013
Republic of Greece
11.00% due 10/23/03 GRD 4,400,000 14,658
8.80% due 6/19/07 GRD 48,200,000 167,595
-----------
186,266
-----------
ITALY -- 0.7%
- -------------------------------------------------------------------------------
Republic of Italy
6.00% due 1/01/00 ITL 50,000,000 28,780
7.25% due 11/01/26 ITL 95,000,000 66,451
-----------
95,231
-----------
JAPAN -- 2.6%
- -------------------------------------------------------------------------------
Japan Government Bonds
4.10% due 12/22/03 JPY 20,300,000 169,629
3.00% due 9/20/05 JPY 6,500,000 52,209
2.60% due 9/20/07 JPY 16,550,000 130,346
-----------
352,184
UNITED STATES -- 3.2%
- -------------------------------------------------------------------------------
Government National
Mortgage Association
6.500% due 4/20/27 $ 80,704 82,130
SLM Student Loan Trust
5.802% due 4/25/07 $ 100,000 99,971
United States
Treasury Notes
3.625% due 7/15/02 $ 253,64 250,870
-----------
432,971
-----------
TOTAL FIXED INCOME 2,651,534
-----------
SHORT-TERM OBLIGATIONS -- 11.4%
- -------------------------------------------------------------------------------
Coca Cola Co.
5.59% due 7/23/98 $ 100,000 99,664
E. I. du Pont
de Nemours & Co.
5.59% due 7/22/98 $ 100,000 99,674
Electricite de France
5.48% due 7/15/98 $ 100,000 99,787
Federal Home Loan Bank
5.40% due 7/01/98 $ 40,677 40,677
Federal Home Loan
Mortgage Corp.
5.46% due 7/15/98 $ 100,000 99,803
Federal National
Mortgage Association
5.50% due 7/30/98 $ 500,000 497,785
Florida Power Corp.
5.50% due 7/08/98 $ 100,000 99,893
Ford Motor Credit Co.
5.60% due 7/10/98 $ 100,000 99,858
General Motors
Acceptance Corp.
5.62% due 7/15/98 $ 100,000 99,781
KFW International
Finance Co.
5.53% due 7/10/98 $ 100,000 99,861
Procter & Gamble Co.
5.61% due 7/15/98 $ 100,000 99,782
Shell Oil Co.
5.74% due 7/17/98 $ 100,000 99,745
United States Treasury Bills
5.02% due 8/20/98 $ 10,000 9,930
-----------
TOTAL SHORT-TERM OBLIGATIONS 1,546,240
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $4,210,312) 4,197,774
-----------
SHORT-TERM-- 19.2%
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 19.2%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Notes
5.40% due 7/01/98(+) 2,602,780
-----------
TOTAL SHORT-TERM
(Identified Cost $2,602,781) 2,602,780
-----------
TOTAL INVESTMENTS
(Identified Cost $14,624,463) 112.1% 15,212,785
OTHER ASSETS,
LESS LIABILITIES (12.1) (1,650,919)
----- -----------
NET ASSETS 100.0% $13,561,866
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank Discount Notes
5.40%, due 7/01/98 valued at $3,117,324, portions of which are separately
listed by each Asset class.
(++) The Portfolio owns in aggregate 345 shares of E.I. du Pont de Nemours & Co.
valued at $25,746.
See notes to financial statements
FOREIGN CURRENCY LEGEND
- --------------------------------------------------------------------------------
Symbol Country
- --------------------------------------------------------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
<PAGE>
CITISELECT VIP FOLIO 200
(Unaudited)
<TABLE>
SWAP AGREEMENTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
NOTIONAL COUNTER APPRECIATION/
AMOUNT CURRENCY DESCRIPTION PARTY (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
30,102,500 GRD To make or receive quarterly interest Lehman Bros. $(3,616)
payments in Greek Drachma through
3/13/2000 based on the difference
between A) a fixed rate of 13.77% over
B) the 6 month LIBOR rate
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.K. Long Gilt 10-Year Bond 1 September-1998 $ (3)
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
Unrealized
Market Aggregate Delivery Date Appreciation
Currency Country Value Face Value of Contracts (Depreciation)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) . Germany $618,938 $616,675 July-1998 $ 2,263
Deutsche Mark (Sell) Germany 53,792 54,148 July-1998 356
Deutsche Mark (Buy) . Germany 84,564 84,761 August-1998 (197)
Deutsche Mark (Sell) Germany 409,467 416,709 August-1998 7,242
Deutsche Mark (Buy) . Germany 50,137 50,235 August-1998 (98)
Dollar (Buy) ........ Australia 26,703 27,828 July-1998 (1,125)
Dollar (Buy) ........ Canada 16,995 17,017 July-1998 (22)
Dollar (Sell) ....... Canada 176,075 176,833 July-1998 758
Dollar (Buy) ........ Canada 287,744 292,958 August-1998 (5,214)
Drachma (Sell) ...... Greece 25,986 24,871 August-1998 (1,115)
Franc (Buy) ......... Belgium 89,333 91,618 August-1998 (2,285)
Franc (Sell) ........ France 469,538 482,527 July-1998 12,989
Franc (Sell) ........ France 3,983 3,994 August-1998 11
Franc (Buy) ......... France 288,769 292,673 August-1998 (3,904)
Franc (Buy) ......... Switzerland 221,118 226,747 August-1998 (5,629)
Franc (Sell) ........ Switzerland 203,853 206,990 August-1998 3,137
Guilder (Buy) ....... Netherlands 9,872 9,906 August-1998 (34)
Guilder (Sell) ...... Netherlands 4,442 4,569 August-1998 127
Guilder (Buy) ....... Netherlands 106,808 107,346 September-1998 (538)
Krone (Buy) ......... Denmark 11,367 11,417 July-1998 (50)
Krone (Sell) ........ Denmark 3,789 3,819 July-1998 30
Krone (Buy) ......... Norway 117,767 118,470 July-1998 (703)
Krone (Sell) ........ Norway 2,872 2,920 July-1998 48
Krone (Sell) ........ Norway 83,089 83,878 August-1998 789
Krone (Buy) ......... Norway 101,154 102,946 September-1998 (1,792)
Krone (Sell) ........ Norway 49,012 49,507 September-1998 495
Krona (Buy) ......... Sweden 145,845 150,650 July-1998 (4,805)
Krona (Sell) ........ Sweden 90,745 94,506 July-1998 3,761
Lira (Buy) .......... Italy 262,717 263,730 July-1998 (1,013)
Markka (Buy) ........ Finland 21,914 22,155 July-1998 (241)
Peseta (Buy) ........ Spain 110,631 111,679 July-1998 (1,048)
Pound (Buy) ......... Great Britain 111,773 110,515 July-1998 1,258
Pound (Sell) ........ Great Britain 6,673 6,601 July-1998 (72)
Pound (Buy) ......... Great Britain 23,274 23,262 September-1998 12
Pound (Buy) ......... Ireland 12,567 12,662 July-1998 (95)
Schilling (Buy) ..... Austria 34,240 34,573 July-1998 (333)
Thailand Baht (Buy) . Thailand 9,355 9,913 July-1998 (558)
Thailand Baht (Sell) Thailand 9,355 8,997 July-1998 (358)
Won (Buy) ........... South Korea 7,282 6,802 August-1998 480
Yen (Buy) ........... Japan 531,298 556,731 July-1998 (25,433)
Yen (Sell) .......... Japan 86,750 87,841 July-1998 1,091
Yen (Buy) ........... Japan 145,317 145,275 August-1998 42
Yen (Sell) .......... Japan 7,284 7,314 August-1998 30
Yen (Sell) .......... Japan 145,429 142,759 September-1998 (2,670)
--------
$(24,413)
========
</TABLE>
<PAGE>
CITISELECT VIP FOLIO 300
PORTFOLIO OF INVESTMENTS June 30, 1998
(Unaudited)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH -- 11.2%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 10.6%
- -------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 1.2%
- -------------------------------------------------------------------------------
Danaher Corp. 540 $ 19,811
E. I. du Pont de Nemours & Co.(++) 505 37,686
General Electric Co. 1,600 145,600
Illinois Tool Works 640 42,680
-----------
245,777
-----------
COMMERCIAL SERVICES -- 0.2%
- -------------------------------------------------------------------------------
Cintas Corp. 430 21,930
Interpublic Group Companies Inc. 400 24,275
-----------
46,205
-----------
CONSUMER DURABLES -- 0.1%
- -------------------------------------------------------------------------------
Leggett & Platt Inc. 880 22,000
-----------
CONSUMER NON-DURABLES -- 1.3%
- -------------------------------------------------------------------------------
Clorox Co. 665 63,425
Coca Cola Co. 1,440 123,120
Gillette Co. 385 21,826
Procter & Gamble Co. 605 55,093
-----------
263,464
-----------
CONSUMER SERVICES -- 0.6%
- -------------------------------------------------------------------------------
Carnival Corp. 1,020 40,419
Clear Channel Communications* 395 43,104
Gannett Inc. 595 42,283
-----------
125,806
-----------
ENERGY -- 0.1%
- -------------------------------------------------------------------------------
Schlumberger Ltd. 310 21,177
-----------
FINANCE -- 0.9%
- -------------------------------------------------------------------------------
American International Group Inc. 195 28,470
Federal National Mortgage Association 795 48,296
Fifth Third Bancorp 273 17,199
MGIC Investment Corp. 340 19,401
State Street Corp. 325 22,588
U.S. Bancorp 515 22,145
Zions Bancorp 705 37,453
-----------
195,552
-----------
HEALTHCARE -- 2.5%
- -------------------------------------------------------------------------------
Cardinal Health Inc. 485 45,469
Eli Lilly & Co. 405 26,755
HBO & Co. 1,215 42,829
Health Management Association* 770 25,747
Johnson & Johnson 290 21,388
Lincare Holding Inc.* 750 31,545
Medtronic Inc. 745 47,495
Merck & Co. 515 68,881
Pfizer Inc. 595 64,669
Safeskin Corp.* 550 22,620
Schering Plough Corp. 595 54,517
Steris Corp.* 335 21,304
Warner Lambert Co. 730 50,644
-----------
523,863
-----------
RETAIL -- 1.3%
- -------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 495 25,648
Gap Inc. 485 29,889
Home Depot 620 51,499
Kohls Corp.* 750 38,907
Lowes Companies Inc. 525 21,295
Wal Mart Stores Inc. 1,160 70,470
Walgreen Co. 630 26,027
-----------
263,735
-----------
TECHNOLOGY -- 2.3%
- -------------------------------------------------------------------------------
American Power Conversion Corp.* 655 19,650
Automatic Data Processing Inc.* 540 39,353
BMC Software Inc.* 505 26,228
Cisco Systems Inc.* 595 54,777
Compuware Corp.* 430 21,984
EMC Corp.* 805 36,074
Intel Corp. 310 22,979
Linear Technology Corp. 275 16,586
Microsoft Corp.* 1,350 146,306
Parametric Technology Corp.* 660 17,904
Paychex Inc. 812 33,028
Solectron Corp.* 465 19,559
Sun Guard Data Systems* 950 36,457
-----------
490,885
-----------
UTILITIES -- 0.1%
- -------------------------------------------------------------------------------
Ameritech Corp. 505 22,662
-----------
TOTAL COMMON STOCKS 2,221,126
-----------
SHORT-TERM OBLIGATION -- 0.6%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 125,215
-----------
TOTAL LARGE CAP GROWTH
(Identified Cost $1,908,479) 2,346,341
-----------
LARGE CAP VALUE -- 10.0%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 9.7%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 0.9%
- -------------------------------------------------------------------------------
Air Products & Chemicals Inc. 300 12,000
Dow Chemical Co. 200 19,338
E. I. du Pont de Nemours & Co.(++) 300 22,387
FMC Corp.* 200 13,637
Great Lakes Chemical Corp. 600 23,663
IMC Global Inc. 600 18,075
Inland Steel Industries Inc. 800 22,550
Lubrizol Corp. 300 9,075
Rohm & Haas Co. 200 20,788
W R Grace & Co. 600 10,237
Westvaco Corp. 300 8,475
-----------
180,225
-----------
CAPITAL GOODS -- 0.9%
- -------------------------------------------------------------------------------
Aeroquip Vickers Inc. 800 46,700
Caterpillar Inc. 300 15,863
Cummins Engine Inc. 800 41,000
Harnischfeger Industries Inc. 900 25,481
Kennametal Inc. 500 20,875
Parker Hannifin Corp. 500 19,063
Tecumseh Products Co. 400 21,125
-----------
190,107
-----------
CONSUMER BASICS -- 0.8%
- -------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 800 23,300
IBP Inc. 600 10,875
Mallinckrodt Inc. 400 11,875
Maxicare Health Plans Inc.* 400 2,700
Philip Morris Companies Inc. 1,100 43,312
RJR Nabisco Holdings Corp. 1,100 26,125
Tenet Healthcare Corp. 400 12,500
Tupperware Corp. 400 11,250
Universal Foods Corp. 1,000 22,188
Vencor Inc.* 200 1,450
-----------
165,575
-----------
CONSUMER DURABLES -- 1.0%
- -------------------------------------------------------------------------------
Dana Corp. 400 21,400
Eaton Corp. 100 7,775
Ford Motor Co. 1,200 70,800
General Motors Corp. 1,000 66,813
Goodyear Tire and Rubber 700 45,106
-----------
211,894
-----------
CONSUMER NON-DURABLES -- 0.9%
- -------------------------------------------------------------------------------
Dillards Inc. 700 29,006
Federated Department Stores Inc.* 200 10,762
Ross Stores Inc. 300 12,900
Russell Corp. 500 15,094
Sears Roebuck & Co. 400 24,425
Springs Industries Inc. 400 18,450
Toys "R" Us Inc.* 1,400 32,987
V F Corp. 700 36,050
Venator Group* 800 15,300
-----------
194,974
-----------
CONSUMER SERVICES -- 0.3%
- -------------------------------------------------------------------------------
AMR Corp.* 200 16,650
Delta Airlines Inc. 300 38,775
-----------
55,425
-----------
ENERGY -- 0.6%
- -------------------------------------------------------------------------------
Atlantic Richfield Co. 300 23,437
British Petroleum PLC 300 26,475
Nabors Industries Inc.* 600 11,887
Phillips Petroleum Co. 400 19,275
Ultra Mar Diamond Shamrock 600 18,938
YPF Sociedad Anonima 800 24,050
-----------
124,062
-----------
FINANCE -- 2.4%
- -------------------------------------------------------------------------------
Allstate Corp. 300 27,469
American General Corp. 300 21,356
Associates First Capital Corp. 2 154
Banc One Corp. 400 22,325
Case Corp. 1,200 57,900
Chase Manhattan Corp. 800 60,400
Cigna Corp. 500 34,500
Crestar Financial Corp. 100 5,456
Everest Reinsurance Holdings 600 23,062
First Union Corp. 830 48,347
Foundation Health Systems* 920 24,265
Hartford Financial Services Group 300 34,313
Loews Corp. 200 17,425
Nationsbank Corp. 200 15,300
Old Republic International Corp. 750 21,984
Reliastar Financial Corp. 500 24,000
Republic NY Corp. 400 25,175
Transatlantic Holdings Inc. 250 19,328
Washington Mutual Inc. 400 17,375
-----------
500,134
-----------
GENERAL BUSINESS -- 0.1%
- -------------------------------------------------------------------------------
Olsten Corp. 1,300 14,544
Standard Register 200 7,075
-----------
21,619
-----------
MISCELLANEOUS-- 0.0%
- -------------------------------------------------------------------------------
Raytheon Co. 1 58
-----------
SHELTER -- 0.2%
- -------------------------------------------------------------------------------
Owens Corning 900 36,731
-----------
TECHNOLOGY -- 1.1%
- -------------------------------------------------------------------------------
Arrow Electronics Inc.* 600 13,050
Avnet Inc. 400 21,875
Beckman Coulter Inc. 600 34,950
Electronic Data Systems Corp. 700 28,000
International Business Machines 600 68,887
Stratus Computer Inc.* 600 15,188
TRW Inc. 500 27,313
Tektronix Inc. 900 31,838
-----------
241,101
-----------
TRANSPORTATION -- 0.1%
- -------------------------------------------------------------------------------
Burlington Northern Santa Fe Co. 100 9,819
CSX Corp. 300 13,650
-----------
23,469
-----------
UTILITIES -- 0.4%
- -------------------------------------------------------------------------------
Bell Atlantic Corp. 400 18,250
Cinergy Corp. 200 7,000
DTE Energy Co. 400 16,150
Duke Power Co. 204 12,087
Entergy Corp. 400 11,500
GPU Inc. 300 11,344
-----------
76,331
-----------
TOTAL COMMON STOCKS 2,021,705
-----------
SHORT-TERM OBLIGATION -- 0.3%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 59,435
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,975,880) 2,081,140
-----------
SMALL CAP GROWTH -- 10.4%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 9.9%
- -------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 2.7%
- -------------------------------------------------------------------------------
Abacus Direct Corp.* 1,030 53,496
AHL Services Inc.* 1,025 40,359
Cultural Access Worldwide 1,185 11,554
Lamar Advertising Co.* 1,712 61,418
Metro Networks Inc.* 575 24,797
Metzler Group Inc. 835 30,582
NFO Worldwide Inc.* 1,660 29,569
Probusiness Services Inc.* 1,270 59,373
Professional Detailing Inc. 890 22,139
Profit Recovery Group International Inc.* 1,935 54,059
Rental Service Corp.* 1,865 62,711
Romac International Inc.* 1,210 36,754
Suiza Foods Corp.* 770 45,959
