CITISELECT(R) VIP PORTFOLIOS
----------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1999
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
CITISELECT(R) VIP FOLIO 300 BALANCED
CITISELECT(R) VIP FOLIO 400 GROWTH
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
This semi-annual report covers the period from January 1, 1999 to June 30, 1999.
The CitiSelect VIP Portfolios' investment manager, Citibank, N.A., discusses the
market conditions it faced, the strategies it employed and its outlook for the
future.
ANNOUNCING SOME IMPORTANT PORTFOLIO CHANGES
The Fund's manager is pleased to report that all proposals presented at the
Special Meeting of Shareholders held on Friday, April 9, 1999, were voted upon,
passed and adopted. These proposals included the appointment of two new
subadvisers. Atable showing the results of the shareholder votes by proposal
appears in Note 7 of the Notes to Financial Statements of this report.
Effective January 22, 1999, SSBC Fund Management Inc., formerly known as Mutual
Management Corp., assumed portfolio management responsibilities for the large
cap value asset class. Effective March 1, 1999, Salomon Brothers Asset
Management Limited assumed portfolio management responsibilities for the foreign
government securities asset class. These subadvisers were selected after
rigorous and careful analysis of their respective investment processes and track
records.
In addition, on May 1, 1999, changes were implemented in the Portfolios' asset
allocation mixes. For example, money market securities were eliminated as a
separate asset class in order to increase the Portfolios' potential in rising
securities markets. Furthermore, high yield fixed-income securities was added as
an asset class to increase the Portfolio's potential for current income over the
near term and attractive total return potential over the longer term. Salomon
Brothers Asset Management Inc. was appointed sub-adviser for the high yield
fixed-income portion of the Portfolios.
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
All of these changes reflect the manager's commitment to providing
shareholders with a series of fully invested asset allocation funds offering
world-class portfolio management in each of their respective asset classes. SSBC
Fund Management Inc., Salomon Brothers Asset Management Limited and Salomon
Brothers Asset Management Inc. are subsidiaries of Salomon Smith Barney and
affiliates of Citibank, N.A.
Thank you for your continuing participation in CitiSelect VIP Portfolios. We
look forward to helping you pursue your long-term investment needs in the years
ahead.
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE SIX MONTH PERIOD ENDED JUNE 30, 1999 SAW A CONTINUATION OF THE STRONG
ECONOMIC CONDITIONS THAT HAVE PREVAILED IN THE UNITED STATES FOR MORE THAN SEVEN
YEARS. Lower short-term interest rates adopted by the Federal Reserve Board in
the fall of 1998 appear to have helped U.S. businesses withstand the effects of
the global credit and currency crisis, which began in Asia in 1997 and spread to
Russia and parts of Latin America in 1998. U.S. consumer spending remained high,
unemployment was low and inflationary pressures continued to be virtually
absent.
Economies in most overseas markets also appear to have improved. Lower
short-term interest rates adopted by central banks worldwide seem to have helped
many nations prevent further economic deterioration. This was especially evident
in Japan, Asia, Latin America and Eastern Europe, which had previously borne the
brunt of the global currency and credit crisis. While economic growth moderated
in the industrialized economies of Western Europe, stimulative monetary policy
has helped the overall trend there remain positive.
THESE ECONOMIC CONDITIONS PRODUCED GENERALLY GOOD RESULTS OVER THE PAST SIX
MONTHS FOR THE EIGHT DISTINCT ASSET CLASSES IN WHICH THE CITISELECT VIP
PORTFOLIOS INVEST. Over the first half of the reporting period, the stock
market's advance was remarkably narrow, led by a relatively small number of
large-cap growth and technology companies in the United States. In the U.S.,
large-cap value stocks and virtually all sectors of the small-cap market except
technology produced lackluster results. Foreign stocks also provided widely
disparate returns during this time. U.S. Treasury securities, which had rallied
strongly last summer when the stock market and other bond market sectors
declined sharply, gave back some of their gains. Other types of bonds did
better, however, as investors shifted assets back into sectors they had
previously avoided, including corporate bonds, mortgage-backed securities,
asset-backed securities and foreign bonds.
During the second half of the reporting period, investor sentiment changed
dramatically, causing a change in leadership within the financial markets. When
evidence emerged that economies worldwide were stronger than many analysts
expected, investors turned to investments that tend to do well in an economic
expansion. As a result, prices of stocks that had languished for several years
began to show signs of renewed strength. Cyclical companies, such as energy and
commodities producers, saw their stock prices rise. Value-oriented companies,
which generally sell at low prices relative to earnings, began to outperform
growth companies for the first time in several years. And small-cap stocks began
a long-awaited recovery.
In international stock markets, a gradual return of capital to previously
illiquid markets led to higher stock prices in Japan and most emerging markets.
In Europe, a decline in the value of the newly introduced currency, the Euro,
contributed to relative weakness in some major stock markets. Others, such as
the United Kingdom, performed relatively well.
Prices of most fixed-income securities generally declined in an environment
of higher interest rates. In fact, the Federal Reserve Board reversed the
direction of U.S. monetary policy, raising short-term interest rates modestly on
June 30, 1999. This move was intended to help forestall a potential resurgence
of inflation.
DURING THE REPORTING PERIOD, EACH CITISELECT(R) VIP PORTFOLIO PROVIDED
RETURNS WITHIN A CORRESPONDING LEVEL OF RISK, AS ORIGINALLY DESIGNED. For
example, CitiSelect VIP Folio 500 produced both the highest absolute returns and
the highest levels of short-term volatility, followed by CitiSelect VIP Folio
400 and CitiSelect VIP Folio 300. CitiSelect VIP Folio 200 provided the lowest
returns and volatility. When most financial markets experienced difficulty
during the first six months of 1999 the most conservative of the CitiSelect VIP
Portfolios provided the greatest protection of investment capital. When the
financial markets' advance broadened during the second half of the reporting
period, the more aggressive portfolios provided the highest returns.
LOOKING FORWARD, WE EXPECT ECONOMIC STRENGTH WORLDWIDE TO CONTINUE TO SUPPORT
THE BROAD-BASED MARKET TRENDS THAT BEGAN IN APRIL. Historically, when cyclical
companies begin to outperform growth companies, the change tends to persist for
more than just a short amount of time. In addition, the managers have recently
seen some possible evidence that small-cap and value-oriented stocks may be
poised for improved performance in the foreseeable future.
ACCORDING TO THE MANAGERS, THE CITISELECT VIP PORTFOLIOS' DIVERSIFIED
INVESTMENT APPROACH PROVIDES AN EFFECTIVE AND CONVENIENT WAY FOR SHAREHOLDERS TO
PARTICIPATE IN THE EMERGENCE OF NEW MARKET LEADERSHIP. By the same token, broad
diversification among asset classes should enable CitiSelect VIP shareholders to
partially cushion the effects of any short-term market turbulence.
<PAGE>
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1999 (Unaudited)
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
--------- ----- ---------
CitiSelect(R)VIP Folio 200 Conservative .... 0.41% 2.49% 6.49%
Composite Benchmark+ ....................... 1.81% 7.57% 9.94%
================================================================================
* Average Annual Total Return.
** Not Annualized.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,617 (as of 6/30/99). The graph shows how the Fund compares to its benchmarks
over the same period.
[The following table represents a chart in the printed piece.]
LEHMAN BROTHERS
INTERMEDIATE
CITISELECT GOVERNMENT/
VIP FOLIO CORPORATE S&P
200 BOND INDEX** 500 INDEX* COMPOSITE
CONSERVATIVE (UNMANAGED) (UNMANAGED) BENCHMARK
Feb-97 10000 10000 10000 10000
Mar-97 9902 9666 9826 9810
Apr-97 10018 10242 9916 9830
May-97 10101 10868 10312 10210
Jun-97 10193 11351 10532 10430
Jul-97 10400 12254 10748 10620
Aug-97 10348 11567 10660 10590
Sep-97 10468 12200 10987 10920
Oct-97 10584 11793 10907 10790
Nov-97 10607 12339 10926 10780
Dec-97 10692 12551 10997 10779
Jan-98 10832 12689 11074 10790
Feb-98 10823 13604 11391 11137
Mar-98 10858 14301 11549 11326
Apr-98 10912 14447 11656 11389
May-98 10992 14198 11556 11263
Jun-98 11062 14774 11653 11334
Jul-98 11101 14618 11521 11113
Aug-98 11275 12504 10982 10544
Sep-98 11558 13306 11423 10871
Oct-98 11547 14386 11801 11166
Nov-98 11546 15258 11990 11282
Dec-98 11592 16138 12312 11569
Jan-99 11674 16680 12398 11580
Feb-99 11470 16162 12045 11224
Mar-99 11533 16808 12221 11335
Apr-99 11570 17459 12537 11580
May-99 11468 17047 12395 11480
Jun-99 11431 17993 12535 11616
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.
<PAGE>
+ 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 (10%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (40%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (10%); Salomon Bros.
High Yield Bond -- High Yield (20%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
Components of the Composite Benchmark may change at any time.
* The Standard and Poor's 500 Index (S&P 500)(R) is a widely recognized
unmanaged index of the prices of 500 widely held U.S. stocks that includes
reinvestment of dividends and capital gains.
** The Lehman Brothers Intermediate Government/Corporate Bond Index is a broad
measure of the performance of U.S. Government bondsintermediate (one to ten
year) government and corporate fixed rate debt issues.
<PAGE>
CITISELECT(R) VIP FOLIO 300 BALANCED
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1999 (Unaudited)
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
--------- ----- ---------
CitiSelect(R)VIP Folio 300 Balanced ....... 1.65% 2.43% 7.30%
Composite Benchmark+ ...................... 3.45% 9.25% 12.13%
================================================================================
* Average Annual Total Return.
** Not Annualized.
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,829 (as of 6/30/99). The graph shows how the Fund compares to its benchmarks
over the same period.
[The following table represents a chart in the printed piece.]
LEHMAN BROTHERS
INTERMEDIATE
GOVERNMENT/
CORPORATE S&P CITISELECT VIP
BOND INDEX** 500 INDEX* COMPOSITE FOLIO 300
(UNMANAGED) (UNMANAGED) BENCHMARK BALANCED
Feb-97 10000 10000 10000 10000
Mar-97 9902 9666 9775 9750
Apr-97 10018 10242 9890 9780
May-97 10101 10868 10399 10250
Jun-97 10193 11351 10688 10520
Jul-97 10400 12254 10976 10770
Aug-97 10348 11567 10820 10700
Sep-97 10468 12200 11244 11110
Oct-97 10584 11793 11069 10890
Nov-97 10607 12339 11098 10890
Dec-97 10692 12551 11187 10865
Jan-98 10832 12689 11281 10917
Feb-98 10823 13604 11716 11346
Mar-98 10858 14301 11943 11597
Apr-98 10912 14447 12060 11660
May-98 10992 14198 11903 11472
Jun-98 11062 14774 12025 11548
Jul-98 11101 14618 11832 11255
Aug-98 11275 12504 10997 10407
Sep-98 11558 13306 11493 10763
Oct-98 11547 14386 11996 11129
Nov-98 11546 15258 12280 11297
Dec-98 11592 16138 12699 11636
Jan-99 11674 16680 12812 11636
Feb-99 11470 16162 12355 11189
MAr-99 11533 16808 12587 11342
Apr-99 11570 17459 13015 11658
May-99 11468 17047 12866 11560
Jun-99 11431 17993 13137 11829
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 (10%); Salomon Bros.
High Yield Bond -- High Yield (15%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
Components of the Composite Benchmark may change at any time.
* The Standard and Poor's 500 Index (S&P 500)(R) is a widely recognized
unmanaged index of the prices of 500 widely held U.S. stocks that includes
reinvestment of dividends and capital gains.
** The Lehman Brothers Government Bond Index is a broad measure of the
performance of U.S. Government bonds.
<PAGE>
CITISELECT(R) VIP FOLIO 400 GROWTH
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1999 (Unaudited)
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
--------- ----- ---------
CitiSelect(R)VIP Folio 400 Growth .......... 3.46% 0.39% 6.76%
Composite Benchmark+ ....................... 4.95% 9.38% 13.32%
================================================================================
* Average Annual Total Return.
** Not Annualized.
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,687 (as of 6/30/99). The graph shows how the Fund compares to its benchmarks
over the same period.
[The following table represents a chart in the printed piece.]
LEHMAN BROTHERS
INTERMEDIATE
GOVERNMENT/
CORPORATE S&P
BOND INDEX** 500 INDEX* COMPOSITE CITISELECT VIP
(UNMANAGED) (UNMANAGED) BENCHMARK FOLIO 400 GROWTH
Feb-97 10000 10000 10000 10000
Mar-97 9902 9666 9747 9730
Apr-97 10018 10242 9846 9670
May-97 10101 10868 10513 10290
Jun-97 10193 11351 10889 10640
Jul-97 10400 12254 11207 10920
Aug-97 10348 11567 11001 10820
Sep-97 10468 12200 11549 11360
Oct-97 10584 11793 11205 10990
Nov-97 10607 12339 11210 10960
Dec-97 10692 12551 11312 10922
Jan-98 10832 12689 11412 10901
Feb-98 10823 13604 12012 11496
Mar-98 10858 14301 12323 11847
Apr-98 10912 14447 12449 11921
May-98 10992 14198 12196 11613
Jun-98 11062 14774 12317 11642
Jul-98 11101 14618 12024 11185
Aug-98 11275 12504 10756 9877
Sep-98 11558 13306 11240 10132
Oct-98 11547 14386 11898 10653
Nov-98 11546 15258 12303 10908
Dec-98 11592 16138 12837 11296
Jan-99 11674 16680 12943 11218
Feb-99 11470 16162 12393 10710
Mar-99 11533 16808 12681 10920
Apr-99 11570 17459 13269 11406
May-99 11468 17047 13073 11317
Jun-99 11431 17993 13472 11686
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 (25%); Russell 2000 Index --
Small Cap Stocks (25%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (10%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (10%); Salomon Bros.
High Yield Bond -- High Yield (10%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
Components of the Composite Benchmark may change at any time.
* The Standard and Poor's 500 Index (S&P 500)(R) is a widely recognized
unmanaged index of the prices of 500 widely held U.S. stocks that includes
reinvestment of dividends and capital gains.
** The Lehman Brothers Government Bond Index is a broad measure of the
performance of U.S. Government bonds.
<PAGE>
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 1999 (Unaudited)
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
--------- ----- ---------
CitiSelect(R)VIP Folio 500 Growth Plus .... 5.54% (0.37)% 7.48%
Composite Benchmark+ ...................... 6.64% 9.13% 14.36%
================================================================================
* Average Annual Total Return.
** Not Annualized.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,876 (as of 6/30/99). The graph shows how the Fund compares to its benchmarks
over the same period.
[The following table represents a chart in the printed piece.]
SALOMON NON-$
WORLD
GOVERNMENT
BOND MSCI EAFE CITISELECT VIP
INDEX** INDEX* COMPOSITE FOLIO 500
(UNMANAGED) (UNMANAGED) BENCHMARK GROWTH PLUS
Feb-97 10000 10000 10000 10000
Mar-97 9902 9590 9749 9710
Apr-97 10018 10162 9868 9650
May-97 10101 10782 10617 10380
Jun-97 10193 11262 11060 10810
Jul-97 10400 12158 11444 11170
Aug-97 10348 11477 11160 11020
Sep-97 10468 12105 11786 11610
Oct-97 10584 11700 11285 11110
Nov-97 10607 12242 11304 11130
Dec-97 10692 12453 11433 11076
Jan-98 10832 12590 11562 11034
Feb-98 10823 13497 12272 11773
Mar-98 10858 14189 12672 12217
Apr-98 10912 14333 12783 12281
May-98 10992 14087 12481 11911
Jun-98 11062 14659 12617 11920
Jul-98 11101 14503 12275 11359
Aug-98 11275 12406 10667 9782
Sep-98 11558 13202 11072 9930
Oct-98 11547 14274 11809 10534
Nov-98 11546 15139 12328 10862
Dec-98 11592 16011 12912 11252
Jan-99 11674 16681 13039 11135
Feb-99 11470 16162 12459 10638
Mar-99 11533 16809 12791 10889
Apr-99 11570 17460 13475 11500
May-99 11468 17048 13222 11382
Jun-99 11432 17994 13768 11875
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.
<PAGE>
+ 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 (30%); Russell 2000 Index --
Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(30%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bond (5%);
Salomon Bros. High Yield Bond -- High Yield (5%). Unlike the Fund's total
return the composite benchmark total return does not reflect any fees or
expenses. Components of the Composite Benchmark may change at any time.
* The Morgan Stanley Capital International Europe, Australasia, and Far East
(EAFE)Index is an unmanaged capitalization index representing the industry
composition and a sampling of small, medium and large capitalization
companies from the aforementioned global markets.
** The Salomon Non-$ World Government Bond Index includes the 17 Government
bond markets of Australia, Austria, Belgium, Canada, Denmark, Finland,
France, Germany, Ireland, Italy, Japan, Netherlands, Spain, Sweden,
Switzerland, United Kingdom and the U.S. Country eligibility is determined
based on market capitalization and investibility criteria.
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--7.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.7%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER--0.4%
- --------------------------------------------------------------------------------
Danaher Corp. 203 $11,799
Fastenal Co. 300 15,731
Tyco International
Ltd. 252 23,877
----------
51,407
----------
COMMERCIAL SERVICES--0.5%
- --------------------------------------------------------------------------------
Cintas Corp. 202 13,572
Clear Channel
Communications* 262 18,062
Interpublic Group
Companies Inc. 230 19,924
Omnicom Group 165 13,200
----------
64,758
----------
CONGLOMERATES--0.5%
- --------------------------------------------------------------------------------
General Electric
Co.(++) 608 68,704
----------
CONSUMER DURABLES--0.1%
- --------------------------------------------------------------------------------
Leggett & Platt Inc. 395 10,986
----------
CONSUMER NON-DURABLES--0.2%
- --------------------------------------------------------------------------------
Procter & Gamble Co. 235 20,974
----------
FINANCE--0.6%
- --------------------------------------------------------------------------------
American International
Group Inc. 224 26,222
Bank of New York Inc. 254 9,319
Firstar Corp. 357 9,996
Goldman Sachs
Group Inc. 44 3,179
MBNA Corp. 355 10,872
Zions Bancorp 306 19,431
----------
79,019
----------
HEALTHCARE--1.2%
- --------------------------------------------------------------------------------
American Home
Products Corp.(++) 239 13,743
Bristol Myers
Squibb Co.(++) 325 22,892
Cardinal Health Inc. 202 12,953
Eli Lilly & Co. 132 9,454
Guidant Corp. 95 4,886
Johnson & Johnson 239 23,422
Merck & Co. 215 15,910
Pfizer Inc. 180 19,755
Schering Plough Corp. 553 29,309
Warner Lambert Co. 35 2,428
----------
154,752
----------
PROCESS INDUSTRIES--0.1%
- --------------------------------------------------------------------------------
Ecolab Inc. 381 $16,621
----------
RETAIL--0.8%
- --------------------------------------------------------------------------------
Bed Bath & Beyond
Inc.* 599 23,062
Costco Companies Inc.* 137 10,968
Dollar General Corp. 165 4,785
Family Dollar
Stores Inc. 171 4,104
Gap Inc. 213 10,730
Home Depot Inc. 206 13,274
Kohls Corp.* 140 10,806
Ross Stores Inc. 310 15,616
Wal Mart Stores Inc. 322 15,536
----------
108,881
----------
TECHNOLOGY--3.0%
- --------------------------------------------------------------------------------
Altera Corp.* 250 9,203
Automatic Data
Processing Inc. 583 25,652
Ceridian Corp.* 540 17,651
Cisco Systems Inc.* 718 46,311
Dell Computer Corp.* 430 15,910
EMC Corp.* 190 10,450
Intel Corp. 345 20,528
International Business
Machines 390 50,408
J. D. Edwards & Co.* 209 3,867
Lexmark International
- - Group Inc.* 75 4,955
Linear Technology Corp. 60 4,035
Lucent Technologies
Inc. 635 42,823
Maxim Integrated
Products Inc.* 60 3,990
Microsoft Corp.* 989 89,195
Solectron Corp.* 267 17,806
Sun Microsystems Inc. 160 11,020
Tellabs Inc.* 85 5,743
Xilinx Inc.* 108 6,183
----------
385,730
----------
TRANSPORTATION--0.1%
- --------------------------------------------------------------------------------
Southwest Airlines Co. 175 5,447
----------
UTILITIES--0.2%
- --------------------------------------------------------------------------------
MCI Worldcom Inc.* 327 28,142
----------
TOTAL COMMON STOCKS 995,421
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Consumer
Discount Note
4.53% due 7/1/99(+) $28,853
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $809,479) 1,024,274
----------
LARGE CAP VALUE--7.5%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES--0.4%
- --------------------------------------------------------------------------------
Alcoa Inc. 225 13,922
E. I. Du Pont de
Nemours & Co. 275 18,786
International Paper Co.250 12,625
----------
45,333
----------
CAPITAL GOODS--0.4%
- --------------------------------------------------------------------------------
Allied Signal Inc. 300 18,900
Raytheon Co. 375 25,828
----------
44,728
----------
COMMUNICATION SERVICES--0.9%
- --------------------------------------------------------------------------------
AT&T Corp. 525 29,302
Ameritech Corp. 300 22,050
Emerson Electric Co. 350 22,006
GTE Corp. 350 26,513
Sprint Corp. 400 21,125
----------
120,996
----------
CONGLOMERATES--0.2%
- --------------------------------------------------------------------------------
General Electric Co.(++) 200 22,600
----------
CONSUMER CYCLICALS--0.6%
- --------------------------------------------------------------------------------
Delphi Automotive
System Corp. 139 2,580
Ford Motor Co. 500 28,219
General Motors Corp. 200 13,200
Masco Corp. 650 18,769
McGraw Hill
Companies Inc. 300 16,181
----------
78,949
----------
CONSUMER STAPLES--0.5%
- --------------------------------------------------------------------------------
Avon Products Inc. 450 24,975
H. J. Heinz & Co. 200 10,025
Pepsico Inc. 650 25,147
----------
60,147
----------
ENERGY--0.8%
- --------------------------------------------------------------------------------
BP Amoco PLC 175 $18,988
Chevron Corp. 250 23,797
Conoco Inc. 800 22,300
Exxon Corp. 200 15,425
Mobil Corp. 250 24,750
----------
105,260
----------
FINANCE--1.6%
- --------------------------------------------------------------------------------
Bank One Corp. 375 22,336
Bankamerica Corp. 350 25,659
Chase Manhattan Corp. 400 34,650
Chubb Corp. 200 13,900
Cigna Corp. 300 26,700
Hartford Financial
Services Group 400 23,325
Marsh & McLennan
Companies Inc. 325 24,537
Mellon Bank Corp. 750 27,281
Unumprovident Corp. 200 10,950
----------
209,338
----------
HEALTHCARE--0.7%
- --------------------------------------------------------------------------------
Abbott Labs 425 19,337
American Home
Products Corp.(++) 400 23,000
Baxter International
Inc. 150 9,094
Bristol Myers
Squibb Co.(++) 325 22,892
Pharmacia & Upjohn Inc.375 21,305
----------
95,628
----------
TECHNOLOGY--0.4%
- --------------------------------------------------------------------------------
Pitney Bowes Inc. 475 30,519
Xerox Corp. 450 26,578
----------
57,097
----------
UTILITIES--0.9%
- --------------------------------------------------------------------------------
Duke Energy Co. 425 23,109
Enron Corp. 475 38,831
Unicom Corp. 550 21,209
Williams Companies Inc.600 25,538
----------
108,687
----------
TOTAL COMMON STOCKS 948,763
