CitiSelect(R) VIP Portfolios
- --------------------------------------------------------------------------------
Annual Report
December 31, 1998
CitiSelect(R) VIP Folio 200
CitiSelect(R) VIP Folio 300
CitiSelect(R) VIP Folio 400
CitiSelect(R) VIP Folio 500
We are pleased to present this annual report for the CitiSelect(R) VIP
Portfolios. The report covers the year from January 1, 1998 to December 31,
1998. 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.
We are also pleased to announce the appointment of Richard Goldman as senior
portfolio manager of the CitiSelect VIP Portfolios effective as of January 4,
1999. Mr. Goldman has been a member of the management team since the portfolios'
inception. He replaces Larry Keblusek, who will continue to serve as U.S. Chief
Investment Officer of Citibank Global Asset Management. Mr. Goldman will
continue to participate in the management of the large-cap growth sector of the
Portfolios.
Thank you for your participation in the CitiSelect VIP Portfolios. We look
forward to serving your variable annuity investment needs in the future.
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INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
1998 was an extraordinarily turbulent time for the global financial markets
in which the CitiSelect VIP portfolios invest. In the third quarter of the year,
sharp price declines in several markets were primarily caused by the currency
and credit crisis that began last year in Southeast Asia and then spread to
other emerging markets. When it became apparent this past summer that these
financial problems would affect developed economies in the U.S. and Europe,
investors reacted by selling investments that they perceived as risky. Even
triple-A-rated investments such as high-quality corporate bonds were punished in
this "flight to quality" during the third quarter of 1998. U.S. Treasury
securities were among the few investments to provide positive returns during
this period.
In October, however, we began to see signs of a return to stability in the
global equity markets. Interest rate cuts that were implemented by the U.S.
Federal Reserve Board and several other central banks signaled to investors that
the world's monetary policymakers were committed to stimulating economic growth.
In addition, the International Monetary Fund announced measures to prevent the
spread of the global currency and credit crisis in Latin America, and Japanese
government officials proposed a credible plan to reform their banking system. As
a result, virtually all of the markets in which we invest rebounded from their
lows in the fourth quarter, and some even recorded new highs.
In this environment, the CitiSelect VIP portfolios provided results below our
long-term expectations. We attribute a sizeable portion of the portfolios'
lackluster performance to the extreme volatility in the world's markets.
CitiSelect VIP Folios 400 and 500, the more aggressive of the CitiSelect VIP
portfolios, were hurt by their larger weightings in small-capitalization stocks.
We are pleased that the more conservative portfolios -- CitiSelect VIP Folios
200 and 300 -- protected their shareholders from the brunt of the financial
markets' declines during the third quarter.
The CitiSelect VIP portfolios' returns were also affected by the relative
performance of some of the financial market's sub-sectors. The value style of
investing in both domestic and international stocks was particularly unrewarding
for most of the year. The value style, which seeks to identify stocks selling at
prices below their true worth, was largely out of favor in 1998, and investment
managers who remained true to that style were among the hardest hit. We believe
that this investment style's poor performance is a reflection of investors'
widespread preference for high-quality growth companies.
Despite its underperformance for the year, we are confident that the value
style of investing continues to make sound investment sense. Furthermore, we
believe that these value-oriented holdings may represent particularly attractive
long-term opportunities at current prices. Equally important, the value strategy
com-
<PAGE>
plements the growth-oriented portions of the portfolios, which performed
relatively well during the reporting period. In fact, we began to see signs in
the fourth quarter that value investing is once again attracting investors'
attention.
Looking ahead, we believe that the diversification strategy underlying the
CitiSelect VIP portfolios is more important than ever. By allocating your
investment assets among a number of different markets and asset classes, you may
be able to reduce the effects of heightened volatility on your overall
portfolio. In our view, the CitiSelect VIP portfolios can play a particularly
valuable role in your diversification strategy because they invest in a wide
variety of asset classes, geographic regions and investment styles.
In addition, history has repeatedly shown us that last year's top performers
are not necessarily tomorrow's winners. In fact, we believe that an attractive
level of imbedded value currently exists in our U.S. small-cap stock and
international stock holdings, creating attractive opportunities for investors
with appropriate risk tolerances and long-term perspectives. As these market
sectors return to more normal historical relationships, investors in the
CitiSelect VIP portfolios should be well positioned to benefit.
<PAGE>
CITISELECT(R) VIP FOLIO 200
FUND PERFORMANCE
Total Returns
All Periods Ended December 31, 1998
================================================================================
Since
One 2/10/97
Year Inception*
----- ----------
CitiSelect(R) VIP Folio 200............................ 7.33% 8.03%
Composite Benchmark+................................... 11.96% 11.65%
================================================================================
* Average Annual Total Return.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,569 (as of 12/31/98). The graph shows how the Fund compares to its
benchmarks over the same period.
[GRAPHIC CHART OMITTED]
CitiSelect S&P 500 Lehman Bros.
VIP Folio Composite Index Intermediate Gov't/Corp
200 Benchmart+ Unmanaged Bond Index (unmanaged)
---------- ---------- --------- ----------------------
Feb-97 10,000 10,000 10,000 10,000
Mar-97 9,902 9,666 9,826 9,810
Apr-97 10,018 10,242 9,916 9,830
May-97 10,101 10,868 10,312 10,210
Jun-97 10,193 11,351 10,532 10,430
Jul-97 10,400 12,254 10,748 10,620
Aug-97 10,348 11,567 10,660 10,590
Sep-97 10,468 12,200 10,987 10,920
Oct-97 10,584 11,793 10,907 10,790
Nov-97 10,607 12,339 10,926 10,780
Dec-97 10,692 12,551 10,997 10,779
Jan-98 10,832 12,689 11,074 10,790
Feb-98 10,823 13,604 11,391 11,137
Mar-98 10,858 14,301 11,549 11,326
Apr-98 10,912 14,447 11,656 11,389
May-98 10,992 14,198 11,556 11,263
Jun-98 11,062 14,774 11,653 11,334
Jul-98 11,101 14,618 11,521 11,113
Aug-98 11,275 12,504 10,982 10,544
Sep-98 11,558 13,306 11,423 10,871
Oct-98 11,547 14,386 11,801 11,166
Nov-98 11,546 15,258 11,990 11,282
Dec-98 11,592 16,138 12,312 11,569
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (15%); Russell 2000 Index --
Small Cap Stocks (15%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (20%). Unlike the fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT(R) VIP FOLIO 300
FUND PERFORMANCE
Total Returns
All Periods Ended December 31, 1998
================================================================================
Since
One 2/10/97
Year Inception*
----- ----------
CitiSelect(R) VIP Folio 300........................... 7.10% 8.36%
Composite Benchmark+.................................. 13.52% 13.50%
================================================================================
* Average Annual Total Return.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,636 (as of 12/31/98). The graph shows how the Fund compares to its
benchmarks over the same period.
[GRAPHIC CHART OMITTED]
CitiSelect S&P 500 Lehman Bros.
VIP Folio Composite Index Intermediate Gov't
300 Benchmart+ Unmanaged Bond Index (unmanaged)
---------- ---------- --------- ----------------------
Feb-97 10,000 10,000 10,000 10,000
Mar-97 9,902 9,666 9,775 9,750
Apr-97 10,018 10,242 9,890 9,780
May-97 10,101 10,868 10,399 10,250
Jun-97 10,193 11,351 10,688 10,520
Jul-97 10,400 12,254 10,976 10,770
Aug-97 10,348 11,567 10,820 10,700
Sep-97 10,468 12,200 11,244 11,110
Oct-97 10,584 11,793 11,069 10,890
Nov-97 10,607 12,339 11,098 10,890
Dec-97 10,692 12,551 11,187 10,865
Jan-98 10,832 12,689 11,281 10,917
Feb-98 10,823 13,604 11,716 11,346
Mar-98 10,858 14,301 11,943 11,597
Apr-98 10,912 14,447 12,060 11,660
May-98 10,992 14,198 11,903 11,472
Jun-98 11,062 14,774 12,025 11,548
Jul-98 11,101 14,618 11,832 11,255
Aug-98 11,275 12,504 10,997 10,407
Sep-98 11,558 13,306 11,493 10,763
Oct-98 11,547 14,386 11,996 11,129
Nov-98 11,546 15,258 12,280 11,297
Dec-98 11,592 16,138 12,699 11,636
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (20%); Morgan Stanley EAFE Index -- International Stocks
(10%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (5%). Unlike the fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT(R) VIP FOLIO 400
FUND PERFORMANCE
Total Returns
All Periods Ended December 31, 1998
================================================================================
Since
One 2/10/97
Year Inception*
----- ----------
CitiSelect(R)VIP Folio 400............................ 3.42% 6.67%
Composite Benchmark+.................................. 13.48% 14.14%
================================================================================
* Average Annual Total Return.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,296 (as of 12/31/98). The graph shows how the Fund compares to its
benchmarks over the same period.
[GRAPHIC CHART OMITTED]
CitiSelect S&P 500 Lehman Bros.
VIP Folio Composite Index Intermediate Gov't. Corp.