Wilmar Industries Inc.* 985 25,118
-----------
557,888
-----------
COMMODITIES & PROCESSING -- 0.3%
- -------------------------------------------------------------------------------
ITEQ Inc.* 2,795 20,788
OM Group Inc. 945 38,981
Synthetic Industries Inc.* 900 13,106
-----------
72,875
-----------
CONSUMER DURABLES -- 0.3%
- -------------------------------------------------------------------------------
American Italian Pasta Co. 440 16,390
Tower Automotive Inc.* 855 36,658
-----------
53,048
-----------
CONSUMER NON-DURABLES -- 0.1%
- -------------------------------------------------------------------------------
Beringer Wine Estates Holdings* 655 28,861
-----------
CONSUMER SERVICES -- 1.0%
- -------------------------------------------------------------------------------
Central Packing Corp. 1,242 57,753
Gray Communications Systems Inc. 1,055 32,573
Heftel Broadcasting Corp.* 960 42,960
Premier Parks Inc.* 820 54,632
SFX Entertainment Inc. 320 14,680
-----------
202,598
-----------
ELECTRONICS/TECHNICAL SERVICES -- 1.5%
- -------------------------------------------------------------------------------
Anicom Inc. 405 6,024
CDW Computer Centers Inc.* 785 39,250
ETEC Systems Inc.* 780 27,446
Harbinger Corp.* 1,292 31,250
Inacom Corp.* 1,095 34,766
PC Connection Inc.* 425 6,481
QAD Inc.* 1,925 17,325
Renaissance Worldwide Inc.* 1,960 42,630
Sapient Corp.* 420 22,155
Sipex Corp.* 1,240 26,660
Tier Technologies Inc.* 1,360 24,225
Whittman Hart Inc.* 1,035 50,068
-----------
328,280
-----------
ENERGY/MINERAL -- 0.4%
- -------------------------------------------------------------------------------
Forcenergy Inc.* 1,690 30,103
Key Energy Group Inc.* 1,605 21,066
Lomak Petroleum Inc. 2,505 26,146
-----------
77,315
-----------
FINANCE -- 1.1%
- -------------------------------------------------------------------------------
Executive Risk Inc. 700 51,625
First Republic Bank of San Francisco* 555 20,049
Litchfield Financial Corp. 590 12,390
Medallion Financial Corp. 885 24,338
Metris Companies Inc.* 980 62,475
Sirrom Capital Corp. 1,915 49,790
-----------
220,667
-----------
HEALTH SERVICES/TECHNOLOGY -- 1.2%
- -------------------------------------------------------------------------------
Concentra Managed Care Inc.* 1,255 32,630
Henry Schein Inc.* 850 39,206
Human Genome Sciences Inc.* 985 35,152
Parexel International Corp.* 1,185 43,104
Somnus Medical Technology* 1,145 9,375
Renal Treatment Centers Inc. 1,673 57,719
Viropharma Inc.* 1,425 33,131
-----------
250,317
-----------
INDUSTRIAL SERVICES -- 0.3%
- -------------------------------------------------------------------------------
American Disposal Services Inc.* 755 35,391
Service Experts Inc.* 690 23,805
Waste Connections Inc. 425 8,447
-----------
67,643
-----------
PRODUCER MANUFACTURING -- 0.1%
- -------------------------------------------------------------------------------
Ha Lo Industries Inc. 760 23,655
-----------
Retail -- 0.5%
- -------------------------------------------------------------------------------
CD Now Inc.* 770 15,496
Men's Wearhouse Inc.* 1,352 44,616
Whole Foods Market Inc.* 830 50,215
-----------
110,327
-----------
TRANSPORTATION -- 0.4%
- -------------------------------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 1,510 52,378
Hub Group Inc.* 405 8,556
United Road Services Inc. 1,010 19,316
-----------
80,250
-----------
TOTAL COMMON STOCKS 2,073,724
-----------
SHORT-TERM OBLIGATION -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 104,056
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,870,374) 2,177,780
-----------
SMALL CAP VALUE -- 9.6%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 9.2%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 0.9%
- -------------------------------------------------------------------------------
Atchison Casting Corp.* 1,500 26,813
Carpenter Technology Corp. 400 20,100
Keystone Consolidated Industries Inc.* 2,500 29,687
Lone Star Technologies Inc.* 1,200 18,300
LTV Corp. 4,100 39,206
M A Hanna Co. 700 12,819
Oil-Dri Corp. of America 2,000 28,875
Tuscarora Inc. 1,200 19,050
-----------
194,850
-----------
CAPITAL GOODS -- 1.6%
- -------------------------------------------------------------------------------
American Buildings Co.* 700 20,825
Astro-Med Inc. 1,300 9,913
Commercial Intertech Corp. 1,500 27,187
D.R. Horton Inc. 1,600 33,400
ESCO Electronics Corp.* 2,000 38,000
Global Industrial Technologies Inc.* 1,900 27,312
Hurco Co. Inc.* 700 5,075
JLG Industries Inc. 3,300 66,825
Perini Corp.* 1,200 10,275
Speedfam International Inc.* 1,000 18,438
Ultrak Inc.* 3,500 29,750
United Industrial Corp. 3,100 40,300
Watts Industries Inc. 800 16,700
-----------
344,000
-----------
CONSUMER BASICS -- 1.5%
- -------------------------------------------------------------------------------
Cohr Inc.* 3,700 18,962
Depotech Corp.* 1,700 2,656
Dimon Inc. 3,300 37,125
EKCO Group Inc.* 5,100 40,162
MMI Companies Inc. 1,500 34,687
Matrix Pharmaceutical Inc.* 3,100 13,562
Nash Finch Co. 700 10,544
Orthologic Corp.* 3,700 18,962
RLI Corp. 500 20,344
Schultz Sav-O Stores Inc. 1,350 21,937
Schweitzer-Mauduit International Inc. 1,100 31,900
Sola International Inc.* 300 9,859
Standard Commercial Corp.* 4,418 48,598
-----------
309,298
-----------
CONSUMER DURABLES -- 0.7%
- -------------------------------------------------------------------------------
Coachmen Industries Inc. 1,600 41,800
Flexsteel Industries Inc. 1,000 14,000
Haskel International Inc. 1,400 14,000
Keystone Automotive Industries Inc.* 400 9,250
Myers Industries Inc. 900 21,600
TBC Corp.* 1,000 6,625
Tropical Sportswear International Corp.* 1,000 21,250
West Inc. 700 19,819
-----------
148,344
-----------
CONSUMER NON-DURABLES -- 0.3%
- -------------------------------------------------------------------------------
Brookstone Inc.* 1,200 18,000
Haverty Furniture Companies Inc. 500 11,063
Ridgeview Inc.* 100 600
Syms Corp.* 1,900 27,075
-----------
56,738
-----------
CONSUMER SERVICES -- 0.3%
- -------------------------------------------------------------------------------
Aztar Corp.* 3,100 21,119
Cannondale Corp.* 2,600 34,775
-----------
55,894
-----------
ENERGY -- 0.4%
- -------------------------------------------------------------------------------
Atwood Oceanics Inc.* 650 25,878
Cliffs Drilling Co.* 1,000 32,813
Nuevo Energy Co.* 900 28,912
-----------
87,603
-----------
FINANCE -- 0.7%
- -------------------------------------------------------------------------------
Acceptance Insurance Co.* 900 22,106
Allied Life Financial Corp. 900 25,987
Centris Group Inc. 1,500 18,563
Matrix Capital Corp.* 1,100 29,700
Ocwen Asset Investment Corp. 600 9,938
Penn-America Group Inc. 1,600 21,600
Presidental Life Corp. 400 8,550
Professionals Insurance Company Management Group* 300 11,250
-----------
147,694
-----------
GENERAL BUSINESS -- 0.2%
- -------------------------------------------------------------------------------
Ennis Business Forms Inc. 1,800 20,925
Reynolds & Reynolds Co. 600 10,913
-----------
31,838
-----------
MISCELLANEOUS -- 1.4%
- -------------------------------------------------------------------------------
Aehr Test Systems* 2,400 14,325
Commonwealth Industries Inc. 1,900 19,000
Conrad Industries Inc.* 500 5,688
Duckwall-ALCO Stores Inc.* 1,100 19,250
Easco Inc. 500 5,031
Flowserve Corp. 1,100 27,088
Kevco Inc.* 1,000 22,062
Ladish Co. Inc.* 2,400 30,000
Manchester Equipment Co. Inc.* 2,500 9,844
Motor Cargo Industries Inc.* 2,200 23,375
PBOC Holdings Inc.* 700 9,669
Rockshox Inc.* 1,500 6,000
Rush Enterprise Inc.* 900 9,338
Seibels Bruce Group Inc.* 3,300 24,337
Spacehab Inc.* 2,100 24,281
Spectralink Corp.* 2,200 9,625
Symons International Group Inc.* 1,000 18,750
Unisource Worldwide Inc. 1,300 14,056
-----------
291,719
-----------
SHELTER -- 0.3%
- -------------------------------------------------------------------------------
Butler Manufacturing Co. 400 13,625
Engle Homes Inc. 600 9,375
Morgan Products Ltd.* 4,700 21,444
Patrick Industries Inc. 1,200 18,300
Southern Energy Homes Inc.* 400 3,925
-----------
66,669
-----------
TECHNOLOGY -- 0.6%
- -------------------------------------------------------------------------------
Alliant Techsystems Inc.* 300 18,975
Interlink Computer Sciences Inc.* 1,700 5,950
Komag Inc.* 7,200 38,475
RadiSys Corp.* 900 19,350
Read-Rite Corp.* 3,000 27,188
Trident Microsystems Inc.* 2,200 11,688
-----------
121,626
-----------
TRANSPORTATION -- 0.3%
- -------------------------------------------------------------------------------
Fritz Companies Inc.* 3,300 44,137
Kenan Transport Co. 400 13,750
-----------
57,887
-----------
TOTAL COMMON STOCKS 1,914,160
-----------
SHORT-TERM OBLIGATION -- 0.4%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 81,069
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $2,081,455) 1,995,229
-----------
INTERNATIONAL EQUITY -- 10.7%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 9.6%
- -------------------------------------------------------------------------------
AUSTRIA -- 0.1%
- -------------------------------------------------------------------------------
Boehler Uddeholm 262 17,326
-----------
AUSTRALIA -- 0.2%
- -------------------------------------------------------------------------------
Australia & New Zealand Bank Group 4,718 32,626
Pioneer International 4,050 9,679
Quantas Airways 5,746 8,667
-----------
50,972
-----------
CANADA -- 0.3%
- -------------------------------------------------------------------------------
Canadian Imperial Bank of Commerce 960 30,857
Imasco Ltd. 1,380 25,461
Noranda Inc. 410 7,077
-----------
63,395
-----------
Finland -- 0.2%
- -------------------------------------------------------------------------------
The Rauma Group Oy 423 8,682
UPM-Kymmene Oy 1,185 32,646
-----------
41,328
-----------
FRANCE -- 0.8%
- -------------------------------------------------------------------------------
Elf Aquitaine 270 37,961
Lafarge Coppee 364 37,630
Pernod-Ricard 325 22,524
SEITA 715 32,405
Societe Generale 203 42,207
-----------
172,727
-----------
GERMANY -- 0.7%
- -------------------------------------------------------------------------------
Bayer AG 410 21,192
Buderus AG 45 22,459
Commerzbank AG 840 31,999
Draegerwerk AG 1,330 31,785
Dyckerhoff AG 75 29,319
Vossloh AG 205 13,072
-----------
149,826
-----------
GREAT BRITAIN -- 2.6%
- -------------------------------------------------------------------------------
Abbey National 2,050 36,454
Allied Domecq PLC 3,485 32,760
BAT Industries 3,987 39,943
BTR PLC 6,446 18,297
CGU 2,050 38,268
Coats Viyella 11,662 14,312
Cookson Group 8,405 28,910
Elementis 10,624 27,318
Hanson 5,520 33,566
Hillsdown Holdings 11,411 31,056
Hyder 1,598 25,134
Lex Service 2,580 21,453
Mckechnie 3,300 23,969
Medeva 7,190 20,409
National Westminster Bank 1,770 31,652
Powergen 1,785 24,678
Safeway 5,080 33,292
Tate & Lyle 2,500 19,838
Tomkins 7,472 40,578
-----------
541,887
-----------
HONG KONG -- 0.5%
- -------------------------------------------------------------------------------
CLP Holdings, Ltd. 4,500 20,502
Dickson Concept Industries 4,000 5,576
HSBC Holdings 500 12,229
Hang Lung Development Co. 5,000 4,969
Hong Kong Telecommunications 4,000 7,512
New World Development Co. 1,000 1,936
South China Morning Post 44,000 21,154
Swire Pacific 5,000 18,876
-----------
92,754
-----------
IRELAND -- 0.3%
- -------------------------------------------------------------------------------
Greencore Group 5,090 27,728
Jefferson Smurfit Group 11,285 33,575
-----------
61,303
-----------
ITALY -- 0.2%
- -------------------------------------------------------------------------------
Eni Spa 5,820 38,161
-----------
JAPAN -- 1.0%
- -------------------------------------------------------------------------------
Koito Manufacturing Co. 2,000 9,908
Kyocera Corp. 700 34,324
MOS Food Services 2,200 26,253
Nichicon Corp. 2,000 22,420
Nintendo Co. 300 27,880
Promise Co. 700 28,907
Sony Corp. 200 17,285
Suzuki Motor Corp. 2,000 18,225
Yodogawa Steel Works 4,000 18,775
-----------
203,977
-----------
NETHERLANDS -- 0.8%
- -------------------------------------------------------------------------------
ABN Amro Holdings NV 1,430 33,486
Akzo Nobel 171 38,040
Hollandsche Beton Group 1,549 32,310
ING Group 567 37,154
Koninklijke PTT NV 490 18,874
TNT Post Group 490 12,535
-----------
172,399
-----------
NEW ZEALAND -- 0.0%
- -------------------------------------------------------------------------------
Fletcher Challenge 4,020 5,020
-----------
NORWAY -- 0.2%
- -------------------------------------------------------------------------------
Kvaerner ASA 440 14,926
Nycomed Amersham 3,288 24,452
-----------
39,378
-----------
SINGAPORE -- 0.1%
- -------------------------------------------------------------------------------
Jardine Matheson 3,700 9,990
-----------
SPAIN -- 0.1%
- -------------------------------------------------------------------------------
Banco Santander SA 1,080 27,643
-----------
SWEDEN -- 0.3%
- -------------------------------------------------------------------------------
Electrolux AB 1,600 27,482
Getinge Industrier 1,501 30,675
-----------
58,157
-----------
SWITZERLAND -- 1.2%
- -------------------------------------------------------------------------------
Credit Suisse Group 118 26,299
Forbo Holding 58 29,569
Nestle SA 17 36,441
Novartis 20 33,336
Saurer AG 39 30,828
Sig Holding 40 32,622
Sulzer AG 31 31,731
Swiss Re 14 35,464
-----------
256,290
-----------
TOTAL COMMON STOCKS 2,002,533
-----------
SHORT-TERM OBLIGATION -- 1.1%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 221,500
-----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $2,027,750) 2,224,033
-----------
DOMESTIC FIXED INCOME -- 25.6%
- -------------------------------------------------------------------------------
FIXED INCOME -- 24.7%
- -------------------------------------------------------------------------------
CORPORATE BONDS -- 4.7%
- -------------------------------------------------------------------------------
Allied Signal Inc.
6.20% due 2/01/08 $40,000 40,399
Atlantic City Electric Co.
7.01% due 8/23/02 45,000 46,723
BB & T Corp.
6.375% due 6/30/05 55,000 54,930
Century Telephone Enterprises Inc.
6.30% due 1/15/08 40,000 39,436
Commonwealth Edison Electric Co.
7.00% due 7/01/05 43,000 44,811
Computer Associates International Inc.
6.375% due 4/15/05 20,000 19,876
Conseco Inc. Medium Term Senior Notes
6.40% due 6/15/01 55,000 54,965
Dayton Hudson Corp.
5.95% due 6/15/00 25,000 24,991
Donaldson Lufkin & Jenrette
6.50% due 6/1/08 30,000 29,998
Equitable Life Assurance
6.95% due 12/1/05 40,000 41,525
Ford Motor Co.
6.625% due 2/15/28 40,000 40,033
GTE Corp.
6.36% due 4/15/06 40,000 39,811
Jackson National Life Insurance Co.
8.15% due 3/15/27 50,000 58,412
Lehman Brothers Holdings Inc.
6.00% due 2/26/01 15,000 14,971
6.15% due 3/15/00 15,000 15,035
Lockheed Martin Corp.
7.20% due 5/01/36 50,000 54,614
MCI Communications Corp.
6.125% due 4/15/12 55,000 54,795
Norfolk Southern Corp.
7.35% due 5/15/07 40,000 42,914
Occidental Petroleum Corp.
6.40% due 4/01/03 50,000 49,899
Pacificorp
6.375% due 5/15/08 30,000 30,175
Philadelphia Electric Co.
7.125% due 9/01/02 15,000 15,475
6.625% due 3/01/03 30,000 30,463
Sears Roebuck Acceptance Corp.
6.00% due 3/20/03 40,000 39,618
Suntrust Banks Inc.
6.00% due 1/15/28 35,000 34,446
Union Pacific Resource Group
6.50% due 5/15/05 60,000 59,545
-----------
977,860
-----------
MORTGAGE BACKED -- 0.8%
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.00% due 1/01/99 35,000 34,519
Federal National Mortgage Association
7.35% due 8/17/21 50,000 53,383
J.P. Morgan Commercial Mortgage Finance Group
6.373% due 1/15/30 29,228 29,547
Structured Asset Securities Corp.