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) $15,028
----------
TOTAL LARGE CAP VALUE
(Identified Cost $850,612) 963,791
----------
SMALL CAP GROWTH--4.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--4.4%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES--0.5%
Catalina
Marketing Corp.* 147 13,524
Checkfree
Holdings Corp.* 159 4,382
Consolidated
Graphics Inc.* 80 4,000
Covad Communications
Group Inc.* 105 5,598
Critical Path Inc.* 22 1,217
Ha Lo Industries Inc.* 345 3,407
ITT Educational
Services Inc.* 243 6,333
Lamar Advertising Co.* 177 7,246
Metzler Group Inc.* 110 3,039
Network Solutions Inc.* 17 1,345
Probusiness
Services Inc.* 98 3,516
Profit Recovery Group
International Inc.* 128 6,056
Verticalnet Inc.* 5 525
----------
60,188
----------
CONSUMER DURABLES--0.1%
- --------------------------------------------------------------------------------
Ethan Allen
Interiors Inc. 102 3,849
Gentex Corp.* 107 2,996
Tower Automotive Inc.* 158 4,019
----------
10,864
----------
CONSUMER NON-DURABLES--0.1%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 166 6,936
Boyds Collection Ltd.* 170 2,943
Horizon Organic
Holdings Corp.* 220 3,218
Wiley John & son 84 1,480
----------
14,577
----------
CONSUMER SERVICES--0.5%
- --------------------------------------------------------------------------------
Hispanic Broadcasting
Corp.* 205 $15,554
Houghton Mifflin Co. 80 3,765
Metro Networks Inc.* 184 9,821
Premier Parks Inc.* 266 9,776
Rubios Restaurants
Inc.* 187 2,887
SFX Entertainment
Inc.* 193 12,352
Saucony Inc.* 115 2,602
----------
56,757
----------
ELECTRONICS/TECHNICAL SERVICES--0.7%
- --------------------------------------------------------------------------------
American Tower Corp.* 128 3,072
C Cube Microsystems
Inc.* 147 4,658
Copper Mountain
Networks Inc.* 3 232
Level One
Communications Inc.* 256 12,528
Macrovision Corp.* 75 5,616
Microchip Technology
Inc.* 89 4,216
Network Appliance
Inc.* 197 11,007
Novellus Systems Inc.* 138 9,418
PMC Sierra Inc.* 64 3,772
Pinnacle Holdings Inc.*469 11,491
Powerwave Technologies
Inc.* 68 2,193
RSL Communications
Ltd.* 174 3,360
Sipex Corp.* 259 5,309
Smart Modular
Technologies Inc.* 283 4,917
Voicestream Wireless
Corp.* 265 7,536
Western Wireless Corp.*165 4,455
----------
93,780
----------
ENERGY/MINERALS--0.2%
- --------------------------------------------------------------------------------
Coflexip 130 5,655
Petroleum Geo-Services* 504 7,497
R & B Falcon Corp.* 670 6,281
----------
19,433
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
FINANCE--0.4%
- --------------------------------------------------------------------------------
Centura Banks Inc. 104 $5,863
Chittenden Corp. 223 6,969
Cullen Frost Bankers
Inc. 276 7,607
Enhance Financial
Services Group Inc. 181 3,575
Executive Risk Inc. 66 5,614
Peoples Heritage
Financial Group 540 10,159
SEI Investments 31 2,736
Telebanc Financial
Corp.* 96 3,720
U. S. Trust Corp. 91 8,418
----------
54,661
----------
HEALTH SERVICES/TECHNOLOGY--0.5%
- --------------------------------------------------------------------------------
Andrx Corp.* 134 10,335
Apria Healthcare
Group Inc.* 190 3,230
Barr Labs Inc.* 198 7,895
Coulter
Pharmaceutical Inc.* 85 1,918
Gilead Sciences Inc.* 75 3,919
MedImmune Inc.* 64 4,336
Medquist Inc.* 55 2,406
Roberts Pharmaceutical
Corp.* 448 10,864
Synetic Inc.* 30 2,062
TLC The Laser
Center Inc.* 100 4,800
Trimeris Inc.* 295 4,277
Ventana Medical
Systems Inc.* 305 5,833
Xomed Surgical Products
Inc.* 89 4,333
----------
66,208
----------
Industrial Services--0.1%
- --------------------------------------------------------------------------------
Service Experts Inc.* 139 3,049
Waste Connections Inc.* 207 6,313
----------
9,362
----------
PROCESS INDUSTRIES--0.2%
- --------------------------------------------------------------------------------
Alliant
Techsystems Inc.* 45 3,893
Applied Power Inc. 137 3,742
Aptargroup Inc. 242 7,260
Carlisle Companies Inc.104 5,005
Mettler Toledo
International Inc.* 150 3,722
Om Group Inc. 153 5,279
----------
28,901
----------
RETAIL--0.2%
- --------------------------------------------------------------------------------
Linens N Things Inc.* 159 $6,956
Men's Wearhouse Inc.* 124 3,162
O'Reilly
Automotive Inc.* 103 5,189
Tiffany & Co. 56 5,404
Zale Corp.* 140 5,600
Zany Brainy Inc.* 385 3,730
----------
30,041
----------
TECHNOLOGY SERVICES--0.7%
- --------------------------------------------------------------------------------
Ariba Inc.* 22 2,140
Bisys Group Inc.* 96 5,616
Dallas
Semiconductor Corp. 83 4,192
Electronics for
Imaging Inc.* 207 10,635
Exodus Communications
Inc.* 81 9,715
High Speed Access
Corp.* 70 1,794
Legato Systems Inc.* 166 9,587
Lernout & Hauspie
Speech Products* 83 2,941
Macromedia Inc.* 144 5,076
Mercury Interactive
Corp.* 238 8,419
NTL Inc.* 129 11,118
National Instruments
Corp.* 150 6,056
Rational Software
Corp.* 164 5,402
Whittman Hart Inc.* 204 6,477
Wind River Systems
Inc.* 221 3,550
----------
92,718
----------
TRANSPORTATION--0.2%
- --------------------------------------------------------------------------------
C. H. Robinson
Worldwide Inc. 171 6,284
CNF Transportation
Inc. 115 4,413
Eagle U.S.A. Airfreight
Inc.* 220 9,336
Skywest Inc. 197 4,913
----------
24,946
----------
TOTAL COMMON STOCKS 562,436
----------
SHORT-TERM OBLIGATIONS--0.5%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 67,727
----------
TOTAL SMALL CAP GROWTH
(Identified
Cost $541,925) 630,163
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SMALL CAP VALUE--5.0%
- --------------------------------------------------------------------------------
COMMON STOCKS--5.0%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES--0.1%
- --------------------------------------------------------------------------------
Reynolds & Reynolds Co. 400 $9,325
----------
CONSUMER DURABLE GOODS--0.1%
- --------------------------------------------------------------------------------
D.R. Horton Inc. 300 4,987
Engle Homes Inc. 200 2,750
Flexsteel
Industries Inc. 500 6,656
TBC Corp.* 500 3,531
----------
17,924
----------
CONSUMER NON-DURABLES--0.7%
- --------------------------------------------------------------------------------
Dimon Inc. 1,200 6,225
Schweitzer-Mauduit
International Inc. 400 6,000
Sola International
Inc.* 400 7,775
Standard Commercial
Corp. 2,205 12,954
Timberland Co. 200 13,613
Tropical Sportwear
International Corp.* 700 22,313
Wolverine World
Wide Inc. 1,200 16,800
----------
85,680
----------
CONSUMER SERVICES--0.1%
- --------------------------------------------------------------------------------
Aztar Corp.* 1,200 11,025
----------
ELECTRONIC TECHNOLOGY--0.2%
- --------------------------------------------------------------------------------
Aehr Test Systems* 900 3,487
ESCO Electronics
Corp.* 500 6,406
Spacehab Inc.* 1,300 6,663
United Industrial
Corp. * 200 2,213
----------
18,769
----------
ENERGY MINERALS--0.1%
- --------------------------------------------------------------------------------
Nuevo Energy Co.* 900 11,925
----------
FINANCE--1.0%
- --------------------------------------------------------------------------------
Acceptance Insurance
Co.* 400 6,025
American National
Insurance Co. 100 7,125
Centris Group Inc. 800 8,100
HCC Industries
Holdings Inc. 800 18,150
Harleysville Group
Inc. 400 8,200
MMI Companies Inc. 600 10,125
Matrix Bancorp. Inc. 500 $7,000
PBOC Holdings Inc.* 800 8,000
PMI Group Inc. 100 6,281
Penn America
Group Inc. 600 6,225
Presidential Life
Corp. 1,000 19,625
Professional
Groups Inc.* 500 16,875
Seibels Bruce
Group Inc.* 700 3,500
Stancorp Financial
Group Inc.* 300 9,000
----------
134,231
HEALTH TECHNOLOGY--0.1%
- --------------------------------------------------------------------------------
OrthoLogic Corp.* 1,600 3,950
West Pharmaceutical
Services Inc. 200 7,850
----------
11,800
INDUSTRIAL SERVICES--0.5%
- --------------------------------------------------------------------------------
Atwood Oceanics Inc.* 450 14,063
ENSCO International
Inc. 600 11,962
Perini Corp.* 700 3,981
R & B Falcon Corp.* 660 6,188
Rowan Companies Inc.* 800 14,750
Santa Fe International
Corp. 400 9,200
----------
60,144
----------
NON-ENERGY MINERALS--0.2%
- --------------------------------------------------------------------------------
Carpenter
Technology Corp. 300 8,569
LTV Corp. 2,300 15,381
Lone Star
Technologies Inc.* 500 8,875
- --------------------------------------------------------------------------------
32,825
PROCESS INDUSTRIES--0.1%
- --------------------------------------------------------------------------------
Lancaster Colony Corp. 100 3,450
RPM Inc. 700 9,931
Tuscarora Inc. 200 2,713
----------
16,094
PRODUCER MANUFACTURING--1.1%
- --------------------------------------------------------------------------------
Baldor Electric Co. 500 9,937
Commerical Intertech
Corp. 500 7,969
Commonwealth
Industries Inc. 600 7,500
Easco Inc. 700 7,394
Global Industrial
Technologies Inc.* 1,300 15,681
Holophane Corp.* 100 3,813
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
JLG Industries Inc. 1,400 $28,525
Keystone Consolidated
Industries Inc.* 900 5,962
Myers Industries Inc. 500 10,000
Patrick Industries Inc.300 4,687
Superior Industries
International Inc. 400 10,925
Timken Co. 800 15,600
Watts Industries Inc.* 500 9,594
----------
137,587
RETAIL TRADE--0.1%
- --------------------------------------------------------------------------------
Schultz Sav-O
Stores Inc. 650 10,400
Syms Corp.* 1,000 8,125
----------
18,525
----------
TECHNOLOGY SERVICES--0.1%
- --------------------------------------------------------------------------------
Ultrak Inc.* 1,500 8,813
----------
TRANSPORTATION--0.5%
- --------------------------------------------------------------------------------
Air Express
International Corp. 400 10,150
Atlantic Coast
Airlines Holdings* 300 5,700
Fritz Companies Inc.*1,300 13,975
Kenan Transport Co. 300 9,150
Midwest Express
Holdings Inc.* 400 13,600
Motor Cargo
Industries Inc.* 600 5,100
Tidewater Inc. 400 12,200
----------
69,875
----------
TOTAL COMMON STOCKS 644,542
----------
TOTAL SMALL CAP VALUE
(Identified Cost $633,311) 644,542
----------
INTERNATIONAL EQUITY--4.7%
- --------------------------------------------------------------------------------
COMMON STOCKS--4.6%
- --------------------------------------------------------------------------------
AUSTRIA--0.0%
- --------------------------------------------------------------------------------
Boehler-Uddeholm 85 $4,205
----------
AUSTRALIA--0.2%
- --------------------------------------------------------------------------------
Australia & New Zealand
Banking Group 1,210 8,886
Pioneer
International Ltd. 3,630 9,238
Quantas Airways 3,605 11,892
----------
30,016
----------
CANADA--0.1%
- --------------------------------------------------------------------------------
Imasco Ltd. 320 8,628
Noranda Inc. 530 6,983
----------
15,611
----------
FINLAND--0.1%
- --------------------------------------------------------------------------------
UPM Kymmene Oy 290 8,311
- --------------------------------------------------------------------------------
FRANCE--0.5%
- --------------------------------------------------------------------------------
BIC 139 7,329
Banque Nationale
De Paris 100 8,329
Elf Aquitaine 70 10,268
Lafarge Coppee 90 8,554
Pernod Ricard 146 9,783
Societe Generale 47 8,280
----------
Total 55 7,093
----------
59,636
----------
GERMANY--0.4%
- --------------------------------------------------------------------------------
Buderus AG 20 8,020
Commerzbank AG 210 6,375
Draegerwerk AG 315 4,449
Dyckerhoff AG 25 7,551
Hoechst AG 207 9,368
SGL Carbon AG* 42 3,247
Veba AG 189 11,105
Vossloh AG 240 5,443
----------
55,558
----------
GREAT BRITAIN--1.1%
- --------------------------------------------------------------------------------
Allied Domecq 866 8,327
Allied Zurich 565 7,102
BAT Industries 605 5,707
BOC Group 421 8,242
CGU 470 6,768
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Coats Viyella 5,260 $4,228
Cookson Group 3,210 10,828
Elementis 3,961 6,493
Hanson 925 8,311
Invensys 1,574 7,443
Lex Service 670 6,157
Lloyds TSB Group 606 8,229
Medeva 1,770 2,874
National Westminister 410 8,692
Reckitt & Colman 688 7,185
Safeway 1,100 4,387
TI Group 1,270 8,528
Tomkins 2,640 11,444
United News & Media
PLC 760 7,307
Williams 1,362 8,995
----------
147,247
----------
HONG KONG--0.2%
- --------------------------------------------------------------------------------
Hang Lung Development
Co. 6,000 7,424
New World
Development Co. 3,000 8,990
South China
Morning Post 10,000 5,607
----------
22,021
----------
IRELAND--0.1%
- --------------------------------------------------------------------------------
Greencore Group 1,950 6,030
Jefferson
Smurfit Group 3,740 8,771
----------
14,801
----------
ITALY--0.1%
- --------------------------------------------------------------------------------
Eni Spa 1,120 6,685
Telecom Italia SPA 1,000 10,391
----------
17,076
----------
JAPAN--0.4%
- --------------------------------------------------------------------------------
Nichicon Corp. 1,000 14,590
Nintendo Co. 100 14,061
Promise Co. 300 17,732
Yodogawa Steel Works 2,000 8,267
----------
54,650
NETHERLANDS--0.3%
- --------------------------------------------------------------------------------
ABN Amro Holdings 285 6,170
Akzo Nobel 229 9,631
Ing Groep 165 8,930
Koninklijke NV PTT 90 4,221
Philips Electronics 108 $10,649
----------
39,601
----------
NEW ZEALAND--0.1%
- --------------------------------------------------------------------------------
Fletcher Challenge 4,152 6,045
----------
NORWAY--0.1%
- --------------------------------------------------------------------------------
Kvaerner ASA 231 4,749
----------
SINGAPORE--0.2%
- --------------------------------------------------------------------------------
Creative
Technology Ltd. 785 10,548
Jardine Matheson 1,600 8,000
----------
18,548
SPAIN--0.1%
- --------------------------------------------------------------------------------
Banco Santander SA 704 7,330
Telefonica SA 204 9,848
Telefonica SA 4 193
----------
17,371
SWEDEN--0.2%
- --------------------------------------------------------------------------------
Electrolux 390 8,178
Getinge Industrier 456 6,741
Skandinaviska Enskilda
Banken 450 5,248
----------
20,167
SWITZERLAND--0.4%
- --------------------------------------------------------------------------------
Forbo Holding 17 6,756
Geberit 49 11,170
Novartis 9 13,137
Saurer 13 7,030
Schweizenische
Ruckversicher 3 5,710
Sig Holding 11 6,550
Sulzer AG 10 6,077
----------
56,430
----------
TOTAL COMMON STOCKS 592,043
SHORT-TERM OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 20,260
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost
$572,071) 612,303
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME--46.6%
- --------------------------------------------------------------------------------
FIXED INCOME--43.1%
- --------------------------------------------------------------------------------
ASSET BACKED--3.7%
- --------------------------------------------------------------------------------
Commercial Mortgage
Acceptance Corp.
5.80% due
3/15/06 $ 23,640 $23,054
Ford Credit Auto
Owner Trust
6.16% due
8/15/03 130,000 128,862
GMAC Commercial
Mortgage Securities Inc.
6.42% due
8/15/08 40,000 38,663
J.P. Morgan Commercial
Mortgage Finance Corp.
6.373% due
1/15/30 17,321 17,172
Morgan Stanley Capital Inc.
6.44% due
11/15/02 100,000 99,461
Nomura Asset Securities
Corp.
6.59% due
3/17/28 100,000 97,196
Peco Energy
Transportation Trust
6.05% due 3/01/09 35,000 33,523
Sears Credit Account
Master Trust
5.25% due
10/16/08 40,000 38,200
----------
476,131
----------
CORPORATE BONDS--7.6%
- --------------------------------------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due
5/01/29 55,000 50,869
American Financial
Group Inc.
7.125% due
4/15/09 35,000 32,566
Associates Corp.
North America
6.95% due
11/01/18 65,000 62,628
BB & T Corp.
6.375% due
6/30/05 60,000 58,475
Bank One Corp.
5.625% due
2/17/04 25,000 23,913
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 30,000 28,565
Conoco Inc.
5.90% due 4/15/04 55,000 53,668
Conseco Inc.
6.40% due
6/15/01 25,000 $24,492
Dayton Hudson Corp.
6.65% due 8/01/28 25,000 22,808
Equitable Life Assurance
6.95% due
12/01/05 30,000 29,942
Ford Motor Co.
6.625% due
10/01/28 65,000 58,512
General Motor
Acceptance Corp.
6.15% due 4/05/07 50,000 47,612
Household Financial Corp.
6.50% due
11/15/08 45,000 42,908
Knight Ridder Inc.
7.15% due
11/01/27 25,000 24,020
6.875% due
3/15/29 25,000 23,135
Lehman Brothers
Holdings Inc.
6.40% due 8/30/00 30,000 30,032
7.00% due 5/15/03 40,000 39,688
MCI Communications
Corp.
6.50% due 4/15/10 35,000 33,544
Mattel Inc.
6.00% due 7/15/03 20,000 19,496
Merita Bank PLC
6.50% due 4/01/09 35,000 33,160
National Rural
Utilities Cooperative
Finance 6.20%
due 2/01/08 60,000 57,853
Nordstrom Inc.
5.625% due
1/15/09 25,000 22,714
Popular North
America Inc.
6.875% due
6/15/01 30,000 30,047
Provident Companies Inc.
7.00% due 7/15/18 23,000 22,002
Raytheon Co.
6.30% due 3/15/05 30,000 29,444
Rohm & Haas Co.
7.40% due 7/15/09 55,000 54,987
TPSA Finance BV
7.75% due
12/10/08 25,000 24,262
----------
981,342
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
MORTGAGE BACKED--9.0%
- --------------------------------------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.00% due
12/31/99 $ 30,000 $ 28,214
7.00% due
12/31/99 500,000 500,312
6.25% due 6/15/24 30,000 29,204
Federal National
Mortgage Association
6.50% due 12/1/99 65,000 62,704
7.349% due
8/17/21 50,000 50,934
6.50% due
4/01/29 124,268 119,879
GE Capital Mortgage
Securities Inc.
5.905% due
10/25/13 100,000 99,637
Government National
Mortgage Association
6.50% due
12/15/99 40,000 38,469
7.00% due
12/31/99 150,000 147,984
7.00% due 2/15/24 39,072 38,669
Structured Asset
Securities Corp.
6.79% due
10/15/34 48,084 48,526
----------
1,164,532
----------
U. S. TREASURY OBLIGATIONS--21.0%
- --------------------------------------------------------------------------------
United States Treasury
Bonds
3.625% due
4/15/28 35,287 33,296
5.25% due 2/15/29 95,000 85,352
----------
118,648
----------
United States Treasury Notes
5.875% due
11/15/99 50,000 50,148
5.50% due
12/31/00 25,000 25,015
5.75% due
11/30/02 320,000 320,650
5.50% due
3/31/03 385,000 382,532
5.875% due
2/15/04 1,000,000 1,006,410
6.875% due
5/15/06 720,000 758,023
3.875% due
1/15/09 50,000 49,406
----------
2,592,184
----------
YANKEE BOND--1.8%
- --------------------------------------------------------------------------------
Corporacion Andina
de Fomento
7.75% due
3/01/04 $ 55,000 $ 53,575
Imperial Tobacco
Overseas BV
7.125% due
4/01/09 50,000 47,700
Korea Development
Bank
7.125% due
4/22/04 50,000 48,818
Province of Manitoba
5.50% due
10/01/08 50,000 46,114
TPSA Finance BV
7.75% due
12/10/08 30,000 29,175
----------
225,382
----------
TOTAL FIXED INCOME 5,558,219
----------
SHORT-TERM OBLIGATIONS--3.5%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 453,192
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost
$6,088,823) 6,011,411
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- --------------------------------------------------------------------------------
INTERNATIONAL BOND--13.7%
- --------------------------------------------------------------------------------
FIXED INCOME--10.4%
- --------------------------------------------------------------------------------
DENMARK--0.1%
- --------------------------------------------------------------------------------
Nykredit
5.00% due 10/01/29 DKK 40,000 $4,942
Unikredit Realkred
5.00% due 10/01/29 DKK 60,000 7,412
----------
12,354
----------
FRANCE--0.7%
- --------------------------------------------------------------------------------
Government of France
7.75% due 10/25/05 EURO 66,000 81,303
3.00% due 7/25/09 EURO 10,677 11,118
----------
92,421
----------
GERMANY--0.2%
- --------------------------------------------------------------------------------
Republic of Germany
5.625% due 1/04/28 EURO 25,338 26,924
----------
GREAT BRITAIN--1.1%
- --------------------------------------------------------------------------------
United Kingdom Treasury
6.50% due 12/07/03 GBP 20,000 32,865
6.75% due 11/26/04 GBP 30,000 50,290
8.50% due 12/07/05 GBP 34,000 62,542
----------
145,697
----------
GREECE--0.7%
- --------------------------------------------------------------------------------
Hellenic Republic
7.60% due
1/22/02 GRD 21,000,000 67,617
Republic of Greece
12.80% due
6/17/03 GRD 1,200,000 3,921
11.00% due
10/23/03 GRD 4,400,000 14,496
----------
86,034
----------
ITALY--0.3%
- --------------------------------------------------------------------------------
Republic of Italy
6.50% due 11/01/27 EURO 34,000 39,483
----------
JAPAN--1.5%
- --------------------------------------------------------------------------------
Japan Government Bonds
4.10% due 12/22/03 JPY 7,000,000 65,568
3.40% due 3/22/04 JPY 7,000,000 63,992
4.10% due 6/21/04 JPY 6,200,000 58,545
----------
188,105
----------
NETHERLANDS--0.5%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
6.00% due 1/15/06 EURO 60,000 $67,758
----------
SPAIN--0.9%
- --------------------------------------------------------------------------------
Government of Spain
6.00% due 1/31/08 EURO 106,475 119,256
----------
SWEDEN--0.3%
- --------------------------------------------------------------------------------
Kingdom of Sweden
6.50% due 5/05/08 SEK 300,000 39,048
----------
UNITED STATES--4.1%
- --------------------------------------------------------------------------------
Credit Local de France
4.969% due 2/11/02 $ 150,000 149,760
Federal National
Mortgage Association
6.875% due 6/7/02 GBP 10,000 16,125
International Bank
Reconciliation and
Development
4.75% due 12/20/04 JPY 6,100,000 59,971
Merrill Lynch & Co., Inc.
5.334% due 9/30/00 $ 30,000 29,948
5.299% due 11/01/01 $ 10,000 9,975
SLM Student Loan Trust
5.012% due 10/25/04 $ 4,201 4,187
5.102% due 4/25/06 $ 36,007 35,825
USAA Auto Loan
Grantor Trust
5.80% due 1/15/05 $ 62,679 62,726
United States Treasury
Notes
3.625% due 7/15/02 $ 155,614 153,960
----------
522,477
----------
TOTAL FIXED INCOME 1,339,557
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.3%
- --------------------------------------------------------------------------------
Coca Cola Co.
5.00% due 7/12/99 $ 200,000 $199,695
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 222,037 222,037
----------
TOTAL SHORT-TERM OBLIGATIONS 421,732
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,808,224) 1,761,289
----------
HIGH YIELD BOND--19.6%
- --------------------------------------------------------------------------------
FIXED INCOME--18.2%
- --------------------------------------------------------------------------------
DOMESTIC CORPORATIONS--17.8%
- --------------------------------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 50,000 49,500
American Axle &
Manufacturing Inc.
9.75% due 3/01/09 50,000 49,750
B & G Foods Incications
Corp.
9.625% due 8/01/07 50,000 47,063
BE Aerospace - Series B
8.00% due 3/01/08 50,000 46,750
Ball Corp.
7.75% due 8/01/06 50,000 49,000
Bellwether Exploration Co.
10.875% due 4/01/07 50,000 47,875
CB Richards Ellis
Services Inc.
8.875% due 6/01/06 50,000 48,250
CSC Holdings Inc.
9.875% due 2/15/13 50,000 54,000
Charter Communications
Holdings
8.625% due 4/01/09 50,000 47,875
9.92% due 4/01/11 75,000 46,500
Circus Circus
Enterprises Inc.
9.25% due 12/01/05 50,000 50,750
Coach USA Inc. - Series B
9.375% due 7/01/07 50,000 51,500
Cole National Group Inc.
8.625% due 8/15/07 50,000 43,000
Contifinancial Corp.
8.375% due 8/15/03 50,000 43,000
Energis PLC
9.75% due 6/15/09 50,000 50,625
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 50,000 49,000
French Fragrances Inc.
10.375% due 5/15/07 50,000 51,000
Frontiervision Holdings LP
11.875% due 9/15/07 $ 55,000 $47,575
HMH Properties Inc. -
Series B
7.875% due 8/01/08 50,000 45,875
Hollinger International
Publishing Inc.