400 Benchmart+ Unmanaged Bond Index (unmanaged)
---------- ---------- --------- ----------------------
Feb-97 10,000 10,000 10,000 10,000
Mar-97 9,902 9,666 9,747 9,730
Apr-97 10,018 10,242 9,846 9,670
May-97 10,101 10,868 10,513 10,290
Jun-97 10,193 11,351 10,889 10,640
Jul-97 10,400 12,254 11,207 10,920
Aug-97 10,348 11,567 11,001 10,820
Sep-97 10,468 12,200 11,549 11,360
Oct-97 10,584 11,793 11,205 10,990
Nov-97 10,607 12,339 11,210 10,960
Dec-97 10,692 12,551 11,312 10,922
Jan-98 10,832 12,689 11,412 10,901
Feb-98 10,823 13,604 12,012 11,496
Mar-98 10,858 14,301 12,323 11,847
Apr-98 10,912 14,447 12,449 11,921
May-98 10,992 14,198 12,196 11,613
Jun-98 11,062 14,774 12,317 11,642
Jul-98 11,101 14,618 12,024 11,185
Aug-98 11,275 12,504 10,756 9,877
Sep-98 11,558 13,306 11,240 10,132
Oct-98 11,547 14,386 11,898 10,653
Nov-98 11,546 15,258 12,303 10,908
Dec-98 11,592 16,138 12,837 11,296
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (5%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (5%). Unlike the fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT(R) VIP FOLIO 500
FUND PERFORMANCE
Total Returns
All Periods Ended December 31, 1998
================================================================================
Since
One 2/10/97
Year Inception*
----- ---------
CitiSelect(R)VIP Folio 500............................ 1.59% 6.45%
Composite Benchmark+.................................. 12.94% 14.50%
================================================================================
* Average Annual Total Return.
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$11,252 (as of 12/31/98). The graph shows how the Fund compares to its
benchmarks over the same period.
[GRAPHIC CHART OMITTED]
CitiSelect MSCI Salomon Non-$
VIP Folio Composite EAFE Index World Gov't.
500 Benchmart+ Unmanaged Bond Index (unmanaged)
---------- ---------- --------- ----------------------
Feb-97 10,000 10,000 10,000 10,000
Mar-97 9,849 10,115 9,749 9,710
Apr-97 9,649 10,170 9,868 9,650
May-97 10,005 10,834 10,617 10,380
Jun-97 10,128 11,434 11,060 10,810
Jul-97 9,863 11,622 11,444 11,170
Aug-97 9,908 10,756 11,160 11,020
Sep-97 10,148 11,361 11,786 11,610
Oct-97 10,376 10,490 11,285 11,110
Nov-97 10,110 10,386 11,304 11,130
Dec-97 10,008 10,479 11,433 11,076
Jan-98 10,076 10,961 11,562 11,034
Feb-98 10,218 11,667 12,272 11,773
Mar-98 10,050 12,029 12,672 12,217
Apr-98 10,271 12,126 12,783 12,281
May-98 10,254 12,070 12,481 11,911
Jun-98 10,217 12,164 12,617 11,920
Jul-98 10,230 12,291 12,275 11,359
Aug-98 10,510 10,771 10,667 9,782
Sep-98 11,199 10,443 11,072 9,930
Oct-98 11,704 11,534 11,809 10,534
Nov-98 11,466 12,128 12,328 10,862
Dec-98 11,789 12,610 12,912 11,252
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (35%); Morgan Stanley EAFE Index -- International Stocks
(30%); Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (10%); Federal
Reserve 91-day Treasury Bill -- Cash (5%). Unlike the fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
LARGE CAP GROWTH -- 8.2%
- -------------------------------------------------------------------
COMMON STOCKS -- 8.0%
- -------------------------------------------------------------------
Capital Goods/Producer
Manufacturer -- 0.7%
- -------------------------------------------------------------------
Danaher Corp. 330 $ 17,923
General Electric Co. 730 74,506
--------
92,429
--------
Commercial Services -- 0.2%
- -------------------------------------------------------------------
Cintas Corp. 290 20,427
Interpublic Group
Companies Inc. 190 15,153
--------
35,580
--------
Consumer Durables -- 0.0%
- -------------------------------------------------------------------
Leggett & Platt Inc. 100 2,200
--------
Consumer Non-Durables -- 0.5%
- -------------------------------------------------------------------
Clorox Co. 200 23,363
Coca Cola Co. 270 18,056
Procter & Gamble Co. 370 33,786
--------
75,205
--------
Consumer Services -- 0.1%
- -------------------------------------------------------------------
Carnival Corp. 235 11,280
--------
Finance -- 0.9%
- -------------------------------------------------------------------
American International
Group Inc. 130 12,561
Bank of New York Inc. 290 11,672
Federal Home Loan
Mortgage Corp. 175 11,277
Federal National Mortgage
Association 425 31,450
Fifth Third Bancorp 155 11,053
Finova Group Inc. 225 12,136
Firstar Corp. 145 13,521
Zions Bancorp 360 22,455
--------
126,125
--------
Healthcare -- 1.9%
- -------------------------------------------------------------------
Cardinal Health Inc. 322 24,432
Elan PLC* 175 12,173
Eli Lilly & Co. 422 37,505
Health Management
Association* 560 12,110
Johnson & Johnson 280 23,485
Medtronic Inc. 445 33,041
Merck & Co. 230 33,968
Pfizer Inc. 290 36,377
Schering Plough Corp. 645 35,636
Warner Lambert Co. 150 11,278
---------
260,005
---------
Process Industries -- 0.1%
- -------------------------------------------------------------------
Ecolab Inc. 320 11,580
---------
Retail -- 1.0%
- -------------------------------------------------------------------
Bed Bath & Beyond Inc.* 700 23,887
Costco Companies Inc.* 165 11,911
Home Depot 424 25,944
Staples Inc.* 280 12,233
Wal Mart Stores Inc. 520 42,348
Walgreen Co. 290 16,983
---------
133,306
--------
Technology -- 2.3%
- -------------------------------------------------------------------
Automatic Data
Processing Inc.* 140 11,226
Ceridian Corp.* 160 11,170
Cisco Systems Inc.* 357 33,134
Compaq Computer Corp. 465 19,501
Compuware Corp.* 195 15,234
Dell Computer Corp.* 230 16,833
EMC Corp.* 305 25,925
Intel Corp. 380 45,054
International Business
Machines(++) 110 20,323
Microsoft Corp.* 510 70,731
Paychex Inc. 280 14,403
Solectron Corp.* 175 16,264
Sun Guard Data Systems* 600 23,812
---------
323,610
---------
Utilities -- 0.3%
- ------------------------------------------------------------------
Ameritech Corp. 385 24,399
SBC Communications Inc. 405 21,718
---------
46,117
---------
Total Common Stocks 1,117,437
---------
SHORT-TERM OBLIGATIONS -- 0.2%
- ------------------------------------------------------------------
Federal Home Loan Bank Consumer
Discount Note
4.50% due 1/04/99(+) 23,489
---------
Total Large Cap Growth
(Identified Cost $840,101) 1,140,926
---------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
LARGE CAP VALUE -- 7.6%
- -------------------------------------------------------------------
COMMON STOCKS -- 7.4%
- -------------------------------------------------------------------
Basic Industries -- 0.5%
- -------------------------------------------------------------------
Air Products &
Chemicals Inc. 300 $ 12,000
FMC Corp.* 100 5,600
IMC Global Inc. 300 6,412
Inland Steel Industries Inc. 400 6,750
Lubrizol Corp. 300 7,706
Morton International Inc. 100 2,450
Rohm & Haas Co. 400 12,050
W. R. Grace & Co.* 500 7,844
Westvaco Corp. 200 5,362
--------
66,174
--------
Capital Goods -- 0.6%
- -------------------------------------------------------------------
Aeroquip Vickers Inc. 400 11,975
Case Corp.* 900 19,631
Cummins Engine Inc. 400 14,200
Harnischfeger Industries Inc. 500 5,094
Kennametal Inc. 300 6,375
Parker Hannifin Corp. 450 14,737
Tecumseh Products Co. 200 9,325
--------
81,337
--------
Consumer Basics -- 1.1%
- -------------------------------------------------------------------
Beckman Coulter 300 16,275
Columbia/HCA Healthcare
Corp. 400 9,900
Foundation Health Systems* 560 6,685
Healthsouth Corp.* 1,200 18,525
IBP Inc. 300 8,738
Mallinckrodt Inc. 200 6,162
Philip Morris Companies Inc. 400 21,400
RJR Nabisco Holdings Corp. 600 17,812
Tenet Healthcare Corp.* 600 15,750
United Healthcare Corp. 400 17,225
Universal Foods Corp. 500 13,718
--------
152,190
--------
Consumer Durable Goods -- 0.8%
- -------------------------------------------------------------------
Dana Corp. 400 16,350
Eaton Corp. 100 7,069
Ford Motor Co. 500 29,344
General Motors Corp. 600 42,937
Goodyear Tire and Rubber 400 20,175
--------
115,875
--------
Consumer Non-Durables -- 0.6%
- -------------------------------------------------------------------
Dillards Inc. 400 11,350
Liz Claiborne Inc. 600 18,937
Sears Roebuck & Co. 300 12,750
Springs Industries Inc. 200 8,288
Toys "R" Us Inc.* 800 13,500
V. F. Corp. 500 23,437
--------
88,262
--------
Consumer Services -- 0.2%
- -------------------------------------------------------------------
AMR Corp. * 200 11,875
Delta Airlines Inc. 300 15,600
--------
27,475
--------
Energy -- 0.2%
- -------------------------------------------------------------------
Nabors Industries Inc.* 600 8,137
Phillips Petroleum Co. 100 4,262
Ultra Mar Diamond