6.79% due 10/15/34 49,263 50,754
-----------
168,203
-----------
U. S. TREASURY OBLIGATIONS -- 18.9%
- -------------------------------------------------------------------------------
United States Treasury Bonds
6.50% due 11/15/26 110,000 122,152
6.375% due 8/15/27 45,000 49,415
-----------
171,567
-----------
United States Treasury Notes
6.375% due 5/15/99 776,000 779,515
5.875% due 11/15/99 370,000 372,660
5.625% due 4/30/00 75,000 75,140
6.25% due 1/31/02 760,000 776,978
6.50% due 5/31/02 500,000 516,640
6.25% due 6/30/02 250,000 256,290
5.500% due 3/31/03 610,000 609,616
5.875% due 2/15/04 140,000 142,582
6.500% due 10/15/06 225,000 238,921
-----------
3,768,342
-----------
YANKEE BOND -- 0.3%
- -------------------------------------------------------------------------------
Ontario Province, Canada
7.00% due 8/04/05 60,000 63,525
-----------
TOTAL FIXED INCOME 5,149,497
-----------
SHORT-TERM OBLIGATION -- 0.9%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
Discount Note
5.40% due 7/01/98 (+) 186,345
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $5,264,398) 5,335,842
-----------
INTERNATIONAL BOND -- 31.6%
- -------------------------------------------------------------------------------
FIXED INCOME -- 18.5%
- -------------------------------------------------------------------------------
CURRENCY
- -------------------------------------------------------------------------------
AUSTRALIA
- -------------------------------------------------------------------------------
Australia Government Bonds
10.00% due 10/15/07 AUD 50,000 40,837
8.75% due 8/15/08 AUD 250,000 192,839
7.50% due 9/15/09 AUD 483,000 346,723
-----------
580,399
-----------
CANADA -- 0.8%
- -------------------------------------------------------------------------------
Canadian Government Bonds
8.75% due 12/01/05 CAD 159,000 130,248
8.00% due 6/01/23 CAD 32,000 28,998
-----------
159,246
-----------
CROATIA -- 0.2%
- -------------------------------------------------------------------------------
Republic of Crotia
6.50% due 7/31/06 $ 36,978 33,003
-----------
DENMARK -- 0.2%
- -------------------------------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 300,000 49,947
-----------
FINLAND -- 1.9%
- -------------------------------------------------------------------------------
Republic of Finland
6.00% due 4/25/08 FIM 2,000,000 395,204
-----------
FRANCE -- 0.4%
- -------------------------------------------------------------------------------
Government of France
7.75% due 10/25/05 FRF 490,000 96,449
-----------
GERMANY -- 0.9%
- -------------------------------------------------------------------------------
Republic of Germany
5.625% due 1/04/28 DEM 94,000 54,103
Treuhandanstalt
7.375% due 12/02/02 DEM 205,000 127,073
-----------
181,176
-----------
GREAT BRITAIN -- 3.7%
U. K. Treasury
7.00% due 11/06/01 GBP 66,000 111,234
8.50% due 12/07/05 GBP 114,000 217,410
7.25% due 12/07/07 GBP 236,000 433,947
-----------
762,591
-----------
GREECE -- 1.3%
- -------------------------------------------------------------------------------
Hellenic Republic
11.10% due 6/17/03 GRD 1,600,000 5,350
Republic of Greece
11.00 due 10/23/03 GRD 5,200,000 17,324
8.80% due 6/19/07 GRD 70,400,000 244,785
-----------
267,459
-----------
ITALY -- 1.0%
- -------------------------------------------------------------------------------
Republic of Italy
6.75% due 7/1/07 ITL 230,000,000 145,566
7.25% due 11/01/26 ITL 95,000,000 66,451
-----------
212,017
-----------
JAPAN -- 2.5%
- -------------------------------------------------------------------------------
Government of Japan Bonds
4.50% due 6/20/03 JPY 9,000,000 75,823
4.10% due 12/22/03 JPY 34,500,000 288,286
2.60% due 9/20/07 JPY 20,300,000 159,881
-----------
523,990
-----------
SPAIN -- 0.3%
- -------------------------------------------------------------------------------
Government of Spain
10.00% due 2/28/05 ESP 7,000,000 58,976
-----------
UNITED STATES -- 2.5%
- -------------------------------------------------------------------------------
Government National Mortgage Association II
6.50% due 4/20/27 $ 80,704 82,130
SLM Student Loan Trust
5.802% due 4/25/07 $ 200,000 199,944
United States Treasury Notes
3.625% due 7/15/02 $ 253,645 250,870
-----------
532,944
-----------
TOTAL FIXED INCOME 3,853,401
-----------
SHORT-TERM OBLIGATIONS -- 13.1%
- -------------------------------------------------------------------------------
Ameritech Corp.
5.49% due 7/09/98 $ 100,000 99,878
Coca Cola Co.
5.50% due 7/23/98 $ 200,000 199,328
E. I. du Pont De Nemours & Co.(++)
5.59% due 7/22/98 $ 200,000 199,348
Electricite De France
5.64% due 7/15/98 $ 200,000 199,561
Federal Home Loan Mortgage Corp.
5.40% due 7/01/98 $ 126,805 126,805
5.40% due 7/14/98 $ 300,000 299,408
Federal National Mortgage Association
5.50% due 7/30/98 $ 700,000 696,899
Ford Motor Credit Co.
5.69% due 7/10/98 $ 200,000 199,716
General Motors Acceptance Corp.
5.62% due 7/15/98 $ 200,000 199,563
KFW International Finance Inc.
5.53% due 7/10/98 $ 200,000 199,723
Procter & Gamble Co.
5.61% due 7/15/98 $ 200,000 199,564
Southwestern Public Service Co.
5.50%due 7/17/98 $ 100,000 99,755
United States Treasury Bills
5.02% due 8/20/98 $ 10,000 9,930
-----------
2,729,478
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $6,575,866) 6,582,879
-----------
SHORT TERM -- 3.7%
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 3.7%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98 779,573
-----------
TOTAL SHORT-TERM
(Identified Cost $779,573) 779,573
-----------
TOTAL INVESTMENTS 23,522,817
(Identified Cost $22,483,775) 112.8%
- -------------------------------------------------------------------------------
OTHER ASSETS,
LESS LIABILITIES (12.8) (2,674,927)
----- -----------
NET ASSETS 100.0% $20,847,890
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank Discount Note 5.40%,
due 7/1/98 valued at $1,683,999, portions of" which are separately listed
by each Asset class.
(++) The Portfolio owns in aggregate 200,805 shares of E I du Pont De Nemours &
Co. valued at $259,421.
See notes to financial statements
FOREIGN CURRENCY LEGEND
- -------------------------------------------------------------------------------
SYMBOL COUNTRY
- -------------------------------------------------------------------------------
AUD Australia
CAD Canada
DKK Denmark
FIM Finland
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
ESP Spain
<PAGE>
CITISELECT VIP FOLIO 300
(Unaudited)
<TABLE>
SWAP AGREEMENTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
NOTIONAL COUNTER APPRECIATION/
AMOUNT CURRENCY DESCRIPTION PARTY (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
30,892,072 GRD To make or receive quarterly interest Lehman Bros. $(3,711)
payments in Greek Drachma through
3/13/2000 based on the difference
between A) a fixed rate of 13.77% over
B) the 6 month LIBOR rate
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.K. Long Gilt 10-Year Bond 1 September-1998 $(3)
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Baht(Buy) ........... Thailand $ 16,371 $ 17,348 July-1998 $ (977)
Baht(Sell) .......... Thailand 16,371 15,745 July-1998 (626)
Deutsche Mark (Buy) . Germany 662,790 660,784 July-1998 2,006
Deutsche Mark (Sell) Germany 113,685 114,494 July-1998 809
Deutsche Mark (Buy) . Germany 136,303 136,621 August-1998 (318)
Deutsche Mark (Sell) Germany 382,206 387,658 August-1998 5,452
Deutsche Mark (Buy) . Germany 81,890 82,050 September-1998 (160)
Deutsche Mark (Sell) Germany 55,708 56,523 September-1998 815
Dollar (Buy) ........ Australia 44,712 46,703 July-1998 (1,991)
Dollar (Buy) ........ Canada 16,315 16,336 July-1998 (21)
Dollar (Sell) ....... Canada 298,442 299,718 July-1998 1,276
Dollar (Buy) ........ Canada 348,286 350,089 August-1998 (1,803)
Drachma (Sell) ...... Greece 30,444 29,126 August-1998 (1,318)
Franc (Buy) ......... Belgium 143,737 147,481 August-1998 (3,744)
Franc (Sell) ........ France 165,680 170,263 July-1998 4,583
Franc (Buy) ......... France 507,171 516,277 August-1998 (9,106)
Franc (Buy) ......... Switzerland 403,058 412,255 August-1998 (9,197)
Franc (Sell) ........ Switzerland 374,505 383,292 August-1998 8,787
Guilder (Buy) ....... Netherlands 77,496 79,396 August-1998 (1,900)
Guilder (Buy) ....... Netherlands 101,863 102,376 September-1998 (513)
Krone (Buy) ......... Denmark 42,553 42,846 July-1998 (293)
Krone (Buy) ......... Norway 170,514 173,952 July-1998 (3,438)
Krone (Sell) ........ Norway 24,802 25,220 July-1998 418
Krone (Sell) ........ Norway 135,085 136,367 August-1998 1,282
Krone (Buy) ......... Norway 200,864 205,750 September-1998 (4,886)
Krone (Sell) ........ Norway 80,119 80,928 September-1998 809
Krona (Buy) ......... Sweden 87,733 91,025 July-1998 (3,292)
Lira (Buy) .......... Italy 470,168 472,529 July-1998 (2,361)
Lira (Sell) ......... Italy 48,549 48,708 July-1998 159
Markka (Buy) ........ Finland 3,104 3,117 July-1998 (13)
Markka (Buy) ........ Finland 28,152 28,418 August-1998 (266)
Peseta (Buy) ........ Spain 118,327 119,436 July-1998 (1,109)
Pound (Buy) ......... Great Britain 208,532 208,049 July-1998 483
Pound (Sell) ........ Great Britain 218,541 213,505 July-1998 (5,036)
Pound (Buy) ......... Great Britain 83,122 83,230 September-1998 (108)
Pound (Buy) ......... Ireland 19,549 19,696 July-1998 (147)
Schilling (Buy) ..... Austria 55,146 55,692 July-1998 (546)
Won (Buy) ........... Korean 12,382 11,565 August-1998 817
Yen (Buy) ........... Japan 734,060 769,023 July-1998 (34,963)
Yen (Sell) .......... Japan 103,169 104,759 July-1998 1,590
Yen (Buy) ........... Japan 182,176 186,134 August-1998 (3,958)
Yen (Sell) .......... Japan 11,655 11,703 August-1998 48
Yen (Sell) .......... Japan 129,052 126,695 September-1998 (2,357)
--------
$(65,113)
========
</TABLE>
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS June 30, 1998
(Unaudited)
Issuer Shares Value
- -------------------------------------------------------------------------------
LARGE CAP GROWTH -- 11.1%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 10.6%
- -------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURER -- 1.2%
- -------------------------------------------------------------------------------
Danaher Corp. 385 $ 14,125
E. I. du Pont de Nemours & Co.(++) 365 27,238
General Electric Co. 1,135 103,285
Illinois Tool Works 460 30,676
-----------
175,324
-----------
COMMERCIAL SERVICES -- 0.2%
- -------------------------------------------------------------------------------
Cintas Corp. 305 15,555
Interpublic Group Cos Inc. 272 16,507
-----------
32,062
-----------
CONSUMER DURABLES -- 0.1%
- -------------------------------------------------------------------------------
Leggett & Platt Inc. 605 15,125
-----------
CONSUMER NON-DURABLES -- 1.3%
- -------------------------------------------------------------------------------
Clorox Co. 475 45,303
Coca Cola Co. 1,010 86,355
Gillette Co. 275 15,589
Procter & Gamble Co. 435 39,612
-----------
186,859
-----------
CONSUMER SERVICES -- 0.6%
- -------------------------------------------------------------------------------
Carnival Corp. 715 28,332
Clear Channel Communications* 280 30,555
Gannett Inc. 430 30,557
-----------
89,444
-----------
ENERGY -- 0.1%
- -------------------------------------------------------------------------------
Schlumberger Ltd. 220 15,029
-----------
FINANCE -- 0.9%
- -------------------------------------------------------------------------------
American International Group Inc. 137 20,002
Federal National Mortgage Association 560 34,020
Fifth Third Bancorp 190 11,970
MGIC Investment Corp. 245 13,980
State Street Corp. 245 17,028
U.S. Bancorp 355 15,265
Zions Bancorp 505 26,828
-----------
139,093
-----------
HEALTHCARE -- 2.4%
- -------------------------------------------------------------------------------
Cardinal Health Inc. 340 31,875
HBO & Co. 860 30,315
Health Management Association* 490 16,384
Johnson & Johnson 210 15,488
Lilly Eli & Co. 285 18,828
Lincare Holdings Inc.* 535 22,503
Medtonic 525 33,469
Merk & Co. 365 48,819
Pfizer Inc. 430 46,736
Safeskin Corp.* 395 16,244
Schering Plough Corp. 430 39,399
Steris Corp.* 245 15,580
Warner Lambert Co. 525 36,422
-----------
372,062
-----------
RETAIL -- 1.3%
- -------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 344 17,824
Gap Inc. 330 20,336
Home Depot Inc. 445 36,963
Kohls Corp.* 540 28,012
Lowes Companies Inc. 360 14,603
Wal Mart Stores Inc. 815 49,511
Walgreen Co. 455 18,797
-----------
186,046
-----------
TECHNOLOGY -- 2.4%
- -------------------------------------------------------------------------------
American Power Conversion Corp.* 475 14,250
Automatic Data Processing Inc. 385 28,057
BMC Software Inc.* 375 19,477
Cisco Systems Inc.* 430 39,587
Compuware Corp.* 300 15,337
EMC Corp.* 575 25,767
Intel Corp. 220 16,307
Linear Technology Corp. 200 12,063
Microsoft Corp.* 960 104,040
Parametric Technology Corp.* 470 12,749
Paychex Inc. 590 24,005
Solectron Corp.* 335 14,091
Sun Guard Data Systems 680 26,095
-----------
351,825
-----------
UTILITIES -- 0.1%
- -------------------------------------------------------------------------------
Ameritech Corp. 365 16,379
-----------
TOTAL COMMON STOCKS 1,579,248
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 73,928
-----------
TOTAL LARGE CAP GROWTH
(Identified Cost $1,323,780) 1,653,176
-----------
LARGE CAP VALUE -- 9.8%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 9.6%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 1.0%
- -------------------------------------------------------------------------------
Air Products & Chemicals Inc. 200 8,000
Cabot Corp. 300 9,694
Dow Chemical Co. 200 19,338
E. I. du Pont de Nemours & Co.(++) 200 14,925
FMC Corp.* 200 13,637
Great Lakes Chemical Corp. 400 15,775
IMC Global Inc. 400 12,050
Inland Steel Industries Inc. 500 14,094
Lubrizol Corp. 200 6,050
Rohm & Haas Co. 200 20,787
W R Grace & Co. 500 8,531
Westvaco Corp. 200 5,650
-----------
148,531
-----------
CAPITAL GOODS -- 0.9%
- -------------------------------------------------------------------------------
Aeroquip Vickers Inc. 600 35,025
Caterpillar Inc. 200 10,575
Cummins Engine Inc. 600 30,750
Harnischfeger Industries Inc. 600 16,987
Kennametal Inc. 300 12,525
Parker Hannifin Corp. 400 15,250
Tecumseh Products Co. 300 15,844
-----------
136,956
-----------
CONSUMER BASICS -- 0.8%
- -------------------------------------------------------------------------------
Columbia /HCA Healthcare Corp. 600 17,475
IBP Inc. 400 7,250
Mallinckrodt Inc. 300 8,906
Maxicare Health Plans Inc.* 300 2,025
Philip Morris Companies Inc. 700 27,563
RJR Nabisco Holdings Corp. 800 19,000
Tenet Healthcare Corp. 300 9,375
Tupperware Corp. 300 8,437
Universal Foods Corp. 700 15,531
Vencor Inc.* 200 1,450
-----------
117,012
-----------
CONSUMER DURABLES -- 0.9%
- -------------------------------------------------------------------------------
Dana Corp. 300 16,050
Eaton Corp. 100 7,775
Ford Motor Co. 800 47,200
General Motors Corp. 700 46,769
Goodyear Tire and Rubber 500 32,219
-----------
150,013
-----------
CONSUMER NON-DURABLES -- 1.0%
- -------------------------------------------------------------------------------
Dillards Inc. 500 20,719
Federated Department Stores Inc.* 100 5,381
Ross Stores Inc. 200 8,600
Russell Corp. 300 9,056
Sears Roebuck & Co. 300 18,319
Springs Industries Inc. 200 9,225
Toys "R" Us Inc.* 1,000 23,562
V F Corp. 500 25,750
Venator Group* 600 11,475
-----------
132,087
-----------
CONSUMER SERVICES -- 0.1%
- -------------------------------------------------------------------------------
AMR Corp.* 100 8,325
Delta Airlines Inc. 100 12,925
-----------
21,250
-----------
ENERGY -- 0.5%
- -------------------------------------------------------------------------------
Atlantic Richfield Co. 200 15,625
British Petroleum PLC 200 17,650
Nabors Industries Inc.* 400 7,925
Phillips Petroleum Co. 300 14,456
Ultra Mar Diamond Shamrock 400 12,625
YPF Sociedad Anonima 500 15,031
-----------
83,312
-----------
FINANCE -- 2.5%
- -------------------------------------------------------------------------------
Allstate Corp. 200 18,312
American General Corp. 200 14,237
Associates First Capital Corp. 1 77
Banc One Corp. 300 16,744
Case Corp. 800 38,600
Chase Manhattan Corp. 600 45,300
Cigna Corp. 400 27,600
Crestar Financial Corp. 100 5,456
Everest Reinsurance Holdings 400 15,375
First Union Corp. 620 36,115
Foundation Health Systems* 690 18,199
Hartford Financial Services Group 200 22,875
Loews Corp. 100 8,712
Nationsbank Corp. 200 15,300
Old Republic
International Corp. 500 14,656
Reliastar Financial Corp. 400 19,200
Republic NY Corp. 200 12,588
Transatlantic Holdings Inc. 150 11,597
Washington Mutual Inc. 600 26,063
-----------
367,006
-----------
GENERAL BUSINESS -- 0.1%
- -------------------------------------------------------------------------------
Olsten Corp. 900 10,069
Standard Register 200 7,075
-----------
17,144
-----------
MISCELLANEOUS -- 0.0%
- -------------------------------------------------------------------------------
Raytheon Co. 1 58
-----------
<PAGE>
SHELTER -- 0.2%
- -------------------------------------------------------------------------------
Owens Corning 600 24,487
-----------
TECHNOLOGY -- 1.1%
- -------------------------------------------------------------------------------
Arrow Electronics Inc.* 400 8,700
Avnet Inc. 300 16,406
Beckman Coulter Inc. 400 23,300
Electronics Data Systems Corp. 500 20,000