9.25% due 3/15/07 50,000 51,125
Holt Group Inc.
9.75% due 1/15/06 50,000 34,000
Home Interiors Gifts Inc.
10.125% due 6/01/08 50,000 49,500
Integrat Electrical
Service
9.375% due 2/01/09 50,000 49,250
Intermedia
Communications Inc.
9.50% due 3/01/09 50,000 48,250
Iron Mountain Inc.
10.125% due 10/01/06 50,000 53,000
J.H. Heafner Inc.
10.00% due 5/15/08 50,000 49,750
JL French Automotive
Castings
11.50% due 6/01/09 50,000 51,000
<PAGE>
Jordan Industries Inc. -
Series B
10.375% due 8/01/07 50,000 50,625
Lear Corp.
8.11% due 5/15/09 50,000 48,147
Lyondell Chemical Co.
9.875% due 5/01/07 40,000 40,750
Mail Well Corp.
8.75% due 12/15/08 50,000 48,500
Majestic Star Casino LLC
10.875% due 7/01/06 50,000 49,625
NTL Inc.
12.375% 10/01/08 75,000 51,187
Nextel Communications Inc.
9.75% due 8/15/04 50,000 50,750
Orange PLC
9.00% due 6/01/09 50,000 50,250
Packard Bioscience Inc. -
Series B
9.375% due 3/01/07 50,000 47,250
Pennzoil Co.
10.125% due 11/15/09 50,000 54,948
Pierce Leahy Command Co.
8.125% due 5/15/08 50,000 47,250
Polymer Group Inc. -
Series B
8.75% due 3/01/08 50,000 48,000
Price Communications
Wireless Inc.
- Series B
9.125% due 12/15/06 50,000 50,750
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Revlon Consumer
Products Corp.
8.625% due 2/01/08 50,000 $ 47,250
Rogers Cantel
9.375% due 6/01/08 50,000 51,750
Safety Kleen Services Inc.
9.25% due 6/01/08 50,000 51,250
Simmons Co.
10.25% due 3/15/09 50,000 50,750
Tembec Finance Corp.
9.875% due 9/30/05 50,000 52,000
Western Gas Resources
10.00% due 6/15/09 50,000 51,000
Williams Scotsman Inc.
9.875% due 6/01/07 50,000 49,500
----------
2,296,295
----------
MORTGAGE OBLIGATIONS--0.4%
- --------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES/
PASSTHROUGHS--0.4%
- --------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 50,000 48,151
----------
TOTAL FIXED INCOME 2,344,446
----------
SHORT-TERM OBLIGATIONS--1.4%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 185,902
----------
TOTAL HIGH YIELD BOND
(Identified Cost $2,568,267) $2,530,348
----------
TOTAL INVESTMENTS
(Identified Cost
$13,872,712) 109.9% 14,178,121
OTHER ASSETS,
LESS LIABILITIES (9.9) (1,273,317)
---- ----------
NET ASSETS 100.0% $12,904,804
----- -----------
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Mortgage Consumer
Discount Notes 4.53%, due 7/1/99 value at $992,999, portions of which are
listed separately by each asset class.
(++) The Portfolio owns in aggregate 808 shares of General Electric Co. valued
at $91,304, and 650 shares of Bristol Myers Squibb Co. valued at $45,784,
and 639 shares of American Home Products Corp. valued at $36,743 portions
of which are listed separately by each asset class.
See notes to financial statements
FOREIGN CURRENCY LEGEND
- --------------------------------------------------------------------------------
SYMBOL COUNTRY
- --------------------------------------------------------------------------------
DKK Denmark
EURO Europe
GBP Great Britain
GRD Greece
JPY Japan
SEK Sweden
<PAGE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1999 ARE AS FOLLOWS:
DELIVERY UNREALIZED
MARKET AGGREGATE DATE OF APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE CONTRACTS (DEPRECIATION)
- --------------------------------------------------------------------------------
Australian
Dollar (Sell) . Australia $ 52,899 $ 52,844 July-99 $ (55)
Australian
Dollar (Buy) .. Australia 105,801 105,472 July-99 329
Euro (Sell) ..... Europe 1,622 1,637 July-99 15
Drachma (Sell) .. Greece 41,402 41,841 July-99 439
Krona (Sell) .... Sweden 41,304 41,666 July-99 362
Pound (Buy) .....Great Britain 228,596 229,578 July-99 982
Yen (Sell) ...... Japan 132,830 132,560 July-99 (270)
------
$1,802
======
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--10.8%
- --------------------------------------------------------------------------------
COMMON STOCKS--10.1%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING--0.5%
- --------------------------------------------------------------------------------
Danaher Corp. 388 $22,553
Fastenal Co. 555 29,103
Tyco International
Ltd. 505 47,849
--------
99,505
--------
COMMERCIAL SERVICES--0.8%
- --------------------------------------------------------------------------------
Cintas Corp. 386 25,934
Clear Channel
Communications* 491 33,848
Interpublic Group
Companies Inc. 441 38,202
Omnicom Group 315 25,200
Schlumberger Ltd. 610 38,559
--------
161,743
--------
CONGLOMERATES -- 0.7%
- --------------------------------------------------------------------------------
General Electric
Co. (++) 1,165 131,645
--------
CONSUMER DURABLES--0.1%
- --------------------------------------------------------------------------------
Leggett & Platt Inc. 745 20,720
--------
CONSUMER NON-DURABLES--0.2%
- --------------------------------------------------------------------------------
Procter & Gamble Co. 471 42,037
--------
FINANCE--0.8%
- --------------------------------------------------------------------------------
American International
Group Inc. 432 50,571
Bank of New York Inc. 489 17,940
Firstar Corp. 682 19,096
Goldman Sachs
Group Inc. 86 6,213
MBNA Corp. 685 20,978
Zions Bancorp 578 36,703
--------
151,501
--------
HEALTHCARE --1.5%
- --------------------------------------------------------------------------------
American Home
Products Corp. (++) 459 26,393
Bristol Myers
Squibb Co.(++) 630 44,376
Cardinal Health Inc. 382 24,496
Eli Lilly & Co. 258 18,479
Guidant Corp. 185 9,516
Johnson & Johnson 460 45,080
Merck & Co. 412 $30,488
Pfizer Inc. 347 38,082
Schering Plough Corp. 1,061 56,233
Warner Lambert Co. 70 4,856
--------
297,999
--------
<PAGE>
PROCESS INDUSTRIES--0.2%
- --------------------------------------------------------------------------------
Ecolab Inc. 732 31,934
--------
RETAIL--1.1%
- --------------------------------------------------------------------------------
Bed Bath &
Beyond Inc.* 1,142 43,967
Costco Companies Inc.* 264 21,137
Dollar General Corp. 310 8,990
Family Dollar
Stores Inc. 325 7,800
Gap Inc. 395 19,872
Home Depot Inc. 385 24,808
Kohls Corp.* 272 20,995
Ross Stores Inc. 575 28,966
Wal Mart Stores Inc. 619 29,867
--------
206,402
--------
TECHNOLOGY--3.8%
- --------------------------------------------------------------------------------
Altera Corp.* 478 17,596
Automatic Data
Processing Inc. 1,130 49,720
Ceridian Corp.* 1,007 32,916
Cisco Systems Inc.* 1,375 88,688
Dell Computer Corp.* 830 30,710
EMC Corp.* 366 20,130
Intel Corp. 673 40,044
International Business
Machines 759 98,101
J. D. Edwards & Co.* 403 7,456
Lexmark International
Group Inc.* 135 8,918
Linear Technology Corp.120 8,070
Lucent Technologies
Inc. 1,172 79,037
Maxim Integrated
Products Inc.* 120 7,980
Microsoft Corp.* 1,883 169,822
Solectron Corp.* 509 33,944
Sun Microsystems Inc.* 304 20,938
Tellabs Inc.* 160 10,810
Xilinx Inc.* 228 13,053
--------
737,933
--------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
TRANSPORTATION--0.1%
- --------------------------------------------------------------------------------
Southwest Airlines Co. 355 $11,049
--------
UTILITIES--0.3%
- --------------------------------------------------------------------------------
MCI Worldcom Inc.* 633 54,478
--------
TOTAL COMMON STOCKS 1,946,946
---------
SHORT-TERM OBLIGATIONS--0.7%
- --------------------------------------------------------------------------------
First Union
National Bank
5.00% due 7/01/99(+) 129,885
--------
TOTAL LARGE CAP GROWTH
(Identified Cost
$1,707,458) 2,076,831
---------
LARGE CAP VALUE--9.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES--0.4%
Alcoa Inc. 400 24,749
E. I. Du Pont de
Nemours & Inc. 525 35,864
International
Paper Co. 500 25,250
--------
85,863
--------
CAPITAL GOODS--0.5%
- --------------------------------------------------------------------------------
Allied Signal Inc. 700 44,100
Raytheon Co. 800 55,100
--------
99,200
COMMUNICATION SERVICES--1.2%
- --------------------------------------------------------------------------------
AT&T Corp. 1,050 58,603
Ameritech Corp. 650 47,775
Emerson Electric Co. 700 44,012
GTE Corp. 700 53,025
Sprint Corp. 700 36,969
--------
240,384
CONGLOMERATES--0.2%
- --------------------------------------------------------------------------------
General Electric
Co.(++) 400 45,200
--------
CONSUMER CYCLICALS--0.8%
- --------------------------------------------------------------------------------
Delphi Automotive
System Corp. 279 5,179
Ford Motor Co. 1,000 56,438
General Motors Corp. 400 26,400
Masco Corp. 1,100 $31,763
McGraw Hill Inc. 600 32,363
--------
152,143
CONSUMER STAPLES--0.6%
- --------------------------------------------------------------------------------
Avon Products Inc. 950 52,725
H. J. Heinz & Co. 350 17,544
Pepsico Inc. 1,100 42,556
--------
112,825
--------
ENERGY--1.1%
- --------------------------------------------------------------------------------
BP Amoco PLC 350 37,975
Chevron Corp. 475 45,214
Conoco Inc. 1,600 44,600
Exxon Corp. 500 38,563
Mobil Corp. 500 49,500
--------
215,852
<PAGE>
FINANCE--2.2%
- --------------------------------------------------------------------------------
Bank One Corp. 775 46,161
Bankamerica Corp. 675 49,485
Chase Manhattan Corp. 800 69,300
Chubb Corp. 475 33,013
Cigna Corp. 600 53,400
Hartford Financial
Services Group 700 40,819
Marsh & McLennan
Companies Inc. 625 47,188
Mellon Bank Corp. 1,500 54,562
Unumprovident Corp. 450 24,638
--------
418,566
HEALTHCARE--1.0%
- --------------------------------------------------------------------------------
Abbott Labs 900 40,950
American Home
Products Corp.(++) 750 43,125
Baxter
International Inc. 250 15,155
Bristol Myers
Squibb Co.(++) 650 45,784
Pharmacia &
Upjohn Inc. 750 42,609
--------
187,623
TECHNOLOGY--0.6%
- --------------------------------------------------------------------------------
Pitney Bowes Inc. 1,000 64,250
Xerox Corp. 850 50,203
--------
114,453
--------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
UTILITIES--1.1%
- --------------------------------------------------------------------------------
Duke Power Co. 900 $48,938
Enron Corp. 950 77,663
Unicom Corp. 1,100 42,419
Williams
Companies Inc. 1,000 42,563
--------
211,583
--------
TOTAL COMMON STOCKS 1,883,692
---------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
First Union National Bank
5.00% due 7/01/99(+) 35,427
--------
Total Large Cap Value
(Identified Cost
$1,700,241) 1,919,119
----------
SMALL CAP GROWTH--9.8%
- --------------------------------------------------------------------------------
COMMON STOCKS--8.7%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES--0.9%
- --------------------------------------------------------------------------------
Catalina
Marketing Corp.* 444 40,848
Checkfree Holding
Corp.* 479 13,202
Consolidated
Graphics Inc.* 248 12,400
Covad Communications
Group Inc.* 292 15,567
Critical Path Inc.* 63 3,485
Ha Lo Industries
Inc.* 1,049 10,359
ITT Educational
Services Inc.* 735 19,156
Lamar Advertising Co.* 532 21,779
Metzler Group Inc.* 329 9,089
Network Solutions Inc.* 54 4,273
Probusiness
Services Inc.* 287 10,296
Profit Recovery Group
International Inc.* 395 18,688
Verticalnet Inc.* 10 1,050
--------
180,192
--------
CONSUMER DURABLES--0.2%
- --------------------------------------------------------------------------------
Ethan Allen
Interiors Inc 310 11,703
Gentex Corp.* 332 9,296
Tower Automotive Inc.* 473 12,032
--------
33,031
CONSUMER NON-DURABLES--0.2%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 498 20,807
Boyds Collection Ltd.* 517 8,951
Horizon Organic Holdings
Corp.* 670 9,799
Wiley John & son 256 $4,512
--------
44,069
CONSUMER SERVICES--0.9%
- --------------------------------------------------------------------------------
Hispanic
Broadcasting Corp.* 630 47,801
Houghton Mifflin Co. 240 11,295
Metro Networks Inc.* 499 26,634
Premier Parks Inc.* 807 29,657
Rubios Restaurants
Inc.* 548 8,460
SFX Entertainment Inc.*590 37,760
Saucony Inc.* 344 7,783
--------
169,390
ELECTRONIC TECHNOLOGY--1.4%
- --------------------------------------------------------------------------------
American Tower Corp.* 383 9,192
C Cube
Microsystems Inc.* 429 13,594
Copper Mountain
Networks Inc.* 8 618
Level One Communications
Inc.* 787 38,514
Macrovision Corp.* 210 15,724
Microchip
Technology Inc.* 265 12,554
Network Appliance
Inc.* 598 33,413
Novellus Systems Inc.* 416 28,392
PMC Sierra Inc.* 199 11,728
Pinnacle Holdings
Inc.* 1,283 31,433
Powerwave Technologies
Inc.* 207 6,676
RSL Communications
Ltd.* 536 10,351
Sipex Corp.* 781 16,010
Smart Modular
Technologies Inc.* 867 15,064
Voicestream
Wireless Corp.* 788 22,409
Western Wireless Corp.*508 13,716
--------
279,388
--------
ENERGY/MINERALS--0.3%
- --------------------------------------------------------------------------------
Coflexip 395 17,182
Petroleum
Geo-Services* 1,541 22,922
R & B Falcon Corp.* 2,005 18,796
--------
58,900
--------
FINANCE--0.8%
- --------------------------------------------------------------------------------
Centura Banks Inc. 307 17,307
Chittenden Corp. 671 20,969
Cullen Frost
Bankers Inc. 822 22,656
Enhance Financial
Services
Group Inc. 551 10,882
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Executive Risk Inc. 207 $17,608
Peoples Heritage
Financial
Group 1,640 30,853
SEI Investments 99 8,737
Telebanc Financial
Corp.* 268 10,385
U.S. Trust Corp. 277 25,623
--------
165,020
--------
HEALTH SERVICES/TECHNOLOGY--1.0%
- --------------------------------------------------------------------------------
Andrx Corp.* 395 30,464
Apria Healthcare
Group Inc.* 570 9,690
Barr Labs Inc.* 612 24,403
Coulter Pharmaceutical
Inc.* 255 5,753
Gilead Sciences Inc.* 230 12,018
MedImmune Inc.* 198 13,415
Medquist Inc.* 154 6,738
Roberts Pharmaceutical
Corp.* 1,364 33,077
Synetic Inc.* 85 5,844
TLC The Laser
Center Inc.* 295 14,160
Trimeris Inc.* 885 12,832
Ventana Medical System
Inc.* 928 17,748
Xomed Surgical Products
Inc.* 263 12,805
--------
198,947
--------
INDUSTRIAL SERVICES--0.2%
- --------------------------------------------------------------------------------
Service Experts Inc.* 419 9,192
Waste Connections Inc.* 630 19,215
--------
28,407
--------
PROCESS INDUSTRIES--0.4%
- --------------------------------------------------------------------------------
Alliant
Techsystems Inc.* 125 10,813
Applied Power Inc. 415 11,335
Aptargroup Inc. 741 22,230
Carlisle Companies
Inc. 315 15,159
Mettler Toledo
International
Inc.* 461 11,439
OM Group Inc. 465 16,042
--------
87,018
--------
RETAIL--0.5%
- --------------------------------------------------------------------------------
Linens N Things Inc.* 485 21,219
Men's Wearhouse Inc.* 382 9,741
O'Reilly Automotive
Inc.* 314 15,818
Tiffany & Co. 168 16,212
Zale Corp.* 420 16,800
Zany Brainy Inc.* 1,150 11,141
--------
90,931
--------
TECHNOLOGY SERVICES--1.5%
- --------------------------------------------------------------------------------
Ariba Inc.* 68 6,613
Bisys Group Inc.* 298 17,433
Dallas Semiconductor
Corp. 251 12,675
Electronics For
Imaging Inc.* 629 32,315
Exodus Communications
Inc. 236 28,305
High Speed Access
Corp.* 218 5,586
Legato Systems Inc.* 510 29,453
Lernout & Hauspie
Speech
Products* 245 8,682
Macromedia Inc.* 435 15,334
Mercury Interactive
Corp.* 721 25,505
NTL Inc.* 392 33,786
National Instruments
Corp.* 445 17,967
Rational Software
Corp.* 497 16,370
Whittman Hart Inc.* 618 19,622
Wind River Systems
Inc.* 673 10,810
--------
280,456
--------
TRANSPORTATION--0.4%
- --------------------------------------------------------------------------------
C.H. Robinson Worldwide
Inc. 520 19,110
CNF Transportation Inc.330 12,664
Eagle U.S.A. Airfreight
Inc.* 670 28,433
Skywest Inc. 599 14,937
--------
75,144
--------
TOTAL COMMON STOCKS 1,690,893
SHORT-TERM OBLIGATIONS--1.1%
- --------------------------------------------------------------------------------
First Union National Bank
5.00% due 7/01/99(+) 204,319
--------
Total Small Cap Growth
(Identified Cost
$1,634,564) 1,895,212
----------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SMALL CAP VALUE--10.5%
- --------------------------------------------------------------------------------
COMMON STOCKS--10.0%
- --------------------------------------------------------------------------------
COMMERICAL SERVICES--0.1%
- --------------------------------------------------------------------------------
Reynolds &
Reynolds Co. 1,200 $ 27,975
--------
CONSUMER DURABLE GOODS--0.3%
- --------------------------------------------------------------------------------
D.R. Horton Inc. 800 13,300
Engle Homes Inc. 600 8,250
Flexsteel
Industries Inc. 1,300 17,306
TBC Corp.* 1,500 10,594
- --------------------------------------------------------------------------------
49,450
CONSUMER NON-DURABLES--1.4%
- --------------------------------------------------------------------------------
Dimon Inc. 3,300 17,119
Schweitzer-Mauduit
International Inc. 1,700 25,500
Sola International
Inc.* 1,900 36,931
Standard Commercial
Corp. 5,618 33,006
Timberland Co. 800 54,450
Tropical Sportwear
International
Corp.* 1,700 54,187
Wolverine World Wide
Inc. 3,300 46,200
--------
267,393
--------
CONSUMER SERVICES--0.2%
- --------------------------------------------------------------------------------
Aztar Corp.* 4,500 41,344
--------
ELECTRONIC TECHNOLOGY--0.3%
- --------------------------------------------------------------------------------
Aehr Test Systems* 2,200 8,525
ESCO Electronics
Corp.* 2,000 25,625
Spacehab Inc.* 4,800 24,600
United Industrial
Corp.* 600 6,637
--------
65,387
--------
ENERGY MINERALS--0.2%
- --------------------------------------------------------------------------------
Nuevo Energy Co.* 2,300 30,475
--------
FINANCE--1.9%
- --------------------------------------------------------------------------------
Acceptance
Insurance Co. * 1,000 15,062
American National
Insurance Co. 300 21,375
Centris Group Inc. 1,900 19,238
HCC Insurance Holdings
Inc. 2,300 52,181
Harleysville
Group Inc. 1,200 24,600
MMI Companies Inc. 1,600 27,000
Matrix Bancorp Inc.* 1,100 15,400
PBOC Holdings Inc.* 2,100 21,000
PMI Group Inc. 200 12,563
Penn America Group
Inc. 1,800 18,675
Presidential Life
Corp. 2,700 52,988
Professional
Groups Inc.* 1,300 43,875
Seibels Bruce
Group Inc.* 2,800 14,000
Stancorp Financial Group
Inc.* 800 24,000
--------
361,957
--------
<PAGE>
HEALTH TECHNOLOGY--0.3%
- --------------------------------------------------------------------------------
OrthoLogic Corp.* 3,400 8,394
West Pharmaceutical
Services Inc. 1,100 43,175
--------
51,569
--------
INDUSTRIAL SERVICES--0.9%
- --------------------------------------------------------------------------------
Atwood Oceanics
Inc.* 1,450 45,313
ENSCO International
Inc. 1,700 33,894
Perini Corp.* 1,500 8,531
R & B Falcon Corp.* 2,720 25,500
Rowan Companies
Inc.* 2,200 40,562
Santa Fe International
Corp. 1,300 29,900
--------
183,700
--------
NON-ENERGY MINERALS--0.5%
- --------------------------------------------------------------------------------
Carpenter Technology
Corp. 800 22,850
LTV Corp. 7,900 52,831
Lone Star Technologies
Inc.* 1,700 30,175
--------
105,856
--------
PROCESS INDUSTRIES--0.3%
- --------------------------------------------------------------------------------
Lancaster Colony Corp. 300 10,350
RPM Inc. 2,000 28,375
Tuscarora Inc. 1,400 18,988
--------
57,713
--------
PRODUCER MANUFACTURING--2.3%
- --------------------------------------------------------------------------------
Baldor
Electronics Co. 1,400 27,825
--------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Commerical Intertech
Corp. 1,500 $23,906
Commonwealth Industries
Inc. 1,900 23,750
Easco Inc. 2,000 21,125
Global Industrial
Technologies Inc.* 4,100 49,456
Holophane Corp.* 800 30,500
JLG Industries Inc. 4,900 99,837
Keystone Consolidated
Industries Inc.* 2,500 16,563
Myers Industries Inc.1,100 22,000
Patrick Industries
Inc. 1,000 15,625
Superior Industries
International Inc. 1,000 27,313
Timken Co. 2,600 50,700
Watts Industries
Inc.* 1,500 28,781
--------
437,381
--------
RETAIL TRADE--0.2%
- --------------------------------------------------------------------------------
Schultz Sav-O
Stores Inc. 1,450 23,200
Syms Corp.* 2,500 20,312
--------
43,512
--------
TECHNOLOGY SERVICES--0.1%
- --------------------------------------------------------------------------------
Ultrak Inc.* 4,300 25,263
--------
TRANSPORTATION--1.0%
- --------------------------------------------------------------------------------
Air Express International
Corp. 1,000 25,375
Atlantic Coast Airlines
Holdings* 900 17,100
Conrad Industrials
Inc.* 300 1,500
Fritz Companies Inc.*4,900 52,675
Kenan Transport Co. 900 27,450
Midwest Express Holdings
Inc.* 700 23,800
Motor Cargo Industries
Inc.* 1,600 13,600
Tidewater Inc. 800 24,400
--------
185,900
--------
Total Common Stocks 1,934,875
---------
SHORT-TERM OBLIGATIONS--0.5%
- --------------------------------------------------------------------------------
First Union National Bank
5.00% due 7/01/99(+) 90,812
--------
Total Small Cap Value
(Identified Cost
$2,101,904) 2,025,687
----------
INTERNATIONAL EQUITY--9.4%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.0%
- --------------------------------------------------------------------------------
AUSTRIA--0.1%
Boehler Uddeholm 242 $11,972
--------
AUSTRALIA--0.5%
- --------------------------------------------------------------------------------
Australia & New Zealand
Bank Group 3,748 27,524
Pioneer International
Ltd. 11,010 28,021
Quantas Airways 10,906 35,975
--------
91,520
--------
<PAGE>
CANADA--0.2%
- --------------------------------------------------------------------------------
Imasco Ltd. 960 25,882
Noranda Inc. 1,560 20,553
--------
46,435
FINLAND--0.1%
- --------------------------------------------------------------------------------
UPM Kymmene Oy 875 25,075
--------
FRANCE--0.9%
- --------------------------------------------------------------------------------
BIC 392 20,669
Banque Nationale
de Paris 285 23,738
Elf Aquitaine 200 29,338
Lafarge Coppee 254 24,141
Pernod Ricard 450 30,152
Societe Generale 143 25,193
Total 166 21,408
--------
174,639
--------
GERMANY--0.9%
- --------------------------------------------------------------------------------
Buderus AG 55 22,055
Commerzbank AG 580 17,608
Draegerwerk AG 1,330 18,783
Dyckerhoff AG 75 22,653
Hoechst AG 639 28,917
SGL Carbon* 121 9,355
Veba AG 598 35,138
Vossloh AG 690 15,648
--------
170,157
--------
GREAT BRITAIN--2.5%
- --------------------------------------------------------------------------------
Allied Domecq 3,015 28,990
Allied Zurich 1,783 22,413
BAT Industries 1,913 18,047
BOC Group 1,343 26,292
CGU 1,420 20,447
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Coats Viyella 11,112 $8,933
Cookson Group 12,335 41,608
Elementis 12,014 19,695
Hanson 2,839 25,507
Invensys 4,865 23,005
Lex Service 1,790 16,449
Lloyds TSB Group 1,840 24,986
Medeva 6,060 9,839
National
Westminister 1,270 26,925
Reckitt & Colman 2,070 21,616
Safeway 4,610 18,384
TI Group 4,510 30,284
Tomkins 9,572 41,492
United News & Media
PLC 2,190 21,057
Williams 4,005 26,451
--------
472,420
--------
HONG KONG--0.3%
- --------------------------------------------------------------------------------
Hang Lung Development
Co. 15,000 18,560
New World
Development Co. 8,000 23,973
South China Morning
Post 30,000 16,820
--------
59,353
--------
IRELAND--0.2%
- --------------------------------------------------------------------------------
Greencore Group 5,860 18,123
Jefferson
Smurfit Group 10,615 24,894
--------
43,017
ITALY--0.3%
- --------------------------------------------------------------------------------
Eni Spa 3,620 21,607
Telecom Italia SPA 3,500 31,399
--------
53,006
--------
JAPAN--0.6%
- --------------------------------------------------------------------------------
Nichicon Corp. 2,000 29,181
Nintendo Co. 300 42,184
Promise Co.Ltd. 600 35,463
Yodogawa Steel Works 4,000 16,533
--------
123,361
--------
NETHERLANDS--0.6%
- --------------------------------------------------------------------------------
ABN Amro Holdings 775 16,777
Akzo Nobel 679 28,558
Ing Groep 497 26,896
Koninklijke NV PTT 285 13,369
Philips Electronics 334 32,933
--------
118,533
--------
NEW ZEALAND--0.1%
- --------------------------------------------------------------------------------
Fletcher Challenge 11,456 16,680
--------
NORWAY--0.1%
- --------------------------------------------------------------------------------
Kvaerner ASA 616 12,663
--------
SINGAPORE--0.2%
- --------------------------------------------------------------------------------
Creative
Technology Ltd 2,427 32,613
Jardine Matheson 2,900 14,500
--------
47,113
--------
<PAGE>
SPAIN--0.3%
- --------------------------------------------------------------------------------
Banco Santander SA 2212 23,030
Telefonica SA 623 30,075
Telefonica SA 13 626
--------
53,731
--------
SWEDEN--0.3%
- --------------------------------------------------------------------------------
Electrolux 1,110 23,275
Getinge Industrier 1,269 18,760
Skandinaviska Enskilda
Banken 1,365 15,919
--------
57,954
SWITZERLAND--0.8%
- --------------------------------------------------------------------------------
Forbo Holding 44 17,486
Geberit 121 27,584
Novartis 26 37,953
Saurer AG 37 20,009
Schweizenische
Ruckversicher 8 15,227
Sig Holding 32 19,056
Sulzer AG 30 18,230
--------
155,545
--------
TOTAL COMMON STOCKS 1,733,174
---------
SHORT-TERM OBLIGATIONS--0.4%
- --------------------------------------------------------------------------------
First Union National Bank
5.00% due 7/01/99(+) 88,139
--------
TOTAL INTERNATIONAL EQUITY
(Identified Cost
$1,708,951) 1,821,313
----------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
DOMESTIC FIXED INCOME--29.7%
- --------------------------------------------------------------------------------
FIXED INCOME--27.8%
- --------------------------------------------------------------------------------
ASSET BACKED--2.6%
Commercial Mortgage
Acceptance Corp.