Shamrock 500 12,125
--------
24,524
--------
Finance -- 1.9%
- -------------------------------------------------------------------
Allstate Corp. 500 19,313
American General Corp. 100 7,800
Banc One Corp. 300 15,319
BankAmerica Corp. 300 18,037
BankBoston Corp. 200 7,788
Chase Manhattan Corp. 500 34,031
Cigna Corp. 300 23,194
Everest Reinsurance
Holdings 300 11,681
First Union Corp. 520 31,623
Hartford Financial Services
Group 300 16,463
Old Republic International
Corp. 400 9,000
PNC Bank Corp. 400 21,650
Reliastar Financial Corp. 300 13,838
Republic New York Corp. 200 9,113
Transatlantic Holdings Inc. 150 11,334
Washington Mutual Inc. 450 17,184
--------
267,368
--------
General Business -- 0.1%
- -------------------------------------------------------------------
Olsten Corp. 700 5,163
Standard Register 100 3,094
--------
8,257
--------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
Shelter -- 0.2%
- -------------------------------------------------------------------
Owens Corning 600 $ 21,264
----------
Technology -- 0.8%
- -------------------------------------------------------------------
Arrow Electronics Inc.* 400 10,675
Avnet Inc. 200 12,100
First Data Corp.* 700 22,181
International Business
Machines(++) 200 36,950
TRW Inc. 300 16,856
Tektronix Inc. 450 13,528
----------
112,290
----------
Transportation -- 0.0%
- -------------------------------------------------------------------
Burlington Northern
Santa Fe Co. 100 3,375
----------
Utilities -- 0.4%
- -------------------------------------------------------------------
Bell Atlantic Corp. 300 15,900
Cinergy Corp. 100 3,438
DTE Energy Co. 200 8,575
Duke Power Co. 104 6,663
Entergy Corp. 200 6,225
GPU Inc. 200 8,838
Southern Co. 300 8,719
----------
58,358
----------
Total Common Stocks 1,026,748
----------
SHORT-TERM OBLIGATION -- 0.2%
- -------------------------------------------------------------------
Federal Home Loan Bank Consumer
Discount Note
4.50% due 1/04/99(+) 34,274
----------
Total Large Cap Value
(Identified Cost $1,060,430) 1,061,022
----------
SMALL CAP GROWTH -- 7.4%
- -------------------------------------------------------------------
COMMON STOCKS -- 6.8%
- -------------------------------------------------------------------
Commercial Services -- 1.3%
- -------------------------------------------------------------------
AHL Services Inc.* 373 11,656
Abacus Direct Corp.* 340 15,470
Catalina Marketing
Corp.* 209 14,290
Central Packing Corp. 138 4,476
Ha Lo Industries Inc.* 320 12,040
Lamar Advertising Co.* 567 21,121
Level One Communications
Inc.* 370 13,135
Metzler Group Inc.* 413 20,108
NFO Worldwide Inc.* 438 5,037
Probusiness Services Inc.* 520 23,660
Profit Recovery Group
International Inc.* 557 20,853
Romac International Inc.* 429 9,545
Wilmar Industries Co.* 488 9,912
--------
181,303
--------
Consumer Non-Durable -- 0.2%
- -------------------------------------------------------------------
Beringer Wine Estates
Holdings* 235 10,502
Horizon Organic Holdings
Corp.* 315 4,883
Natrol Inc.* 368 4,048
Wiley John & Sons 60 2,899
--------
22,332
--------
Consumer Services -- 0.6%
- -------------------------------------------------------------------
Devry Inc.* 461 14,118
Heftel Broadcasting Corp.* 425 20,931
Metro Networks Inc.* 347 14,791
Premier Parks Inc.* 381 11,525
SFX Entertainment Inc.* 277 15,200
Sylvan Learning System Inc.* 336 10,248
--------
86,813
--------
Electronics/Technical Services -- 0.9%
- -------------------------------------------------------------------
American Tower Corp.* 384 11,352
C Cube Microsystems Inc.* 380 10,307
Electronics for Imaging Inc.* 294 11,815
Jabil Circuit Inc.* 113 8,433
Microchip Technology Inc.* 125 4,625
Micron Electronics Inc.* 626 10,838
Network Appliance Inc.* 388 17,460
Novellus Systems Inc.* 197 9,752
Sipex Corp.* 687 24,131
Tekelectronic Inc.* 604 10,004
Western Wireless Corp.* 238 5,236
--------
123,953
--------
Energy/Minerals -- 0.1%
- -------------------------------------------------------------------
Petroleum Geo-Services* 723 11,387
--------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
Finance -- 0.5%
- -------------------------------------------------------------------
Centura Banks Inc. 170 $ 12,644
Cullen Frost Bankers Inc. 286 15,694
Enhance Financial Services
Group Inc. 258 7,740
Executive Risk Inc.(++) 267 14,668
Peoples Heritage Financial
Group 769 15,380
---------
66,126
---------
Health Services/Technology -- 0.8%
- -------------------------------------------------------------------
Agouron Pharmaceuticals
Inc.* 67 3,936
Andrx Corp.* 175 8,969
Barr Labs Inc.* 286 13,728
MedImmune, Inc.* 66 6,563
PSS World Medical Inc.* 220 5,060
Parexel International Corp.* 480 12,000
Professional Detailing Inc.* 443 12,515
Roberts Pharmaceutical
Corp.* 642 13,963
Steris Corp.* 453 12,882
Total Renal Care
Holdings Inc.* 834 24,655
Viropharma Inc.* 493 4,591
---------
118,862
---------
Industrial Services -- 0.2%
- -------------------------------------------------------------------
Rental Service Corp.* 740 11,609
Service Experts Inc.* 405 11,846
Waste Connections Inc.* 294 5,402
---------
28,857
---------
Process Industries -- 0.2%
- -------------------------------------------------------------------
Aptargroup Inc. 347 9,738
OM Group Inc. 414 15,111
---------
24,849
---------
Producer Manufacturing -- 0.1%
- -------------------------------------------------------------------
Tower Automotive Inc.* 816 20,349
---------
Retail -- 0.4%
- -------------------------------------------------------------------
CDW Computer
Centers Inc.* 110 10,552
Linens N Things Inc.* 230 9,114
Men's Wearhouse Inc.* 358 11,367
Tiffany & Co. 177 9,182
Whole Foods Market Inc.* 300 14,513
---------
54,728
---------
Technology Services -- 1.2%
- -------------------------------------------------------------------
Aspect Development Inc.* 267 1,831
Bisys Group Inc.* 140 7,228
Data General Corp.* 389 6,394
Engineering Animation Inc.* 163 8,802
ICG Communications Inc.* 451 9,697
Legato Inc.* 239 15,759
Lernout & Hauspie Speech
Products* 286 9,331
Lycos Inc.* 312 17,336
Macromedia Inc.* 341 11,487
Mercury Interactive Corp.* 94 5,946
NTL Inc.* 184 10,385
RSL Communications Ltd.* 251 7,405
Rational Software Corp.* 472 12,508
Sapient Corp.* 106 5,936
Skytel Communications Inc.* 410 9,071
Transaction Systems
Architects Inc.* 125 6,250
Whittman Hart Inc.* 610 16,851
---------
172,217
---------
Transportation -- 0.3%
- -------------------------------------------------------------------
Eagle U.S.A Airfreight Inc.* 713 17,468
Hub Group Inc.* 259 5,018
Skywest Inc. 182 5,949
United Road Services Inc.* 815 14,975
---------
43,410
---------
Total Common Stocks 955,186
---------
SHORT-TERM OBLIGATIONS -- 0.6%
- -------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 85,772
---------
Total Small Cap Growth
(Identified Cost $925,530) 1,040,958
---------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
SMALL CAP VALUE -- 6.5%
- -------------------------------------------------------------------
COMMON STOCKS -- 6.3%
- -------------------------------------------------------------------
Commerical Services -- 0.4%
- -------------------------------------------------------------------
Corrections Corp. of
America* 300 $ 5,288
Nash Finch Co. 200 2,850
Reynolds & Reynolds Co. 500 11,469
Rush Enterprises Inc.* 500 5,500
Unisource Worldwide Inc. 1,400 10,150
United Industrial Corp. 1,800 17,662
--------
52,919
--------
Consumer Durable Goods -- 0.5%
- -------------------------------------------------------------------
Cannondale Corp.* 1,200 10,800
Coachmen Industries Inc. 600 15,750
D.R. Horton Inc. 400 9,200
EKCO Group Inc.* 1,300 4,875
Engle Homes Inc. 300 4,594
Flexsteel Industries Inc. 700 9,012
TBC Corp.* 1,800 12,825
--------
67,056
--------
Consumer Non-Durables -- 0.8%
- -------------------------------------------------------------------
Dimon Inc. 1,600 11,900
Schweitzer-Mauduit
International Inc. 800 12,350
Sola International Inc.* 700 12,075
Standard Commercial
Corp.* 2,805 24,018
Timberland Co. 400 18,225
Tropical Sportwear
International Corp.* 700 25,113
Wolverine World Wide
Inc 1,300 17,225
--------
120,906
--------
Consumer Services -- 0.1%
- -------------------------------------------------------------------
Aztar Corp.* 1,400 7,087
--------
Electronic Technology -- 0.6%
- -------------------------------------------------------------------
Aehr Test Systems* 900 5,513
Alliant Techsystems Inc.* 100 8,244
Astro-Med Inc. 200 1,087
ESCO Electronics Corp.* 900 8,156
FLIR System Inc.* 700 16,275
Komag Inc.* 1,500 15,563
Ladish Inc.* 1,400 11,725