International Business Machines 400 45,925
Stratus Computer Inc.* 400 10,125
TRW Inc. 300 16,388
Tektronix Inc. 600 21,225
-----------
162,069
-----------
TRANSPORTATION -- 0.1%
- -------------------------------------------------------------------------------
Burlinton Northern Santa Fe 100 9,819
CSX Corp. 200 9,100
-----------
18,919
-----------
UTILITIES -- 0.4%
- -------------------------------------------------------------------------------
Bell Atlantic Corp. 400 18,250
Cinergy Corp. 200 7,000
DTE Energy Co. 300 12,113
Duke Power Co. 104 6,162
Entergy Corp. 300 8,625
GPU Inc. 200 7,563
-----------
59,713
-----------
TOTAL COMMON STOCKS 1,438,557
-----------
SHORT-TERM OBLIGATIONS -- 0.2%
- -------------------------------------------------------------------------------
Federal Home
Loan Bank Discount Note 5.40% due 7/01/98(+) 22,545
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,364,534) 1,461,102
-----------
SMALL CAP GROWTH -- 15.7%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 14.9%
- -------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 3.9%
- -------------------------------------------------------------------------------
Abacus Direct Corp.* 1,205 62,585
AHL Services Inc.* 1,045 41,147
Cultural Access Worldwide 1,275 12,431
Lamar Advertising Co.* 1,947 69,849
Metro Networks Inc.* 670 28,894
Metzler Group Inc. 880 32,230
NFO Worldwide Inc.* 2,765 49,252
Probusiness Services Inc.* 360 16,830
Professional Detailing Inc. 945 23,507
Profit Recovery Group International Inc.* 2,065 57,691
Rental Service Corp.* 2,025 68,091
Romac International Inc.* 1,255 38,121
Suiza Foods Corp.* 850 50,734
Wilmar Industries Inc.* 1,065 27,157
-----------
578,519
-----------
COMMODITIES & PROCESSING -- 0.5%
- -------------------------------------------------------------------------------
ITEQ Inc.* 2,965 22,052
OM Group Inc. 995 41,044
Synthetic Industries Inc.* 970 14,126
-----------
77,222
-----------
CONSUMER DURABLES -- 0.4%
- -------------------------------------------------------------------------------
American Italian Pasta Co. 500 18,625
Tower Automotive Inc.* 855 36,658
-----------
55,283
-----------
CONSUMER NON-DURABLES -- 0.2%
- -------------------------------------------------------------------------------
Beringer Wine
Estates Holdings* 650 28,641
-----------
CONSUMER SERVICES -- 1.5%
- -------------------------------------------------------------------------------
Central Packing Corp. 1,345 62,542
Gray Communications
Systems Inc. 1,195 36,896
Heftel Broadcasting Corp.* 1,070 47,882
Premier Parks Inc.* 960 63,960
SFX Entertainment Inc. 345 15,827
-----------
227,107
-----------
ELECTRONICS/TECHNICAL SERVICES -- 2.4%
- -------------------------------------------------------------------------------
Anicom Inc. 435 6,471
CDW Computer Centers Inc.* 845 42,250
ETEC Systems Inc.* 835 29,382
Harbinger Corp.* 1,197 28,952
Inacom Corp.* 1,180 37,465
PC Connection Inc.* 455 6,939
QAD Inc.* 2,110 18,990
Renaissance Worldwide Inc.* 2,265 49,264
Sapient Corp.* 455 24,001
Sipex Corp.* 1,385 29,777
Tier Technologies Inc.* 1,470 26,184
Whittman Hart Inc.* 1,130 54,664
-----------
354,339
-----------
ENERGY/MINERAL -- 0.6%
- -------------------------------------------------------------------------------
Forcenergy Inc.* 2,075 36,961
Key Energy Group Inc.* 1,700 22,312
Lomak Petroleum Inc. 2,590 27,033
-----------
86,306
-----------
FINANCE -- 1.6%
- -------------------------------------------------------------------------------
Executive Risk Inc. 885 65,269
First Republic Bank San Francisco* 640 23,120
Litchield Financial Corp. 655 13,755
Medallion Financial Corp. 910 25,025
Metris Companies Inc.* 900 57,375
Sirrom Capital Corp. 2,435 63,310
-----------
247,854
-----------
HEALTH SERVICES/TECHNOLOGY -- 1.7%
- -------------------------------------------------------------------------------
Concentra Managed Care Inc.* 1,345 34,970
Henry Schein Inc.* 920 42,435
Human Genome Sciences Inc.* 1,050 37,472
Parexel International Corp.* 1,310 47,651
Somnus Medical Technologies* 1,190 9,743
Renal Treatment Centers Inc. 1,688 58,236
Viropharma Inc.* 1,310 30,457
-----------
260,964
-----------
INDUSTRIAL SERVICES -- 0.5%
- -------------------------------------------------------------------------------
American Disposal Services Inc.* 760 35,625
Service Experts Inc.* 760 26,220
Waste Connections Inc. 455 9,043
-----------
70,888
-----------
PRODUCER MANUFACTURING -- 0.2%
- -------------------------------------------------------------------------------
Ha Lo Industries Inc. 835 25,989
-----------
RETAIL -- 0.8%
- -------------------------------------------------------------------------------
CD Now Inc.* 850 17,106
Men's Wearhouse Inc.* 1,485 49,005
Whole Foods Market Inc.* 830 50,215
-----------
116,326
-----------
TRANSPORTATION -- 0.6%
- -------------------------------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 1,595 55,327
Hub Group Inc.* 475 10,034
United Road Services Inc. 1,065 20,368
-----------
85,729
-----------
TOTAL COMMON STOCKS 2,215,167
-----------
SHORT-TERM OBLIGATIONS -- 0.8%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 109,715
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,936,395) 2,324,882
-----------
SMALL CAP VALUE -- 14.3%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 13.8%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 1.3%
- -------------------------------------------------------------------------------
Atchison Casting Corp.* 1,800 32,175
Carpenter Technology Corp. 200 10,050
Keystone Consolidated Industries Inc.* 2,400 28,500
LTV Corp. 4,400 42,075
Lone Star Technologies Inc.* 1,300 19,825
M.A. Hanna Co. 700 12,819
Oil-Dri Corp. of America 2,100 30,319
Tuscadora Inc. 1,300 20,637
-----------
196,400
-----------
CAPITAL GOODS -- 2.5%
- -------------------------------------------------------------------------------
American Buildings Co.* 800 23,800
Astro-Med Inc. 1,500 11,437
Commercial Intertech Corp. 1,300 23,563
D.R. Horton Inc. 1,700 35,488
ESCO Electronics Corp.* 1,800 34,200
Global Industries Technologies Inc.* 2,000 28,750
Hurco Co. Inc.* 700 5,075
JLG Industries Inc. 3,700 74,925
Perini Corp.* 1,300 11,131
Spedfam International Inc.* 1,100 20,281
Ultrak Inc.* 3,500 29,750
United Industrial Corp. 3,500 45,500
Watts Industries Inc. 900 18,788
-----------
362,688
-----------
CONSUMER BASICS -- 2.2%
- -------------------------------------------------------------------------------
Cohr Inc.* 3,600 18,450
Depotech Corp.* 1,700 2,656
Dimon Inc. 3,500 39,375
EKGO Group Inc.* 5,700 44,888
MMI Companies Inc. 1,900 43,937
Matrix Pharmaceutical Inc.* 4,600 20,125
Nash Finch Co. 600 9,037
Orthologic Corp.* 3,400 17,425
RLI Corp. 375 15,258
Schultz Sav-O Stores Inc. 1,400 22,750
Schweitzer-Mauduit
International Inc. 1,100 31,900
Sola International Inc.* 300 9,859
Standard Commercial Corp.* 4,726 51,986
-----------
327,646
-----------
CONSUMER DURABLES -- 1.1%
- -------------------------------------------------------------------------------
Coachmen Industries Inc. 1,800 47,025
Flexsteel Industries Inc. 1,200 16,800
Haskel International Inc. 1,300 13,000
Keystone Automotive
Industries Inc.* 500 11,563
Myers Industries Inc. 1,000 24,000
TBC Corp.* 1,100 7,287
Tropical Sportswear International Group* 1,100 23,375
West Inc. 700 19,819
-----------
162,869
-----------
CONSUMER NON-DURABLES -- 0.5 %
- -------------------------------------------------------------------------------
Brookstone Inc.* 1,500 22,500
Haverty Furniture Companies Inc. 700 15,487
Ridgeview Inc.* 100 600
Syms Corp.* 2,200 31,350
-----------
69,937
-----------
CONSUMER SERVICES -- 0.5%
- -------------------------------------------------------------------------------
Aztar Corp.* 4,500 30,656
Cannondale Corp.* 2,800 37,450
-----------
68,106
-----------
ENERGY -- 0.6%
- -------------------------------------------------------------------------------
Atwood Oceanics Inc.* 500 19,906
Cliffs Drilling Co. * 1,000 32,813
Nuevo Energy Co. * 1,000 32,125
-----------
84,844
-----------
FINANCE -- 1.2%
- -------------------------------------------------------------------------------
Acceptance Insurance Co.* 1,000 24,563
Allied Life Financial Corp. 1,200 34,650
Centris Group Inc. 1,700 21,037
Matrix Capital Corp.* 1,300 35,100
Ocwen Asset Investment Corp. 700 11,594
Penn-America Group Inc. 1,700 22,950
Presidential Life Corp. 500 10,687
Professionals Insurance Company Management Group* 300 11,250
-----------
171,831
-----------
GENERAL BUSINESS -- 0.2%
- -------------------------------------------------------------------------------
Ennis Business Forms Inc. 2,100 24,412
Reynolds & Reynolds Co. 600 10,913
-----------
35,325
-----------
MISCELLANEOUS -- 1.9%
- -------------------------------------------------------------------------------
Aehr Test Systems* 2,600 15,519
Commonwealth Industries Inc. 1,800 18,000
Conrad Industries Inc.* 400 4,550
Duckwall-ALCO Stores Inc.* 1,200 21,000
Easco Inc. 500 5,031
Flowserve Corp. 1,000 24,625
Kevco Inc.* 800 17,650
Ladish Co. Inc.* 2,500 31,250
Manchester Equipment Co. Inc.* 2,700 10,631
Motor Cargo Industries Inc.* 2,500 26,563
PBOC Holdings Inc.* 800 11,050
Rockshox Inc.* 1,700 6,800
Rush Enterprises Inc.* 1,100 11,412
Siebels Bruce Group Inc.* 3,700 27,288
Spacehab Inc.* 2,600 30,062
Spectralink Corp.* 2,400 10,500
Symons International Group Inc. 900 16,875
Unisource Worldwide Inc. 1,400 15,138
-----------
303,944
-----------
SHELTER -- 0.5%
- -------------------------------------------------------------------------------
Butler Manufacturing Co. 400 13,625
Engle Homes Inc. 700 10,938
Morgan Products Ltd.* 5,400 24,637
Patrick Industries Inc. 1,400 21,350
Southern Energy Homes Inc.* 300 2,944
-----------
73,494
-----------
TECHNOLOGY -- 0.9%
- -------------------------------------------------------------------------------
Alliant Techsystems Inc.* 400 25,300
Interlink Computer Sciences Inc.* 2,000 7,000
Komag Inc.* 7,500 40,078
RadiSys Corp.* 900 19,350
Read-Rite Corp.* 2,700 24,469
Trident Microsystems Inc.* 2,500 13,281
-----------
129,478
-----------
TRANSPORTATION -- 0.4%
- -------------------------------------------------------------------------------
Fritz Companies Inc.* 3,300 44,137
Kenan Transport Co. 500 17,188
-----------
61,325
-----------
TOTAL COMMON STOCKS 2,047,887
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 78,373
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $2,235,120) 2,126,260
-----------
INTERNATIONAL EQUITY -- 21.0%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 20.5%
- -------------------------------------------------------------------------------
AUSTRIA -- 0.2%
- -------------------------------------------------------------------------------
Boehler Uddeholm 438 28,964
-----------
AUSTRALIA -- 0.6%
- -------------------------------------------------------------------------------
Australia & New Zealand Bank Group 7,217 49,907
Pioneer International 9,570 22,871
Quantas Airways 11,162 16,837
-----------
89,615
-----------
CANADA -- 0.7%
- -------------------------------------------------------------------------------
Canadian Imperial Bank of Commerce 1,465 47,090
Imasco Ltd. 2,560 47,232
Noranda Inc. 745 12,859
-----------
107,181
-----------
FINLAND -- 0.4%
- -------------------------------------------------------------------------------
The Rauma Group Oy 819 16,810
UPM-Kymmene Oy 1,480 40,773
-----------
57,583
-----------
FRANCE -- 1.7%
- -------------------------------------------------------------------------------
Elf Aquitaine 300 42,179
Lafarge Coppee 572 59,133
Pernod-Ricard 515 35,692
SEITA 1,200 54,386
Societe Generale 313 65,078
-----------
256,468
-----------
GERMANY -- 1.4%
- -------------------------------------------------------------------------------
Bayer AG 600 31,013
Buderus AG 65 32,441
Commerzbank AG 1,335 50,855
Dragerwerk AG 1,300 31,068
Dyckerhoff AG 110 43,001
Vossloh AG 225 14,348
-----------
202,726
-----------
GREAT BRITAIN -- 5.2%
- -------------------------------------------------------------------------------
Abbey National 3,125 55,570
Allied Domecq PLC 5,316 49,973
B.A.T. Industries 5,880 58,907
BTR PLC 12,670 35,964
CGU 3,125 58,335
Coats Viyella 23,490 28,828
Cookson Group 12,815 44,078
Elementis 12,267 31,542
Hanson 9,194 55,917
Hillsdown Holdings 17,645 48,023
Hyder 823 12,945
Lex Service 4,240 35,256
McKechnie 5,200 37,769
Medeva 10,710 30,400
National Westminister Bank 2,065 36,927
Powergen 2,629 36,346
Safeway 5,100 33,423
Tate & Lyle 2,880 22,853
Tomkins 10,991 59,689
-----------
772,745
-----------
HONG KONG -- 1.1%
- -------------------------------------------------------------------------------
CLP Holdings, Ltd. 7,300 33,259
Dickson Concept Industries 8,000 11,151
HSBC Holdings 1,100 26,904
Hang Lung Development Co. 10,000 9,938
Hong Kong Telecommunications 9,200 17,276
New World Development Co. 3,000 5,808
South China Morning Post 66,000 31,731
Swire Pacific 7,500 28,314
-----------
164,381
-----------
IRELAND -- 0.6%
- -------------------------------------------------------------------------------
Greencore Group 7,490 40,802
Jefferson Smurfit Group 17,600 52,363
-----------
93,165
-----------
ITALY -- 0.4%
- -------------------------------------------------------------------------------
Eni Spa 8,800 57,701
-----------
JAPAN -- 2.2%
- -------------------------------------------------------------------------------
Koito Manufacturing Co. 5,000 24,770
Kyocera Corp 1,100 53,938
MOS Food Services 2,300 27,446
Nichicon Corp. 3,000 33,630
Nintendo Co. 500 46,467
Promise Co. 900 37,166
Sony Corp. 400 34,570
Suzuki Motor Corp. 4,000 36,451
Yodogawa Steel Works 6,000 28,162
-----------
322,600
-----------
NETHERLANDS -- 1.5%
- -------------------------------------------------------------------------------
ABN Amro Holdings NV 1,740 40,745
Akzo Nobel NV 247 54,947
Hollandsche Beton Group 1,085 22,631
ING Group 830 54,387
Koninklijke PTT NV 891 34,321
TNT Post Group 891 22,793
-----------
229,824
-----------
NEW ZEALAND -- 0.1%
- -------------------------------------------------------------------------------
Fletcher Challenge 8,020 10,016
-----------
NORWAY -- 0.4%
- -------------------------------------------------------------------------------
Kvaerner ASA 640 21,711
Nycomed Amersham* 5,650 42,018
-----------
63,729
-----------
Shares/
Principal
Issuer Amount Value
- -------------------------------------------------------------------------------
SPAIN -- 0.8%
- -------------------------------------------------------------------------------
Banco Santander SA 2,620 67,059
Repsol SA 1,060 58,409
-----------
125,468
-----------
SWEDEN -- 0.6%
- -------------------------------------------------------------------------------
Electrolux AB 2,500 42,941
Getinge Industrier 2,195 44,858
-----------
4,695 87,799
-----------
SWITZERLAND -- 2.5%
- -------------------------------------------------------------------------------
Credit Suisse Group 104 23,179
Forbo Holdings 91 46,392
Nestle SA 25 53,589
Novartis 29 48,337
Saurer AG 46 47,084
Sig Holdings 60 48,934
Sulzer AG 61 48,218
Swiss Re 21 53,197
-----------
368,930
-----------
UNITED STATES -- 0.1%
- -------------------------------------------------------------------------------
Jardine Matheson 6,500 17,550
-----------
TOTAL COMMON STOCKS 3,056,445
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 75,591
-----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $2,798,134) 3,132,036
-----------
DOMESTIC FIXED INCOME -- 5.3%
- -------------------------------------------------------------------------------
FIXED INCOME -- 5.3%
- -------------------------------------------------------------------------------
CORPORATE BONDS -- 1.2%
- -------------------------------------------------------------------------------
Allied Signal Inc. 6.20% due 2/01/08 5,000 5,050
Atlantic City Electric Co.
7.01% due 8/23/02 10,000 10,383
BB & T Corp. 6.38% due 6/30/05 10,000 9,987
Century Telephone Enterprises Inc.
6.30% due 1/1/08 5,000 4,930
Commonwealth Edison Electric Co.
7.00% due 7/01/05 11,000 11,463
Computer Associates International Inc.
6.37% due 4/15/05 5,000 4,969
Conseco Inc. Medium Term Senior Notes
6.40% due 6/15/01 10,000 9,994
Dayton Hudson Corp. 5.95% due 6/15/00 5,000 4,998
Donaldson, Lufkin & Jenrette 6.63%
due 6/01/08 5,000 5,000
Equitable Life Assurance 6.95% due 12/01/05 5,000 5,191
Ford Motor Co. 6.63% due 2/15/28 5,000 5,004
GTE Corp. 6.36% due 4/15/06 5,000 4,976
Jackson National Life Insurance Co.
8.15% due 3/15/27 10,000 11,682
Lehman Brothers Holdings Inc.
6.00% due 2/26/01 5,000 4,990
6.15% due 3/15/00 5,000 5,012
Lockheed Martin Corp. 7.20% due 5/01/36 10,000 10,923
MCI Communications Group
6.13% due 4/15/12 10,000 9,963
Norfolk Southern Corp.
7.35% due 5/15/07 5,000 5,364
Occidental Petroleum Corp. 6.40% due 4/01/03 5,000 4,990
Pacificorp 6.38% due 5/15/08 5,000 5,029
Philadelphia Electric Co. 7.13% due 9/01/02 5,000 5,158
6.63% due 3/01/03 5,000 5,077
Sears Roebuck Corp. 6.00% due 3/20/03 5,000 4,952
Suntrust Banks Inc. 6.00% due 1/15/28 5,000 4,921
Union Pacific Resource Group
6.50% due 5/15/05 10,000 9,924
-----------
169,930
-----------
MORTGAGE BACKED -- 0.3%
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.00% due 1/01/99 10,000 9,862
Federal National Mortgage Association
7.35% due 8/17/21 10,000 10,677
JP Morgan Commercial Mortgage Finance Group
6.37% due 1/15/30 5,000 4,924
Structured Asset Securities Corp.