5.80% due
3/15/06 $ 23,640 $ 23,054
Ford Credit Auto
Owner Trust
6.16% due
8/15/03 100,000 99,125
GMAC Commercial
Mortgage Securities Inc.
6.42% due
8/15/08 50,000 48,329
J.P. Morgan Commercial
Mortgage Finance Corp.
6.373% due
1/15/30 25,981 25,758
Morgan Stanley
Capital Inc.
6.44% due
11/15/02 100,000 99,461
Nomura Asset
Securities Corp.
6.59% due
3/17/28 100,000 97,195
Peco Energy
Transportation Trust
6.05% due
3/1/09 50,000 47,891
Sears Credit Account
Master Trust
5.25% due 10/16/08 65,000 62,075
--------
502,888
--------
CORPORATE BONDS--6.2%
- --------------------------------------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due
5/01/29 50,000 46,245
American Financial
Group Inc.
7.125% due
4/15/09 50,000 46,523
Associates Corp.
North America
6.95% due
11/01/08 60,000 57,810
BB & T Corp.
6.375% due
6/30/05 95,000 92,585
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 50,000 47,609
Conoco Inc.
5.90% due 4/15/04 50,000 48,789
Conseco Inc.
6.40% due 6/15/01 40,000 39,187
Dayton Hudson Corp.
6.65% due 8/01/28 50,000 45,616
Equitable Life Assurance
6.95% due
12/01/05 60,000 59,885
Ford Motor Co.
6.625% due
10/01/28 65,000 58,512
General Motors
Acceptance Corp.
6.15% due 4/5/07 50,000 47,612
Household Financial
Corp.
6.50% due
11/15/08 70,000 66,745
Knight Ridder Inc.
7.15% due 11/01/27 5,000 4,804
6.875% due
3/15/29 40,000 37,016
<PAGE>
Lehman Brothers
Holdings Inc.
6.40% due 8/30/00 50,000 50,053
7.00% due 5/15/03 35,000 34,727
MCI Communications
Corp.
6.50% due 4/15/10 55,000 52,712
Mattel Inc.
6.00% due 7/15/03 35,000 34,118
Merita Bank PLC
6.50% due 4/1/09 50,000 47,372
National Rural Utitlities
Cooperative Finance
6.20% due 2/01/08 55,000 53,032
Nordstrom Inc.
5.625% due
1/15/09 40,000 36,342
Popular North
America Inc.
6.875% due
6/15/01 30,000 30,047
Provident Companies Inc.
7.00% due 7/15/18 35,000 33,482
Raytheon Co.
6.30% due 3/15/05 50,000 49,073
Rohm & Haas Co.
7.40% due 7/15/09 50,000 49,988
TPSA Finance BV
7.75% due
12/10/08 40,000 38,820
---------
1,208,704
---------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
MORTGAGE BACKED--6.9%
- --------------------------------------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.00% due
12/31/99 $ 35,000 $ 32,915
7.00% due
12/31/99 400,000 400,250
6.25% due 6/15/24 50,000 48,674
Federal National
Mortgage Association
6.50% due
12/31/99 100,000 96,468
7.349% due
8/17/21 50,000 50,934
6.50% due 4/1/29 124,268 119,879
GE Capital Mortgage
Services Inc.
5.905% due
10/25/13 150,000 149,455
Government National
Mortgage Association
6.50% due
12/15/99 70,000 67,320
7.00% due
12/31/99 270,000 266,371
7.00% due 2/15/24 55,818 55,242
Structured Asset
Securities Corp.
6.79% due
10/15/34 48,084 48,526
---------
1,336,034
---------
U. S. TREASURY OBLIGATIONS -- 11.0%
- --------------------------------------------------------------------------------
United States Treasury Bonds
3.625% due
4/15/28 60,492 57,079
5.25% due
2/15/29 195,000 175,196
---------
232,275
---------
United States Treasury Notes
5.875% due
11/15/99 425,000 426,262
5.625% due
4/30/00 30,000 30,080
5.75% due
11/30/02 525,000 526,066
5.50% due
3/31/03 550,000 546,474
6.875% due
5/15/06 270,000 284,259
3.875% due
1/15/09 80,000 79,050
---------
1,892,191
---------
<PAGE>
YANKEE BOND--1.1%
- --------------------------------------------------------------------------------
Corporacion Andina
de Fomento
7.75% due
3/1/04 $50,000 $ 48,704
Imperial Tobacco
Overseas B.V.
7.125% due
4/1/09 50,000 47,700
Korea Development Bank
7.125% due
4/22/0 450,000 48,818
Province of Manitoba
5.50% due
10/01/08 55,000 50,724
TPSA Finance BV
7.75% due
12/10/08 10,000 9,725
---------
205,671
---------
TOTAL FIXED INCOME 5,377,763
---------
SHORT-TERM OBLIGATIONS--1.9%
- --------------------------------------------------------------------------------
First Union National Bank
5.00% due 7/01/99(+) 372,852
---------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost
$5,852,641) 5,750,615
---------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
INTERNATIONAL BOND--10.7%
- --------------------------------------------------------------------------------
FIXED INCOME--9.7%
- --------------------------------------------------------------------------------
CANADA--0.2%
- --------------------------------------------------------------------------------
Commonwealth Of Canada
8.75% due 12/01/05 CAD 59,000 $ 47,010
-----------
DENMARK--0.2%
- --------------------------------------------------------------------------------
Nykredit
5.00% due 10/01/29 DKK 120,000 14,825
Unikredit Realkred
5.00% due 10/01/29 DKK 110,000 13,589
-----------
28,414
FRANCE--0.7%
- --------------------------------------------------------------------------------
Government of France
7.75% due 10/25/05 EURO 100,000 123,187
3.00% due 7/25/09 EURO 16,778 17,469
-----------
140,656
GERMANY--0.2%
- --------------------------------------------------------------------------------
Republic of Germany
5.625% due 1/04/28 EURO 40,451 42,983
-----------
GREAT BRITAIN--1.5%
- --------------------------------------------------------------------------------
United Kingdom Treasury
6.50% due 12/7/03 GBP 60,000 98,594
6.75% due 11/26/04 GBP 50,000 83,817
7.00% due 11/06/01 GBP 66,000 107,518
-----------
289,929
-----------
GREECE--0.7%
- --------------------------------------------------------------------------------
Hellenic Republic
7.60% due
1/22/02 GRD 33,000,000 106,258
Republic of Greece
12.80% due
6/17/03 GRD 1,600,000 5,228
11.00% due
10/23/03 GRD 5,200,000 17,131
-----------
128,617
-----------
ITALY--0.1%
- --------------------------------------------------------------------------------
Republic of Italy
6.50% due
11/01/27 EURO 15,000 17,419
-----------
JAPAN--1.7%
- --------------------------------------------------------------------------------
Japan Government Bonds
4.10% due
6/21/04 JPY 10,100,000 95,372
4.10% due
12/22/03 JPY 11,500,000 107,742
3.40% due
3/22/04 JPY 12,500,000 114,271
-----------
317,385
-----------
NETHERLANDS--0.6%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
6.00% due
1/15/06 EURO 100,000 $112,930
-----------
SPAIN--1.3%
- --------------------------------------------------------------------------------
Government of Spain
6.00% due
1/31/08 EURO 225,991 253,119
-----------
<PAGE>
SWEDEN--0.3%
- --------------------------------------------------------------------------------
Kingdom of Sweden
6.50% due
5/05/08 SEK 400,000 52,064
-----------
UNITED STATES--2.2%
- --------------------------------------------------------------------------------
Federal National
Mortgage Association
6.875% due
6/7/02 GBP 10,000 16,125
International Bank
Reconciliation
and Development
4.75% due
12/20/04 JPY 10,700,000 105,196
Merrill Lynch
& Co. Inc.
5.299% due 11/01/01 $ 100,000 99,748
SLM Student Loan Trust
5.012% due 10/25/04 $ 4,201 4,188
5.102% due 4/25/06 $ 36,007 35,824
USAA Auto Loan
Grantor Trust
5.80% due 1/15/05 $ 62,679 62,726
United States Treasury
Notes
3.625% due 7/15/02 $ 103,750 102,647
-----------
426,454
-----------
TOTAL FIXED INCOME 1,856,980
-----------
SHORT-TERM OBLIGATIONS--1.0%
- --------------------------------------------------------------------------------
Coca Cola Co.
5.00% due 7/12/99 $ 200,000 199,695
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $2,116,721) 2,056,675
-----------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
HIGH YIELD BOND--14.2%
- --------------------------------------------------------------------------------
FIXED INCOME--12.6%
- --------------------------------------------------------------------------------
DOMESTIC CORPORATIONS--12.4%
- --------------------------------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 $ 50,000 $49,500
American Axle &
Manufacturing Inc.
9.75% due 3/01/09 50,000 49,750
B & G Foods Incications
Corp.
9.625% due 8/01/07 50,000 47,063
BE Aerospace - Series B
8.00% due 3/01/08 50,000 46,750
Ball Corp.
7.75% due 8/01/06 50,000 49,000
Bellwether Exploration Co.
10.875% due 4/01/07 50,000 47,875
CB Richards Ellis
Services Inc.
8.875% due 6/01/06 50,000 48,250
CSC Holdings Inc.
9.875% due 2/15/13 50,000 54,000
Charter Communications
Holdings
8.625% due 4/01/09 50,000 47,875
9.92% due 4/01/11 75,000 46,500
Circus Circus
Enterprises Inc.
9.25% due 12/01/05 50,000 50,750
Coach USA Inc. - Series B
9.375% due 7/01/07 50,000 51,500
Cole National Group Inc.
8.625% due 8/15/07 50,000 43,000
Contifinancial Corp.
8.375% due 8/15/03 50,000 43,000
Energis PLC
9.75% due 6/15/09 50,000 50,625
Expressway Scripts Inc.
9.625% due 6/15/09 50,000 50,625
Finlay Fine Jewelry Corp.
8.375% due 5/1/08 50,000 49,000
French Fragrances Inc.
10.375% due 5/15/07 50,000 51,000
Frontiervision Holding LP
11.875% due 9/15/07 55,000 47,575
HMH Properties Inc.
- Series B
7.875% due 8/01/08 50,000 45,875
Heafner JH Inc.
10.00% due 5/15/08 50,000 49,750
Hollinger International
Publishing Inc.
9.25% due 3/15/07 $ 50,000 $51,125
Holt Group Inc.
9.75% due 1/15/06 50,000 34,000
Home Interior Gifts Inc.
10.125% due 6/01/08 50,000 49,500
Integrat Electrical
Service
9.375% due 2/01/09 50,000 49,250
Intermedia
Communications Inc.
9.50% due 3/01/09 50,000 48,250
Iron Mountain Inc.
10.125% due 10/01/06 50,000 53,000
JL French Automotive
Castings
11.50% due 6/01/09 50,000 51,000
Jordan Industries Inc.
- Series B
10.375% due 8/01/07 50,000 50,625
Lear Corp.
8.11% due 5/15/09 50,000 48,146
Lyondell Chemical Co.
9.875% due 5/1/07 40,000 40,750
Mail Well Corp.
8.75% due 12/15/08 50,000 48,500
Majestic Star Casino LLC
10.875% due 7/01/06 50,000 49,625
<PAGE>
NTL Inc.
12.375% due 10/01/08 75,000 51,188
Nextel Communications Inc.
9.75% due 8/15/04 50,000 50,750
Orange PLC
9.00% due 6/01/09 50,000 50,250
Packard Bioscience Inc. -
Series B
9.375% due 3/01/07 50,000 47,250
Pennzoil Co.
10.125% due 11/15/09 50,000 54,947
Pierce Leahy Command Co.
8.125% due 5/15/08 50,000 47,250
Polymer Group Inc. -
Series B
8.75% due 3/01/08 50,000 48,000
Price Communications
Wireless Inc. - Series B
9.125% due 12/15/06 50,000 50,750
Revlon Consumer
Products Corp.
8.625% due 2/01/08 50,000 47,250
Rogers Cantel
9.375% due 6/01/08 50,000 51,750
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Safety Kleen Services Inc.
9.25% due 6/01/08 $ 50,000 $51,250
Simmons Co.
10.25% due 3/15/09 50,000 50,750
Sun International Ltd.
9.00% due 3/15/07 50,000 50,000
Tembec Finance Corp.
9.875% due 9/30/05 50,000 52,000
Western Gas Resources Inc.
10.00% due 6/15/09 50,000 51,000
Williams Scotsman Inc.
9.875% due 6/01/07 50,000 49,500
-----------
2,396,919
-----------
MORTGAGE OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS--0.3%
- --------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 50,000 48,151
-----------
TOTAL FIXED INCOME 2,445,070
-----------
SHORT-TERM OBLIGATIONS--1.6%
- --------------------------------------------------------------------------------
First Union National Bank
5.00% due 7/01/99(+) 303,566
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $2,786,255) $2,748,636
-----------
TOTAL INVESTMENTS
(Identified Cost
$19,608,735) 105.0% 20,294,088
Other Assets,
Less Liabilities (5.0) (958,114)
------ -----------
Net Assets 100.0% $19,335,974
------ -----------
<PAGE>
*Non income producing
(+)The Portfolio owns in aggregate First Union National Bank 5.00%, due 7/01/99
valued at $1,225,000, portions of which are separately listed by each asset
class. (++)The Portfolio owns in aggregate 1,565 shares of General Electric Co.
valued at $176,845, 1,280 shares of Bristol Myers Squibb Co. valued at $90,160,
and 1,209 shares of American Home Products Inc. valued at $69,518, portions of
which are separately listed by each asset class.
See notes to financial statements
Foreign Currency Legend
- --------------------------------------------------------------------------------
Symbol Country
- --------------------------------------------------------------------------------
CAD Canada
DKK Denmark
EURO Europe
GBP Great Britain
GRD Greece
JPY Japan
SEK Sweden
Forward currency contracts which were open at June 30, 1999 are as follows:
DELIVERY UNREALIZED
MARKET AGGREGATE DATE OF APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE CONTRACTS (DEPRECIATION)
- --------------------------------------------------------------------------------
Australian
Dollar (Sell) Australia $ 79,349 $ 79,266 July-99 $ (83)
Australian
Dollar (Buy) Australia 156,717 156,230 July-99 487
Dollar (Sell) Canada 44,161 44,369 July-99 208
Drachma (Sell) Greece 56,888 57,491 July-99 603
Krone (Sell) Denmark 27,782 28,050 July-99 268
Krona (Sell) Sweden 54,286 54,762 July-99 476
Pound (Sell) Great Britain 400,438 402,158 July-99 1,720
Yen (Sell) Japan 199,245 198,840 July-99 (405)
-------
$3,274
=======
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--12.6%
- --------------------------------------------------------------------------------
COMMON STOCKS--11.8%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURING--0.6%
- --------------------------------------------------------------------------------
Danaher Corp. 256 $ 14,880
Fastenal Co. 375 19,664
Tyco
International Ltd. 337 31,931
---------
66,475
---------
COMMERCIAL SERVICES--1.0%
- --------------------------------------------------------------------------------
Cintas Corp. 255 17,133
Clear Channel
Communications* 328 22,611
Interpublic Group
Companies Inc. 292 25,295
Omnicom Group 209 16,720
Schlumberger Ltd. 410 25,916
---------
107,675
---------
CONGLOMERATES--0.8%
- --------------------------------------------------------------------------------
General Electric Co.(++) 774 87,462
---------
CONSUMER DURABLES--0.1%
- --------------------------------------------------------------------------------
Leggett & Platt Inc. 495 13,767
---------
CONSUMER NON-DURABLES--0.2%
- --------------------------------------------------------------------------------
Procter & Gamble Co. 311 27,757
---------
FINANCE--0.9%
- --------------------------------------------------------------------------------
American International
Group Inc. 285 33,363
Bank of New York Inc. 324 11,887
Firststar Corp. 453 12,684
Goldman Sachs Group Inc. 55 3,974
MBNA Corp. 455 13,934
Zions Bancorp 392 24,892
---------
100,734
---------
HEALTHCARE--1.8%
- --------------------------------------------------------------------------------
American Home
Products Corp. (++) 302 17,365
Bristol Meyers
Squibb Co.(++) 415 29,232
Cardinal Health Inc. 255 16,352
Eli Lilly & Co. 172 12,320
Guidant Corp. 120 6,173
Johnson & Johnson 303 29,694
Merck & Co. 275 $20,350
Pfizer Inc. 229 25,133
Schering Plough Corp. 705 37,365
Warner Lambert Co. 45 3,122
---------
197,106
---------
<PAGE>
PROCESS INDUSTRIES--0.2%
- --------------------------------------------------------------------------------
Ecolab Inc. 484 21,114
---------
RETAIL--1.3%
- --------------------------------------------------------------------------------
Bed Bath &
Beyond Inc.* 758 29,183
Costco Companies Inc.* 176 14,091
Dollar General Corp. 210 6,090
Family Dollar
Stores Inc. 218 5,232
Gap Inc. 264 13,299
Home Depot Inc. 254 16,367
Kohls Corp.* 181 13,971
Ross Stores Inc. 390 19,646
Wal Mart Stores Inc. 411 19,831
---------
137,710
---------
TECHNOLOGY--4.5 %
- --------------------------------------------------------------------------------
Altera Corp.* 324 11,927
Automatic Data
Processing Inc. 752 33,088
Ceridian Corp.* 672 21,966
Cisco Systems Inc.* 913 58,888
Dell Computer Corp.* 550 20,350
EMC Corp.* 242 13,310
Intel Corp. 446 26,537
International Business
Machines 504 65,142
J.D. Edwards & Co.* 271 5,014
Lexmark International
Group Inc.* 95 6,276
Linear Technology Corp. 80 5,380
Lucent
Technologies Inc. 796 53,680
Maxim Integrated
Production Inc.* 80 5,320
Microsoft Corp.* 1,253 113,005
Solectron Corp.* 340 22,674
Sun Microsystems Inc.* 202 13,913
Tellabs Inc.* 105 7,094
Xilinx Inc.* 154 8,816
---------
492,380
---------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
TRANSPORTATION--0.1%
- --------------------------------------------------------------------------------
Southwest Airlines Co. 235 $7,314
---------
UTILITIES--0.3%
- --------------------------------------------------------------------------------
MCI Worldcom Inc.* 423 36,404
---------
TOTAL COMMON STOCKS 1,295,898
---------
SHORT-TERM OBLIGATIONS--0.8%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 89,201
---------
TOTAL LARGE CAP GROWTH
(Identified
Cost $1,151,698) 1,385,099
---------
LARGE CAP VALUE--12.1%
- --------------------------------------------------------------------------------
COMMON STOCKS--10.8%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES--0.5%
- --------------------------------------------------------------------------------
Alcoa Inc. 300 18,563
E. I. Du Pont de
Nemours & Co. 325 22,202
International
Paper Co. 300 15,150
---------
55,915
---------
CAPITAL GOODS--0.6%
- --------------------------------------------------------------------------------
Allied Signal Inc. 450 28,350
Raytheon Co. 475 32,716
---------
61,066
---------
COMMUNICATION SERVICES--1.5%
- --------------------------------------------------------------------------------
AT&T Corp. 675 37,673
Ameritech Corp. 400 29,400
Emerson Electric Co. 500 31,438
GTE Corp. 400 30,300
Sprint Corp. 750 39,609
---------
168,420
---------
CONGLOMERATES--0.3%
- --------------------------------------------------------------------------------
General Electric Co.(++) 250 28,250
---------
CONSUMER CYCLICALS--0.9%
- --------------------------------------------------------------------------------
Delphi Automotive
Systems Corp. 139 2,580
Ford Motor Co. 600 33,863
General Motors Corp. 200 13,200
Masco Corp. 900 25,988
McGraw Hill
Companies Inc. 350 18,878
---------
94,509
---------
CONSUMER STAPLES--0.6%
- --------------------------------------------------------------------------------
Avon Products Inc. 550 30,525
H.J. Heinz & Co. 225 11,278
Pepsico Inc. 700 27,081
---------
68,884
---------
<PAGE>
ENERGY--1.1%
- --------------------------------------------------------------------------------
BP Amoco PLC. 200 21,700
Chevron Corp. 300 28,556
Conoco Inc. 700 19,512
Exxon Corp. 200 15,425
Mobil Corp. 325 32,175
---------
117,368
---------
FINANCE--2.3%
- --------------------------------------------------------------------------------
Bank One Corp. 450 26,803
BankAmerica Corp. 400 29,325
Chase Manhattan Corp. 450 38,981
Chubb Corp. 300 20,850
Cigna Corp. 400 35,600
Hartford Financial
Services Group 450 26,241
Marsh & Mclennan
Companies Inc. 375 28,312
Mellon Bank Corp. 1,000 36,375
Unum Provident Corp. 250 13,687
---------
256,174
---------
HEALTHCARE--1.1%
- --------------------------------------------------------------------------------
Abbott Labs 525 23,887
American Home Products
Corp. (++) 500 28,750
Baxter
International Inc. 200 12,125
Bristol Meyers Squibb
Co.(++) 400 28,175
Pharmacia &
Upjohn Inc. 475 26,986
---------
119,923
---------
TECHNOLOGY--0.6%
- --------------------------------------------------------------------------------
Pitney Bowes Inc. 575 36,944
Xerox Corp. 475 28,055
---------
64,999
---------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
UTILITIES--1.3%
- --------------------------------------------------------------------------------
Duke Power Co. 575 $ 31,266
Enron Corp. 575 47,006
Unicom Corp. 700 26,994
Williams
Companies Inc. 900 38,306
----------
143,572
----------
TOTAL COMMON STOCKS 1,179,080
----------
SHORT-TERM OBLIGATIONS--1.3%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 144,695
----------
TOTAL LARGE CAP VALUE
(Identified Cost
$1,189,256) 1,323,775
----------
SMALL CAP GROWTH--12.5%
- --------------------------------------------------------------------------------
COMMON STOCKS--11.5%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES--1.2%
- --------------------------------------------------------------------------------
Catalina Marketing Corp.* 325 29,900
Checkfree Holdings Corp.* 351 9,674
Consolidated Graphics Inc.* 183 9,150
Covad Communications
Group Inc.* 235 12,528
Critical Path Inc.* 48 2,655
Ha Lo Industries Inc.* 771 7,614
ITT Educational Services
Inc.* 548 14,282
Lamar Advertising Co.* 389 15,925
Metzler Group Inc.* 245 6,768
Network Solutions Inc. 45 3,561
Probusiness Services Inc.* 213 7,641
Profit Recovery Group
International Inc.* 290 13,720
Verticalnet Inc.* 8 840
--------
134,258
--------
CONSUMER DURABLES--0.2%
- --------------------------------------------------------------------------------
Ethan Allen Interiors Inc. 231 8,720
Gentex Corp.* 240 6,720
Tower Automotive Inc.* 352 8,954
--------
24,394
--------
CONSUMER NON-DURABLES--0.3%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 368 $ 15,376
Boyds Collection Ltd.* 380 6,579
Horizon Organic Holdings
Corp.* 491 7,181
Wiley John & Son 188 3,313
--------
32,449
--------
CONSUMER SERVICES--1.2%
- --------------------------------------------------------------------------------
Hispanic Broadcasting
Corp.* 465 35,282
Houghton Mifflin Co. 174 8,189
Metro Networks Inc.* 407 21,724
Premier Parks Inc.* 597 21,940
Rubios Restaurant Inc.* 408 6,299
SFX Entertainment Inc.* 435 27,840
Saucony Inc.* 256 5,792
--------
127,066
--------
ELECTRONICS/TECHNICAL SERVICES--1.9%
- --------------------------------------------------------------------------------
American Tower Corp.* 288 6,912
C Cube Microsystems Inc.* 320 10,140
Copper Mountain
Networks Inc.* 6 463
Level One Communications
Inc.* 580 28,384
Macrovision Corp.* 155 11,606
Microchip Technology Inc.* 195 9,238
Network Appliance Inc.* 437 24,417
Novellus Systems Inc.* 305 20,816
PMC Sierra Inc.* 150 8,841
Pinnacle Holdings Inc.* 1,044 25,578
Powerwave Technologies
Inc.* 154 4,967
RSL Communications Ltd.* 392 7,571
Sipex Corp.* 575 11,788
Smart Modular
Technologies Inc.* 636 11,051
Voicestream Wireless
Corp.* 587 16,693
Western Wireless Corp.* 372 10,044
--------
208,509
--------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
ENERGY/MINERALS--0.4%
- --------------------------------------------------------------------------------
Coflexip 295 $12,833
Petroleum Geo Services* 1,131 16,823
R&B Falcon Corp.* 1,495 14,016
-------
43,672
FINANCE--1.1%
- --------------------------------------------------------------------------------
Centura Banks Inc. 227 12,797
Chittenden Corp. 494 15,437
Cullen Frost Bankers Inc. 618 17,034
Enhance Financial Services
Group Inc. 405 7,999
Executive Risk Inc. 149 12,674
Peoples Heritage Financial
Group 1,204 22,650
SEI Investments Co. 73 6,442
Telebanc Financial Corp.* 210 8,137
U.S. Trust Corp. 202 18,685
-------
121,855
-------
HEALTH SERVICES/TECHNOLOGY--1.4%
- --------------------------------------------------------------------------------
Andrx Corp.* 294 22,675
Apria Healthcare Group
Inc.* 420 7,140
Barr Labs Inc.* 449 17,904
Coulter Pharmaceutical
Corp.* 190 4,287
Gilead Sciences Inc.* 170 8,882
MedImmune Inc.* 146 9,891
Medquist Inc.* 129 5,644
Roberts Pharmaceutical
Corp.* 1,004 24,347
Synetic Inc.* 65 4,469
TLC The Laser Center
Inc.* 215 10,320
Trimeris Inc.* 660 9,570
Ventana Medical Systems
Inc.* 687 13,139
Xomed Surgical
Productions Inc.* 196 9,543
- --------------------------------------------------------------------------------
147,811
-------
INDUSTRIAL SERVICES--0.2%
- --------------------------------------------------------------------------------
Service Experts Inc.* 308 6,757
Waste Connections Inc.* 461 14,060
-------
20,817
-------
PROCESS INDUSTRIES--0.6%
- --------------------------------------------------------------------------------
Aliant Techsystems Inc.* 100 8,650
Aptargroup Inc. 544 16,320
Applied Power Inc. 304 8,303
Carlisle Companies Inc. 231 11,117
Mettler Toledo
International Inc.* 338 8,387
Om Group Inc. 342 11,799
-------
64,576
-------
RETAIL--0.6%
- --------------------------------------------------------------------------------
Linens N Things Inc.* 356 15,575
Men's Wearhouse Inc.* 280 7,140
O`Reilly Automotive Inc.* 229 11,536
Tiffany & Co. 127 12,256
Zale Corp.* 310 12,400
Zany Brainy Inc.* 860 8,331
-------
67,238
-------
TECHNOLOGY SERVICES--1.9%
- --------------------------------------------------------------------------------
Ariba Inc.* 50 4,862
Bisys Group Inc.* 220 12,870
Dallas Semiconductor Corp. 188 9,494
Electronics For
Imaging Inc.* 460 23,633
Exodus Communications
Inc.* 187 22,428
High Speed Access Corp.* 165 4,228
Legato Systems Inc.* 373 21,540
Lernout & Hauspie Speech
Products* 178 6,308
Macromedia Inc.* 320 11,280
Mercury Interactive Corp.* 531 18,784
NTL Inc.* 289 24,908
National Instruments Corp.* 335 13,526
Rational Software Corp.* 366 12,055
Whittman Hart Inc.* 460 14,605
Wind River Systems Inc.* 494 7,935
-------
208,456
-------
TRANSPORTATION--0.5%
- --------------------------------------------------------------------------------
C.H. Robinson Worldwide
Inc. 383 14,075
CNF Transportation Inc. 265 10,169
Eagle U.S.A.