Read-Rite Corp.* 300 4,434
Spacehab Inc.* 1,300 13,650
-------
84,647
-------
Energy Minerals -- 0.1%
- -------------------------------------------------------------------
Nuevo Energy Co.* 1,200 13,800
Santa Fe International Corp. 400 5,850
-------
19,650
-------
Finance -- 0.7%
- -------------------------------------------------------------------
Acceptance Insurance
Company* 500 10,125
Centris Group Inc. 900 8,775
Executive Risk Inc.(++) 200 10,988
MMI Companies Inc. 800 13,400
Matrix Capital Corp.* 700 9,450
PBOC Holdings Inc.* 400 4,100
PMI Group Inc. 100 4,937
Penn America Group Inc 900 8,156
Presidential Life Corp 500 9,937
Professional Groups Inc.* 220 6,820
Seibels Bruce Group Inc.* 1,400 4,725
Symons International
Group Inc.* 600 4,350
-------
95,763
-------
Health Technology -- 0.2%
- -------------------------------------------------------------------
DepoTech Corp.* 1,000 2,312
Matrix Pharmaceuticals,
Inc.* 700 1,837
OrthoLogic Corp.* 1,800 6,019
West Co., Inc. 500 17,844
-------
28,012
-------
Industrial Services -- 0.3%
- -------------------------------------------------------------------
Atwood Oceanics Inc.* 550 9,350
ENSCO International
Inc 700 7,481
Perini Corp.* 900 4,612
R & B Falcon Corp. 1,360 10,370
Rowan Companies Inc.* 900 9,000
-------
40,813
-------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
Non-Energy Minerals -- 0.2%
Carpenter Technology
Corp. 100 $ 3,394
LTV Corp. 3,200 18,600
Lone Star Technologies Inc.* 800 8,100
--------
30,094
--------
Process Industries -- 0.1%
- -------------------------------------------------------------------
RPM Inc. 600 9,600
Tuscarora Inc. 700 9,363
--------
18,963
--------
Producer Manufacturing -- 1.3%
- -------------------------------------------------------------------
Atchison Casting Corp.* 1,000 9,250
Baldor Electric Co. 500 10,125
Commerical Intertech
Corp 800 10,350
Commonwealth Industries
Inc. 900 8,438
Easco Inc. 1,000 7,750
Flowserve Corp. 500 8,281
Global Industrial
Technologies Inc.* 2,000 21,375
Holophane Corp.* 400 10,275
JLG Industries Inc. 2,000 31,250
Keystone Consolidated
Industries Inc.* 1,200 9,750
Morgan Products Ltd.* 1,200 4,200
Myers Industries Inc. 500 14,344
Patrick Industries Inc 500 7,688
Superior Industries
International Inc. 500 13,906
Timken Co. 600 11,325
Watts Industries Inc.* 600 9,975
--------
188,282
--------
Retail Trade -- 0.3%
- -------------------------------------------------------------------
Duckwall-ALCO Stores Inc.* 700 9,275
Haverty Furniture
Companies Inc. 200 4,200
Schultz Sav-O Stores Inc 750 12,375
Syms Corp.* 1,200 10,800
--------
36,650
--------
Technology Services -- 0.2%
- -------------------------------------------------------------------
Brightpoint Inc.* 700 9,625
Interlink Computer
Sciences Inc.* 300 1,088
Ultrak Inc. 1,600 11,800
----------
22,513
----------
Transportation -- 0.5%
- -------------------------------------------------------------------
Alaska Air Group Inc.* 100 4,425
Conrad Industries Inc.* 300 1,172
Eagle USA Airfreight Inc.* 300 7,350
Fritz Companies Inc.* 2,400 25,950
Kenan Transport Co. 400 12,800
Motor Cargo Industries Inc.* 900 7,200
Tidewater Inc. 400 9,275
----------
68,172
----------
Total Common Stocks 881,527
----------
SHORT-TERM OBLIGATIONS -- 0.2%
- -------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 26,041
----------
Total Small Cap Value
(Identified Cost $1,057,489) 907,568
----------
INTERNATIONAL EQUITY -- 5.4%
- -------------------------------------------------------------------
COMMON STOCKS -- 5.4%
- -------------------------------------------------------------------
Austria -- 0.0%
- -------------------------------------------------------------------
Boehler-Uddeholm 85 3,956
----------
Australia -- 0.3%
- -------------------------------------------------------------------
Australia & New Zealand
Banking Group 2,305 15,085
Pioneer International Ltd 5,541 11,714
Quantas Airways 5,505 11,233
----------
38,032
----------
Canada -- 0.2%
- -------------------------------------------------------------------
Canadian Hunter
Exploration Ltd. 142 929
Canadian Imperial Bank of
Commerce 275 6,837
Imasco, Ltd. 640 13,692
Nexfor Inc. 248 982
Noranda, Inc. 570 5,687
----------
28,127
----------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
Finland -- 0.1%
- -------------------------------------------------------------------
UPM Kymmene Oy 440 $ 12,253
--------
France -- 0.5%
- -------------------------------------------------------------------
BIC 139 7,707
Banque Nationale De Paris 155 12,758
Elf Aquitaine 90 10,399
Lafarge Coppee 135 12,822
Pernod Ricard 171 11,102
Societe Generale 67 10,845
Total SA 85 8,605
--------
74,238
--------
Germany -- 0.4%
- -------------------------------------------------------------------
Bayer AG 215 8,972
Buderus AG 20 7,284
Commerzbank AG 320 10,119
Draegerwerk AG 315 5,103
Dyckerhoff AG 25 6,930
Veba AG 207 12,383
Vossloh AG 240 7,056
--------
57,847
--------
Great Britain -- 1.2%
- -------------------------------------------------------------------
Allied Domecq 1,176 10,873
Allied Zurich 695 10,444
BAT Industries 685 6,032
BOC Group 410 5,879
BTR PLC 3,160 6,484
CGU 700 11,037
Coats Viyella 5,520 2,476
Cookson Group 3,990 8,685
Elementis 6,051 8,244
Hanson 2,175 17,309
Hillsdown Holdings 4,012 4,999
Lex Service 1,020 6,524
Lloyds TSB Group 1,048 14,922
Medeva 2,430 4,320
National Westminister 620 12,000
Powergen 615 8,072
Safeway 1,170 5,870
TI Group 1,680 9,036
Tomkins 3,120 14,825
Williams 1,264 7,224
--------
175,255
--------
Hong Kong -- 0.2%
- -------------------------------------------------------------------
Hang Lung Development Co. 7,000 7,499
New World Development Co. 1,000 2,517
South China Morning Post 16,000 8,209
Swire Pacific Ltd. 1,500 6,718
-------
24,943
-------
Ireland -- 0.1%
- -------------------------------------------------------------------
Greencore Group 1,720 7,930
Jefferson Smurfit Group 6,290 11,319
-------
19,249
-------
Italy -- 0.2%
- -------------------------------------------------------------------
Eni Spa 1,820 11,888
Telecom Italia SPA 1,400 11,939
-------
23,827
-------
Japan -- 0.4%
- -------------------------------------------------------------------
Kyocera Corp. 200 10,562
Nichicon Corp. 1,000 12,472
Nintendo Co. 100 9,686
Promise Co. 300 15,604
Yodogawa Steel Works 2,000 7,536
-------
55,860
-------
Netherlands -- 0.5%
- -------------------------------------------------------------------
ABN Amro Holdings 395 8,305
Akzo Nobel 279 12,697
Ing Groep 250 15,237
Koninklijke NV PTT 225 11,258
Philips Electronics 180 12,072
TNT Post Groep 205 6,602
-------
66,171
-------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------------------
New Zealand -- 0.1%
- -------------------------------------------------------------------
Fletcher Challenge 5,770 $ 8,896
--------
Norway -- 0.1%
- -------------------------------------------------------------------
Kvaerner ASA 175 3,455
Nycomed Amersham 1,255 8,754
--------
12,209
--------
Singapore -- 0.2%
- -------------------------------------------------------------------
Creative Technology Ltd 1,200 18,000
Jardine Matheson 1,600 4,12
--------
22,128
--------
Spain -- 0.2%
- -------------------------------------------------------------------
Banco Bilbao Vizcaya 480 7,515
Banco Santander SA 372 7,381
Telefonica SA 480 10,869
--------
25,765
--------
Sweden -- 0.2%
- -------------------------------------------------------------------
Electrolux 600 10,302
Getinge Industrier 627 9,415
Skandinaviska Enskilda Banken 690 7,261
--------
26,978
--------
Switzerland -- 0.5%
- -------------------------------------------------------------------
Forbo Holding 22 9,609
Nestle SA 4 8,706
Novartis AG 9 17,689
Saurer 11 6,566
Schweizerische Ruckversicherungs
Gesellschaft AG 5 13,034
Schweizerische Industrie-Gesellschaft
Holdings AG 13 7,665
Sulzer AG 14 8,52
--------
71,789
--------
Total Common Stocks 747,523
--------
SHORT-TERM OBLIGATIONS -- 0.0%
- -------------------------------------------------------------------
Federal Home Loan Bank Consumer
Discount Note
4.50% due 1/04/99(+) 3,414
--------
Total International Equity
(Identified Cost $730,780) 750,937
--------
FIXED INCOME -- 25.4%
- -------------------------------------------------------------------
Principal
Issuer Amount Value
- -------------------------------------------------------------------
FIXED INCOME -- 25.3%
- -------------------------------------------------------------------
Corporate Bonds -- 6.4%
- -------------------------------------------------------------------
Allstate Corp.