6.79% due 10/15/34 10,000 10,151
-----------
35,614
-----------
U. S. TREASURY OBLIGATIONS -- 0.2%
- -------------------------------------------------------------------------------
United States Treasury Bonds
6.50% due 11/15/26 20,000 22,209
6.375% due 8/15/27 10,000 10,981
-----------
33,190
-----------
UNITED STATES TREASURY NOTES -- 3.6%
- -------------------------------------------------------------------------------
6.375% due 5/15/99 95,000 95,683
5.875% due 11/15/99 77,000 77,349
5.625% due 4/30/00 25,000 25,047
6.25% due 1/31/02 100,000 102,234
6.50% due 5/31/02 175,000 180,824
5.50% due 3/31/03 40,000 39,975
5.875% due 2/15/04 15,000 15,277
536,389
-----------
YANKEE BOND -- 0.0%
- -------------------------------------------------------------------------------
Ontario Province, Canada
7.00% due 8/04/05 5,000 5,294
-----------
TOTAL FIXED INCOME 780,417
-----------
SHORT-TERM OBLIGATIONS -- 0.0%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 4,940
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $773,278) 785,357
-----------
<PAGE>
Principal
Issuer Currency Amount Value
- -------------------------------------------------------------------------------
INTERNATIONAL BOND -- 31.7%
- -------------------------------------------------------------------------------
FIXED INCOME -- 18.6%
- -------------------------------------------------------------------------------
AUSTRALIA -- 2.9%
- -------------------------------------------------------------------------------
Australia Government Bonds
8.75% due 8/15/08 AUD 200,000 $ 154,271
7.50% due 9/15/09 AUD 395,000 283,552
-----------
437,823
-----------
CANADA -- 0.6%
- -------------------------------------------------------------------------------
Canadian Government Bonds
9.00% due 12/01/04 CAD 50,000 40,641
8.00% due 6/01/23 CAD 54,000 48,934
-----------
89,575
-----------
CROATIA -- 0.2%
- -------------------------------------------------------------------------------
Republic of Croatia
6.50% due 7/31/06 $ 36,978 33,003
-----------
DENMARK-- 0.3%
- -------------------------------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 300,000 49,947
-----------
FRANCE-- 1.7%
- -------------------------------------------------------------------------------
France Government Bonds
7.75% due 10/25/05 FRF 490,000 96,449
5.25% due 4/25/08 FRF 950,000 162,212
-----------
258,661
-----------
GERMANY -- 0.2%
- -------------------------------------------------------------------------------
Treuhandanstalt
7.375% due 12/02/02 DEM 45,000 27,894
-----------
GREAT BRITAIN-- 3.9%
- -------------------------------------------------------------------------------
U. K. Treasury
8.50% due 12/07/05 GBP 138,000 263,181
7.25% due 12/07/07 GBP 168,000 308,911
-----------
572,092
-----------
GREECE -- 1.4%
- -------------------------------------------------------------------------------
Republic of Greece
12.80% due 6/17/03 GRD 1,500,000 5,016
11.00% due 10/23/03 GRD 5,000,000 16,657
8.80% due 6/19/07 GRD 52,300,000 181,851
-----------
203,524
-----------
ITALY -- 1.0%
- -------------------------------------------------------------------------------
Republic of Italy
6.00% due 1/01/00 ITL 50,000,000 28,780
6.75% due 7/01/07 ITL 100,000,000 63,290
7.25% due 11/01/26 ITL 90,000,000 62,953
-----------
155,023
-----------
JAPAN -- 2.9%
- -------------------------------------------------------------------------------
Japan Government Bonds
4.50% due 6/20/03 JPY 11,000,000 92,673
4.10% due 12/22/03 JPY 15,000,000 125,342
3.00% due 9/20/05 JPY 6,000,000 48,193
3.30% due 6/20/06 JPY 20,000,000 164,504
-----------
430,712
-----------
SPAIN -- 0.4%
- -------------------------------------------------------------------------------
Spain Government Bonds
6.00% due 1/31/08 ESP 8,500,000 59,605
-----------
SWEDEN-- 0.5%
- -------------------------------------------------------------------------------
Kingdom of Sweden
8.00% due 8/15/07 SEK 500,000 76,565
-----------
UNITED STATES-- 2.6%
- -------------------------------------------------------------------------------
Government National Mortgage
Association
6.50% due 4/20/27 $ 80,704 82,130
SLM Student Loan Trust
5.80% due 4/25/07 $ 100,000 99,972
United States Treasury Notes
3.625% due 7/15/02 $ 202,916 200,695
-----------
382,797
-----------
TOTAL FIXED INCOME 2,777,221
-----------
SHORT-TERM OBLIGATIONS -- 13.1%
- -------------------------------------------------------------------------------
AmeritechCorp. 5.52% due 7/13/98 $ 100,000 99,816
Coca Cola Co. 5.59% due7/23/98 $ 100,000 99,664
E. I. du Pont de Nemours & Co.
5.51% due 7/14/98 $ 100,000 99,801
Federal Home Loan Mortgage Corp.
5.40% due 7/01/98 $ 95,414 95,414
5.46% due 7/14/98 $ 600,000 598,817
Federal National Mortgage Association
5.50% due 7/30/98 $ 650,000 647,120
International Business Machines Corp.
5.50% due 7/01/98 $ 100,000 100,000
KFW International Finance Inc.
5.53% due 7/10/98 $ 100,000 99,862
Southwestern Public Service Co.
5.50% due 7/17/98 $ 100,000 99,755
United States Treasury Bills
5.02% due 8/20/98 $ 10,000 9,930
-----------
1,950,179
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $4,724,855) 4,727,400
-----------
SHORT-TERM-- 3.7%
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 3.7%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note
5.40% due 7/01/98(+) 556,495
-----------
TOTAL SHORT-TERM
(Identified Cost $556,495) 556,495
-----------
TOTAL INVESTMENTS
(Identified Cost $15,712,591) 112.6% 16,766,708
OTHER ASSETS,
LESS LIABILITIES (12.6) (1,869,898)
----- -----------
NET ASSETS 100.0% $14,896,810
===== ===========
* Non-income Producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank Discount Note 5.40%,
due 7/01/98 valued at $921,587, portions of which are separately listed by
each Asset class.
(++) The Portfolio owns in aggregate 565 shares of E. I. du Pont de Nemours &
Co. valued at $42,163.
FOREIGN CURRENCY LEGEND
- --------------------------------
SYMBOL COUNTRY
- --------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
ESP Spain
SEK Sweden
<PAGE>
CITISELECT VIP FOLIO 400
(Unaudited)
<TABLE>
SWAP AGREEMENTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
UNREALIZED
NOTIONAL COUNTER APPRECIATION/
AMOUNT CURRENCY DESCRIPTION PARTY (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
28,720,746 GRD To make or receive quarterly interest Lehman Bros. $(3,455)
payments in Greek Drachma through
3/13/2000 based on the difference
between A) a fixed rate of 13.77% over
B) the 6 month LIBOR rate
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.K. Long Gilt 10-Year Bond 1 September-1998 $(3)
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Austrian Schilling (Buy) Austria $ 40,078 $ 40,478 July-1998 $ (400)
Baht (Buy) .......... Thailand 11,694 12,392 July-1998 (698)
Baht (Sell) ......... Thailand 11,694 11,246 July-1998 (448)
Belgian Franc (Buy) . Belgium 104,815 107,636 August-1998 (2,821)
Canadian Dollar (Buy) Canada 4,759 4,765 July-1998 (6)
Canadian Dollar (Sell) Canada 223,663 224,631 July-1998 968
Canadian Dollar (Buy) Canada 376,176 376,424 August-1998 (248)
Canadian Dollar (Sell) Canada 9,524 9,851 August-1998 327
Deutsche Mark (Buy) . Germany 628,372 626,130 July-1998 2,242
Deutsche Mark (Sell) Germany 59,338 59,770 July-1998 432
Deutsche Mark (Buy) . Germany 99,028 99,259 August-1998 (231)
Deutsche Mark (Sell) Germany 332,135 337,461 August-1998 5,326
Deutsche Mark (Buy) . Germany 58,493 58,607 September-1998 (114)
Deutsche Mark (Sell) Germany 55,708 56,523 September-1998 815
Dollar (Buy) ........ Australia 33,533 35,267 July-1998 (1,734)
Drachma (Sell) ...... Greece 28,947 27,691 August-1998 (1,256)
Franc (Sell) ........ France 223,668 229,856 July-1998 6,188
Franc (Buy) ......... France 294,744 300,873 August-1998 (6,129)
Franc (Sell) ........ France 13,443 13,494 August-1998 51
Guilder (Sell) ...... Netherlands 24,186 24,777 August-1998 (591)
Guilder (Buy) ....... Netherlands 106,808 107,345 September-1998 (537)
Krone (Buy) ......... Denmark 17,341 17,446 July-1998 (105)
Krone (Buy) ......... Norway 68,545 68,955 July-1998 (410)
Krone (Sell) ........ Norway 4,438 4,513 July-1998 75
Krone (Sell) ........ Norway 98,113 99,044 August-1998 931
Krone (Buy) ......... Norway 188,056 192,673 September-1998 (4,617)
Krone (Sell) ........ Norway 58,292 58,881 September-1998 589
Krona (Buy) ......... Sweden 64,137 66,607 July-1998 (2,470)
Lira (Buy) .......... Italy 307,882 309,074 July-1998 (1,192)
Markka (Buy) ........ Finland 17,166 17,364 July-1998 (198)
Markka (Buy) ........ Finland 4,570 4,614 August-1998 (44)
Peseta (Buy) ........ Spain 129,749 130,995 July-1998 (1,246)
Pound (Buy) ......... Great Britain 163,489 162,541 July-1998 948
Pound (Sell) ........ Great Britain 183,508 179,278 July-1998 (4,230)
Pound (Buy) ......... Great Britain 46,548 46,591 September-1998 (43)
Pound (Buy) ......... Ireland 15,360 15,476 July-1998 (116)
Swiss Franc (Buy) ... Switzerland 272,911 279,515 August-1998 (6,604)
Swiss Franc (Sell) .. Switzerland 251,662 258,982 August-1998 7,320
Won (Sell) .......... South Korea 9,468 8,843 August-1998 625
Yen (Buy) ........... Japan 563,647 590,523 July-1998 (26,876)
Yen (Sell) .......... Japan 228,400 229,853 July-1998 1,453
Yen (Buy) ........... Japan 253,078 253,346 August-1998 (268)
Yen (Sell) .......... Japan 8,741 8,777 August-1998 36
Yen (Sell) .......... Japan 92,671 90,482 September-1998 (2,189)
--------
$(37,495)
========
</TABLE>
See notes to financial statements
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS June 30, 1998
(Unaudited)
Issuer Shares Value
- -------------------------------------------------------------------------------
LARGE CAP GROWTH -- 11.0%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 10.5%
- -------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 1.2%
- -------------------------------------------------------------------------------
Danaher Corp. 280 $ 10,273
E I du Pont de Nemours & Co.(++) 270 20,149
General Electric Co. 845 76,894
Illinois Tool Works 340 22,674
-----------
129,990
-----------
COMMERCIAL SERVICES -- 0.2%
- -------------------------------------------------------------------------------
Cintas Corp. 225 11,475
Interpublic Group Companies Inc. 210 12,744
-----------
24,219
-----------
CONSUMER DURABLES -- 0.1%
- -------------------------------------------------------------------------------
Leggett & Platt Inc. 470 11,750
-----------
CONSUMER NON-DURABLES -- 1.3%
- -------------------------------------------------------------------------------
Clorox Co. 355 33,858
Coca Cola Co. 760 64,980
Gillette Co. 200 11,338
Procter & Gamble Co. 325 29,595
-----------
139,771
-----------
CONSUMER SERVICES -- 0.6%
- -------------------------------------------------------------------------------
Carnival Corp. 550 21,794
Clear Channel
Communications* 205 22,370
Gannett Inc. 315 22,385
-----------
66,549
-----------
ENERGY -- 0.1%
- -------------------------------------------------------------------------------
Schlumberger Ltd. 165 11,272
-----------
FINANCE -- 0.9%
- -------------------------------------------------------------------------------
American International Group Inc. 100 14,600
Federal National Mortgage Association 420 25,515
Fifth Third Bancorp 120 7,560
MGIC Investment Corp. 185 10,556
State Street Corp. 180 12,510
U.S. Bancorp 270 11,610
Zions Bancorp 380 20,188
-----------
102,539
-----------
HEALTHCARE -- 2.5%
- -------------------------------------------------------------------------------
Cardinal Health Inc. 255 23,906
HBO & Co. 650 22,913
Health Management Association* 315 10,533
Johnson & Johnson 155 11,431
Lilly, Eli & Co. 215 14,203
Lincare Holdings Inc.* 400 16,825
Medtronic Inc. 395 25,181
Merck & Co. 280 37,450
Pfizer Inc. 330 35,867
Safeskin Corp.* 295 12,132
Schering Plough Corp. 320 29,320
Steris Corp.* 175 11,129
Warner Lambert Co. 390 27,056
-----------
277,946
-----------
RETAIL -- 1.2%
- -------------------------------------------------------------------------------
Bed, Bath & Beyond Inc.* 215 11,140
Gap Inc. 257 15,838
Home Depot 330 27,411
Kohls Corp.* 405 21,009
Lowes Companies Inc 280 11,358
Wal Mart Stores Inc. 605 36,754
Walgreen Co. 340 14,045
-----------
137,555
-----------
TECHNOLOGY -- 2.3%
- -------------------------------------------------------------------------------
American Power Conversion Corp. 350 10,500
Automatic Data Processing Inc.* 290 21,134
BMC Software Inc.* 270 14,023
Cisco Systems Inc.* 322 29,644
Compuware Corp.* 230 11,759
EMC Corp.* 435 19,493
Intel Corp. 170 12,601
Linear Technology Corp. 145 8,745
Microsoft Corp.* 715 77,488
Parametric Technology Corp.* 360 9,765
Paychex Inc. 442 17,984
Solectron Corp.* 260 10,936
Sun Guard Data Systems* 510 19,572
-----------
263,644
-----------
UTILITIES -- 0.1%
- -------------------------------------------------------------------------------
Ameritech Corp. 275 12,341
-----------
TOTAL COMMON STOCKS 1,177,576
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Notes
5.40% due 7/01/98(+) 52,329
-----------
TOTAL LARGE CAP GROWTH
(Identified Cost $959,727) 1,229,905
-----------
LARGE CAP VALUE -- 10.1%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 9.8%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 0.9%
- -------------------------------------------------------------------------------
Air Products &
Chemicals Inc. 200 8,000
Cabot Corp. 200 6,463
Dow Chemical Co. 100 9,667
E. I. du Pont
de Nemours & Co.(++) 200 14,925
FMC Corp.* 100 6,819
Great Lakes Chemical Corp. 300 11,831
IMC Global Inc. 300 9,038
Inland Steel Industries Inc. 400 11,275
Lubrizol Corp. 200 6,050
Rohm & Haas Co. 100 10,394
W R Grace & Co.* 300 5,119
Westvaco Corp. 200 5,650
-----------
105,231
-----------
CAPITAL GOODS -- 0.9%
- -------------------------------------------------------------------------------
Aeroquip Vickers Inc. 400 23,350
Caterpillar Inc. 200 10,575
Cummins Engine Inc. 400 20,500
Harnischfeger Industries Inc. 500 14,156
Kennametal Inc. 300 12,525
Parker Hannifin Corp. 300 11,438
Tecumseh Products Co. 200 10,562
-----------
103,106
-----------
CONSUMER BASICS -- 0.8%
- -------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 500 14,563
IBP Inc. 300 5,438
Mallinckrodt Inc. 300 8,906
Maxicare Health Plans Inc.* 200 1,350
Philip Morris Companies Inc. 600 23,625
RJR Nabisco Holdings Corp. 600 14,250
Tenet Healthcare Corp. 200 6,250
Tupperware Corp. 200 5,625
Universal Foods Corp. 600 13,313
Vencor Inc.* 100 724
-----------
94,044
-----------
CONSUMER DURABLES -- 1.1%
- -------------------------------------------------------------------------------
Dana Corp. 200 10,700
Eaton Corp. 100 7,775
Ford Motor Co. 700 41,300
General Motors Corp. 500 33,406
Goodyear Tire and Rubber 400 25,775
-----------
118,956
-----------
CONSUMER NON-DURABLES -- 1.0%
- -------------------------------------------------------------------------------
Dillards Inc. 400 16,575
Federated Department Stores Inc.* 100 5,381
Ross Stores Inc. 200 8,600
Russell Corp. 300 9,056
Sears Roebuck & Co. 200 12,213
Springs Industries Inc. 200 9,225
Toys "R" Us Inc.* 800 18,850
V F Corp. 400 20,600
Venator Group* 400 7,650
-----------
108,150
-----------
CONSUMER SERVICES -- 0.2%
- -------------------------------------------------------------------------------
AMR Corp.* 100 8,325
Delta Airlines Inc. 100 12,925
-----------
21,250
-----------
ENERGY -- 0.6%
- -------------------------------------------------------------------------------
Atlantic Richfield Co. 200 15,625
British Petroleum PLC 200 17,650
Nabors Industries Inc.* 300 5,944
Phillips Petroleum Co. 200 9,638
Ultra Mar Diamond Shamrock 300 9,468
YPF Sociedad Anonima 400 12,025
-----------
70,350
-----------
FINANCE -- 2.4%
- -------------------------------------------------------------------------------
Allstate Corp. 200 18,313
American General Corp. 200 14,238
Banc One Corp. 200 11,163
Case Corp. 600 28,950
Chase Manhattan Corp. 400 30,200
Cigna Corp. 300 20,700
Crestar Financial Corp. 100 5,456
Everest Reinsurance Holdings 300 11,531
First Union Corp. 420 24,465
Foundation Health Systems* 490 12,924
Hartford Financial Services Group 100 11,438
Loews Corp. 100 8,713
Nationsbank Corp. 100 7,650
Old Republic
International Corp. 450 13,191
Reliastar Financial Corp. 300 14,400
Republic NY Corp. 200 12,588
Transatlantic Holdings Inc. 150 11,597
Washington Mutual Inc. 200 8,684
-----------
266,201
-----------
GENERAL BUSINESS -- 0.1%
- -------------------------------------------------------------------------------
Olsten Corp. 700 7,831
Standard Register 100 3,538
-----------
11,369
-----------
MISCELLANEOUS -- 0.0%
- -------------------------------------------------------------------------------
Raytheon Co. 1 58
-----------
SHELTER -- 0.2%
- -------------------------------------------------------------------------------
Owens Corning 500 20,406
-----------
TECHNOLOGY -- 1.1%
- -------------------------------------------------------------------------------
Arrow Electronics Inc.* 300 6,525
Avnet Inc. 200 10,938
Beckman Coulter Inc. 300 17,475
Electronic Data System Corp. 400 16,000
International Business Machines 300 34,444
Stratus Computer Inc.* 300 7,594
TRW Inc. 300 16,388
Tektronix Inc. 450 15,917
-----------
125,281
-----------
TRANSPORTATION -- 0.2%
- -------------------------------------------------------------------------------
Burlington Northern Santa Fe Co. 100 9,819
CSX Corp. 200 9,100
-----------
18,919
-----------
UTILITIES -- 0.3%
- -------------------------------------------------------------------------------
Bell Atlantic Corp. 200 9,125
Cinergy Corp. 100 3,500
DTE Energy Co. 200 8,075
Duke Energy Co. 104 6,162
Entergy Corp. 200 5,750
GPU Inc. 200 7,563
-----------
40,175
-----------
TOTAL COMMON STOCKS 1,103,496
-----------
SHORT-TERM OBLIGATIONS -- 0.3%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
5.40% due 7/01/98(+) 35,159
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,047,334) 1,138,655
-----------
SMALL CAP GROWTH -- 17.9%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 17.1%
- -------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 4.5%
- -------------------------------------------------------------------------------