Airfreight Inc.* 490 20,794
Skywest Inc. 438 10,923
----------
55,961
----------
TOTAL COMMON STOCKS 1,257,062
----------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.0%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) $ 109,937
----------
Total Small Cap Growth
(Identified Cost $1,173,489) 1,366,999
----------
SMALL CAP VALUE--13.2 %
- --------------------------------------------------------------------------------
COMMON STOCKS--12.9%
- --------------------------------------------------------------------------------
COMMERICAL SERVICES--0.2%
- --------------------------------------------------------------------------------
Reynolds & Reynolds Co. 1,000 23,312
----------
CONSUMER DURABLE GOODS--0.4%
- --------------------------------------------------------------------------------
D.R. Horton Inc. 600 9,975
Engle Homes Inc. 600 8,250
Flexsteel Industries Inc. 1,100 14,644
TBC Corp.* 1,000 7,063
----------
39,932
CONSUMER NON-DURABLES--1.7%
- --------------------------------------------------------------------------------
Dimon Inc. 3,200 16,600
Schweitzer-Mauduit
International Inc. 900 13,500
Sola International Inc.* 1,100 21,381
Standard Commercial
Corp 3,426 20,128
Timberland Co. 500 34,031
Tropical Sportwear
International Corp.* 1,500 47,813
Wolverine World
Wide Inc. 2,600 36,400
----------
189,853
CONSUMER SERVICES--0.2%
- --------------------------------------------------------------------------------
Aztar Corp.* 2,700 24,806
----------
ELECTRONIC TECHNOLOGY--0.4%
- --------------------------------------------------------------------------------
Aehr Test Systems* 2,400 9,300
----------
ESCO Electronics Corp.* 1,200 15,375
Spacehab Inc.* 2,600 13,325
United Industrial Corp.* 400 4,425
----------
42,425
ENERGY MINERALS--0.2%
- --------------------------------------------------------------------------------
Nuevo Energy Co.* 1,900 25,175
----------
FINANCE--2.5%
- --------------------------------------------------------------------------------
Acceptance Insurance
Co.* 1,000 15,063
American National
Insurance Co. 200 14,250
Centris Group Inc. 1,700 17,212
HCC Insurance
Holdings Inc. 1,700 38,569
Harleysville Group Inc. 800 16,400
MMI Companies Inc. 1,500 25,312
Matrix Capital Corp.* 900 12,600
PBOC Holdings Inc.* 1,700 17,000
PMI Group Inc. 200 12,563
Penn America Group Inc. 1,300 13,488
Presidential Life Corp. 1,800 35,325
Professional Groups Inc.* 1,000 33,750
Seibels Bruce Group Inc.* 1,300 6,500
Stancorp Financial
Group Inc.* 600 18,000
----------
276,032
HEALTH TECHNOLOGY--0.2%
- --------------------------------------------------------------------------------
OrthoLogic Corp.* 3,100 7,653
West Pharmaceutical
Services Inc. 400 15,700
----------
23,353
INDUSTRIAL SERVICES--1.3%
- --------------------------------------------------------------------------------
Atwood Oceanics Inc.* 1,000 31,250
ENSCO International Inc. 1,500 29,906
Perini Corp.* 1,500 8,531
R & B Falcon Corp.* 1,350 12,656
Rowan Companies Inc.* 1,800 33,188
Santa Fe International
Corp 1,100 25,300
----------
140,831
NON-ENERGY MINERALS--0.6%
- --------------------------------------------------------------------------------
Carpenter Technology
Corp 600 17,137
LTV Corp. 5,000 33,438
Lone Star Technologies
Inc.* 1,100 19,525
----------
70,100
----------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
PROCESS INDUSTRIES--0.4%
- --------------------------------------------------------------------------------
Lancaster Colony Corp. 300 $10,350
RPM Inc. 1,600 22,700
Tuscarora Inc. 500 6,781
---------
39,831
PRODUCER MANUFACTURING--2.8%
- --------------------------------------------------------------------------------
Baldor Electric Co. 1,000 19,875
Commerical Intertech
Corp 1,000 15,937
Commonwealth
Industries Inc. 1,800 22,500
Easco Inc. 1,500 15,844
Global Industrial
Technologies Inc.* 2,100 25,331
Holophane Corp.* 500 19,062
JLG Industries Inc. 3,200 65,200
Keystone Consolidated
Industries Inc.* 2,000 13,250
Myers Industries Inc. 1,200 24,000
Patrick Industries Inc. 900 14,063
Superior Industries
International Inc. 900 24,581
Timken Co. 1,400 27,300
Watts Industries Inc.* 1,200 23,025
---------
309,968
RETAIL TRADE--0.4%
- --------------------------------------------------------------------------------
Schultz Sav-O Stores Inc. 1,400 22,400
Syms Corp.* 2,200 17,875
---------
40,275
TECHNOLOGY SERVICES--0.2%
- --------------------------------------------------------------------------------
Ultrak Inc.* 3,400 19,975
---------
TRANSPORTATION--1.4%
- --------------------------------------------------------------------------------
Air Express International
Corp. 800 20,300
Atlantic Coast Airlines
Holdings * 400 7,600
Conrad Industries Inc.* 300 1,500
Fritz Companies Inc.* 2,900 31,175
Kenan Transport Co. 900 27,450
Midwest Express
Holdings Inc.* 700 23,800
Motor Cargo
Industries Inc.* 1,400 $11,900
Tidewater Inc. 800 24,400
---------
148,125
---------
TOTAL COMMON STOCKS 1,413,993
---------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 28,295
---------
TOTAL SMALL CAP VALUE
(Identified Cost $1,487,287) 1,442,288
---------
INTERNATIONAL EQUITY--19.2 %
- --------------------------------------------------------------------------------
COMMON STOCKS--18.6%
- --------------------------------------------------------------------------------
Austria--0.1%
Boehler Uddeholm 308 15,237
---------
AUSTRALIA--0.7%
- --------------------------------------------------------------------------------
Australia & New Zealand
Bank Group 4,067 29,866
Pioneer International Ltd. 9,531 24,257
Quantas Airways 7,782 25,670
---------
79,793
CANADA--0.5%
- --------------------------------------------------------------------------------
Imasco Ltd. 1,280 34,510
Noranda Inc. 1,765 23,254
---------
57,764
FINLAND--0.3%
- --------------------------------------------------------------------------------
UPM Kymmene Oy 1,185 33,959
---------
FRANCE--1.9%
- --------------------------------------------------------------------------------
Banque National de Paris 215 17,908
BIC 522 27,524
Elf Aquitaine 240 35,206
Lafarge Coppee 322 30,604
Pernod Ricard 515 34,508
Societe Generale 203 35,763
Total 213 27,468
---------
208,981
---------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
GERMANY--1.9%
- --------------------------------------------------------------------------------
Buderus AG 75 $ 30,075
Commerzbank AG 925 28,082
Dragerwerk AG 1,330 18,783
Dyckerhoff AG 110 33,224
Hoechst AG 751 33,986
SGL Carbon AG* 130 10,051
Veba AG 666 39,133
Vossloh AG 450 10,206
---------
203,540
---------
GREAT BRITAIN--5.1%
- --------------------------------------------------------------------------------
Allied Domecq 3,616 34,768
Allied Zurich 2,010 25,267
BAT Industries 2,420 22,830
BOC Group 1,688 33,046
CGU 1,695 24,406
Coats Viyella 21,860 17,573
Cookson Group 13,595 45,858
Elementis 16,307 26,732
Hanson 3,384 30,404
Invensys 6,133 29,001
Lex Service 2,960 27,201
Lloyds TSB Group 1,841 25,000
Medeva 7,470 12,128
National
Westminister 1,445 30,635
Reckitt & Colman 1,474 15,393
Safeway 4,660 18,584
TI Group 4,740 31,828
Tomkins 12,171 52,758
United News &
Media PLC. 2,360 22,692
Williams 4,497 29,700
---------
555,804
---------
HONG KONG--0.5%
- --------------------------------------------------------------------------------
Hang Lung
Development Co. 10,000 12,373
New World
Development Co. 3,000 8,990
South China Morning
Post 52,000 29,155
---------
50,518
---------
IRELAND--0.5%
- --------------------------------------------------------------------------------
Greencore Group 7,320 $22,638
Jefferson
Smurfit Group 13,990 32,809
---------
55,447
---------
ITALY--0.6%
- --------------------------------------------------------------------------------
Eni Spa 4,100 24,471
Telecom Italia 1,000 5,422
Telecom Italia SPA 3,000 31,173
---------
61,066
---------
JAPAN--1.6%
- --------------------------------------------------------------------------------
Nichicon Corp. 3,000 43,771
Nintendo Co. 500 70,307
Promise Co. 600 35,463
Yodogawa Steel Works 6,000 24,800
---------
174,341
---------
<PAGE>
NETHERLANDS--1.3%
- --------------------------------------------------------------------------------
ABN Amro Holdings 1,065 23,055
Akzo Nobel 803 33,773
Ing Groep 675 36,531
Koninklijke NV PTT 321 15,056
Philips Electronics 354 34,905
---------
143,320
---------
NEW ZEALAND--0.1%
- --------------------------------------------------------------------------------
Fletcher Challenge 6,352 9,248
---------
NORWAY--0.2%
- --------------------------------------------------------------------------------
Kvaerner ASA 826 16,980
---------
SINGAPORE--0.6%
- --------------------------------------------------------------------------------
Creative
Technology Ltd. 2,998 40,286
Jardine Matheson 4,500 22,500
---------
62,786
SPAIN--0.6%
- --------------------------------------------------------------------------------
Banco Santander SA 2,694 28,049
Telefonica SA 846 40,840
---------
68,889
SWEDEN--0.5%
- --------------------------------------------------------------------------------
Electrolux 1,320 27,678
Getinge Industrier 1,753 25,916
---------
53,594
SWITZERLAND--1.6%
- --------------------------------------------------------------------------------
Forbo Holdings 49 19,473
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
SHARES/
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Gerberit 135 $ 30,774
Novartis 27 39,412
Saurer 42 22,714
Schweizenische
Ruckverischer 9 17,131
Sig Holding 49 29,178
Sulzer AG 36 21,876
---------
180,558
TOTAL COMMON STOCKS 2,031,825
---------
RIGHTS--0.0%
- --------------------------------------------------------------------------------
Telefonica SA 16 770
---------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 69,172
---------
TOTAL INTERNATIONAL EQUITY
(Identified
Cost $2,025,226) 2,101,767
---------
DOMESTIC FIXED INCOME--11.2%
- --------------------------------------------------------------------------------
FIXED INCOME--9.8%
- --------------------------------------------------------------------------------
ASSET BACKED--0.5%
- --------------------------------------------------------------------------------
Ford Credit Auto
Owner Trust
6.16% due 8/15/03 $20,000 19,825
JP Morgan Commercial
Mortgage Finance
Group
6.373% due 1/15/30 4,330 4,293
Morgan Stanley Capital Inc.
6.44% due 11/15/02 20,000 19,892
Peco Energy
Transportation Trust
6.05% due 3/01/09 5,000 4,789
Sears Credit Account
Master Trust
5.25% due 10/16/08 10,000 9,550
---------
58,349
---------
CORPORATE BONDS--1.8%
- --------------------------------------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 10,000 9,249
American Financial
Group Inc.
7.125% due 4/15/09 5,000 4,652
Associates Corp.
North America
6.95% due 11/01/18 $15,000 14,452
BB & T Corp.
6.375% due 6/30/05 10,000 9,746
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 5,000 4,761
Conoco Inc.
5.90% due 4/15/04 10,000 9,758
Conseco Inc.
6.40% due 6/15/01 5,000 4,898
Dayton Hudson Corp.
6.65% due 8/01/28 5,000 4,562
General Motors
Acceptance Corp.
6.15% due 4/05/07 10,000 9,522
Equitable Life Assurance
6.95% due 12/01/05 5,000 4,990
Ford Motor Co.
6.625% due 10/01/28 15,000 13,503
Household Finance Corp.
6.50% due 11/15/08 10,000 9,535
Knight Ridder Inc.
7.15% due 11/01/27 5,000 4,804
6.875% due 3/15/29 5,000 4,627
Lehman Brothers
Holdings Inc.
6.40% due 8/30/00 5,000 5,005
7.00% due 5/15/03 10,000 9,922
MCI Communications
Group
6.50% due 4/15/10 5,000 4,792
Mattel Inc.
6.00% due 7/15/03 5,000 4,874
Merita Bank PLC
6.50% due 4/01/09 5,000 4,737
National Rural Utilities
Cooperative Finance
6.20% due 2/01/08 15,000 14,463
Nordstrom Inc.
5.625% due 1/15/09 5,000 4,543
Popular North America Inc.
6.875% due 6/15/01 10,000 10,016
Provident Companies Inc.
7.00% due 7/15/18 5,000 4,783
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
SHARES/
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Raytheon Co.
6.30% due 3/15/05 $10,000 $ 9,814
Rhom & Haas Co.
7.40% due 7/15/09 10,000 9,998
TPSA Finance BV
7.75% due 12/10/08 5,000 4,852
----------
196,858
----------
MORTGAGE BACKED--2.3%
- --------------------------------------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.00% due 12/31/99 10,000 9,405
7.00% due 12/31/99 100,000 100,063
6.25% due 6/15/24 10,000 9,735
Federal National Mortgage
Association
6.50% due 12/01/99 20,000 19,294
7.349% due 8/17/21 10,000 10,186
6.50% due 4/01/29 24,853 23,976
G.E. Capital Mortgage
Securities Inc.
5.905% due 10/25/13 20,000 19,927
Government National
Mortgage Association
7.00% due 12/31/99 30,000 29,597
7.00% due 2/15/24 13,954 13,810
Structured Asset
Securities Corp.
6.79% due 10/15/34 9,617 9,705
----------
245,698
----------
U. S. TREASURY OBLIGATIONS--4.8%
- --------------------------------------------------------------------------------
United States Treasury Bonds
3.63% due 4/15/28 10,082 9,513
5.25% due 2/15/29 45,000 40,430
----------
49,943
United States Treasury Notes
5.875% due 11/15/99 40,000 40,119
5.625% due 4/30/00 10,000 10,027
5.75% due 11/30/02 40,000 40,081
5.50% due 3/31/03 55,000 54,648
6.875% due 5/15/06 303,000 319,001
3.875% due 1/15/09 10,000 9,881
----------
473,757
----------
YANKEE BONDS--0.4%
- --------------------------------------------------------------------------------
Corporation Andina
de Fomento
7.75% due 3/01/04 $10,000 $9,741
Imperial Tobacco
Overseas BV
7.125% due 4/01/09 10,000 9,540
Korea Development Bank
7.125% due 4/22/04 10,000 9,764
Province of Manitoba
5.50% due 10/01/08 10,000 9,223
TPSA Finance BV
7.75% due 12/10/08 5,000 4,862
----------
43,130
----------
TOTAL FIXED INCOME 1,067,735
----------
SHORT-TERM OBLIGATIONS--1.4%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 158,763
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $1,238,012) 1,226,498
----------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- --------------------------------------------------------------------------------
INTERNATIONAL BOND--11.0%
- --------------------------------------------------------------------------------
FIXED INCOME--9.8%
- --------------------------------------------------------------------------------
CANADA--0.4%
- --------------------------------------------------------------------------------
Commonwealth Of Canada
9.00% due 12/01/04 CAD $50,000 $ 39,459
----------
DENMARK--0.1%
- --------------------------------------------------------------------------------
Nykredit
5.00% due 10/01/29 DKK 40,000 4,942
Unikredit Realkred
5.00% due 10/01/29 DKK 60,000 7,412
----------
12,354
----------
FRANCE--0.7%
- --------------------------------------------------------------------------------
Government of France
7.75% due 10/25/05 EURO 50,000 61,593
3.00% due 7/25/09 EURO 10,677 11,118
----------
72,711
----------
GERMANY--0.2%
- --------------------------------------------------------------------------------
Republic of Germany
5.625% due 1/04/28 EURO 20,225 21,491
----------
GREAT BRITAIN--1.1%
- --------------------------------------------------------------------------------
United Kingdom Treasury
6.75% due 11/26/04 GBP 20,000 33,527
8.50% due 12/07/05 GBP 48,000 88,295
----------
121,822
----------
GREECE--0.8%
- --------------------------------------------------------------------------------
Hellenic Republic
7.60% due 1/22/02 GRD 20,000,000 64,399
Republic of Greece
12.80% due 6/17/03 GRD 1,600,000 5,228
11.00% due 10/23/03 GRD 5,000,000 16,472
----------
86,099
----------
ITALY--0.4%
- --------------------------------------------------------------------------------
Republic of Italy
6.50% due 11/01/27 EURO 41,000 47,611
----------
JAPAN--1.7%
- --------------------------------------------------------------------------------
Japan Government Bonds
4.10% due 12/22/03 JPY 7,000,000 65,582
3.40% due 3/22/04 JPY 6,500,000 59,421
4.10% due 6/21/04 JPY 6,200,000 58,545
----------
183,548
----------
NETHERLANDS--0.5%
- --------------------------------------------------------------------------------
Kingdom of Netherlands
6.00% due 1/15/06 EURO $50,000 $56,465
----------
SPAIN -- 0.9%
- --------------------------------------------------------------------------------
Government Of Spain
6.00% due 1/31/08 EURO 86,533 96,920
----------
UNITED STATES -- 3.0%
- --------------------------------------------------------------------------------
Federal National Mortgage
Association
6.875% due 6/7/02 GBP 20,000 32,250
International Bank
Reconciliation and
Development
4.75% due 12/20/04 JPY 5,600,000 55,056
Merrill Lynch & Co Inc.
5.299% due 11/01/01 $ 100,000 99,748
SLM Student Loan Trust
5.012% due 10/25/04 $ 4,201 4,188
5.102% due 4/25/06 $ 28,806 28,659
USAA Auto Loan
Grantor Trust
5.80% due 1/15/05 $ 62,678 62,726
United States Treasury
Notes
3.625% due 7/15/02 $ 51,875 51,324
----------
333,951
----------
TOTAL FIXED INCOME 1,072,431
----------
SHORT-TERM OBLIGATIONS -- 1.2%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53 % due 7/01/99 (+) 127,191
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,235,023) 1,199,622
----------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
HIGH YIELD BOND -- 9.7%
- --------------------------------------------------------------------------------
FIXED INCOME--8.8%
- --------------------------------------------------------------------------------
DOMESTIC CORPORATIONS -- 8.6%
- --------------------------------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 $20,000 $19,800
B & G Foods
Incications Corp.