6.75% due 5/15/18 $30,000 $31,180
Associates Corp. North America
6.25% due 11/01/08 45,000 46,598
Atlantic City Electric Co.
7.01% due 8/23/02 40,000 42,004
BB & T Corp.
6.375% due 6/30/05 60,000 61,268
Century Telephone Enterprises Inc.
6.30% due 1/15/08 30,000 30,841
Commonwealth Edison Electric Co.
7.00% due 7/01/05 43,000 45,81
Conseco Inc.
6.40% due 6/15/01 25,000 24,085
Dayton Hudson Corp
5.95% due 6/15/00 15,000 15,120
Equitable Life Assurance
6.95% due 12/01/05 30,000 31,803
Ford Motor Co.
6.50% due 8/01/18 40,000 40,981
GTE Corp.
6.36% due 4/15/06 30,000 31,386
Hartford Financial Services Group Inc.
6.375% due 11/01/08 20,000 20,549
Household Financial Corp.
6.50% due 11/15/08 30,000 31,216
Jackson National Life Insurance Co.
8.15% due 3/15/27 50,000 57,422
Lucent Technologies Inc.
5.50% due 11/15/08 20,000 20,215
MCI Communications Corp.
6.125% due 4/15/12 35,000 35,533
Mattel Inc.
6.00% due 7/15/03 20,000 20,194
Mellon Financial Co.
5.75% due 11/15/03 30,000 30,208
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Amount Value
- -------------------------------------------------------------------
National Rural Utitlities
6.20% due 2/001/08 $35,000 $ 36,364
Nationsbank Corp.
6.375% due 5/15/05 35,000 36,381
Norfolk Southern Corp
6.95% due 5/01/02 25,000 25,982
Occidental Petroleum
Corp
6.40% due 4/01/03 10,000 9,842
Philadelphia Electric Co.
7.125% due 9/01/02 10,000 10,485
6.625% due 3/01/03 20,000 20,707
Raytheon Co.
6.30% due 3/15/05 30,000 30,750
Suntrust Banks Inc.
6.00% due 1/15/28 25,000 25,547
TCI Communications Inc.
6.875% due 2/15/06 30,000 32,012
USA Waste Services Inc.
6.50% due 12/15/02 30,000 30,483
Walt Disney Co.
5.125% due 12/15/03 20,000 19,889
---------
894,857
---------
Mortgage Backed -- 3.4%
- -------------------------------------------------------------------
Commercial Mortgage
Acceptance Corp.
5.80% due 3/15/06 24,626 24,537
Federal Home Loan
Mortgage Corp.
6.25% due 6/15/24 30,000 30,208
Federal National Mortgage
Association
6.00% due 12/1/99 TBA 30,000 29,559
6.50% due 12/1/99 TBA 65,000 65,426
6.00% due 5/15/08 120,000 126,674
7.349% due 8/17/2 150,000 54,611
GMAC Commercial
Mortgage Securities Inc.
6.42% due 8/15/08 40,000 41,439
J.P. Morgan Commercial
Mortgage Finance Corp.
6.373% due 1/15/30 18,424 18,751
Sears Credit Account
Master Trust II
5.25% due 10/16/08 40,000 39,187
Structured Asset Securities
Corp
6.79% due 10/15/34 48,685 50,765
---------
481,157
---------
U. S. Treasury Obligations -- 14.8%
- -------------------------------------------------------------------
United States Treasury
Bonds
3.625% due 4/15/28 35,287 34,228
United States Treasury
Notes
5.875% due 1/31/99 374,000 374,352
6.375% due 5/15/99 370,000 372,312
5.875% due 11/15/99 100,000 101,031
5.50% due 12/31/00 25,000 25,418
6.25% due 1/31/02 370,000 386,417
6.50% due 5/31/02 285,000 300,895
6.25% due 6/30/02 30,000 31,491
5.50% due 3/31/03 150,000 154,547
5.875% due 2/15/04 170,000 179,350
6.50% due 10/15/06 100,000 110,922
----------
2,036,735
----------
Total U.S. Treasury
Obligations 2,070,963
----------
Yankee Bonds -- 0.7%
- -------------------------------------------------------------------
British Columbia
Province Canada
5.375% due 10/29/08 20,000 19,961
Ericsson
Telecommunication
6.75% due 2/12/02 20,000 20,920
Manitoba Province
Canada
5.50% due 10/01/08 20,000 20,224
Ontario Province
Canada
5.50% due 10/01/08 20,000 20,077
Republic of Ireland
6.875% due 3/10/0 20,000 21,150
----------
102,332
----------
Total Fixed Income 3,549,309
----------
SHORT-TERM OBLIGATIONS -- 0.1%
- -------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 6,314
----------
Total Domestic Fixed Income
(Identified Cost $3,481,686) 3,555,623
----------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Currency Amount Value
- -------------------------------------------------------------------
INTERNATIONAL BOND -- 32.3%
- -------------------------------------------------------------------
FIXED INCOME -- 20.5%
- -------------------------------------------------------------------
Australia -- 1.8%
- -------------------------------------------------------------------
Commonwealth of Australia
8.75% due 8/15/08 AUD 155,000 $121,795
7.50% due 9/15/09 AUD 180,000 131,419
--------
253,214
--------
Canada -- 0.7%
- -------------------------------------------------------------------
Commonwealth of Canada
5.25% due 9/01/03 CAD 60,000 40,070
8.00% due 6/01/23 CAD 59,000 53,287
--------
93,357
--------
Denmark -- 0.5%
- -------------------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 300,000 54,685
7.00% due 11/15/07 DKK 100,000 18,866
--------
73,551
--------
France -- 0.2%
- -------------------------------------------------------------------
Government of France
3.00% due 7/25/09 FRF 139,878 24,868
--------
Germany -- 2.0
- -------------------------------------------------------------------
Republic of Germany
5.625% due 1/04/28D EM 420,000 284,015
--------
Great Britain -- 4.1%
- -------------------------------------------------------------------
United Kingdom Gilt
8.00% due 6/10/03 GBP 150,000 284,350
8.50% due 12/07/05 GBP 42,000 86,582
7.25% due 12/07/07 GBP 100,000 199,784
--------
570,716
--------
Greece -- 1.1%
- -------------------------------------------------------------------
Hellenic Republic
12.80% due 6/17/03 GRD 1,200,000 4,369
11.00% due 10/23/03 GRD 4,400,000 16,083
8.80% due 6/19/07 GRD 34,200,000 136,281
--------
156,733
--------
Italy -- 1.1%
- -------------------------------------------------------------------
Republic of Italy
6.00% due 1/01/00 ITL 15,000,000 9,317
4.75% due 5/01/03 ITL 70,000,000 44,707
5.00% due 5/01/08 ITL 40,000,000 26,115
7.25% due 11/01/26 ITL 95,000,000 78,105
--------
158,244
--------
New Zealand -- 1.8%
- -------------------------------------------------------------------
Canada Government
6.625% due 10/03/07 NZD 20,000 10,695
International Bank
Reconciliation &
Development
7.00% due 9/18/00 NZD 100,000 53,607
7.25% due 4/09/01 NZD 186,000 100,566
7.25% due 5/27/03 NZD 60,000 33,033
New Zealand
Government
7.00% due 7/15/09 NZD 100,000 59,089
--------
256,990
--------
Spain -- 2.7%
- -------------------------------------------------------------------
Government of Spain
6.00% due 1/31/08 ESP 47,000,000 381,185
--------
Sweden -- 0.3%
- -------------------------------------------------------------------
Kingdom of Sweden
6.50% due 5/05/08 SEK 300,000 43,282
--------
<PAGE>
CitiSelect VIP Folio 200
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Currency Amount Value
- -----------------------------------------------------------------------
United States -- 4.2%
- -----------------------------------------------------------------------
Federal National
Mortgage Association
6.875% due 6/7/02 GBP 20,000 $ 35,332
7.25% due 6/20/02 NZD 160,000 87,447
Government National
Mortgage Association
6.875% due 4/20/27 $ 55,763 56,484
Merrill Lynch & Co., Inc.
5.299% due 11/01/01 $ 10,000 9,923
SLM Student Loan Trust
1.00% due 10/25/04 $ 5,084 5,048
1.00% due 4/25/06 $ 40,920 40,415
5.227% due 4/25/07 $ 94,729 93,684
United States Treasury
Notes
3.625% due 7/15/02 $ 255,983 254,063
---------
582,396
---------
Total Fixed Income 2,878,551
---------
SHORT-TERM OBLIGATIONS -- 11.8%
- --------------------------------------------------------------------------------
Dutch Government
6.50% due 1/15/99 NLG 250,000 133,227
Federal Home Loan
Bank Consumer
Discount Notes
4.50% due 1/04/99(+) $ 17,421 17,414
5.13% due 1/20/99 $ 800,000 797,834
Ford Motor Credit Co.