Abacus Direct Corp.* 1,090 56,612
AHL Services Inc.* 960 37,800
Cultural Access Worldwide 1,115 10,871
Hetzler Group Inc. 825 30,216
Lamar Advertising Co.* 1,777 63,750
Metro Networks Inc.* 650 28,031
NFO Worldwide Inc. 1,645 29,302
Probusiness Services Inc.* 340 15,895
Professional Detailing Inc. 820 20,398
Profit Recovery Group International Inc.* 1,795 50,148
Rental Service Corp.* 1,770 59,516
Romac International Inc.* 1,140 34,628
Suiza Foods Corp.* 735 43,870
Wilmar Industries Inc. 930 23,714
-----------
504,751
-----------
COMMODITIES & PROCESSING -- 0.6%
- -------------------------------------------------------------------------------
ITEQ Inc.* 2,520 18,743
OM Group Inc. 930 38,362
Synthetic Industries Inc.* 920 13,398
-----------
70,503
-----------
CONSUMER DURABLES -- 0.5%
- -------------------------------------------------------------------------------
American Italian Pasta Co. 415 15,459
Tower Automotive Inc.* 830 35,586
-----------
51,045
-----------
CONSUMER NON-DURABLES -- 0.2%
- -------------------------------------------------------------------------------
Beringer Wine Estates Holdings* 575 25,336
-----------
CONSUMER SERVICES -- 1.7%
- -------------------------------------------------------------------------------
Central Packing Corp. 1,175 54,638
Gray Communications Systems Inc. 1,025 31,647
Heftel Broadcasting Corp.* 905 40,499
Premier Parks Inc.* 890 59,296
SFX Entertainment Inc. 295 13,532
-----------
199,612
-----------
ELECTRONICS/TECHNICAL SERVICES -- 2.8%
- -------------------------------------------------------------------------------
Anicom Inc. 465 6,917
CDW Computer Centers Inc. 735 36,750
ETEC Systems Inc.* 710 24,983
Harbinger Corp.* 1,027 24,841
Inacom Corp.* 995 31,591
PC Connection Inc.* 385 5,871
QAD Inc.* 1,790 16,110
Renaissance Worldwide Inc.* 1,940 42,195
Sapient Corp.* 515 27,166
Sipex Corp.* 1,180 25,370
Tier Technologies Inc.* 1,270 22,622
Whittman Hart Inc.* 975 47,166
-----------
311,582
-----------
ENERGY/MINERAL -- 0.7%
- -------------------------------------------------------------------------------
Forcenergy Inc.* 1,715 30,548
Key Energy Group Inc.* 1,435 18,834
Lomak Petroleum Inc. 2,365 24,685
-----------
74,067
-----------
FINANCE -- 1.8%
- -------------------------------------------------------------------------------
Executive Risk Inc. 660 48,675
First Republic Bank of San Francisco 560 20,230
Litchfield Financial Corp. 570 11,970
Medallion Financial Corp. 810 22,275
Metris Companies Inc. 825 52,594
Sirrom Capital Corp. 1,825 47,450
-----------
203,194
-----------
HEALTH SERVICES/TECHNOLOGY -- 2.0%
- -------------------------------------------------------------------------------
Concentra Managed Care Inc.* 1,180 30,680
Henry Schein Inc.* 800 36,900
Human Genome Sciences Inc. 960 34,260
Parexel International Corp. 1,105 40,194
Somnus Medical Technology* 1,075 8,802
Renal treatment Centers Inc. 1,553 53,579
Viropharma Inc.* 1,095 25,458
-----------
229,873
-----------
INDUSTRIAL SERVICES -- 0.6%
- -------------------------------------------------------------------------------
American Disposal Services Inc.* 660 30,938
Service Experts Inc.* 675 23,288
Waste Connections Inc. 395 7,850
-----------
62,076
-----------
PRODUCER MANUFACTURING -- 0.2%
- -------------------------------------------------------------------------------
Ha Lo Industries Inc. 710 22,097
-----------
RETAIL TRADE -- 0.9%
- -------------------------------------------------------------------------------
CD Now Inc.* 735 14,792
Men's Wearhouse Inc.* 1,272 41,976
Whole Foods Market Inc.* 745 45,073
-----------
101,841
-----------
TRANSPORTATION -- 0.6%
- -------------------------------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 1,435 49,777
Hub Group Inc.* 385 8,133
United Road Services Inc. 985 18,838
-----------
76,748
-----------
TOTAL COMMON STOCKS 1,932,725
-----------
SHORT-TERM OBLIGATIONS -- 0.8%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Consumer Discount Notes
5.40% due 7/01/98(+) 84,913
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,615,874) 2,017,638
-----------
- -------------------------------------------------------------------------------
SMALL CAP VALUE -- 16.2%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 15.9%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES -- 1.5%
- -------------------------------------------------------------------------------
Atchison Casting Corp.* 1,400 25,025
Carpenter Technology Corp. 200 10,050
Keystone Consolidated Industries Inc.* 2,600 30,875
Lone Star Technologies Inc.* 900 13,725
LTV Corp. 5,000 47,813
MA Hanna Co. 500 9,156
Oil-Dri Corp. of America 1,800 25,988
Tuscarora Inc. 500 7,937
-----------
170,569
-----------
CAPITAL GOODS -- 3.1%
- -------------------------------------------------------------------------------
American Buildings Co.* 900 26,775
Astro-Med Inc. 1,600 12,200
Commercial Intertech Corp. 1,500 27,188
D.R. Horton Inc. 1,700 35,488
ESCO Electronics Corp.* 2,000 38,000
Global Industrial Technologies Inc.* 1,900 27,313
Hurco Inc.* 600 4,350
JLG Industries Inc. 3,200 64,800
Perini Corp.* 1,100 9,417
Speedfam International Inc.* 1,000 18,438
Ultrak Inc.* 3,200 27,200
United Industrial Corp. 3,400 44,200
Watts Industrial Inc. 400 8,350
-----------
343,719
-----------
CONSUMER BASICS -- 2.6%
- -------------------------------------------------------------------------------
Cohr Inc.* 3,300 16,913
Depotech Corp.* 1,400 2,188
Dimon Inc. 2,800 31,500
EKCO Group Inc.* 4,500 35,438
MMI Companies Inc. 2,100 48,563
Matrix Pharmaceuticals Inc.* 4,500 19,688
Nash Finch Co. 500 7,531
Orthologic Corp.* 4,000 20,500
RLI Corp. 375 15,258
Schultz Sav-O Stores Inc. 1,500 24,375
Schweitzer-Mauduit International Inc. 900 26,100
Sola International Inc.* 100 3,286
Standard Commercial Corp.* 4,123 45,351
-----------
296,691
-----------
CONSUMER DURABLES -- 1.2%
- -------------------------------------------------------------------------------
Coachmen Industries Inc. 1,400 36,575
Flexsteel Industries Inc. 800 11,200
Haskel International Inc. 1,500 15,000
Keystone Automotive Industry Inc.* 600 13,875
Myers Industries Inc. 900 21,600
TBC Corp.* 800 5,300
Tropical Sportwear International Corp.* 700 14,875
West Inc. 600 16,988
-----------
135,413
-----------
CONSUMER NON-DURABLES -- 0.7%
- -------------------------------------------------------------------------------
Brookstone Inc.* 1,600 24,000
Haverty Furniture Companies Inc. 800 17,700
Ridgeview Inc.* 100 600
Syms Corp.* 2,400 34,200
-----------
76,500
-----------
CONSUMER SERVICES -- 0.4%
- ------------------------------------------------------------------------------
Aztar Corp.* 3,300 22,481
Cannondale Corp.* 2,100 28,088
------------
50,569
------------
ENERGY -- 0.6%
- ------------------------------------------------------------------------------
Atwood Oceanics Inc.* 300 11,944
Cliffs Drilling Co.* 700 22,969
Nuevo Energy Co.* 900 28,912
------------
63,825
------------
FINANCE -- 1.4%
- ------------------------------------------------------------------------------
Acceptance Insurance Co.* 900 22,106
Allied Life Financial Corp. 1,100 31,763
Centris Group Inc. 1,600 19,800
Matrix Capital Corp.* 1,200 32,400
Ocwen Asset Investment Corp. 800 13,250
Penn-America Group Inc. 1,400 18,900
Presidential Life Corp. 400 8,550
Professionals Insurance Company Management
Group* 200 7,500
-----------
154,269
-----------
GENERAL BUSINESS -- 0.3%
- ------------------------------------------------------------------------------
Ennis Business Forms Inc. 2,000 23,250
Reynolds & Reynolds Co. 300 5,456
-----------
28,706
-----------
MISCELLANEOUS -- 2.2%
- ------------------------------------------------------------------------------
Aehr Test Systems* 2,500 14,922
Commonwealth Industries Inc. 1,300 13,000
Conrad Industries Inc.* 300 3,413
Duckwall-ALCO Stores Inc.* 1,200 21,000
Easco Inc. 500 5,031
Flowserve Corp. 900 22,163
Kevco Inc.* 800 17,650
Ladish Co. Inc.* 1,900 23,750
Manchester Equipment Co. Inc.* 2,400 9,450
Motor Cargo Industries Inc.* 2,200 23,375
PBOC Holdings* 700 9,669
Rockshox Inc.* 800 3,200
Rush Enterprises Inc.* 800 8,300
Seibels Bruce Group Inc.* 2,500 18,438
Spacehab Inc.* 2,900 33,531
Spectralink Corp.* 400 1,750
Symons International Group Inc.* 500 9,375
Unisource Worldwide Inc. 1,100 11,892
-----------
249,909
-----------
SHELTER -- 0.7%
- -------------------------------------------------------------------------------
Butler Manufacturing Co. 400 13,625
Eagle Homes Inc. 600 9,375
Morgan Products Ltd.* 6,400 29,200
Patrick Industries Inc. 1,300 19,825
Southern Energy Homes Inc.* 300 2,944
-----------
74,969
-----------
TECHNOLOGY -- 0.8%
- -------------------------------------------------------------------------------
Alliant Techsystems Inc.* 300 18,975
Interlink Computer Sciences Inc.* 2,100 7,350
Komag Inc.* 5,600 29,925
Radisys Corp.* 700 15,050
Read-Rite Corp.* 2,400 21,750
Trident Microsystems Inc.* 1,000 5,313
-----------
98,363
-----------
TRANSPORTATION -- 0.4%
- -------------------------------------------------------------------------------
Fritz Companies Inc.* 2,700 36,113
Kenan Transport Co. 200 6,875
-----------
42,988
-----------
TOTAL COMMON STOCKS 1,786,490
-----------
SHORT-TERM OBLIGATIONS -- 0.3%
- -------------------------------------------------------------------------------
Federal Home Loan Bank Consumer Discount Note
5.40% due 7/01/98(+) 34,499
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $1,936,997) 1,820,939
-----------
INTERNATIONAL EQUITY -- 31.6%
- -------------------------------------------------------------------------------
COMMON STOCKS -- 31.6%
- -------------------------------------------------------------------------------
Austria -- 0.3%
- -------------------------------------------------------------------------------
Boehler Uddeholm 555 36,701
-----------
AUSTRALIA -- 1.0%
- -------------------------------------------------------------------------------
Australia & New Zealand Bank Group 8,215 56,808
Pioneer International 12,440 29,730
Quantas Airways 16,990 25,628
-----------
112,166
-----------
CANADA -- 1.3%
- -------------------------------------------------------------------------------
Canadian Imperial Bank of Commerce 1,800 57,857
Imasco Ltd. 3,320 61,254
Noranda Inc. 1,620 27,962
-----------
147,073
-----------
FINLAND -- 0.6%
- -------------------------------------------------------------------------------
The Rauma Group Oy 875 17,960
UPM-Kymmene Oy 1,955 53,859
-----------
71,819
-----------
FRANCE -- 2.7%
- -------------------------------------------------------------------------------
Elf Aquitaine 390 54,832
Lafarge Coppee 677 69,988
Pernod-Ricard 651 45,118
SEITA 1,190 53,933
Societe Generale 372 77,344
-----------
301,215
-----------
GERMANY -- 2.2%
- -------------------------------------------------------------------------------
Bayer AG 685 35,406
Buderus AG 75 37,432
Commerzbank AG 1,700 64,759
Dragerwerk AG 1,700 40,628
Dyckerhoff AG 130 50,819
Vossloh AG 295 18,812
-----------
247,856
-----------
GREAT BRITAIN -- 8.5%
- -------------------------------------------------------------------------------
Abbey National 3,710 65,972
Allied Domecq PLC 6,370 59,881
British Tire & Rubber 17,367 49,296
BAT Industries 6,790 68,024
Coats Viyella 29,250 35,896
CGU 3,790 70,749
Cookson Group 15,200 52,282
Elementis 9,897 25,449
Hanson 10,557 64,206
Hillsdown Holdings 21,015 57,195
Hyder 2,970 46,714
Lex Service 4,920 40,910
Mckechnie 6,900 50,116
Medeva 12,460 35,368
National Westminster Bank 2,445 43,723
Powergen 3,380 46,729
Safeway 6,720 44,040
Tate & Lyle 3,890 30,868
Tomkins 12,720 69,077
-----------
956,495
-----------
HONG KONG -- 1.5%
- -------------------------------------------------------------------------------
China Light & Power 8,500 38,726
HSBC Holdings 1,500 36,687
Hang Lung Development Co. 16,000 15,901
Hong Kong Telecomm 14,600 27,417
New World Development Co. 5,000 9,680
South China Morning Post 5,900 2,837
Swire Pacific 10,000 37,751
-----------
168,999
-----------
IRELAND -- 1.0%
- -------------------------------------------------------------------------------
Greencore Group 8660 47,176
Jefferson Smurfit Group 21,695 64,546
-----------
111,722
-----------
ITALY -- 0.5%
- -------------------------------------------------------------------------------
Eni Spa 9,000 59,012
-----------
JAPAN -- 3.1%
- -------------------------------------------------------------------------------
Koito Manufacturing Co. 6,000 29,724
Kyocera Corp. 1,100 53,938
MOS Food Services 200 2,387
Nichicon Corp. 4,000 44,840
Nintendo Co. 500 46,467
Promise Co. 1,100 45,426
Sony Corp. 500 43,213
Suzuki Motor Corp. 5,000 45,563
Yodogawa Steel Works 7,000 32,856
-----------
344,414
-----------
NETHERLANDS -- 2.6%
- -------------------------------------------------------------------------------
ABN Amro Holdings NV 2,390 55,966
Akzo Nobel NV 317 70,519
Hollandsche Beton Group 600 12,515
ING Group 1,092 71,555
Koninklijke PTT NV 1,200 46,223
TNT Post Group 1,200 30,697
-----------
287,475
-----------
NEW ZEALAND -- 0.1%
- -------------------------------------------------------------------------------
Fletcher Challenge 11,460 14,312
-----------
NORWAY -- 0.7%
- -------------------------------------------------------------------------------
Kvaerner ASA 735 24,933
Nycomed Amersham* 6,322 47,016
-----------
71,949
-----------
SINGAPORE -- 0.2%
- -------------------------------------------------------------------------------
Jardine Matheson 8,200 22,140
-----------
SPAIN -- 0.6%
- -------------------------------------------------------------------------------
Banco Santander SA 2,722 69,670
-----------
SWEDEN -- 0.8%
- -------------------------------------------------------------------------------
Electrolux 3,400 58,400
Getinge Industrier 1,719 35,130
-----------
93,530
-----------
SWITZERLAND -- 3.9%
- -------------------------------------------------------------------------------
Credit Suisse Group 123 27,414
Forbo Holdings 108 55,059
Nestle SA 29 62,163
Novartis AG 33 55,004
Saurer 52 53,226
Sig Holding 75 61,167
Sulzer 82 64,818
Swiss Re 25 63,330
-----------
442,181
-----------
TOTAL COMMON STOCKS 3,558,729
-----------
TOTAL INTERNATIONAL EQUITY
(Identfied Cost $3,150,295) 3,558,729
-----------
Principal
Issuer Currency Amount Value
- -------------------------------------------------------------------------------
INTERNATIONAL BOND -- 16.4%
- -------------------------------------------------------------------------------
FIXED INCOME -- 11.0%
- -------------------------------------------------------------------------------
AUSTRALIA -- 1.7%
- -------------------------------------------------------------------------------
Commonwealth of Australia
13.00% due 7/15/00 AUD 5,000 53,521
10.00% due 10/15/07 AUD 20,000 16,335
8.75% due 8/15/08 AUD 50,000 38,568
7.50% due 9/15/09 AUD 120,000 86,142
-----------
194,566
-----------
CANADA -- 0.2%
- -------------------------------------------------------------------------------
Canadian Government
8.00% due 6/01/23 CAD 19,000 17,218
-----------
DENMARK -- 0.2%
- -------------------------------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 150,000 24,973
-----------
FRANCE -- 0.9%
- -------------------------------------------------------------------------------
Government of France
7.75% due 10/25/05 FRF 360,000 70,860
5.25% due 4/25/08 FRF 162,000 27,662
-----------
98,522
-----------
GREAT BRITAIN -- 2.5%
- -------------------------------------------------------------------------------
U. K. Treasury
8.50% due 12/07/05 GBP 50,000 95,356
7.25% due 12/07/07 GBP 75,000 137,907
9.00% due 12/07/07 GBP 21,000 43,467
-----------
276,730
-----------
GREECE -- 0.7%
- -------------------------------------------------------------------------------
Republic of Greece
11.00 due 10/23/03 GRD 2,000,000 6,663
12.80 due 6/17/03 GRD 300,000 1,003
8.80 due 6/19/07 GRD 19,800,000 68,846
-----------
76,512
-----------
ITALY -- 0.5%
- -------------------------------------------------------------------------------
Republic of Italy
6.00% due 1/01/00 ITL 50,000,000 28,780
7.25% due 11/01/26 ITL 35,000,000 24,482
-----------
53,262
-----------
JAPAN -- 1.6%
- -------------------------------------------------------------------------------
Government of Japan
4.10% due 12/22/03 JPY 15,000,000 125,342
3.30% due 6/20/06 JPY 7,500,000 61,689
-----------
187,031
-----------
SPAIN -- 0.2%
- -------------------------------------------------------------------------------
Government of Spain
10.00% due 1/31/08 ESP 3,750,000 26,296
-----------
SWEDEN -- 1.2%
- -------------------------------------------------------------------------------
Kingdom of Sweden
10.25% due 5/05/00 SEK 1,000,000 138,373
-----------
UNITED STATES -- 1.3%
- -------------------------------------------------------------------------------
Government National
Mortgage Association
6.50% due 04/20/27 $ 40,352 41,065
United States Treasury Notes
3.625% due 7/15/02 $ 101,458 100,348
-----------
141,413
-----------
TOTAL FIXED INCOME 1,234,896
-----------
SHORT-TERM OBLIGATIONS -- 5.4%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Notes
5.40% due 7/01/98(+) $ 15,192 15,192
Federal Home Loan
Mortgage Discount Notes
5.46% due 7/27/98 $ 300,000 298,817
Federal Home Loan
Mortgage Discount Notes
5.44% due 8/07/98 $ 200,000 198,882
Federal National Mortgage
Association Discount Note
5.50% due 7/30/98 $ 100,000 99,557
-----------
612,448
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,855,900) 1,847,344
-----------
SHORT-TERM -- 3.9%
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 3.9%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
5.40% due 7/01/98(+) 441,956
-----------
TOTAL SHORT-TERM
(Identified Cost $441,956) 441,956
-----------
Issuer Value
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Identified Cost $11,008,083) 107.1% $12,055,166
-----------
OTHER ASSETS
LESS LIABILITIES (7.1) (799,089)
----- -----------
NET ASSETS 100.0% $11,256,077
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank Discount Notes
5.40%, due 7/01/98 valued at $664,048, portions of which are listed
separately by each Asset class.