9.625% due 8/01/07 20,000 18,825
BE Aerospace - Series B
8.00% due 3/01/08 20,000 18,700
Ball Corp.
7.75% due 8/01/06 20,000 19,600
Bellwether Exploratory Co.
10.875% due 4/01/07 20,000 19,150
CB Richards Ellis
Services Inc.
8.875% due 6/01/06 20,000 19,300
CSC Holdings Inc.
9.875% due 2/15/13 20,000 21,600
Charter Communications
Holdings
8.625% due 4/01/09 20,000 19,150
9.92% due 4/01/11 30,000 18,600
Circus Circus
Enterprises Inc.
9.25% due 12/01/05 20,000 20,300
Coach USA Series -
Series B
9.375% due 7/01/07 20,000 20,600
Cole National Group Inc.
8.625% due 8/15/07 20,000 17,200
Contifinancial Corp.
8.375% due 8/15/03 20,000 17,200
Energis PLC
9.75% due 6/15/09 20,000 20,250
Expressway Scripts Inc.
9.625% due 6/15/09 20,000 20,250
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 10,000 9,800
French Fragrances Inc.
10.375% due 5/15/07 20,000 20,400
Frontiervision Holdings LP
11.875% due 9/15/07 20,000 17,300
HMH Properties Series -
Series B
7.875% due 8/01/08 20,000 18,350
Hollinger International
Publishing Inc.
9.25% due 3/15/07 20,000 20,450
Holt Group Inc.
9.75% due 1/15/06 20,000 13,600
Home Interior Gifts Inc.
10.125% due 6/01/08 $ 20,000 $ 19,800
Integrat
Electrical Service
9.375% due 2/01/09 20,000 19,700
Intermedia
Communications Inc.
9.50% due 3/01/09 20,000 19,300
Iron Mountain Inc.
10.125% due 10/01/06 20,000 21,200
J.H. Heafner Inc.
10.00% due 5/15/08 20,000 19,900
JL French Automotive
Castings
11.50% due 6/01/09 20,000 20,400
Jordan Industries Series -
Series B
10.375% due 8/01/07 20,000 20,250
Lear Corp.
8.11% due 5/15/09 20,000 19,259
Lyondell Chemical Co.
9.875% due 5/01/07 20,000 20,375
Mail Well Corp.
8.75% due 12/15/08 20,000 19,400
Majestic Star Casino LLC
10.875% due 7/01/06 20,000 19,850
NTL Communications Corp.
12.375% 10/01/08 30,000 20,475
Nextel Communications Inc.
9.75% due 8/15/04 20,000 20,300
Orange PLC
9.00% due 6/01/09 20,000 20,100
Packard Bioscience Inc.
- Series B
9.375% due 3/01/07 20,000 18,900
Pennzoil Co.
10.125% due 11/15/09 20,000 21,979
Pierce Leahy Command Co.
8.125% due 5/15/08 20,000 18,900
Polymer Group Series -
Series B
8.75% due 3/01/08 20,000 19,200
Price Communications
Wireless
Inc. - Series B
9.125% due 12/15/06 20,000 20,300
Revlon Consumer
Products Corp.
8.625% due 2/01/08 20,000 18,900
Rogers Cantel
9.375% due 6/01/08 20,000 20,700
Safety Kleen Services Inc.
9.25% due 6/01/08 20,000 20,500
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Simmons Co.
10.25% due 3/15/09 $ 20,000 $ 20,300
Sun International Ltd.
9.00% due 3/15/07 25,000 25,000
Tembec Finance Corp.
9.875% due 9/30/05 20,000 20,800
Western Gas Resource Inc.
10.00% due 6/15/01 20,000 20,400
Williams Scotsman Inc.
9.875% due 6/01/07 20,000 19,800
--------
936,413
MORTGAGE OBLIGATIONS -- 0.2%
- --------------------------------------------------------------------------------
Mortgage Backed Securities/Passthroughs -- 0.2%
Airplane Trust
10.875% due 3/15/19 20,000 19,260
--------
TOTAL FIXED INCOME 955,673
--------
SHORT-TERM OBLIGATIONS -- 0.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 102,746
----------
Total High Yield Bond
(Identified Cost
$1,072,949) $1,058,419
----------
Total Investments
(Identified Cost
$10,572,940) 101.5% $11,104,467
Other Assets,
Less Liabilities (1.5) (165,117)
----- -----------
Total Net Assets 100.0% $10,939,350
===== ===========
*Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Mortgage Consumer
Discount Notes 4.53%, due 7/01/99 valued at $830,000, portions of which are
separately listed by each sset class.
(++) The Portfolio owns in aggregate 1,024 shares of General Electric
Corp.valued at $115,712, and 815 shares of Bristol Meyers Squibb Co. valued
at $57,407, and 802 shares of American Home Products Corp. valued at
$46,115, portions of which are separately listed by each asset class.
See notes to financial statements
FOREIGN CURRENCY LEGEND
- --------------------------------------------------------------------------------
SYMBOL COUNTRY
- --------------------------------------------------------------------------------
CAD Canada
DKK Denmark
EURO Europe
GBP Great Britain
GRD Greece
JPY Japan
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1999 ARE AS FOLLOWS:
DELIVERY UNREALIZED
MARKET AGGREGATE DATE OF APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE CONTRACTS (DEPRECIATION)
- --------------------------------------------------------------------------------
Australian
Dollar (Sell) Australia $ 46,287 $46,239 July-99 $ (48)
Australian
Dollar (Buy) Australia 91,914 91,629 July-99 285
Canadian
Dollar (Sell) Canada 37,367 37,543 July-99 176
Drachma (Sell) Greece 31,921 32,260 July-99 339
Euro (Sell) Europe 30,993 31,268 July-99 275
Krone (Sell) Denmark 11,113 11,220 July-99 107
Pound (Sell) Great Britain 220,714 221,662 July-99 948
Yen (Sell) Japan 112,075 111,847 July-99 (228)
------
$1,854
======
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--15.2%
- --------------------------------------------------------------------------------
COMMON STOCKS --14.2%
- --------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
- --------------------------------------------------------------------------------
Manufacturer -- 0.7%
Danaher Corp. 131 $ 7,614
Fastenal Co. 185 9,701
Tyco
International Ltd. 170 16,107
--------
33,422
--------
COMMERCIAL SERVICES -- 0.9%
- --------------------------------------------------------------------------------
Cintas Corp. 130 8,734
Clear Channel
Communications 165 11,375
Interpublic Group
Companies Inc. 148 12,820
Omnicom Group 108 8,640
--------
41,569
--------
CONGLOMERATES -- 1.0%
- --------------------------------------------------------------------------------
General
Electric Co.(++) 388 43,844
--------
CONSUMER DURABLES -- 0.1%
- --------------------------------------------------------------------------------
Leggett & Platt Inc. 250 6,953
- --------------------------------------------------------------------------------
CONSUMER NON-DURABLES -- 0.3%
- --------------------------------------------------------------------------------
Procter & Gamble Co. 158 14,101
--------
FINANCE -- 1.1%
- --------------------------------------------------------------------------------
American International
Group Inc. 142 16,623
Bank of New York Inc. 160 5,870
Firstar Corp. 228 6,384
Goldman Sachs
Group Inc. 30 2,168
MBNA Corp. 225 6,891
Zions Bancorp 194 12,319
--------
50,255
--------
HEALTHCARE -- 2.2%
- --------------------------------------------------------------------------------
American Home
Products Corp.(++) 153 8,797
Bristol Myers
Squibb Co.(++) 210 14,792
Cardinal Health Inc. 125 8,016
Eli Lilly & Co. 88 6,303
Guidant Corp. 60 3,086
Johnson & Johnson 153 14,994
Merck & Co. 137 10,138
Pfizer Inc. 115 12,621
Schering Plough Corp. 351 18,603
Warner Lambert Co. 26 1,804
--------
99,154
--------
PROCESS INDUSTRIES -- 0.2%
- --------------------------------------------------------------------------------
Ecolab Inc. 243 $10,601
--------
<PAGE>
RETAIL -- 1.5%
- --------------------------------------------------------------------------------
Bed Bath &
Beyond Inc.* 378 14,553
Costco Companies Inc.* 85 6,805
Dollar General Corp. 105 3,045
Family Dollar
Stores Inc. 107 2,568
Gap Inc. 130 6,574
Home Depot Inc. 125 8,055
Kohls Corp.* 89 6,870
Ross Stores Inc. 190 9,571
Wal Mart Stores Inc. 206 9,940
--------
67,981
--------
TECHNOLOGY -- 5.7%
- --------------------------------------------------------------------------------
Altera Corp.* 158 5,816
Automatic Data
Processing Inc.* 374 16,456
Ceridian Corp.* 353 11,539
Cisco Systems Inc.* 458 29,541
Dell Computer Corp.* 275 10,175
Edwards J&D & Co. 135 2,498
EMC Corp.* 124 6,820
Intel Corp. 222 13,209
International Business
Machines 250 32,313
Lexmark International
Group Inc.* 45 2,973
Linear Technology Corp. 40 2,690
Lucent
Technologies Inc. 389 26,233
Maxim Integrated
Products Inc.* 40 2,660
Microsoft Corp.* 627 56,548
Schlumberger 205 12,958
Solectron Corp. * 167 11,137
Sun Microsystems Inc. 101 6,956
Tellabs Inc.* 55 3,716
Xilinx Inc.* 76 4,351
--------
258,589
--------
TRANSPORTATION -- 0.1%
- --------------------------------------------------------------------------------
Southwest Airlines Co. 120 3,735
--------
UTILITIES -- 0.4%
- --------------------------------------------------------------------------------
MCI Worldcom Inc. 210 18,073
--------
TOTAL COMMON STOCKS 648,277
--------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.0%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) $ 45,305
--------
TOTAL LARGE CAP GROWTH
(Identified Cost $595,181) 693,582
--------
LARGE CAP VALUE--15.1%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 14.0%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES-- 0.9%
- --------------------------------------------------------------------------------
Alcoa Inc. 225 13,922
E. I. Du Pont
de Nemours & Co. 225 15,370
International
Paper Co. 250 12,625
--------
41,917
CAPITAL GOODS -- 0.7%
- --------------------------------------------------------------------------------
Allied Signal Inc. 250 15,750
Raytheon Co. 250 17,219
--------
32,969
COMMUNICATION SERVICES -- 1.7%
- --------------------------------------------------------------------------------
AT&T Corp. 375 20,930
Ameritech Corp. 200 14,700
Emerson Electric Co. 200 12,575
GTE Corp. 250 18,937
Sprint Corp. 200 10,562
--------
77,704
CONGLOMERATES -- 0.3%
- --------------------------------------------------------------------------------
General
Electric Co. (++) 125 14,125
--------
CONSUMER CYCLICALS -- 1.1%
- --------------------------------------------------------------------------------
Delphi Automotive
System Corp. 104 1,931
Ford Motor Co. 225 12,698
General Motors Corp. 200 13,200
Masco Corp. 450 12,994
McGraw Hill
Companies Inc. 200 10,788
--------
51,611
CONSUMER STAPLES -- 0.8%
- --------------------------------------------------------------------------------
Avon Products Inc. 275 15,263
H.J. Heinz & Co. 100 5,013
Pepsico Inc. 400 15,475
--------
35,751
ENERGY -- 1.4%
- --------------------------------------------------------------------------------
BP Amoco PLC 125 $13,563
Chevron Corp. 150 14,278
Conoco Inc. 300 8,362
Exxon Corp. 175 13,497
Mobil Corp. 150 14,850
--------
64,550
<PAGE>
FINANCE -- 3.0%
- --------------------------------------------------------------------------------
Bank One Corp. 250 14,891
BankAmerica Corp. 225 16,495
Chase Manhattan Corp. 250 21,656
Chubb Corp. 200 13,900
Cigna Corp. 150 13,350
Hartford Financial
Services Group 250 14,578
Marsh & McLennan
Companies Inc. 200 15,100
Mellon Bank Corp. 475 17,278
Unumprovident Corp. 125 6,844
--------
134,092
HEALTHCARE -- 1.7%
- --------------------------------------------------------------------------------
Abbott Labs 350 15,925
American Home
Products Corp. (++) 400 23,000
Baxter
International Inc. 75 4,547
Bristol Myers
Squibb Co. (++) 250 17,609
Pharmacia &
Upjohn Inc. 275 15,623
--------
76,704
--------
TECHNOLOGY -- 0.9%
- --------------------------------------------------------------------------------
Pitney Bowes Inc. 325 20,881
Xerox Corp. 300 17,719
--------
38,600
--------
UTILITIES -- 1.5%
- --------------------------------------------------------------------------------
Duke Energy Co. 300 16,312
Enron Corp. 275 22,481
Unicom Corp. 350 13,497
Williams
Companies Inc. 350 14,897
--------
67,187
--------
TOTAL COMMON STOCKS 635,210
--------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.1%
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) $50,418
--------
TOTAL LARGE CAP VALUE
(Identified Cost $634,216) 685,628
--------
SMALL CAP GROWTH --14.7%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 13.3%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES --1.3%
- --------------------------------------------------------------------------------
Catalina Marketing Corp.* 155 14,260
Checkfree Holdings Corp.* 170 4,686
Covad Communications
Group Inc. * 111 5,918
Critical Path Inc.* 26 1,438
Ha Lo Industries Inc. * 371 3,664
ITT Services Inc. * 265 6,907
Lamar Advertising Co.* 188 7,696
Metzler Group Inc.* 120 3,315
Probusiness
Services Inc.* 106 3,803
Profit Recovery Group
International Inc.* 141 6,671
Verticalnet Inc.* 5 525
--------
58,883
CONSUMER DURABLE --0.3%
- --------------------------------------------------------------------------------
Ethan Allen
Interiors Inc. 111 4,190
Gentex Corp.* 115 3,220
Tower Automotive Inc.* 171 4,350
--------
11,760
CONSUMER NON-DURABLE -- 0.3%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 179 7,479
Boyds Collection Ltd. * 185 3,203
Horizon Organic
Holdings Corp.* 239 3,495
Wiley John & Son 92 1,621
--------
15,798
CONSUMER SERVICES -- 1.3%
- --------------------------------------------------------------------------------
Hispanic
Broadcasting Corp.* 224 16,996
Houghton Mifflin Co. 83 3,906
Metro Networks Inc.* 198 10,568
Premier Parks Inc.* 290 10,657
Rubios Restaurants Inc.* 202 3,118
SFX Entertainment Inc.* 208 $13,312
Saucony Inc.* 124 2,805
--------
61,362
--------
ELECTRONICS/TECHNICAL SERVICES -- 2.2%
- --------------------------------------------------------------------------------
American Tower Corp.* 138 3,312
C Cube
Microsystems Inc.* 154 4,880
Copper Mountain
Networks Inc.* 3 232
Level One
Communications Inc.* 280 13,703
Macrovision Corp. 80 5,990
Microchip
Technology Inc.* 96 4,548
Network Appliance Inc.* 214 11,957
Novellus Systems Inc.* 148 10,101
PMC Sierra Inc.* 70 4,126
Pinnacle Holdings Inc.* 505 12,373
Powerwave
Technologies Inc.* 75 2,419
RSL Communications Ltd.* 188 3,631
Sipex Corp.* 276 5,658
Smart Modular
Technologies Inc.* 305 5,299
<PAGE>
Voicestream
Wireless Corp.* 282 8,019
Western Wireless Corp.* 182 4,914
--------
101,162
--------
ENERGY/MINERAL -- 0.5%
- --------------------------------------------------------------------------------
Coflexip 140 6,090
Petroleum Geo Services* 544 8,092
R & B Falcon Corp.* 720 6,750
--------
20,932
--------
FINANCE -- 1.3%
- --------------------------------------------------------------------------------
Centura Banks Inc. 113 6,370
Chittenden Corp. 237 7,406
Cullen Frost
Bankers Inc. 294 8,103
Enhance Financial
Services Group Inc. 195 3,851
Executive Risk Inc. 75 6,380
Peoples Heritage
Financial Group 582 10,949
SEI Investments 35 3,089
Telebanc Financial Corp.* 100 3,875
U.S. Trust Corp. 100 9,250
--------
59,273
--------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH SERVICES/TECHNOLOGY -- 1.5%
- --------------------------------------------------------------------------------
Andrx Corp.* 143 $11,029
Apria Healthcare Group Inc.* 205 3,485
Barr Labs Inc.* 217 8,653
Coulter Pharmaceutical Inc.* 90 2,031
Gilead Sciences Inc.* 80 4,180
MedImmune Inc.* 72 4,878
Roberts Pharmaceutical
Corp.* 483 11,713
Synetic Inc.* 30 2,062
TLC The Laser Center Inc.* 105 5,040
Trimeris Inc.* 315 4,568
Ventana Medical
Systems Inc.* 330 6,311
Xomed Surgical
Products Inc.* 94 4,577
--------
68,527
--------
INDUSTRIAL SERVICES -- 0.2%
- --------------------------------------------------------------------------------
Service Experts Inc.* 147 3,225
Waste Connections Inc.* 221 6,740
--------
9,965
PROCESS INDUSTRIES -- 0.7%
- --------------------------------------------------------------------------------
Alliant Techsystems Inc.* 50 4,325
Applied Power Inc. 148 4,042
Aptargroup Inc. 263 7,890
Carlisle Companies Inc. 112 5,390
Mettler Toledo
International Inc.* 165 4,094
Om Group Inc. 164 5,658
--------
31,399
--------
RETAIL -- 0.7%
- --------------------------------------------------------------------------------
Linens N Things Inc.* 173 7,569
Men's Wearhouse Inc.* 135 3,443
O'Reilly Automotive Inc.* 110 5,541
Tiffany & Co. 59 5,694
Zale Corp.* 150 6,000
Zany Brainy Inc.* 410 3,972
--------
32,219
--------
TECHNOLOGY SERVICES -- 2.4%
- --------------------------------------------------------------------------------
Ariba Inc.* 25 2,431
Bisys Group Inc.* 105 6,142
Consolidated Graphics Inc. * 90 4,500
Dallas Semiconductor Corp. 88 4,444
Electronics for Imaging Inc.* 224 11,508
Exodus Communications Inc.* 90 $10,794
High Speed Access Corp.* 80 2,050
Legato Systems Inc.* 183 10,568
Lernout & Hauspie Speech
Products* 86 3,048
Macromedia Inc.* 153 5,393
Medquist Inc.* 63 2,756
Mercury Interactive Corp.* 254 8,985
NTL Inc.* 137 11,808
National Instruments Corp.* 160 6,460
Network Solutions Inc.* 20 1,582
Rational Software Corp.* 175 5,764
Whittman Hart Inc.* 219 6,953
Wind Systems Inc.* 236 3,791
--------
108,977
--------
<PAGE>
TRANSPORTATION -- 0.6%
- --------------------------------------------------------------------------------
C.H. Robinson
Worldwide Inc. 185 6,799
CNF Transportation Inc. 130 4,989
Eagle U.S.A. Airfreight Inc.* 236 10,015
Skywest Inc. 210 5,237
--------
27,040
--------
TOTAL COMMON STOCKS 607,297
--------
<PAGE>
SHORT-TERM OBLIGATIONS--1.4%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 66,460
--------
TOTAL SMALL CAP GROWTH
(Identfied Cost $572,210) 673,757
--------
SMALL CAP VALUE--15.0%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 15.0%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.2%
- --------------------------------------------------------------------------------
Reynolds & Reynolds Co. 400 9,325
--------
CONSUMER DURABLE GOODS -- 0.4%
- --------------------------------------------------------------------------------
D.R. Horton Inc. 300 4,987
Engle Homes Inc. 300 4,125
Flexsteel Industries Inc. 500 6,656
TBC Corp.* 500 3,531
--------
19,299
--------
CONSUMER NON-DURABLES --2.0%
- --------------------------------------------------------------------------------
Dimon Inc. 1,500 7,781
Schweitzer-Mauduit
International Inc. 500 7,500
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Sola International Inc. 500 $9,719
Standard
Commercial Corp. 1,723 10,123
Timberland Co. 200 13,612
Tropical Sportwear
International Corp.* 800 25,500
Wolverine World
Wide Inc. 1,200 16,800
--------
91,035
--------
CONSUMER SERVICES--0.3%
- --------------------------------------------------------------------------------
Aztar Corp.* 1,300 11,944
--------
ELECTRONIC TECHNOLOGY--0.3%
- --------------------------------------------------------------------------------
ESCO Electronics Corp.* 600 7,688
Spacehab Inc.* 1,100 5,638
United Industrial Corp.* 200 2,213
15,539
--------
ENERGY MINERALS--0.3%
- --------------------------------------------------------------------------------
Nuevo Energy Co.* 900 11,925
--------
FINANCE--2.8%
- --------------------------------------------------------------------------------
Acceptance Insurance
Co.* 500 7,531
American National
Insurance Co. 100 7,125
Centris Group Inc. 800 8,100
HCC Industries
Holdings Inc. 800 18,150
Harleysville Group Inc. 400 8,200
MMI Companies Inc. 700 11,813
PBOC Holdings * 800 8,000
PMI Group Inc. 100 6,281
Penn America Group Inc. 600 6,225
Presidential
Life Corp. 1,000 19,625
Professional
Groups Inc.* 500 16,875
Seibels Bruce
Group Inc.* 700 3,500
Stancorp Financial
Group Inc.* 300 9,000
--------
130,425
--------
HEALTH TECHNOLOGY--0.4%
- --------------------------------------------------------------------------------
OrthoLogic Corp.* 1,700 4,197
West Pharmaceutical
Services Inc. 400 15,700
--------
19,897
--------
INDUSTRIAL SERVICES--1.4%
- --------------------------------------------------------------------------------
Atwood Oceanics Inc.* 500 15,625
ENSCO International Inc. 700 13,956
Perini Corp.* 700 $3,981
R & B Falcon Corp.* 700 6,562
Rowan Companies Inc.* 800 14,750
Santa Fe
International Corp. 500 11,500
--------
66,374
--------
NON-ENERGY MINERALS--0.8%
- --------------------------------------------------------------------------------
Carpenter
Technology Corp. 300 8,569
LTV Corp. 2,400 16,050
Lone Star Technologies
Inc. * 600 10,650
--------
35,269
--------
<PAGE>
PROCESS INDUSTRIES--0.6%
- --------------------------------------------------------------------------------
Lancaster Colony Corp. 300 10,350
RPM Inc. 800 11,350
Tuscarora Inc. 300 4,069
--------
25,769
--------
PRODUCER MANUFACTURING--3.2%
- --------------------------------------------------------------------------------
Baldor Electric Co. 500 9,937
Commercial Intertech Corp. 600 9,562
Commonwealth
Industries Inc. 700 8,750
Easco Inc. 700 7,394
Global Industrial
Technologies Inc.* 1,500 18,094
JLG Industries Inc. 1,600 32,600
Keystone Consolidated
Industries Inc.* 1,000 6,625
Myers Industries Inc. 500 10,000
Patrick Industries Inc. 400 6,250
Superior Industries
International Inc. 400 10,925
Timken Co.* 700 13,650
Watts Industries Inc.* 600 11,512
--------
145,299
--------
RETAIL TRADE -- 0.4%
- --------------------------------------------------------------------------------
Schultz Sav-O Stores Inc. 700 11,200
Syms Corp.* 1,100 8,938
--------
20,138
--------
TECHNOLOGY SERVICES -- 0.2%
- --------------------------------------------------------------------------------
Ultrak Inc.* 1,600 9,400
--------
TRANSPORTATION -- 1.7%
- --------------------------------------------------------------------------------
Air Express International
Corp. 400 10,150
--------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Atlantic Coast Airlines
Holdings * 300 $5,700
Conrad Industries Inc.* 200 1,000
Fritz Companies Inc.* 1,400 15,050
Kenan Transport Co. 400 12,200
Midwest Express
Holdings Inc.* 400 13,600
Motor Cargo Industries Inc.* 700 5,950
Tidewater Inc. 400 12,200
--------
75,850
--------
TOTAL COMMON STOCKS 687,488
--------
TOTAL SMALL CAP VALUE
(Identified Cost $688,541) 687,488
--------
INTERNATIONAL EQUITY-- 28.3%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 27.4%
- --------------------------------------------------------------------------------
AUSTRIA -- 0.2%
- --------------------------------------------------------------------------------
Boehler-Uddeholm 185 9,152
--------
AUSTRALIA -- 1.2%
- --------------------------------------------------------------------------------
Australia & New Zealand
Banking Group 2,705 19,864
Pioneer International Ltd. 8,994 22,890
Quantas Airways 3,900 12,865
--------
55,619
CANADA -- 0.7%
- --------------------------------------------------------------------------------
Imasco Ltd. 730 19,682
Noranda Inc. 980 12,911
--------
32,593
--------
FINLAND -- 0.4%
- --------------------------------------------------------------------------------
UPM Kymmene Oy 630 18,054
--------
FRANCE -- 2.9%
- --------------------------------------------------------------------------------
BIC 306 16,135
Banque National de Paris 195 16,242
Elf Aquitaine 145 21,270
Lafarge Coppee 185 17,298
Pernod Ricard 361 24,189
Societe Generale 112 19,731
Total 131 16,894
--------
131,759
--------
GERMANY -- 2.7%
Buderus AG 45 18,045
Commerzbank AG 525 15,938
Draegerwerk AG 783 11,058
Dyckerhoff AG 55 16,612
Hoechst AG 449 $20,319
SGL Carbon AG* 84 6,494
Veba AG 415 24,385
Vossloh AG 555 12,587
--------
125,438
--------
GREAT BRITAIN -- 7.1%
- --------------------------------------------------------------------------------
Allied Domecq 2,040 19,615
Allied Zurich 1,235 15,525
BAT Industries 1,425 13,443
BOC Group 955 18,696
CGU 1,170 16,847
Coats Viyella 11,140 8,955
Cookson Group 7,770 26,210
Elementis 9,347 15,323
Hanson 2,017 18,122
Invensys 3,589 16,972
Lex Service 1,510 13,876
Lloyds TSB Group 1,336 18,142
Medeva 3,840 6,234
National Westminster 755 16,006
Reckitt & Colman 913 9,534
<PAGE>
Safeway 2,770 11,047
TI Group 2,740 18,399
Tomkins 7,320 31,730
United News & Media PLC 1,510 14,519
Williams 2,752 18,176
--------
327,371
--------
HONG KONG -- 0.9%
- --------------------------------------------------------------------------------
Hang Lung
Development Co. 11,000 13,611
New World
Development Co. 4,000 11,987
South China
Morning Post 24,900 13,961
--------
39,559
--------
IRELAND -- 0.7%
- --------------------------------------------------------------------------------
Greencore Group 4,220 13,051
Jefferson Smurfit Group 8,295 19,453
--------
32,504
--------
ITALY -- 0.9%
- --------------------------------------------------------------------------------
Eni Spa 2,700 16,115
Telecom Italia 953 5,167
Telecom Italia SPA 1,800 18,704
--------
39,986
--------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
JAPAN -- 2.2%
- --------------------------------------------------------------------------------
Nichicon Corp. 2,000 $29,181
Nintendo Co. 200 28,123
Promise Co. 500 29,553
Yodogawa Steel Works 3,000 12,400
----------
99,257
----------
NETHERLANDS -- 1.9%
- --------------------------------------------------------------------------------
ABN Amro Holdings 610 13,205
Akzo Nobel 518 21,786
Ing Groep 387 20,944
Koninklijke NV PTT 185 8,677
Philips Electronics 231 22,777
----------
87,389
----------
NEW ZEALAND -- 0.2%
- --------------------------------------------------------------------------------
Fletcher Challenge 5,812 8,462
----------
NORWAY -- 0.2%
- --------------------------------------------------------------------------------
Kvaerner ASA 497 10,217
----------
SINGAPORE -- 0.8%
- --------------------------------------------------------------------------------
Creative
Technology Ltd. 1,753 23,556
Jardine Matheson 2,600 13,000
----------
36,556
----------
SPAIN -- 0.9%
- --------------------------------------------------------------------------------
Banco Santander SA 1,574 16,388
Telefonica SA 469 22,641
Telefonica SA 9 433
----------
39,462
----------
SWEDEN -- 1.0%
- --------------------------------------------------------------------------------
Electrolux 850 17,823
Getinge Industrier 962 14,222
Skandinaviska Enskilda
Banken 1,085 12,653
----------
44,698
----------
SWITZERLAND -- 2.5%
- --------------------------------------------------------------------------------
Forbo Holdings 36 14,306
Geberit 92 20,972
Novartis 18 26,275
Saurer 27 14,602
Schweizerische Ruckversicher 6 11,420
Sig Holding 26 15,482
Sulzer 21 12,761
----------
115,818
----------
TOTAL COMMON STOCKS 1,253,894
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) $41,276
----------
Total International Equity
(Identfied Cost $1,234,728) 1,295,170
----------
U.S. FIXED INCOME--5.1%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--5.1%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage
Consumer Discount Note
4.53% due 7/01/99(+) 231,541
----------
Total U.S. Fixed Income
(Identified Cost $231,541) 231,541
----------
HIGH YIELD BOND -- 5.0%
- --------------------------------------------------------------------------------
FIXED INCOME--5.0%
- --------------------------------------------------------------------------------
DOMESTIC CORPORATIONS -- 4.9%
- --------------------------------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 $ 5,000 4,950
B & G Foods Inciations Corp.