4.27% due 3/23/99 $ 90,000 89,010
French Discount Treasury
Bill 3.35% due 2/04/99 FRF 1,950,000 347,676
Kingdom of Norway
4.40% due 3/17/99 NOK 2,000,000 261,373
Total Short-Term Obligations 1,646,534
Total International Bond
(Identified Cost $4,496,303)* 4,525,085
---------
SHORT-TERM -- 18.5%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 18.5%
- --------------------------------------------------------------------------------
Federal Home Loan
Bank Consumer
Discount Note
4.50% due 1/04/99(+) $ 2,595,234
-----------
Total Short-Term
(Identified Cost $2,595,234)
Total Investments
(Identified Cost $15,187,553) 111.3% 15,577,353
----- -----------
Other Assets,
Less Liabilities (11.3) (1,582,507)
----- -----------
Net Assets 100.0% $13,994,846
===== ===========
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank Consumer Discount
Notes 4.50%, due 1/04/99 valued at $2,791,952, (portions of which are separately
listed by each Asset class.)
(++) The Portfolio owns in aggregate 310 shares of International Business
Machines valued at $57,273, and 467 shares of Executive Risk Inc. valued at
$25,656, (portions of which are separately listed by each asset class.)
See notes to financial statements
Foreign Currency Legend
- --------------------------------------------------------------------------------
Symbol Country
- --------------------------------------------------------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
NLG Netherland
NZD New Zealand
NOK Norway
ESP Spain
SEK Sweden
<PAGE>
CitiSelect VIP Folio 200
Forward currency contracts which were open at December 31, 1998 are as follows:
<TABLE>
<CAPTION>
Unrealized
Market Aggregate Delivery Date Appreciation
Currency Country Value Face Value of Contracts (Depreciation)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) Germany $224,837 $227,080 February-99 $ (2,243)
Dollar (Buy) ...... Australia 30,031 31,214 January-99 (1,183)
Dollar (Sell) ..... Canada 96,829 96,513 January-99 (316)
Dollar (Buy) ...... Canada 223,113 221,295 February-99 1,818
Dollar (Sell) ..... Hong Kong 11,317 10,917 February-99 (400)
Dollar (Sell) ..... New Zealand 240,534 237,579 January-99 (2,955)
Dollar (Sell) ..... New Zealand 48,451 48,518 March-99 67
Drachma (Sell) .... Greece 20,907 20,896 February-99 (11)
Escudo (Buy) ...... Portugal 17,491 17,485 January-99 6
Franc (Buy) ....... Belgium 111,559 113,353 January-99 (1,794)
Franc (Sell) ...... France 27,580 27,671 January-99 91
Franc (Sell) ...... Switzerland 37,935 39,157 January-99 1,222
Franc (Buy) ....... Switzerland 152,894 156,437 February-99 (3,543)
Franc (Sell) ...... Switzerland 93,639 96,750 February-99 3,111
Guilder (Sell) .... Netherlands 10,658 10,630 January-99 (28)
Krona (Buy) ....... Sweden 164,096 169,498 January-99 (5,402)
Krona (Sell) ...... Sweden 42,378 44,263 January-99 1,885
Krone (Sell) ...... Denmark 12,578 12,351 January-99 (227)
Krone (Buy) ....... Norway 145,173 147,892 January-99 (2,719)
Krone (Sell) ...... Norway 252,873 257,864 January-99 4,991
Lira (Buy) ........ Italy 329,666 330,890 January-99 (1,224)
Lira (Buy) ........ Italy 7,511 7,541 February-99 (30)
Markka (Buy) ...... Finland 26,510 26,094 January-99 416
Peseta (Buy) ...... Spain 3,308 3,319 February-99 (11)
Peseta (Sell) ..... Spain 268,020 271,020 February-99 3,000
Pound (Buy) ....... Great Britain 249,046 252,693 January-99 (3,647)
Pound (Buy) ....... Ireland 13,395 13,259 January-99 136
Schilling (Buy) ... Austria 41,331 40,374 January-99 957
Yen (Buy) ......... Japan 904,087 880,954 February-99 23,133
Yen (Sell) ........ Japan 183,960 174,085 February-99 (9,875)
--------
$ 5,225
========
</TABLE>
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--11.2%
- --------------------------------------------------------------------------------
COMMON STOCKS --11.1%
Commercial Services -- 0.4%
- --------------------------------------------------------------------------------
Cintas Corp. 660 $46,489
Interpublic Group
Companies Inc. 430 34,293
-------
80,782
Consumer Durables -- 0.0%
- --------------------------------------------------------------------------------
Leggett & Platt Inc. 100 2,200
-------
Consumer Non-Durables -- 0.7%
- --------------------------------------------------------------------------------
Clorox Co. 450 52,566
Coca Cola Co. 605 40,459
Procter & Gamble Co. 835 76,246
-------
169,271
-------
Consumer Services -- 0.1%
- --------------------------------------------------------------------------------
Carnival Corp. 530 25,440
-------
Finance -- 1.3%
- --------------------------------------------------------------------------------
American International
Group Inc. 300 28,987
Bank of New York Inc. 650 26,162
Federal Home Loan
Mortgage Corp. 385 24,808
Federal National
Mortgage Association 965 71,410
Fifth Third Bancorp 348 24,817
Finova Group Inc. 510 27,508
Firstar Corp. 335 31,239
Zions Bancorp 820 51,148
-------
286,079
-------
Healthcare -- 2.6%
- --------------------------------------------------------------------------------
Cardinal Health Inc. 742 56,299
Elan Corp. PLC* 400 27,825
Eli Lilly & Co. 960 85,320
Health Management
Association* 1,270 27,464
Johnson & Johnson 635 53,261
Medtronic Inc. 1,005 74,621
Merck & Co. 510 75,321
Pfizer Inc. 660 82,789
Schering Plough Corp. 1,450 80,112
Warner Lambert Co. 335 25,188
-------
588,200
-------
Process Industries -- 0.1%
- --------------------------------------------------------------------------------
Ecolab Inc. 720 26,055
----------
Producer Manufacturing -- 0.9%
----------
Danaher Corp. 765 41,549
General Electric Co. 1,625 165,852
----------
207,401
----------
Retail -- 1.3%
- --------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 1,580 53,917
Costco Companies Inc.* 375 27,070
Home Depot 965 59,046
Staples Inc.* 630 27,523
Wal Mart Stores Inc. 1,170 95,282
Walgreen Co. 645 37,773
----------
300,611
----------
Technology -- 3.2%
- --------------------------------------------------------------------------------
Automatic Data
Processing Inc.* 315 25,259
Ceridian Corp.* 360 25,132
Cisco Systems Inc.* 805 74,714
Compaq Computer Corp. 1,040 43,615
Compuware Corp.* 445 34,766
Dell Computer Corp.* 520 38,058
EMC Corp.* 690 58,650
Intel Corp. 850 100,778
International Business
Machines (++) 245 45,264
Microsoft Corp.* 1,160 160,877
Paychex Inc. 622 31,994
Solectron Corp.* 400 37,175
Sun Guard Data Systems* 1,360 53,975
----------
730,257
----------
Utilities -- 0.5%
- --------------------------------------------------------------------------------
Ameritech Corp. 865 54,819
SBC Communications Inc. 910 48,799
----------
103,618
----------
Total Common Stocks 2,519,914
----------
SHORT-TERM OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 19,911
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $1,887,920) 2,539,825
----------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
LARGE CAP VALUE--9.6%
- --------------------------------------------------------------------
COMMON STOCKS--9.3%
Basic Industries -- 0.6%
- --------------------------------------------------------------------
Air Products & Chemicals
Inc 500 $ 20,000
FMC Corp.* 300 16,800
IMC Global Inc. 600 12,825
Inland Steel Industries Inc. 900 15,188
Lubrizol Corp. 500 12,843
Morton International Inc. 400 9,800
Rohm & Haas Co. 800 24,100
W R Grace & Co.* 1,100 17,256
Westvaco Corp. 300 8,044
--------
136,856
--------
Capital Goods -- 0.7%
- --------------------------------------------------------------------
Aeroquip Vickers Inc. 900 26,944
Case Corp.* 1,900 41,444
Cummins Engine Inc. 900 31,950
Harnischfeger Industries
Inc 1,000 10,187
Kennametal Inc. 600 12,750
Parker Hannifin Corp. 900 29,475
Tecumseh Products Co. 400 18,650
--------
171,400
--------
Consumer Basics -- 1.4%
- --------------------------------------------------------------------
Beckman Coulter 600 32,550
Columbia/HCA Healthcare
Corp 900 22,275
Dole Food Inc. 100 3,000
Foundation Health
Systems* 1,320 15,757
Healthsouth Corp.* 2,500 38,594
IBP Inc. 600 17,475
Mallinckrodt Inc. 300 9,244
Philip Morris Companies Inc. 900 48,150
RJR Nabisco Holdings
Corp 1,200 35,625
Tenet Healthcare Plans
Corp.* 1,300 34,125
United Healthcare Corp. 700 30,144
Universal Foods Corp. 1,100 30,181
--------
317,120
--------
Consumer Durable Goods -- 1.0%
- --------------------------------------------------------------------
Dana Corp. 700 28,613
Eaton Corp. 200 14,137
Ford Motor Co. 1,000 58,687
General Motors Corp. 1,300 93,031
Goodyear Tire and Rubber 800 40,350