(++)The Portfolio owns in aggregate 470 shares of E I du Pont de Nemours & Co.
valued at $35,074.
See notes to financial statements
Foreign Currency Legend
- -------------------------------
Symbol Country
- -------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
JPY Japan
ESP Spain
SEK Sweden
<PAGE>
CitiSelect VIP Folio 500
(Unaudited)
<TABLE>
SWAP AGREEMENTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
NOTIONAL COUNTER APPRECIATION/
AMOUNT CURRENCY DESCRIPTION PARTY (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
13,916,238 GRD To make or receive quarterly interest Lehman Bros. $(1,672)
payments in Greek Drachma through
3/13/2000 based on the difference
between A) a fixed rate of 13.77% over
B) the 6 month LIBOR rate
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1998 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Baht (Buy) .......... Thailand $ 4,677 $ 4,957 July-1998 $ (280)
Baht (Sell) ......... Thailand 4,677 4,498 July-1998 (179)
Deutsche Mark (Buy) . Germany 52,150 52,108 July-1998 42
Deutsche Mark (Sell) Germany 51,574 51,980 July-1998 406
Deutsche Mark (Buy) . Germany 236,445 242,078 August-1998 (5,633)
Deutsche Mark (Buy) . Germany 19,498 19,536 September-1998 (38)
Deutsche Mark (Sell) Germany 131,296 132,970 August-1998 1,674
Dollar (Buy) ........ Australia 12,420 13,063 July-1998 (643)
Dollar (Buy) ........ Canada 136,730 137,311 August-1998 (581)
Dollar (Sell) ....... Canada 82,939 83,305 July-1998 366
Drachma (Sell) ...... Greece 11,032 10,567 August-1998 (465)
Franc (Buy) ......... Belgium 38,409 39,461 August-1998 (1,052)
Franc (Buy) ......... France 45,306 46,566 August-1998 (1,260)
Franc (Sell) ........ France 3,153 3,165 August-1998 12
Franc (Buy) ......... Switzerland 107,571 110,196 August-1998 (2,625)
Franc (Sell) ........ Switzerland 100,266 102,627 August-1998 2,361
Guilder (Buy) ....... Netherlands 494 495 August-1998 (1)
Guilder (Buy) ....... Netherlands 55,876 56,158 September-1998 (282)
Guilder (Sell) ...... Netherlands 8,391 8,631 August-1998 240
Krone (Sell) ........ Norway 20,128 20,331 September-1998 203
Krone (Buy) ......... Norway 60,247 61,504 September-1998 (1,257)
Krone (Sell) ........ Norway 33,967 34,290 August-1998 323
Krone (Buy) ......... Norway 28,593 28,764 July-1998 (171)
Krone (Buy) ......... Danish 2,186 2,196 July-1998 (10)
Krone (Sell) ........ Danish 2,477 2,497 July-1998 20
Krona (Buy) ......... Sweden 13,932 13,913 July-1998 19
Krona (Sell) ........ Sweden 130,156 135,392 July-1998 5,236
Lira (Buy) .......... Italy 112,945 113,386 July-1998 (441)
Lira (Sell) ......... Italy 318 319 July-1998 1
Markka (Buy) ........ Finland 9,313 9,425 July-1998 (112)
Peseta (Buy) ........ Spain 47,395 47,866 July-1998 (471)
Pound (Buy) ......... Great Britain 15,014 14,989 July-1998 25
Pound (Buy) ......... Great Britain 13,300 13,305 September-1998 (5)
Pound (Sell) ........ Great Britain 5,006 4,927 July-1998 (79)
Pound (Buy) ......... Ireland 5,585 5,627 July-1998 (42)
Schilling (Buy) ..... Austria 14,673 14,828 July-1998 (155)
Won (Buy) ........... Korea 3,642 3,401 August-1998 241
Yen (Buy) ........... Japan 278,991 292,368 July-1998 (13,377)
Yen (Sell) .......... Japan 39,369 39,875 July-1998 506
Yen (Buy) ........... Japan 38,285 38,510 August-1998 (225)
Yen (Sell) .......... Japan 3,642 3,657 August-1998 15
Yen (Sell) .......... Japan 95,766 93,964 September-1998 (1,802)
--------
$(19,496)
========
</TABLE>
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
JUNE 30, 1998 (Unaudited) FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note1A) (Identified Cost, $14,624,463
$22,483,775, $15,712,591 and $11,008,083 respectively) $15,212,785 $23,522,818 $16,766,708 $12,055,166
Foreign currency, (cost $15,370, $37,798, $51,260 and $53,851
respectively) at value 15,522 38,116 51,833 53,459
Cash 1,177 1,196 746 --
Receivable for securities sold 266,650 625,178 396,847 173,047
Receivable for forward contracts 34,919 29,334 28,326 11,690
Dividends receivable 5,367 15,759 16,098 19,705
Interest receivable 95,801 123,595 46,286 19,550
Receivable from sub-administrator (Note 6) 74,600 78,823 81,029 75,759
Variation margin receivable 1,536 794 534 --
Other assets 1,216 3,999 9,842 8,858
- --------------------------------------------------------------------------------------------------------------------------------
Total assets 15,709,573 24,439,612 17,398,249 12,417,234
- --------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 2,007,496 3,418,055 2,349,921 1,028,744
Payable for forward contracts 59,332 94,447 65,821 31,186
Payable for swap agreements 3,616 3,711 3,455 1,672
Accrued expenses and other liabilities 77,263 75,509 82,242 99,555
- --------------------------------------------------------------------------------------------------------------------------------
Total liabilities 2,147,707 3,591,722 2,501,439 1,161,157
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS for 1,260,938, 1,890,268, 1,360,433 and 999,222 shares,
respectively, of beneficial interest outstanding $13,561,866 $20,847,890 $14,896,810 $11,256,077
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital $12,700,875 $19,463,097 $13,617,489 $ 9,870,593
Overdistributed/undistributed net investment income 136,399 174,115 1,869 (12,258)
Accumulated net realized gain on investments 142,692 214,192 249,059 361,590
Unrealized appreciation of investments, forward currency contracts,
foreign currency, futures, swaps and other assets and liabilities 581,900 996,486 1,028,393 1,036,152
- --------------------------------------------------------------------------------------------------------------------------------
Total Net Assets $13,561,866 $20,847,890 $14,896,810 $11,256,077
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST $10.76 $11.03 $10.95 $11.26
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOR THE PERIOD ENDED JUNE 30, 1998 (Unaudited) FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (net of foreign tax of $0, $186, $0, and $0) (Note 1B) $202,668 $258,264 $118,005 $ 45,516
Dividends (net of foreign tax of $1,498, $4,287,
$6,003, and $7,869) 27,008 64,538 74,838 86,914
- --------------------------------------------------------------------------------------------------------------------------------
Total investment income 229,676 322,802 192,843 132,430
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Custodian fees and accounting fees 178,748 203,892 196,077 170,970
Management fees (Note 2) 41,898 65,917 49,737 41,395
Transfer agent fees 15,661 15,664 15,665 15,653
Audit fees 11,850 11,850 11,850 23,250
Legal fees 4,546 4,546 7,046 4,546
Shareholder reports 4,446 4,446 4,446 4,446
Trustees fees 3,938 4,004 3,950 3,938
Miscellaneous 6,617 8,759 7,107 6,673
- --------------------------------------------------------------------------------------------------------------------------------
Total expenses 267,704 319,078 295,878 270,871
- --------------------------------------------------------------------------------------------------------------------------------
Less aggregate amounts waived by the Manager (Note 2) (31,008) (44,130) (27,340) (20,439)
Less expenses assumed by the Sub-Administrator (Note 6) (183,633) (191,481) (185,687) (181,454)
================================================================================================================================
Net expenses 53,063 83,467 82,851 68,978
- --------------------------------------------------------------------------------------------------------------------------------
Net investment income 176,613 239,335 109,992 63,452
- --------------------------------------------------------------------------------------------------------------------------------
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 152,892 243,903 276,423 390,640
Net change in unrealized appreciation on investments, forward
currency contracts, foreign currency, futures, swaps and
other assets and liabilities 212,676 501,460 381,573 359,034
- --------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments
and foreign currency 365,568 745,363 657,996 749,674
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $542,181 $984,698 $767,988 $813,126
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE PERIOD
ENDED FEBRUARY 10, 1997* ENDED FEBRUARY 10, 1997*
JUNE 30, 1998 TO JUNE 30, 1998 T0
(unaudited) DECEMBER 31, 1997 (unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 176,613 $ 324,583 $ 239,335 $ 318,014
Net realized gain (loss) from investments, forward currency
contracts, foreign currency transactions and futures 152,892 149,835 243,903 201,298
Net change in unrealized appreciation of investments, forward
currency contracts, foreign currency, futures, swaps and other
assets and liabilities 212,676 369,224 501,460 495,026
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 542,181 843,642 984,698 1,014,338
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net income (9,865) (324,560) (5,599) (318,014)
Net realized gain on investments (12,330) (149,835) -- (201,298)
In excess of net income -- -- -- (256)
In excess of realized gain on investments -- (28,242) -- (89,076)
- --------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (22,195) (502,637) (5,599) (608,644)
- --------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 5,525,044 18,111,458 6,689,818 23,976,027
Net asset value of shares issued to shareholders from
reinvestment of distributions 22,195 502,637 5,599 608,644
Cost of shares repurchased (2,826,424) (8,634,035) (1,018,289) (10,798,702)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from transactions
in shares of beneficial interest 2,720,815 9,980,060 5,677,128 13,785,969
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 3,240,801 10,321,065 6,656,227 14,191,663
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 10,321,065 -- 14,191,663 --
- --------------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed (overdistributed)
net investment income of $136,399, ($30,349), $174,115
and ($59,621), respectively) $13,561,866 $10,321,065 $20,847,890 $14,191,663
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 400 CITISELECT(R) VIP FOLIO 500
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE PERIOD
ENDED FEBRUARY 10, 1997* ENDED FEBRUARY 10, 1997*
JUNE 30, 1998 TO JUNE 30, 1998 T0
(unaudited) DECEMBER 31, 1997 (unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 109,992 $ 203,026 $ 63,452 $ 134,213
Net realized gain (loss) from investments, forward currency
contracts, foreign currency transactions and futures 276,423 296,072 390,640 326,068
Net change in unrealized appreciation of investments, forward
currency contracts, foreign currency, futures and other
assets and liabilities 381,573 646,820 359,034 677,118
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 767,988 1,145,918 813,126 1,137,399
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net income (9,413) (203,026) (18,956) (134,213)
Net realized gain on investments -- (296,072) -- (326,068)
In excess of net income -- (64,623) -- (49,682)
In excess of realized gain on investments -- (61,451) -- (36,122)
- --------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (9,413) (625,172) (18,956) (546,085)
- --------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares 3,590,845 21,130,190 1,936,357 13,699,362
Net asset value of shares issued to shareholders from
reinvestment of distributions 9,413 625,172 18,956 546,085
Cost of shares repurchased (740,977) (10,997,154) (2,036,916) (4,293,251)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from transactions
in shares of beneficial interest 2,859,281 10,758,208 (81,603) 9,952,196
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 3,617,856 11,278,954 712,567 10,543,510
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 11,278,954 -- 10,543,510 --
- --------------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed (overdistributed)
net investment income of $1,869, $(98,710), $(12,258)
and $(56,754), respectively) $14,896,810 $11,278,954 $11,256,077 $10,543,510
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Commencement of Operations
See notes to financial statements
<PAGE>
CITISELECT(R)VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE PERIOD
ENDED FEBRUARY 10, 1997++ ENDED FEBRUARY 10, 1997++
JUNE 30, 1998 TO JUNE 30, 1998 T0
(unaudited) DECEMBER 31, 1997 (unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.25 $10.00 $10.38 $10.00
- --------------------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income 0.146 0.339 0.139 0.251
Net realized and unrealized gain (loss) on investment 0.382 0.436 0.514 0.609
- --------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.528 0.775 0.653 0.860
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.008) (0.339) (0.003) (0.251)
Net realized gain on investments (0.010) (0.157) -- (0.159)
In excess of net income -- -- -- --
In excess of realized gains on investments -- (0.029) -- (0.070)
- --------------------------------------------------------------------------------------------------------------------------------
Total distributions (0.018) (0.525) (0.003) (0.480)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.76 $10.25 $11.03 $10.38
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $13,562 $10,321 $20,848 $14,192
Ratio of expenses to average net assets 0.95% * 0.95% * 0.95% * 0.95% *
Ratio of net investment income to average net assets 3.14% * 3.43% * 2.70% * 3.00% *
Portfolio turnover rates 84% 231% 86% 241%
Total return 5.15% ** 7.79% ** 6.29% ** 8.65% **
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 $(0.024) $(0.006) $0.014 $(0.025)
RATIOS:
Expenses to average net assets 4.75% * 4.44% * 3.60% * 4.25% *
Net investment income (loss) to average net assets (0.66)% * (0.06)% * 0.05% * (0.30)% *
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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.
++ Commencement of Operations
See notes to financial statements
<PAGE>
CITISELECT(R)VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 400 CITISELECT(R) VIP FOLIO 500
- ---------------------------------------------------------------------------------------------------------------------------------
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE PERIOD
ENDED FEBRUARY 10, 1997++ ENDED FEBRUARY 10, 1997++
JUNE 30, 1998 TO JUNE 30, 1998 T0
(unaudited) DECEMBER 31, 1997 (unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.28 $10.00 $10.48 $10.00
- --------------------------------------------------------------------------------------------------------------------------------
Income from Operations:
Net investment income 0.098 0.212 0.063 0.148
Net realized and unrealized gain (loss) on investment 0.579 0.701 0.736 0.917
- --------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.677 0.913 0.799 1.065
- --------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.007) (0.206) (0.019) (0.144)
Net realized gain on investments -- (0.300) -- (0.349)
In excess of net income -- (0.065) -- (0.053)
In excess of realized gains on investments -- (0.062) -- (0.039)
- --------------------------------------------------------------------------------------------------------------------------------
Total distribution (0.007) (0.633) (0.019) (0.585)
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.95 $10.28 $11.26 $10.48
- --------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) $14.897 $11,279 $11.256 $10,544
Ratio of expenses to average net assets 1.25% * 1.25% * 1.25% * 1.25% *
Ratio of net investment income to average net assets 1.65% * 2.03% * 1.14% * 1.45% *
Portfolio turnover rates 129% 230% 54% 134%
Total return 6.59% ** 9.22% ** 7.63% ** 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 $(0.058) $(0.124) $(0.139) $(0.186)
Ratios:
Expenses to average net assets 4.43% * 4.46% * 4.87% * 4.52% *
Net investment (loss) to average net assets (1.53)% * (1.18)% * (2.48)% * (1.82)% *
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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.
++ Commencement of Operations
See notes to financial statements
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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 U.S. 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. Swap Agreements -- To the extent permitted under respective investment
policies, the Portfolio may invest in swap agreements which involve the exchange
of cash payments based on the specified terms and conditions of such agreements.
A swap is an agreement to exchange the return generated by one instrument for
the return generated by another instrument. The value of each swap is determined
by the counterparty to the swap agreement using a methodology which discounts
the expected future cash receipts or disbursements related to the swap. The
Portfolio may also enter into interest rate swap agreements which involve the
exchange by the Portfolio with another party of their respective commitments to
pay or receive interest, e.g., an exchange of floating rate payments for fixed
rate payments with respect to notional amount of principal. Interest rate swaps
are marked to market daily. Unrealized gains or losses are reported as an asset
or a liability in the Statement of Assets and Liabilities. The cash paid or
received on a swap is recognized as a realized loss or gain when such payment is
paid or received.
Entering into swap agreements involves, to varying degrees, elements of
credit risk, market risk, and interest rate risk in excess of the amount
recognized in the Statement of Assets and Liabilities. Such risks involve the
possibility that there is not a liquid market for these agreements, that the
counterparty to the agreements may default on its obligation to perform and that
there may be unfavorable changes in market conditions or interest rates.
J. 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.
K. Beneficial Interest -- At June 30, 1998, insurance companies or their
separate accounts were the record owners of all the shares of each Fund. (See
note 5.)
L. 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.
M. 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. Citibank is a
wholly-owned subsidiary of Citicorp. Citicorp recently announced its intentions
to merge with The Travelers Group. Completion of the merger is subject to the
satisfaction of certain conditions.