9.625% due 8/01/07 5,000 4,706
BE Aerospace - Series B
8.00% due 3/01/08 5,000 4,675
Ball Corp.
7.75% due 8/01/06 5,000 4,900
Bellwether Exploration Co.
10.875% due 4/01/07 5,000 4,787
CB Richards Ellis Services Inc.
8.875% due 6/01/06 5,000 4,825
CSC Holdings Inc.
9.875% due 2/15/13 5,000 5,400
Charter Communications
Holdings
8.625% due 4/01/09 5,000 4,787
9.92% due 4/01/11 10,000 6,200
Circus Circus Enterprises Inc.
9.25% due 12/01/05 5,000 5,075
Coach USA Inc. - Series B
9.375% due 7/01/07 5,000 5,150
Cole National Group Inc.
8.625% due 8/15/07 5,000 4,300
Consolidated Container Co.
10.125% due 7/15/09 5,000 5,050
Contifinancial Corp.
8.375% due 8/15/03 5,000 4,300
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Energis PLC
9.75% due 6/15/09 $ 5,000 $ 5,063
French Fragrances Inc.
10.375% due 5/15/07 5,000 5,100
Frontiervision Holdings LP
11.875% due 9/15/07 5,000 4,325
HMH Properties Inc.
7.875% due 8/01/08 5,000 4,587
Hollinger International
Publishing Inc.
9.25% due 5/15/07 5,000 5,112
Holt Group Inc.
9.75% due 1/15/06 5,000 3,400
Home Interior Gifts Inc.
10.125% due 6/01/08 5,000 4,950
Integrat Electrical Service
9.375% due 2/01/09 5,000 4,925
Intermedia Communications Inc.
9.50% due 3/01/09 5,000 4,825
Iron Mountain Inc.
10.125% due 10/01/06 5,000 5,300
J.H. Heafner Inc.
10.00% due 5/15/08 5,000 4,975
JL French Automotive
Castings
11.50% due 6/01/09 5,000 5,100
Jordan Industries Inc. -
Series B
10.375% due 8/01/07 5,000 5,063
L3 Communications Corp.
8.00% due 8/01/08 5,000 4,712
Lear Corp.
8.11% due 5/15/09 5,000 4,815
Mail Well Corp.
8.75% due 12/15/08 5,000 4,850
Majestic Star Casino LLC
10.875% due 7/01/06 5,000 4,963
NTL Inc.
12.375% due 10/01/08 5,000 3,413
Nextel Communications Inc.
9.75% due 8/15/04 5,000 5,075
Orange PLC
9.00% due 6/01/09 5,000 5,025
Packard Bioscience Inc. -
Series B
9.375% due 3/01/01 5,000 4,725
Pennzoil Co.
10.125% due 11/15/09 5,000 5,495
Pierce Leahy Command Co.
8.125% due 5/15/08 5,000 4,725
Polymer Group Inc.
8.75% due 3/01/08 5,000 4,800
Price Communications
Wireless Inc.
9.125% due 12/15/06 5,000 5,075
Revlon Consumer
Products Corp.
8.625% due 2/01/08 5,000 4,725
Rogers Cantel
9.375% due 6/01/08 5,000 5,175
Safety Kleen Services Inc.
9.25% due 6/01/08 5,000 5,125
Simmons Co.
10.25% due 3/15/09 5,000 5,075
Tembec Finance Corp.
9.875% due 9/30/05 5,000 5,200
Western Gas Resources Inc.
10.00% due 6/15/09 5,000 5,100
Williams Scotsman Inc.
9.875% due 6/01/07 5,000 4,950
--------
224,853
--------
MORTGAGE OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS -- 0.1%
- --------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 5,000 4,815
--------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
Total Fixed Income $ 229,668
Total High Yield Bond
(Identfied Cost $233,478) 229,668
- --------------------------------------------------------------------------------
Total Investments
(Identified Cost $4,189,895) 98.4% 4,496,834
Other Assets
Less Liabilities 1.6 74,625
----- -----------
Net Assets 100.0% $ 4,571,459
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Mortgage Consumer
Discount Notes 4.53%, due 7/01/99 valued at $433,000, portions of which are
listed separately by each asset class.
(++) The Portfolio owns in aggregate 513 shares of General Electric Co. valued
at $57,969, and 460 shares of Bristol Myers Squibb Co. valued at $32,401
and 553 shares of American Home Products Corp. valued at $31,797, portions
of which are listed separately by each asset class.
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
JUNE 30, 1999 (UNAUDITED) CONSERVATIVE BALANCED GROWTH GROWTH PLUS
===========================================================================================================================
<S> <C> <C> <C> <C>
Assets:
Investments, at value (Note1A)
(Identified Cost, $13,872,712
$19,608,735, $10,572,940 and
$4,189,895, respectively) $14,178,121 $20,294,088 $11,104,467 $4,496,834
Foreign currency, (cost $11,498, $6,740, $43,810
and $7,755, respectively) at value 10,765 6,709 43,480 7,679
Cash 18,526 284,992 161 --
Receivable for securities sold 835,054 1,256,499 704,758 119,605
Receivable for fund shares sold -- 2,544 -- --
Receivable for forward contracts 2,127 3,762 2,130 --
Dividends receivable 4,304 10,845 10,109 5,764
Interest receivable 128,917 127,759 44,502 4,596
Receivable from Sub-Administrator (Note 6) 79,253 74,920 75,891 79,818
Other assets 734 3,195 3,897 3,179
- ---------------------------------------------------------------------------------------------------------------------------
Total assets 15,257,801 22,065,313 11,989,395 4,717,475
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 2,227,624 2,599,889 925,761 33,581
Payable for fund shares repurchased -- -- 52 --
Payable for forward contracts 325 488 276 --
Accrued expenses and other liabilities 125,048 128,962 123,956 112,435
- ---------------------------------------------------------------------------------------------------------------------------
Total liabilities 2,352,997 2,729,339 1,050,045 146,016
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS for 1,243,501, 1,789,560, 1,037,196,
and 503,589 shares, respectively,
of beneficial interest outstanding $12,904,804 $19,335,974 $10,939,350 $4,571,459
===========================================================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $12,528,287 $18,444,383 $10,435,783 $4,291,777
Undistributed (overdistributed) net investment income 182,065 219,700 38,919 (9,362)
Accumulated net realized loss on investments (113,585) (19,340) (69,674) (17,776)
Unrealized appreciation of investments, forward
currency contracts, foreign currency and
other assets and liabilities 308,037 691,231 534,322 306,820
- ---------------------------------------------------------------------------------------------------------------------------
Total Net Assets $12,904,804 $19,335,974 $10,939,350 $4,571,459
===========================================================================================================================
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST $10.38 $10.80 $10.55 $9.08
===========================================================================================================================
</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
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED) CONSERVATIVE BALANCED GROWTH GROWTH PLUS
===========================================================================================================================
<S> <C> <C> <C> <C>
Investment Income:
Interest (Note 1B) $246,755 $296,221 $105,809 $ 19,058
Dividends (net of foreign tax of $1,273, $3,935,
$4,378, and $3,170) 30,344 73,817 68,244 38,574
- ---------------------------------------------------------------------------------------------------------------------------
Total investment income 277,099 370,038 174,053 57,632
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Custody and fund accounting fees 196,284 222,437 197,335 166,968
Management fees (Note 2) 49,259 75,364 44,345 18,579
Transfer agent fees 13,424 13,492 13,484 13,429
Audit fees 10,950 12,850 12,850 12,850
Shareholder reports 9,955 9,955 9,955 9,955
Legal fees 4,841 4,041 4,041 4,841
Trustee fees 3,286 3,461 3,237 3,080
Other 2,351 4,564 2,101 1,217
- ---------------------------------------------------------------------------------------------------------------------------
Total expenses 290,350 346,164 287,348 230,919
- ---------------------------------------------------------------------------------------------------------------------------
Less aggregate amounts waived by the Manager (Note 2) (36,217) (50,215) (24,455) (9,258)
Less expenses assumed by the Sub-Administrator (Note 6) (191,737) (200,486) (188,981) (190,687)
- ---------------------------------------------------------------------------------------------------------------------------
Net expenses 62,396 95,463 73,912 30,974
- ---------------------------------------------------------------------------------------------------------------------------
Net investment income 214,703 274,575 100,141 26,658
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain from investments
purchased options, swaps and futures 57,988 306,686 172,332 101,326
Net realized loss from forward currency
contracts and foreign currency transactions (155,656) (285,783) (154,484) (40,847)
Net unrealized appreciation (depreciation) on investments,
forward currency contracts, foreign currency, futures and
other assets and liabilities (75,833) (24,358) 181,490 153,173
- ---------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments (173,501) (3,455) 199,338 213,652
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations $41,202 $271,120 $299,479 $240,310
===========================================================================================================================
</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
CONSERVATIVE BALANCED
==================================================================
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
JUNE 30, 1999 ENDED JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998 (UNAUDITED) DECEMBER 31, 1998
===========================================================================================================================
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $214,703 $388,269 $274,575 $515,935
Net realized gain (loss) from investments,
forward currency contracts, foreign currency
transactions, futures and swaps (97,668) 423,601 20,903 439,754
Net unrealized appreciation (depreciation) of
investments, forward currency contracts,
foreign currency, futures, swaps and other
assets and liabilities (75,833) 14,646 (24,358) 220,563
- ---------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 41,202 826,516 271,120 1,176,252
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net income (23,901) (357,920) (64,317) (456,314)
Net realized gain on investments (52,558) (278,961) -- (229,154)
In excess of net income -- (118,866) -- (207,730)
In excess of realized gain on investments -- -- -- (3,960)
- ---------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (76,459) (755,747) (64,317) (897,158)
- ---------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 887,046 7,624,696 440,491 10,104,875
Net asset value of shares issued to shareholders from
reinvestment of distributions 76,459 755,747 64,317 897,158
Cost of shares repurchased (2,018,290) (4,777,431) (4,088,917) (2,759,510)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from transactions
in shares of beneficial interest (1,054,785) 3,603,012 (3,584,109) 8,242,523
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (1,090,042) 3,673,781 (3,377,306) 8,521,617
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 13,994,846 10,321,065 22,713,280 14,191,663
- ---------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed/
(overdistributed) net investment income of
$182,065, $(8,737), $219,700
and $9,442, respectively) $12,904,804 $13,994,846 $19,335,974 $22,713,280
===========================================================================================================================
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
CITISELECT(R) VIP PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
CITISELECT(R) VIP FOLIO 400 CITISELECT(R) VIP FOLIO 500
GROWTH GROWTH PLUS
==================================================================
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
JUNE 30, 1999 ENDED JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998 (UNAUDITED) DECEMBER 31, 1998
===========================================================================================================================
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $100,141 $ 204,527 $ 26,658 $ 82,981
Net realized gain (loss) from investments,
forward currency contracts, foreign currency
transactions and futures 17,848 314,240 60,479 967,728
Net unrealized appreciation (depreciation) of investments,
forward currency contracts, foreign currency,
futures and other assets and liabilities 181,490 (293,988) 153,173 (523,471)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 299,479 224,779 240,310 527,238
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net income (35,288) (105,817) (8,994) (26,227)
Net realized gain on investments -- (250,270) -- (938,678)
In excess of net income -- (144,202) -- (74,420)
In excess of realized gain on investments -- (5,860) -- (30,861)
- ---------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (35,288) (506,149) (8,994) (1,070,186)
- ---------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 362,957 4,599,775 93,478 2,776,517
Net asset value of shares issued to shareholders from
reinvestment of distributions 35,288 506,149 8,994 1,070,186
Cost of shares repurchased (3,473,718) (2,352,876) (1,465,855) (8,143,739)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from transactions
in shares of beneficial interest (3,075,473) 2,753,048 (1,363,383) (4,297,036)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (2,811,282) 2,471,678 (1,132,067) (4,839,984)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 13,750,632 11,278,954 5,703,526 10,543,510
- ---------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed/
(overdistributed) net investment income of
$38,919, $(25,934), $(9,362)
and $(27,026), respectively) $10,939,350 $13,750,632 $4,571,459 $5,703,526
===========================================================================================================================
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
CONSERVATIVE BALANCED
=====================================================================================================
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE PERIOD
ENDED YEAR FEBRUARY 10, 1997++ ENDED YEAR FEBRUARY 10, 1997++
JUNE 30, 1999 ENDED TO JUNE 30, 1999 ENDED TO
(UNAUDITED) DECEMBER 31, DECEMBER 31, (UNAUDITED) DECEMBER 31, DECEMBER 31,
1998 1997 1998 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $10.40 $10.25 $10.00 $10.67 $10.38 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income+ 0.172 0.316 0.339 0.154 0.271 0.251
Net realized and unrealized
gain (loss) on investments (0.130) 0.427 0.436 0.012 0.458 0.609
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.042 0.743 0.775 0.166 0.729 0.860
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.019) (0.281) (0.339) (0.036) (0.223) (0.251)
Net realized gain on investments (0.043) (0.219) (0.157) -- (0.112) (0.159)
In excess of net income -- (0.093) -- -- (0.102) --
In excess of realized gains
on investments -- -- (0.029) -- (0.002) (0.070)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (0.062) (0.593) (0.525) (0.036) (0.439) (0.480)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.38 $10.40 $10.25 $10.80 $10.67 $10.38
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $12,905 $13,995 $10,321 $19,336 $22,713 $14,192
Ratio of expenses to average
net assets 0.95%* 0.95% 0.95%* 0.95%* 0.95% 0.95%*
Ratio of net investment income
to average net assets 3.27%* 3.11% 3.43%* 2.73%* 2.62% 3.00%*
Portfolio turnover rate 173% 255% 231% 144% 204% 241%
Total return 0.41%** 7.33% 7.79%** 1.65%** 7.10% 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 (loss) per share and the ratios would have been as
follows:
Net investment income (loss)
per share+ $(0.011) $(0.025) $(0.006) $0.014 $0.036 ($0.025)
RATIOS:
Expenses to average net assets 4.42%* 4.30% 4.44%* 3.44%* 3.23% 4.25%*
Net investment income (loss) to average
net assets (0.20)%* (0.24)% (0.06)%* 0.24%* 0.34% (0.30)%*
====================================================================================================================================
* 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
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CITISELECT(R) VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 400 CITISELECT(R) VIP FOLIO 500
GROWTH GROWTH PLUS
=====================================================================================================
SIX MONTHS FOR THE PERIOD SIX MONTHS FOR THE PERIOD
ENDED YEAR FEBRUARY 10, 1997++ ENDED YEAR FEBRUARY 10, 1997++
JUNE 30, 1999 ENDED TO JUNE 30, 1999 ENDED TO
(UNAUDITED) DECEMBER 31, DECEMBER 31, (UNAUDITED) DECEMBER 31, DECEMBER 31,
1998 1997 1998 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $10.23 $10.28 $10.00 $8.62 $10.48 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income+ 0.091 0.176 0.212 0.040 0.172 0.148
Net realized and unrealized
gain (loss) on investment 0.263 0.165 0.701 0.438 (0.065)# 0.917
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.354 0.341 0.913 0.478 0.107 1.065
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.034) (0.082) (0.206) (0.018) (0.044) (0.144)
Net realized gain on investments -- (0.193) (0.300) -- (1.748) (0.349)
In excess of net income -- (0.111) (0.065) -- (0.049) (0.053)
In excess of realized gains
on investments -- (0.005) (0.062) -- (0.126) (0.039)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distribution (0.034) (0.391) (0.633) (0.018) (1.967) (0.585)
NET ASSET VALUE, END OF PERIOD $10.55 $10.23 $10.28 $9.08 $8.62 $10.48
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $10,939 $13,751 $11,279 $4,571 $5,704 $10,544
Ratio of expenses to
average net assets 1.25%* 1.25% 1.25%* 1.25%* 1.25% 1.25%*
Ratio of net investment income to
average net assets 1.69%* 1.50% 2.03%* 1.08%* 0.97% 1.45%*
Portfolio turnover rate 130% 265% 230% 71% 146% 134%
Total return 3.46%** 3.42% 9.22** 5.54%** 1.59% 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 (loss) income per share and the ratios would have been as
follows:
Net investment loss per share+ $(0.115) $(0.164) $(0.124) $(0.357) $(0.584) $(0.186)
RATIOS:
Expenses to average net assets 4.86%* 4.16% 4.46%* 9.32%* 5.53% 4.52%*
Net investment (loss) to
averagenet assets (1.92)%* (1.41)% (1.18)%* (7.00)%* (3.31)% (1.82)%
*
* Annualized
** Not Annualized
+ The per share net investment income amounts do not reflect the period's reclassification of differences between book
and tax basis net investment income.
++ Commencement of Operations
# The amount shown per share does not correspond with the aggregate net realized and unrealized gain (loss) on
investments for the period ended due to the timing of sales of Fund shares in relation to fluctuating market values
of the investments in the Fund.
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES CitiSelect(R) VIP Folio 200 Conservative,
CitiSelect(R) VIP Folio 300 Balanced, CitiSelect(R) VIP Folio 400 Growth and
CitiSelect(R) VIP Folio 500 Growth Plus (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")
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,
foreignbonds 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 in 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.
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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.
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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 a 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. TBA PURCHASE COMMITMENTS -- The Portfolio enters into "TBA" (to be
announced) purchase commitments to purchase securities for a fixed unit price at
a future date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the amount of
the commitment will not fluctuate more than 2.0% from the principal amount. The
Portfolio holds, and maintains until the settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price. TBA
purchase commitments may be considered securities in themselves, and involve a
risk of loss if the value of the security to be purchased declines prior to the
settlement date, which risk is in addition to the risk of decline in the value
of the Portfolio's other assets. Unsettled TBA purchase commitments are valued
at the current market value of the underlying securities, generally according to
the procedures described under Note 1A.
Although the Portfolio will generally enter into TBA purchase commitments
with the intention of acquiring securities for its portfolio, the Portfolio may
dispose of a commitment prior to settlement if the Portfolio's Adviser deems it
appropriate to do so.
K. 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.
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
L. BENEFICIAL INTEREST -- At June 30, 1999, insurance companies or their
separate accounts were the record owners of all the shares of each Fund. (See
Note 5)
M. 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 securities 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.
N. 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, which in turn, is a wholly-owned subsidiary
of Citigroup Inc. Citigroup Inc. was formed as a result of the merger of
Citicorp and Travelers Inc. which was completed on October 8, 1998.
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
Conservative, CitiSelect(R) VIP Folio 300 Balanced, CitiSelect(R) VIP Folio 400
Growth and CitiSelect(R) VIP Folio 500 Growth Plus amounted to $49,259, $75,364,
$44,345, and $18,579, respectively, of which $36,217, $50,215, $24,455 and
$9,258, respectively were voluntarily waived for the six months ended June 30,
1999. The Trust pays no compensation directly to any Trustee or any other
officer who is affiliated with the Sub-Administrator, all of whom receive
remuneration for their services to the Trust from the Sub-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, 1999, were as
follows:
PURCHASES SALES
================================================================================
CitiSelect(R) VIP Folio 200 Conservative $21,371,267 $19,348,391
CitiSelect(R) VIP Folio 300 Balanced $27,996,276 $30,463,205
CitiSelect(R) VIP Folio 400 Growth $14,798,424 $17,675,681
CitiSelect(R) VIP Folio 500 Growth Plus $ 3,262,336 $ 4,852,106
================================================================================
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at June 30, 1999, as
computed on a federal income tax basis, are as follows:
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
================================================================================
Aggregate cost $13,872,712
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 656,740
Gross unrealized depreciation (351,331)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 305,409
================================================================================
CITISELECT(R) VIP FOLIO 300 BALANCED
================================================================================
Aggregate cost $19,608,735
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,477,117
Gross unrealized depreciation (791,764)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 685,353
================================================================================
CitiSelect(R) VIP Folio 400 Growth
================================================================================
Aggregate cost $10,572,940
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,143,052
Gross unrealized depreciation (611,525)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 531,527
================================================================================
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
================================================================================
Aggregate cost $ 4,189,895
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 566,497
Gross unrealized depreciation (259,558)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 306,939
================================================================================
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:
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31,
CITISELECT(R)VIP FOLIO 200 CONSERVATIVE (UNAUDITED) 1998
================================================================================
Shares sold 86,062 717,008
Shares reinvested 7,450 73,568
Shares repurchased (195,075) (452,335)
- --------------------------------------------------------------------------------
Net increase (decrease) (101,563) 338,241
================================================================================
CITISELECT(R) VIP FOLIO 300 BALANCED
================================================================================
Shares sold 41,691 940,860
Shares reinvested 6,022 85,664
Shares repurchased (387,180) (264,486)
- --------------------------------------------------------------------------------
Net increase (decrease) (339,467) 762,038
================================================================================
CITISELECT(R) VIP FOLIO 400 GROWTH
================================================================================
Shares sold 36,338 427,052
Shares reinvested 3,389 50,740
Shares repurchased (346,793) (230,870)
- --------------------------------------------------------------------------------
Net increase (decrease) (307,066) 246,922
================================================================================
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
================================================================================
Shares sold 10,751 254,345
Shares reinvested 1,006 127,447
Shares repurchased (170,201) (725,934)
- --------------------------------------------------------------------------------
Net increase (decrease) (158,444) (344,142)
================================================================================
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, 1999. The amounts are as follows:
CitiSelect(R)VIP Folio 200 Conservative $191,737
CitiSelect(R)VIP Folio 300 Balanced $200,486
CitiSelect(R)VIP Folio 400 Growth $188,981
CitiSelect(R)VIP Folio 500 Growth Plus $190,687
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
7. The following are a detail table to the shareholder vote by proposals:
<TABLE>
<CAPTION>
CITISELECT VIP 200 CONSERVATIVE CITISELECT VIP 300 BALANCED
======================================================================================================
FOR AGAINST ABSTAIN FOR AGAINST ABSTAIN
--- ------- ------- --- ------- -------
<S> <C> <C> <C> <C> <C> <C>
1. An Agreement between Mutual
Management Corp &Variable
Annuity Portfolios 11,697,933 50,856 180,534 17,772,897 335,453 607,524
2. An Agreement between Salomon
Brothers Asset Management
Limited & Variable Annuity
Portfolios 11,532,208 160,672 236,443 17,764,359 335,453 616,063
3. An Agreement between Salomon
Brothers Asset Management Inc.