--------
234,818
--------
Consumer Non-Durables -- 0.8%
- --------------------------------------------------------------------
Dillards Inc. 700 19,863
Liz Claiborne Inc. 1,300 41,031
Sears Roebuck & Co. 600 25,500
Springs Industries Inc. 400 16,575
Toys "R" Us Inc.* 1,600 27,000
V. F. Corp. 900 42,187
--------
172,156
--------
Consumer Services -- 0.3%
- --------------------------------------------------------------------
AMR Corp. * 500 29,687
Delta Airlines Inc. 600 31,200
--------
60,887
--------
Energy -- 0.2%
- --------------------------------------------------------------------
Nabors Industries Inc.* 1,100 14,919
Phillips Petroleum Co. 300 12,788
Ultra Mar Diamond
Shamrock 1,000 24,250
--------
51,957
--------
Finance -- 2.4%
- --------------------------------------------------------------------
Allstate Corp. 1,000 38,625
American General Corp. 300 23,400
Banc One Corp. 700 35,744
BankAmerica Corp. 600 36,075
BankBoston Corp. 300 11,681
Chase Manhattan Corp. 1,000 68,063
Cigna Corp. 600 46,387
Everest Reinsurance
Holdings 600 23,362
First Union Corp. 1,030 62,637
Hartford Financial
Services Group 600 32,925
Old Republic International
Corp 850 19,125
PNC Bank Corp. 800 43,300
Reliastar Financial Corp. 600 27,675
Republic New York Corp. 400 18,225
Transatlantic Holdings Inc. 250 18,891
Washington Mutual Inc. 900 34,369
--------
540,484
--------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
General Business -- 0.1%
- --------------------------------------------------------------------
Olsten Corp. 1,400 $ 10,325
Standard Register 300 9,281
----------
19,606
----------
Shelter -- 0.2%
- --------------------------------------------------------------------
Owens Corning 1,200 42,525
----------
Technology -- 1.0%
- --------------------------------------------------------------------
Arrow Electronics Inc.* 800 21,350
Avnet Inc. 400 24,200
First Data Corp.* 1,300 41,194
International Business
Machines (++) 400 73,900
TRW Inc. 500 28,094
Tektronix Inc. 1,000 30,062
----------
218,800
----------
Transportation -- 0.0%
- --------------------------------------------------------------------
Burlington Northern
Santa Fe Co. 200 6,750
----------
Utilities -- 0.6%
- --------------------------------------------------------------------
Bell Atlantic Corp. 700 37,100
Cinergy Corp. 300 10,313
Cooper Cameron Corp. 200 4,900
DTE Energy Co. 400 17,150
Duke Power Co. 204 13,069
Entergy Corp. 400 12,450
GPU Inc. 400 17,675
Southern Co. 600 17,438
----------
130,095
----------
Total Common Stocks 2,103,454
----------
SHORT-TERM OBLIGATION--0.3%
- --------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 67,854
----------
Total Large Cap Value
(Identified Cost $2,237,051) 2,171,308
----------
SMALL CAP GROWTH--9.5%
- --------------------------------------------------------------------
COMMON STOCKS--8.8%
- --------------------------------------------------------------------
Commercial Services -- 1.7%
- --------------------------------------------------------------------
AHL Services Inc.* 774 24,187
Abacus Direct Corp.* 707 32,169
Catalina Marketing Corp.* 434 29,675
Central Packing Corp. 287 9,310
Ha Lo Industrial Inc.* 665 25,021
Lamar Advertising Co.* 1,178 43,880
Level One
Communications Inc.* 769 27,299
Metzler Group Inc.* 857 41,725
NFO Worldwide Inc.* 909 10,454
Probusiness Services Inc.* 1,080 49,140
Profit Recovery Group
International Inc.* 1,156 43,278
Romac International Inc.* 890 19,802
Wilmar Industries Co.* 1,013 20,577
--------
376,517
--------
Consumer Non-Durable -- 0.2%
- --------------------------------------------------------------------
Beringer Wine Estates
Holdings* 487 21,763
Horizon Organic Holdings
Corp.* 653 10,122
Natrol Inc.* 765 8,415
Wiley John & Sons 126 6,087
--------
46,387
--------
Consumer Services -- 0.8%
- --------------------------------------------------------------------
Devry Inc.* 957 29,308
Heftel Broadcasting Corp.* 882 43,438
Metro Networks Inc.* 720 30,690
Premier Parks Inc.* 792 23,958
SFX Entertainment Inc.* 574 31,498
Sylvan Learning System Inc.* 698 21,289
--------
180,181
--------
Electronic Technology -- 1.1%
- --------------------------------------------------------------------
American Tower Corp.* 797 23,561
C Cube Microsystems Inc.* 789 21,402
Electronics for Imaging Inc.* 611 24,555
Jabil Circuit Inc.* 235 17,537
Microchip Technology Inc.* 260 9,620
Micron Electronics Inc.* 1,300 22,506
Network Appliance Inc.* 808 36,360
Novellus Systems Inc.* 408 20,196
Sipex Corp.* 1,426 50,088
Tekelectronic Inc.* 1,254 20,769
Western Wireless Corp.* 495 10,890
--------
257,484
--------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
Energy/Minerals -- 0.1%
- --------------------------------------------------------------------
Petroleum Geo. Services* 1,502 $ 23,657
--------
Finance -- 0.6%
- --------------------------------------------------------------------
Centura Banks Inc. 353 26,254
Cullen Frost Bankers Inc. 595 32,651
Executive Risk Inc.(++) 555 30,490
Enhance Financial Services
Group Inc. 535 16,050
Peoples Heritage Financial
Group 1,597 31,940
U.S. Trust Corp. 100 7,048
--------
144,433
--------
Health Services/Technology -- 1.1%
- --------------------------------------------------------------------
Agouron Pharmaceuticals
Inc.* 140 8,225
Andrx Corp.* 370 18,963
Barr Labs Inc.* 595 28,560
MedImmune Inc.* 136 13,524
PSS World Medical Inc.* 457 10,511
Parexel International Corp.* 997 24,925
Professional Detailing Inc.* 920 25,990
Roberts Pharmaceutical
Corp.* 1,333 28,993
Steris Corp* 940 26,731
Total Renal Care Holdings
Inc.* 1,732 51,202
Viropharma Inc.* 1,023 9,527
--------
247,151
--------
Industrial Services -- 0.3%
- --------------------------------------------------------------------
Rental Service Corp.* 1,536 24,096
Service Experts Inc.* 840 24,570
Waste Connections Inc.* 645 11,852
--------
60,518
--------
Process Industries -- 0.2%
- --------------------------------------------------------------------
Aptargroup Inc. 721 20,233
OM Group Inc. 861 31,426
--------
51,659
--------
Producer Manufacturing -- 0.2%
- --------------------------------------------------------------------
Tower Automotive Inc.* 1,695 42,269
--------
Retail -- 0.5%
- --------------------------------------------------------------------
CDW Computer Centers
Inc.* 228 21,874
Linens N Things Inc.* 474 18,782
Men's Wearhouse Inc.* 744 23,622
Tiffany & Co. 368 19,090
Whole Foods Market Inc.* 622 30,089
----------
113,457
----------
Technology Services -- 1.6%
- --------------------------------------------------------------------
Aspect Development Inc.* 555 24,593
Bisys Group Inc.* 291 15,023
Data General Corp.* 807 13,265
Engineering Animation Inc.* 338 18,252
ICG Communications Inc.* 937 20,145
Legato Inc.* 497 32,771
Lernout & Hauspie Speech
Products* 593 19,347
Lycos Inc.* 649 36,060
Macromedia Inc.* 708 23,851
Mercury Interactive Corp.* 194 12,270
NTL Inc.* 382 21,559
RSL Communications Ltd.* 521 15,370
Rational Software Corp.* 979 25,943
Sapient Corp.* 221 12,376
Skytel Communications Inc.* 852 18,850
Transaction System
Architects Inc.* 260 13,000
Whittman Hart Inc.* 1,268 35,028
----------
357,703
----------
Transportation -- 0.4%
- --------------------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 1,481 36,285
Hub Group Inc.* 538 10,424
Skywest Inc. 378 12,356
United Road Services Inc.* 1,693 31,109
----------
90,174
----------
Total Common Stocks 1,991,590
----------
SHORT-TERM OBLIGATIONS--0.7%
- --------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 169,589
----------
Total Small Cap Growth
(Identified Cost $1,940,494) 2,161,179
----------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
SMALL CAP VALUE--8.0%
- --------------------------------------------------------------------
COMMON STOCKS--7.8%
- --------------------------------------------------------------------
Commerical Services -- 0.3%
- --------------------------------------------------------------------
Corrections Corp. of
America* 500 $ 8,813
Kevco Inc.* 200 1,450
Nash Finch Co. 700 9,975
Reynolds & Reynolds Co. 900 20,644
Rush Enterprises Inc.* 900 9,900
Unisource Worldwide Inc. 2,800 20,300
-------
71,082
-------
Consumer Durable Goods -- 0.6%
- --------------------------------------------------------------------
Cannondale Corp.* 2,600 23,400
Coachmen Industries Inc. 1,200 31,500
D.R. Horton Inc. 900 20,700
EKCO Group Inc.* 2,700 10,125
Engle Homes Inc. 600 9,188
Flexsteel Industries Inc. 1,300 16,737