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 $41,898, $65,917, $49,737 and $41,395, respectively, of
which $31,008, $44,130, $27,340 and $20,439, respectively were voluntarily
waived for the six months ended June 30, 1998. 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 six months ended June 30, 1998, were as
follows:
PURCHASES SALES
- --------------------------------------------------------------------------------
CitiSelect(R) VIP Folio 200 $ 9,374,071 $ 7,585,085
CitiSelect(R) VIP Folio 300 $19,748,528 $13,599,654
CitiSelect(R) VIP Folio 400 $18,860,109 $15,804,567
CitiSelect(R) VIP Folio 500 $ 5,909,773 $ 5,637,354
- --------------------------------------------------------------------------------
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at June 30, 1998, as
computed on a federal income tax basis, are as follows:
CITISELECT(R) VIP FOLIO 200
- --------------------------------------------------------------------------------
Aggregate Cost $14,624,463
Gross unrealized appreciation $ 932,634
Gross unrealized depreciation (344,312)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 588,322
- --------------------------------------------------------------------------------
CITISELECT(R) VIP FOLIO 300
- --------------------------------------------------------------------------------
Aggregate Cost $22,483,775
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,712,842
- --------------------------------------------------------------------------------
Gross unrealized depreciation (673,799)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 1,039,043
- --------------------------------------------------------------------------------
CITISELECT(R) VIP FOLIO 400
- --------------------------------------------------------------------------------
Aggregate Cost $15,712,591
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,844,834
- --------------------------------------------------------------------------------
Gross unrealized depreciation (790,717)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 1,054,117
- --------------------------------------------------------------------------------
CITISELECT(R) VIP FOLIO 500
- --------------------------------------------------------------------------------
Aggregate Cost $11,008,083
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,819,659
- --------------------------------------------------------------------------------
Gross unrealized depreciation (772,576)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 1,047,083
- --------------------------------------------------------------------------------
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:
SIX MONTHS
ENDED
JUNE 30, 1998 YEAR ENDED
CITISELECT(R) VIP FOLIO 200 (UNAUDITED) DECEMBER 31, 1997
- --------------------------------------------------------------------------------
Shares sold 517,122 1,779,423
Shares reinvested 2,072 49,423
Shares repurchased (265,079) (822,023)
- --------------------------------------------------------------------------------
Net increase 254,115 1,006,823
- --------------------------------------------------------------------------------
CITISELECT(R) VIP FOLIO 300
- --------------------------------------------------------------------------------
Shares sold 616,155 2,343,967
Shares reinvested 510 59,206
Shares repurchased (93,386) (1,036,184)
- --------------------------------------------------------------------------------
Net increase 523,279 1,366,989
- --------------------------------------------------------------------------------
CITISELECT(R) VIP FOLIO 400
- --------------------------------------------------------------------------------
Shares sold 330,241 2,073,367
Shares reinvested 868 61,714
Shares repurchased (68,016) (1,037,741)
- --------------------------------------------------------------------------------
Net increase 263,093 1,097,340
- --------------------------------------------------------------------------------
CITISELECT(R) VIP FOLIO 500
- --------------------------------------------------------------------------------
Shares sold 173,944 1,351,914
Shares reinvested 1,703 53,069
Shares repurchased (182,600) (398,808)
Net increase (decrease) (6,953) 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 six months ended June 30, 1998. The amounts are as follows:
CitiSelect(R) VIP Folio 200 $183,633
CitiSelect(R) VIP Folio 300 $191,481
CitiSelect(R) VIP Folio 400 $185,687
CitiSelect(R) VIP Folio 500 $181,454
<PAGE>
CITIFUNDS(SM)
- -------------
Small Cap Growth
VIP Portfolio
SEMI-ANNUAL REPORT
JUNE 30, 1998
We are pleased to present this semi-annual report for the CitiFunds(SM) Small
Cap Growth VIP Portfolio. The report covers the period from January 1, 1998 to
June 30, 1998. During that time, the Funds' investment manager, Citibank, N.A.,
has been busy putting your variable annuity insurance assets to work to help you
reach your long-term financial goals.
Among the highlights of the reporting period, your Fund has changed its name
to CitiFunds(SM) Small Cap Growth VIP Portfolio. In addition, as you have
probably heard, Citicorp recently announced its intention to merge with The
Travelers Group. The completion of the merger is subject to the satisfaction of
certain conditions. As necessary, we will provide you with information that
specifically affects the fund. Thank you for your participation. We look forward
to serving your variable annuity investment needs in the months and years ahead.
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
RETURNS FROM SMALL-CAPITALIZATION GROWTH STOCKS WERE MIXED during the
six-month period, rebounding in the first four months of 1998 before declining
sharply in May. Although almost all sectors of the U.S. stock market suffered
set-backs in May, small-cap stocks declined more sharply than
large-capitalization stocks. Small company returns were essentially flat in
June.
The relative underperformance of small-cap stocks is contrary to long-term
historical trends, in which smaller companies have outperformed their larger
counterparts(1). Why have the past few years been different? Investors have
shown a preference for well established companies with track records of
consistent growth and ready liquidity in the financial markets.
For example, small-cap stocks were particularly hard-hit by the Asian
financial crisis during the final months of last year, and again in May when new
concerns arose about Asia's markets and economies. This was true even though
most U.S. small companies derive their revenues from domestic sources, not from
overseas markets, and are unlikely to be directly affected by the events in
Asia. Small-cap stocks declined because a "flight to quality" resulted from the
Asian turmoil, and investors flocked toward highly liquid blue-chip stocks
regardless of small-cap stocks' sound fundamentals.
THE PORTFOLIO HAS TAKEN THIS OPPORTUNITY TO FIND ATTRACTIVE INVESTMENTS in
fast-growing, small companies. Over the last six months, we have established a
number of new positions, increasing the number of companies in the portfolio
from about 60 to approximately 70. As always, we identified these new holdings
using our disciplined, "bottom up" investment approach. We look for high-quality
growth companies with talented management teams, strong market positions and
conservative accounting standards.
Unlike some stock funds, we do not attempt to achieve a predetermined balance
among industries or market sectors within the portfolio. Instead, we look at
individual companies one by one, buying those that meet our growth criteria,
regardless of their industry affiliations. We do, however, track our industry
concentrations in order to avoid overexposing the portfolio to any one market
sector.
WE BELIEVE THAT MANY SMALL-CAP GROWTH STOCKS ARE ATTRACTIVELY VALUED by
historical standards. While the longstanding rally of large-cap stocks has
propelled their valuations to the high end of their historic range, small-cap
stocks are trading near the low end of their range relative to large-cap stocks.
In our view, the valuation gap will narrow as small-cap stocks advance over time
and potentially outperform large-cap stocks.
What's more, we expect small-cap growth stocks to benefit from a confluence
of positive forces. In addition to more attractive valuations, small-cap
companies' earnings have grown at a faster average rate than large-cap companies
since the second quarter of 1997(2). Also, a strong U.S. dollar relative to
other currencies traditionally helps small companies with primarily domestic
markets.
When will prices of small-cap stocks begin to rise? It is impossible to
predict the exact timing of market movements. However, in a market environment
where a strong U.S. dollar and falling Asian demand are slowing large-company
growth, we believe investor sentiment will switch to high-quality small-cap
issuers that demonstrate consistent revenue and earnings growth.
(1) Source: Ebbotson Associates
(2) Source: Citibank, N.A.
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
SINCE
SIX ONE 2/10/97
ALL PERIODS ENDED JUNE 30, 1998 (Unaudited) MONTHS* YEAR INCEPTION
- --------------------------------------------------------------------------------
CitiFunds Small Cap Growth VIP Portfolio 11.42% 18.73% 17.43%
Russell 2000(R)Index ................... 4.93% 16.51% 19.30%
*Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$12,490 (as of 6/30/98). The graph shows how the Fund compares to our benchmarks
over the same period.
CitiSelect
Small Cap
Equity VIP Russell 2000
Portfolio Index
2/10/97 $10,000 $10,000
2/28/97 9,550 9,897
3/31/97 9,050 9,429
4/30/97 8,730 9,456
5/31/97 10,000 10,507
6/30/97 10,520 10,958
7/31/97 10,860 11,468
8/31/97 11,020 11,730
9/30/97 11,960 12,589
10/31/97 11,350 12,036
11/30/97 11,240 11,958
12/31/97 11,210 12,167
1/31/98 10,860 11,975
2/28/98 12,120 12,861
3/31/98 12,860 13,391
4/30/98 12,760 13,465
5/31/98 11,710 12,739
6/30/98 12,490 12,766
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>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS June 30, 1998
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.5%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 24.5%
- --------------------------------------------------------------------------------
AHL Services Inc.* 1,505 $ 59,259
Abacus Direct Corp.* 1,830 95,046
Cultural Access World Wide* 1,830 17,842
Lamar Advertising Co.* 2,742 98,369
Metro Networks Inc.* 1,145 49,378
Metzler Group Inc.* 1,345 49,261
NFO Research Inc.* 2,287 40,737
Probusiness Services Inc.* 1,130 52,828
Professional Detailing Inc.* 1,410 35,074
Profit Recovery Group* 2,340 65,374
Rental Services Corp.* 2,785 93,646
Romac International Inc.* 1,555 47,233
Suiza Foods Corp.* 1,225 73,117
Wilmar Industries Inc.* 1,570 40,035
-----------
817,199
-----------
COMMODITIES & PROCESSING -- 3.3%
- --------------------------------------------------------------------------------
ITEQ Inc.* 3,650 27,147
Om Group Inc. 1,475 60,844
Synthetic Industries Inc.* 1,475 21,480
-----------
109,471
-----------
CONSUMER DURABLE -- 4.1%
- --------------------------------------------------------------------------------
American Italian Pasta Co.* 1,110 41,348
Beringer Wine Estates Holdings* 965 42,520
Tower Automotive Inc.* 1,235 52,951
-----------
136,819
-----------
CONSUMER SERVICES -- 10.6%
- --------------------------------------------------------------------------------
Central Packing Corp. 1,852 84,266
Gray Communications Systems Inc.* 1,850 57,119
Heftel Broadcasting Corp.* 1,315 58,846
Premier Parks Inc.* 1,590 105,934
SFX Entertainment Inc. 985 45,187
-----------
351,352
-----------
ELECTRONICS/TECHNOLOGY
SERVICES -- 16.5%
- --------------------------------------------------------------------------------
Anicom Inc.* 700 10,412
CD Now Inc.* 1,190 23,949
ETEC Systems Inc.* 1,025 36,067
Harbinger Corp.* 1,747 42,256
Inacom Corp.* 1,575 50,006
Lernout & Hauspie Speech Products* 1,445 86,248
PC Connection Inc.* 670 10,218
QAD Inc.* 3,095 27,855
Renaissance Worldwide Inc.* 2,950 64,162
Sapient Corp.* 825 43,519
Sipex Corp.* 1,740 37,410
Tier Technologies Inc.* 2,105 37,495
Whittman - Hart Inc.* 1,645 79,577
-----------
549,174
-----------
ENERGY/MINERAL -- 3.3%
- --------------------------------------------------------------------------------
Forcenergy Gas Exploration* 2,190 39,009
Key Energy Group Inc.* 2,265 29,728
Lomak Petroleum Inc. 4,075 42,533
-----------
111,270
-----------
FINANCE -- 11.0%
- --------------------------------------------------------------------------------
Executive Risk Inc. 1,230 90,712
First Republic Bank, San Francisco* 945 34,138
Litchfield Financial Corp. 945 19,845
Medallion Financial Corp. 1,770 48,675
Metris Companies Inc. 1,510 96,263
Sirrom Capital Corp. 2,975 77,350
-----------
366,983
-----------
HEALTH SERVICES/TECHNOLOGY -- 10.4%
- --------------------------------------------------------------------------------
Concentra Managed Care Inc.* 1,865 48,490
Henry Schein Inc.* 1,300 59,962
Human Genome Sciences Inc.* 1,600 57,100
Parexel International Corp.* 1,600 58,200
Somnus Medical Technologies* 1,770 14,492
Total Renal Care Holdings Inc. 2,151 74,209
Viropharma Inc.* 1,475 34,294
-----------
346,747
-----------
INDUSTRIAL SERVICES -- 3.1%
- --------------------------------------------------------------------------------
American Disposal Services Inc.* 1,100 51,563
Service Experts Inc. 1,120 38,640
Waste Connections Inc. 665 13,217
-----------
103,420
-----------
PRODUCER MANUFACTURING -- 0.9%
- --------------------------------------------------------------------------------
Ha Lo Industrials Inc.* 915 28,479
-----------
RETAIL TRADE -- 6.0%
- --------------------------------------------------------------------------------
CDW Computer Centers Inc.* 1,215 60,750
Men's Wearhouse Inc.* 2,017 66,561
Whole Foods Market Inc.* 1,190 71,995
-----------
199,306
-----------
TRANSPORTATION -- 3.8%
- --------------------------------------------------------------------------------
Eagle USA Airfreight Inc.* 2,380 82,556
Hub Group Inc.* 530 11,196
United Road Services Inc. 1,650 31,556
-----------
125,308
-----------
TOTAL COMMON STOCKS
(Identified Cost $2,490,200) $3,245,528
-----------
SHORT-TERM OBLIGATION -- 3.3%
- --------------------------------------------------------------------------------
State Street Bank Repurchase
Agreement 2.00% due
7/01/98 proceeds at maturity
$109,006 (collateralized by
$112,350 U.S. Treasury Note
9.125% due 5/15/18) 109,000
-----------
TOTAL INVESTMENTS
(Identified Cost
$2,599,200) 100.8% 3,354,528
OTHER ASSETS,
Less Liabilities (0.8) (26,053)
----- -----------
Net Assets 100.0% $ 3,328,475
===== ===========
*Non-income Producing
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
ASSETS:
Investments at value (Note 1A) (Identified Cost, $2,599,200) $3,354,528
Cash 806
Receivable for securities sold 3,893
Receivable for shares of beneficial interest sold 3,000
Dividends and interest receivable 34
Receivable from the Sub-Administrator 21,351
- --------------------------------------------------------------------------------
Total assets 3,383,612
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 7,470
Payable for shares of beneficial interest repurchased 3,000
Accrued expenses and other liabilities 44,667
- --------------------------------------------------------------------------------
Total liabilities 55,137
- --------------------------------------------------------------------------------
NET ASSETS for 266,424 shares of beneficial interest outstanding $3,328,475
- --------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital $2,590,917
Overdistributed net investment income (10,924)
Unrealized appreciation of investments 755,328
Accumulated net realized loss on investments (6,846)
- --------------------------------------------------------------------------------
Total $3,328,475
- --------------------------------------------------------------------------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST $ 12.49
- --------------------------------------------------------------------------------
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (Note 1B):
Dividend income $ 2,820
Interest income 632
- --------------------------------------------------------------------------------
$ 3,452
- --------------------------------------------------------------------------------
EXPENSES:
Custody and fund accounting fees 36,169
Transfer agent fees 15,633
Management fees (Note 2) 11,983
Audit fees 6,850
Shareholder reports 4,810
Legal fees 4,560
Trustees fees 3,529
Registration fees 801
Miscellaneous 2,028
- --------------------------------------------------------------------------------
Total expenses 86,363
Less expenses assumed by the Sub-Administrator (Note 6) (60,004)
Less aggregate amount waived by the Manager (Note 2) (11,983)
Net expenses 14,376
- --------------------------------------------------------------------------------
Net investment loss (10,924)
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments 163,490
Net change in unrealized appreciation from investments 196,428
- --------------------------------------------------------------------------------
Net realized and unrealized gain on investments 359,918
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $348,994
- --------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS FEBRUARY 10, 1997
ENDED (COMMENCEMENT
JUNE 30, 1998 OF OPERATIONS) TO
(Unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss $ (10,924) $ (13,699)
Net realized gain (loss) on investments 163,490 (170,336)
Net change in unrealized appreciation
from investments 196,428 558,900
- --------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 348,994 374,865
- --------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (Note 5):
Net proceeds from sale of shares 757,618 3,994,408
Cost of shares repurchased (869,488) (1,277,922)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from transactions in shares of beneficial
interest (111,870) 2,716,486
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS: 237,124 3,091,351
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 3,091,351 --
- --------------------------------------------------------------------------------
End of period $3,328,475 $3,091,351
- --------------------------------------------------------------------------------
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS FEBRUARY 10, 1997
ENDED (COMMENCEMENT
JUNE 30, 1998 OF OPERATIONS) TO
(Unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------
Net Asset Value, beginning of period $11.21 $10.00
- --------------------------------------------------------------------------------
Income From Operations:
Net investment loss (0.04) (0.05)+
Net realized and unrealized gain on investments 1.32 1.26
- --------------------------------------------------------------------------------
Total from operations 1.28 1.21
- --------------------------------------------------------------------------------
Net Asset Value, end of period $12.49 $11.21
- --------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $3,328 $3,091
Ratio of expenses to average net assets 0.90%* 0.90%*
Ratio of net investment loss to average net assets (0.68)%* (0.49)%*
Portfolio turnover 23% 113%
Total return 11.42%** 12.10%**
Note: If Agents of the Fund had not voluntarily waived a portion of their fees,
and assumed Fund expenses for the periods indicated, the net investment loss per
share and the ratios would have been as follows:
Net investment loss per share $(0.27) $(0.52)
Ratios:
Expenses to average net assets 5.41%* 5.50%*
Net investment loss to average net assets (5.19)%* (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>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES The CitiFunds Small Cap Growth VIP Portfolio
(the "Portfolio"), 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 June 30, 1998, 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. Citibank is a
wholly-owned subsidiary of Citicorp. Citicorp recently announced its intentions
to merge with The Travelers Group. Completion of the merger is subject to the
satisfaction of certain conditions.
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 $11,983, all
of which was voluntarily waived for the six months ended June 30, 1998.
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other
than short-term obligations, aggregated $842,428 and $720,891, respectively, for
the six months ended June 30, 1998.
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at June 30, 1998 as
computed on a federal income tax basis, are as follows:
Aggregate cost $2,599,200
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 951,427
Gross unrealized depreciation (196,099)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 755,328
- --------------------------------------------------------------------------------
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:
SIX MONTHS FEBRUARY 10, 1997
ENDED (COMMENCEMENT
JUNE 30, 1998 OF OPERATIONS) TO
(Unaudited) DECEMBER 31, 1997
- --------------------------------------------------------------------------------
Shares sold 63,003 396,702
Shares repurchased (72,233) (121,048)
- --------------------------------------------------------------------------------
Net (decrease) increase (9,230) 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 six months ended June 30, 1998, which
amounted to $60,004.