& Variable Annuity Portfolios 11,169,557 160,672 599,094 17,733,837 349,245 632,793
4. To vote on an amendment to
the Declaration of Trust
to allow assets of each
Fund to be invested in one or
more investment
companies 11,417,775 316,481 195,067 17,576,231 505,363 634,281
5. To vote on an amendment to
the fundamental investment
policies of each Fund to allow
investment in one or more
investment companies 11,111,984 576,468 240,871 17,104,504 973,066 638,305
6. To vote on authorizing the
Trustees to select and change
subadvisers without
obtaining shareholder approval 10,758,521 1,097,985 72,817 16,581,354 729,201 1,405,320
7. To vote on an amendment
concerning the Fund's ability
to make loans and to but or
sell futures contracts and
options on futures 11,017,780 797,990 113,554 16,364,662 1,437,739 913,475
8. To elect Heath B. McLendon
as a Trustee 11,719,167 210,157 0 18,413,127 302,749 0
9. To vote on the selection of
PricewaterhouseCoopers LLP
as the independent accountants 11,799,935 12,972 116,416 17,936,818 43,557 735,501
</TABLE>
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
<TABLE>
<CAPTION>
CITISELECT VIP 400 GROWTH CITISELECT VIP 500 GROWTH PLUS
======================================================================================================
FOR AGAINST ABSTAIN FOR AGAINST ABSTAIN
--- ------- ------- --- ------- -------
<S> <C> <C> <C> <C> <C> <C>
1. An Agreement between Mutual
Management Corp & Variable
Annuity Portfolios 11,396,885 62,773 439,995 4,482,098 146,714 280,177
2. An Agreement between Salomon
Brothers Asset Management
Limited & Variable Annuity
Portfolios 11,397,756 54,872 447,025 4,519,340 109,472 280,177
3. An Agreement between Salomon
Brothers Asset Management Inc.
&Variable Annuity Portfolios 11,378,193 74,434 447,025 4,519,340 109,472 280,177
4. To vote on an amendment to
the Declaration of Trust
to allow assets of each
Fund to be invested in one or
more investment companies 11,373,022 47,354 479,276 4,528,946 99,866 280,177
5. To vote on an amendment to
the fundamental investment
policies of each Fund to allow
investment in one or more
investment companies 11,447,946 39,453 412,254 4,536,975 59,308 312,706
6. To vote on authorizing the
Trustees to select and change
subadvisers without
obtaining
shareholder approval 10,942,462 382,708 574,483 4,409,836 321,852 177,301
7. To vote on an amendment
concerning the Fund's ability
to make loans and to but or sell
futures contracts and
options on futures 10,815,385 602,676 481,592 4,407,486 300,668 200,835
8. To elect Heath B. McLendon
as a Trustee 11,391,662 508,031 0 4,571,832 337,157 0
9. To vote on the selection of
PricewaterhouseCoopers LLP
as the independent accountants 11,354,927 156,951 387,775 4,639,345 94,706 174,939
</TABLE>
<PAGE>
CTIFUNDS [LOGO]
SMALL CAP GROWTH
VIP PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 1999
This semi-annual report covers the period from January 1, 1999 through June
30, 1999, for the CitiFundsSM Small Cap Growth VIP Portfolio. Inside, the
CitiFunds' investment manager, Citibank, N.A., discusses the market conditions
it faced, the strategies it employed and its outlook for the future.
The reporting period saw a continuation of the strong conditions that have
dominated the U.S. economy for more than seven years. Consumer spending remained
high, corporate earnings grew, unemployment was low and inflationary pressures
continued to be virtually absent. In addition, overseas markets showed signs of
economic progress. Stronger-than-expected global economic conditions caused the
Federal Reserve Board to increase short-term interest rates modestly, offsetting
some of last fall's rate cuts in an effort to forestall potential inflation
pressures.
These economic conditions produced generally good results for small cap
growth stocks during the reporting period. The stock market's advance, which had
been confined mainly to large cap and technology issues over the last several
years, broadened to certain small cap companies. Because, as its name suggests,
CitiFunds Small Cap Growth VIP Portfolio invests primarily in small growing
companies, its performance was indicative of the mixed environment for small cap
stocks.
Finally, Marguerite Wagner has been appointed as portfolio manager of
CitiFunds Small Cap Growth VIP Portfolio as of January 1, 1999. Ms. Wagner
joined Citibank in 1985. Since 1995, she has had portfolio management and
research analyst responsibility for an internal mid-cap fund and private equity
managed accounts. From 1992 through the end of 1994, Ms. Wagner was a member of
the small capitalization equity management group of Citibank Global Asset
Management. Prior to 1992, she managed portfolios for the Private Banking Group
of Citibank.
Thank you for your continued confidence and participation.
- --------------------------------------------------------------------------------
INVESTMENTPRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO SEEKS TO PROVIDE LONG-TERM CAPITAL
GROWTH. The CitiFunds Small Cap Growth VIP Portfolio provided positive returns
in a mixed environment for small-cap stocks. During the first half of the
reporting period the small-cap sector of the stock market posted substantial
declines, and continued to lag both large and mid cap stocks. The Fund's
management believes that the small cap market's weakness was primarily due to
investors' concerns regarding the small capitalization sector's returns over the
last several years and the high levels of volatility and low liquidity
associated with this sector.
With Japan and Southeast Asia in recession, many investors showed a
preference for highly liquid, large cap names with a history of consistent and
predictable earnings. In fact, only a small percentage of Internet stocks did
well in the small cap market between January and March.
DURING THE SECOND HALF OF THE REPORTING PERIOD, HOWEVER, MARKET CONDITIONS
CHANGED DRAMATICALLY. BEGINNING IN APRIL, AND PERSISTING THROUGH JUNE, MANY
SECTORS OF THE SMALL CAP MARKET RALLIED STRONGLY. THIS WAS PRIMARILY A RESPONSE
TO REPORTS OF STRONGER-THAN-EXPECTED ECONOMIC CONDITIONS IN THE U.S. AND
WORLDWIDE. As investors grew more confident that business conditions would
remain sound for smaller companies, they began to recognize the extreme
differences in valuation between large and small stocks.
The management was able to position the portfolio to take advantage of the
market's rebound. When the reporting period began in January 1999, the portfolio
contained relatively few healthcare and energy stocks. Because the managers
believed that many of these companies offered attractive growth prospects at
inexpensive valuations, they increased the Portfolio's holdings in select energy
and healthcare stocks. However, rather than simply invest in a representative
sample of stocks from these industries, the managers conducted fundamental
analyses of individual stocks to find those that they believed represented good
investment opportunities.
SIMILARLY, THE PORTFOLIO'S UNDERWEIGHTED POSITION IN INTERNET STOCKS HURT
PERFORMANCE WHEN THIS SECTOR RALLIED DURING THE FIRST QUARTER OF 1999. The
Portfolio's manager strives to invest in small companies with high levels of
revenue growth. Most Internet stocks have only very short track records, and
have defied historical valuation methodologies. Later in the period, the
portfolio purchased stocks in Internet companies that the manager felt had more
sustainable business models. Clearly, the Internet will play a much greater role
in the economy. The importance of the Internet in the continually evolving
business world cannot be underestimated. As of June 30, the Portfolio's exposure
to Internet stocks is about equal to that of its benchmark, the Russell 2000(R)
Growth Index.
LOOKING AHEAD, MANAGEMENT BELIEVES THAT THE SMALL CAP SECTOR OF THE STOCK
MARKET SHOULD PROVIDE A GOOD OPPORTUNITY FOR INVESTORS TO PARTICIPATE IN GROWING
COMPANIES AT WHAT THEY THINK ARE ATTRACTIVE PRICES. In addition, many investors
have no or low exposure to the small capitalization sector given the returns
large cap stocks have posted over the last several years. Management believes
the gap between large and small company performance will narrow, if not reverse,
and may be beneficial to investors that have diversification in equity classes
other than large capitalization stocks. The differences in valuations between
large and small companies have begun to narrow, but remain significantly wider
than historical norms. And while there is no way to predict how long this trend
will continue, the Portfolio remains committed to small cap opportunities. That
is because management's experience suggests that patience, discipline and a
long-term perspective are key to investing successfully in smaller-sized
companies.
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
SINCE
SIX ONE 2/10/97
ALL PERIODS ENDED JUNE 30, 1999 (UNAUDITED) MONTHS** YEAR INCEPTION*
================================================================================
CitiFunds Small Cap Growth
VIP Portfolio ........................... 0.73% (13.03)% 3.53%
Russell 2000(R)Growth Index ............... 9.28% 1.50% 11.48%
* Average Annual Total Return
** Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$10,862 (as of 6/30/99). The graph shows how the Fund compares to its benchmark
over the same period.
[The following table represents a graph in the printed piece.]
Date Russell 2000 Index CitiFunds Small Cap
Growth VIP Folio
Feb-1997 10000 10000
Feb-1997 9896.5 9550
Mar-1997 9429.39 9050
Apr-1997 9455.79 8730
May-1997 10507.27 10000
Jun-1997 10958.03 10520
Jul-1997 11467.58 10860
Aug-1997 11730.19 11020
Sep-1997 12588.84 11960
Oct-1997 12036.19 11350
Nov-1997 11957.95 11240
Dec-1997 12167.22 11210
Jan-1998 11975.22 10860
Feb-1998 12860.67 12120
Mar-1998 13390.53 12660
Apr-1998 13464.58 12760
May-1998 12739.37 11710
Jun-1998 12766.13 12490
Jul-1998 11732.07 11340
Aug-1998 9453.7 8550
Sep-1998 10193.93 9240
Oct-1998 10609.84 9480
Nov-1998 11165.8 10140
Dec-1998 11856.96 10783.75
Jan-1999 12014.66 10817.45
Feb-1999 11041.47 9772.77
Mar-1999 11213.72 9997.44
Apr-1999 12218.46 10222.1
May-1999 12396.85 10222.1
Jun-1999 12957.19 10862.38
* Russell 2000(R) Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth
values.
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.
Investors may not invest directly in an index.
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 81.8%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 8.8%
Catalina Marketing Corp.* 452 $ 41,584
Checkfree Holdings Corp. * 489 13,478
Consolidated Graphics Inc.* 257 12,850
Covad Communications
Group Inc. * 336 17,913
Critical Path Inc. 69 3,817
Ha Lo Industrials Inc.* 1,073 10,596
ITT Educational Services Inc. 753 19,625
Lamar Advertising Co.* 543 22,229
Metzler Group Inc. * 340 9,392
Network Solutions Inc. 60 4,748
Probusiness Services Inc.* 291 10,440
Profit Recovery
International Group* 401 18,972
Verticalnet Inc. * 13 1,364
--------
187,008
--------
CONSUMER DURABLES -- 1.6%
- --------------------------------------------------------------------------------
Ethan Allen Interiors Inc. 321 12,118
Gentex Corp. * 335 9,380
Tower Automotive Inc.* 487 12,388
--------
33,886
--------
CONSUMER NON-DURABLES -- 2.1%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 507 21,183
Boyd's Collection Ltd. 524 9,072
Horizon Organic Holdings
Corp.* 679 9,930
John Wiley & Son 264 4,653
--------
44,838
--------
CONSUMER SERVICES -- 8.3%
- --------------------------------------------------------------------------------
Hispanic Broadcasting Corp. * 642 48,712
Houghton Mifflin Co. 245 11,530
Metro Networks Inc.* 565 30,157
Premier Parks Inc.* 829 30,466
Rubios Restaraunt Inc. 561 8,660
SFX Entertainment Inc.* 601 38,464
Saucony Inc. * 601 7,963
--------
175,952
--------
ELECTRONICS/TECHNICAL SERVICES -- 13.5%
- --------------------------------------------------------------------------------
American Tower Corp.* 395 9,480
C Cube Microsystems Inc.* 441 13,974
Copper Mountain
Networks, Inc. 8 618
Level One
Communications Inc.* 801 39,199
Macrovision Corp. * 205 15,349
Microchip Technology Inc.* 267 12,649
Network Appliance Inc.* 608 33,972
Novellus Systems Inc.* 426 29,074
PMC Sierra Inc. * 203 11,964
Pinnacle Holdings Inc. * 1,445 35,403
Powerwave
Technologies Inc.* 214 6,902
RSL Communications Ltd.* 546 10,545
Sipex Corp.* 796 16,318
Smart Modular
Technologies Inc. * 884 15,360
Voicestream Wireless Corp. * 810 23,034
Western Wireless Corp.* 515 13,905
--------
287,746
--------
<PAGE>
ENERGY/MINERAL -- 2.8%
- --------------------------------------------------------------------------------
Coflexip 405 17,618
Petroleum Geo
Services *-ADR's 1,567 23,309
R&B Falcon Group 2,055 19,266
--------
60,193
--------
FINANCE -- 8.5%
- --------------------------------------------------------------------------------
Centura Banks Inc. 317 17,871
Chittenden Corp. 681 21,281
Cullen Frost Bankers Inc. 840 23,152
E Trade Group Inc. 276 11,023
Enhance Financial
Services Group Inc. 560 11,060
Executive Risk Inc. 210 17,863
Peoples Heritage
Financial Group* 1,668 31,379
SEI Investments Co. 100 8,825
Telebanc Financial Corp. * 306 11,858
U.S. Trust Corp. 283 26,177
- --------------------------------------------------------------------------------
180,489
--------
HEALTH SERVICES/TECHNOLOGY -- 9.5%
- --------------------------------------------------------------------------------
Andrx Corp.* 405 31,236
Apria Healthcare Group Inc. * 585 9,945
Barr Labs Inc.* 621 24,762
Coulter Pharmaceutical Corp. 260 5,866
Gilead Sciences Inc. * 231 12,070
Medimmune Inc.* 202 13,685
Medquist Inc. * 178 7,788
Roberts Pharmaceutical
Corp.* 1,390 33,708
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) June 30, 1999
(Unaudited)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Synetic Inc. * 85 $ 5,844
TLC The Laser Center Inc. 300 14,400
Trimeris Inc. 905 13,122
Ventana Medical Systems Inc. * 951 18,188
Xomed Surgical Products Inc. * 244 11,880
-----------
202,494
-----------
INDUSTRIAL SERVICES -- 1.3%
- --------------------------------------------------------------------------------
Service Experts Inc.* 429 9,411
Waste Connections Inc.* 638 19,459
-----------
28,870
-----------
PROCESS INDUSTRIES -- 4.2%
- --------------------------------------------------------------------------------
Alliant Techsystems Inc. * 140 12,110
Applied Power Inc. 425 11,608
Aptargroup Inc. 754 22,620
Carlisle Companies Inc. 319 15,352
Mettler Toledo
International Inc. * 469 11,637
OM Group Inc.* 473 16,318
-----------
89,645
-----------
RETAIL -- 4.0%
- --------------------------------------------------------------------------------
Linens N Things Inc. * 495 21,656
Men's Wearhouse Inc.* 390 9,945
O'Reilly Automotive Inc. * 318 16,019
Tiffany & Co. 174 16,791
Zale Corp. * 245 9,800
Zany Brainy Inc. * 1,180 11,431
-----------
85,642
-----------
TECHNOLOGY SERVICES -- 13.6%
- --------------------------------------------------------------------------------
Ariba Inc. * 70 6,808
Bisys Group Inc.* 303 17,725
Dallas Semiconductor Corp. 260 13,130
Electronics For Imaging Inc.* 637 32,726
Exodus Communications Inc. 268 32,143
High Speed Access Corp. 228 5,843
Legato Systems Inc.* 517 29,857
Lernout & Hauspie
Speech Products* 249 8,824
Macromedia Inc.* 439 15,475
Mercury Interactive Corp.* 733 25,930
NTL Inc. * 399 34,389
National Instruments Corp. * 455 18,371
Rational Software Corp.* 508 16,732
Whittman Hart Inc.* 635 20,161
Wind River Systems Inc. * 682 10,955
-----------
289,069
-----------
TRANSPORTATION -- 3.6%
- --------------------------------------------------------------------------------
C H Robinson Worldwide 532 19,551
CNF Transnational Inc. 375 14,391
Eagle USA Airfreight Inc.* 678 28,773
Skywest Inc. 609 15,187
-----------
77,902
-----------
<PAGE>
TOTAL COMMON STOCKS
(Identified Cost $1,483,918) $ 1,743,734
-----------
SHORT-TERM OBLIGATIONS
ATAMORTIZED COST --14.1%
- --------------------------------------------------------------------------------
State Street Repurchase Agreement
2.00% due 7/01/99 proceeds
at maturity $301,017
(collateralized by $ 285,000
U.S. Treasury Note 16.72%
due 08/15/26, valued at $308,294)$ 301,000
-----------
TOTAL INVESTMENTS
(Identified Cost
$1,784,918) 95.9% 2,044,734
OTHER ASSETS,
LESS LIABILITIES 4.1 86,519
----- -----------
Net Assets 100.0% $ 2,131,253
===== ===========
*Non-Income Producing
ADR's-American Depository Receipts
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
================================================================================
ASSETS:
Investments at value (Note 1A) (Identified Cost, $1,784,918) $2,044,734
Cash 378
Receivable for securities sold 92,171
Dividends and interest receivable 257
Receivable from the Sub-Administrator 38,382
- --------------------------------------------------------------------------------
Total assets 2,175,922
- --------------------------------------------------------------------------------
LIABILITIES:
Accrued expenses and other liabilities 44,669
- --------------------------------------------------------------------------------
NET ASSETS for 220,401 shares of beneficial interest outstanding $2,131,253
================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $1,869,088
Unrealized appreciation of investments 259,816
Accumulated net realized gain on investments 8,014
Undistributed net investment loss (5,665)
- --------------------------------------------------------------------------------
Total $2,131,253
- --------------------------------------------------------------------------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST $9.67
- --------------------------------------------------------------------------------
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (NOTE 1B):
Dividend income $ 2,271
Interest income 672
- --------------------------------------------------------------------------------
$ 2,943
- --------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) $ 7,172
Custody and fund accounting fees 29,015
Transfer agent fees 13,404
Audit fees 11,950
Shareholder reports 10,085
Legal fees 5,841
Trustee fees 3,033
Miscellaneous 2,245
- --------------------------------------------------------------------------------
Total expenses 82,745
Less aggregate amount waived by the Manager (Note 2) (7,172)
Less expenses assumed by the
Sub-Administrator (Note 6) (66,965)
- --------------------------------------------------------------------------------
Net expenses 8,608
- --------------------------------------------------------------------------------
Net investment loss (5,665)
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments 20,918
Unrealized appreciatioin from investments 4,462
- --------------------------------------------------------------------------------
Net realized and unrealized gain on investments 25,380
- --------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations $19,715
================================================================================
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss $ (5,665) $ (17,947)
Net realized gain on investments 20,918 368,740
Unrealized appreciation (depreciation)
of investments 4,462 (303,546)
- --------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 19,715 47,247
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain on investments -- (211,308)
- --------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 413,928 1,433,019
Net asset value of shares issued to shareholders
from reinvestment of distributions -- 211,308
Cost of shares repurchased (308,119) (2,565,888)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from transactions in shares of
beneficial interest 105,809 (921,561)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 125,524 (1,085,622)
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 2,005,729 3,091,351
- --------------------------------------------------------------------------------
End of period (undistributed net
investment loss of ($5,665)
and $0 respectively) $2,131,253 $2,005,729
================================================================================
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
FINANCIAL HIGHLIGHTS
SIX MONTHS FEBRUARY 10, 1997
ENDED (COMMENCEMENT
JUNE 30, 1999 YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) DECEMBER 31, 1998 DECEMBER 31, 1997
================================================================================
Net Asset Value,
beginning of period $9.60 $11.21 $10.00
Income From Operations:
Net investment loss (0.03) (0.08)+ (0.05)+
Net realized gain (loss)
on investments 0.10 (0.42)# 1.26
- --------------------------------------------------------------------------------
Total from operations 0.07 (0.50) 1.21
Less Distributions From:
Net realized gain on investments -- (1.11) 0
- --------------------------------------------------------------------------------
Net Asset Value,
end of period $9.67 $ 9.60 $11.21
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's omitted) $2,131 $2,006 $3,091
Ratio of expenses to
average net assets 0.90%* 0.90% 0.90%*
Ratio of net investment
loss to average net assets (0.59)%* (0.72)% (0.49)%*
Portfolio turnover 51% 94% 113%
Total return 0.73%** (3.80)% 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 $(0.36) $(0.64)+ $(0.52)+
RATIOS:
Expenses to average
net assets 8.65%* 5.74% 5.50%*
Net investment loss to
average net assets (8.34)%* (5.53)% (5.09)%*
================================================================================
* Annualized
** Not Annualized
+ The per share amounts were computed using a monthly average number of shares
outstanding during the year.
# The amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments for the
period ended due to the timing of sales of Fund shares in relation to
fluctuating market values of the investments in the Fund.
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") acts as the Fund's Sub-Administrator.
Shares of the fund may only be purchased or redeemed through variable annuity
contracts and variable life insurance policies offered by the separate accounts
of participating insurance companies.
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Fund are as
follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted securities or listed securities for which last sales prices are not
available are valued at last quoted bid prices. Debt securities (other than
short-term obligations maturing in sixty days or less) are valued on the basis
of valuations furnished by pricing services which take into account appropriate
factors such as institutional-size trading in similar groups of securities,
yield, quality, coupon rate, maturity, type of issue, and other market data,
without exclusive reliance on quoted prices or exchange or over-the-counter
prices, since such valuations are believed to reflect more accurately the fair
value of the securities. Short-term obligations, maturing in sixty days or less,
are valued at amortized cost, which approximates market value. Securities, if
any, for which there are no such valuations or quotations are valued at fair
value as determined in good faith by or under guidelines established by the
Trustees.
B. INCOME -- Interest income consists of interest accrued and discount
earned, adjusted for amortization of premium or discount on long-term debt
securities when required for U.S. federal income tax purposes. Dividend income
is recorded on the ex-dividend date.
C. FEDERAL TAXES -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES -- The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and 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
carry-
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
overs) under income tax rules and regulations. For the period ended
December 31, 1998, the Fund reclassified $17,947 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, 1999, 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, which in turn, is a wholly-owned subsidiary
of Citigroup Inc. Citigroup Inc. was formed as a result of the merger of
Citicorp and Travelers Group, Inc. which was completed on October 8, 1998.
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 $7,172, all of
which was voluntarily waived for the six months ended June 30, 1999.
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other
than short-term obligations, aggregated $929,762 and $1,162,264, respectively,
for the six months ended June 30, 1999.
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at June 30, 1999 as
computed on a federal income tax basis, are as follows:
Aggregate cost $1,784,918
================================================================================
Gross unrealized appreciation $ 353,170
Gross unrealized depreciation (93,354)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 259,816
================================================================================
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
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
ENDED YEAR
JUNE 30, 1999 ENDED
(UNAUDITED) DECEMBER 31, 1998
================================================================================
Shares sold 44,810 124,384
Shares reinvested -- 23,452
Shares repurchased (33,307) (214,592)
- --------------------------------------------------------------------------------
Net (decrease) increase 11,503 (66,756)
================================================================================
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, 1999, which
amounted to $66,965.