Rockshox Inc.* 400 1,025
TBC Corp.* 3,200 22,800
-------
135,475
-------
Consumer Non-Durables -- 1.1%
- --------------------------------------------------------------------
Dimon Inc. 3,300 24,544
Schweitzer-Mauduit
International Inc. 1,700 26,244
Sola International Inc.* 1,400 24,150
Standard Commercial
Corp 5,618 48,104
Timberland Co. 800 36,450
Tropical Sportwear
International Corp.* 1,400 50,225
Wolverine World Wide
Inc 2,600 34,450
-------
244,167
-------
Consumer Services -- 0.1%
- --------------------------------------------------------------------
Aztar Corp.* 3,100 15,694
-------
Electronic Technology -- 1.0%
- --------------------------------------------------------------------
Aehr Test Systems* 2,300 14,088
Alliant Techsystems Inc.* 200 16,487
Astro-Med Inc. 500 2,719
Baldor Electronics Co. 900 18,225
ESCO Electronics Corp.* 2,000 18,125
FLIR System, Inc.* 1,500 34,875
Komag Inc.* 3,000 31,125
Ladish Inc.* 2,700 22,613
Read-Rite Corp.* 600 8,869
Spacehab Inc.* 2,400 25,200
United Industrial Corp.* 3,600 35,325
--------
227,651
--------
Energy Minerals -- 0.1%
- --------------------------------------------------------------------
Nuevo Energy Co.* 2,300 26,450
--------
Finance -- 0.8%
- --------------------------------------------------------------------
Acceptance Insurance
Co. * 1,000 20,250
Centris Group Inc. 1,800 17,550
Executive Risk Inc.(++) 400 21,975
MMI Companies Inc. 1,600 26,800
Matrix Capital Corp.* 1,100 14,850
PBOC Holdings Inc.* 700 7,175
PMI Group Inc. 200 9,875
Penn America Group Inc. 1,800 16,312
Presidential Life Corp. 900 17,888
Professional Groups Inc.* 330 10,230
Seibels Bruce Group Inc.* 2,900 9,787
Symons International
Group Inc.* 1,100 7,975
--------
180,667
--------
Health Technology -- 0.2%
- --------------------------------------------------------------------
DepoTech Corp.* 2,300 5,319
Matrix Pharmaceuticals,
Inc.* 1,400 3,675
OrthoLogic Corp.* 3,700 12,372
West Co., Inc. 1,000 35,688
--------
57,054
--------
Industrial Services -- 0.4%
- --------------------------------------------------------------------
Atwood Oceanics Inc.* 1,050 17,850
ENSCO International Inc. 1,400 14,962
Perini Corp.* 1,800 9,225
R & B Falcon Corp. 2,720 20,740
Rowan Companies Inc.* 1,800 18,000
--------
80,777
--------
Non-Energy Minerals -- 0.3%
- --------------------------------------------------------------------
Carpenter Technology
Corp 400 13,575
LTV Corp. 6,400 37,200
Lone Star Technologies
Inc.* 1,700 17,212
--------
67,987
--------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
Process Industries -- 0.2%
- --------------------------------------------------------------------
RPM Inc. 1,200 $ 19,200
Tuscarora Inc. 1,300 17,387
--------
36,587
--------
Producer Manufacturing -- 1.6%
- --------------------------------------------------------------------
Atchison Casting Corp.* 2,000 18,500
Commercial Intertech
Corp 1,500 19,406
Commonwealth
Industries Inc. 1,900 17,812
Easco Inc. 2,100 16,275
Flowserve Corp. 1,000 16,562
Global Industrial
Technologies Inc.* 4,100 43,819
Haskel International Inc. 700 8,006
Holophane Corp.* 800 20,550
JLG Industries Inc. 3,300 51,563
Keystone Consolidated
Industries Inc.* 2,500 20,313
Morgan Products Ltd.* 1,800 6,300
Myers Industries Inc. 1,100 31,556
Patrick Industries Inc. 1,400 21,525
Superior Industries
International Inc. 900 25,031
Timken Co. 1,200 22,650
Watts Industries Inc.* 1,200 19,950
--------
359,818
--------
Retail Trade -- 0.3%
- --------------------------------------------------------------------
Duckwall-ALCO Stores
Inc.* 1,500 19,875
Haverty Furniture
Companies Inc. 400 8,400
Schultz Sav-O Stores Inc. 1,450 23,925
Syms Corp.* 2,500 22,500
--------
74,700
--------
Technology Services -- 0.2%
- --------------------------------------------------------------------
Brightpoint Inc.* 1,400 19,250
Interlink Computer
Sciences Inc.* 400 1,450
Manchester Equipment
Co. Inc.* 800 2,750
Ultrak Inc. 3,500 25,812
--------
49,262
--------
Transportation -- 0.6%
- --------------------------------------------------------------------
Alaska Air Group Inc.* 100 4,425
Conrad Industrials Inc.* 500 1,953
Eagle USA Airfreight Inc.* 600 14,700
Fritz Companies Inc.* 4,900 52,981
Kenan Transport Co. 800 25,600
Motor Cargo Industries
Inc.* 1,800 14,400
Santa Fe International
Corp 800 11,700
Tidewater Inc. 800 18,550
----------
144,309
----------
Total Common Stocks 1,771,680
----------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 54,398
----------
Total Small Cap Value
(Identified Cost $2,135,372) 1,826,078
----------
INTERNATIONAL EQUITY--10.0%
- --------------------------------------------------------------------
COMMON STOCKS--9.6%
- --------------------------------------------------------------------
Austria -- 0.1%
- --------------------------------------------------------------------
Boehler Uddeholm 242 11,264
----------
Australia -- 0.5%
- --------------------------------------------------------------------
Australia & New Zealand
Bank Group 6,583 43,083
Pioneer International Ltd. 15,875 33,561
Quantas Airways 15,726 32,090
108,734
----------
Canada -- 0.3%
- --------------------------------------------------------------------
Canadian Hunter
Exploration Ltd. 405 2,650
Canadian Imperial Bank 960 23,867
Imasco Ltd. 1,380 29,523
Nexfor Inc. 706 2,794
Noranda Inc. 1,620 16,163
----------
74,997
----------
Finland -- 0.2%
- --------------------------------------------------------------------
UPM Kymmene Oyj 1,260 35,089
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
France -- 0.9%
- --------------------------------------------------------------------
BQE National 460 $ 37,863
Elf Aquitaine 270 31,197
Lafarge Coppee 364 34,571
Pernod Ricard 495 32,138
Societe BIC SA 392 21,735
Societe Generale 188 30,431
Total SA 240 24,296
--------
212,231
Germany -- 0.8%
--------
Bayer AG 630 26,291
Buderus AG 55 20,032
Commerzbank AG 840 26,562
Draegerwerk AG 1,330 21,547
Dyckerhoff AG 75 20,791
Veba AG 592 35,415
Vossloh AG 690 20,286
--------
170,924
--------
Great Britain -- 2.4%
- --------------------------------------------------------------------
Allied Domecq 3,485 32,221
Allied Zurich 2,043 30,701
BOC Group 1,197 17,162
BTR 6,446 13,226
Brit America Tobacco 1,993 17,549
CGU 2,050 32,322
Coats Viyella 11,662 5,231
Cookson Group 14,275 31,069
Elementis 17,324 23,601
Hanson 5,519 43,921
Hillsdown Holdings 11,694 14,571
Lex Service 2,580 16,503
Lloyds TSB Group 3,406 48,496
Medeva 7,190 12,782
National Westminister 2,500 48,388
Powergen 1,785 23,428
Safeway 5,080 25,489
TI Group 6,200 33,349
Tomkins 9,012 42,822
Williams 3,688 21,078
--------
533,909
--------
Hong Kong -- 0.3%
- --------------------------------------------------------------------
Hang Lung Development
Co 20,000 21,426
New World Development
Co 1,000 2,517
South China Morning
Post 44,000 22,575
Swire Pacific Ltd. 4,500 20,154
--------
66,672
--------
Ireland -- 0.2%
- --------------------------------------------------------------------
Greencore Group 5,090 23,467
Jefferson Smurfit Group 17,855 32,130
--------
55,597
--------
Italy -- 0.3%
- --------------------------------------------------------------------
Eni Spa 5,420 35,402
Telecom Italia 1,000 6,290
Telecom Italia SPA 3,500 29,847
--------
71,539
--------
Japan -- 0.7%
- --------------------------------------------------------------------
Kyocera Corp. 700 36,966
Nichicon Corp. 2,000 24,944
Nintendo Co. 300 29,058
Promise Co.Ltd 800 41,610
Yodogawa Steel Works 4,000 15,073
--------
147,651
--------
Netherlands -- 0.8%
- --------------------------------------------------------------------
ABN Amro Holdings 1,125 23,653
Akzo Nobel 799 36,363
Ing Groep 717 43,699
Koninklijke NV PTT 660 33,023
Philips Electronics 525 35,210
TNT Post Groep 585 18,839
--------
190,787
--------
New Zealand -- 0.1%
- --------------------------------------------------------------------
Fletcher Challenge 16,520 25,470
--------
Norway -- 0.1%
- --------------------------------------------------------------------
Kvaerner ASA 510 10,068
Nycomed Amersham 3,180 22,180
--------
32,248
--------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------
Singapore -- 0.3%
- --------------------------------------------------------------------
Creative Technology Ltd 3,500 $ 52,500
Jardine Matheson 3,700 9,546
---------
62,046
---------
Spain -- 0.3%
- --------------------------------------------------------------------
Banco Bilbao Vizcaya 1,410 22,075
Banco Santander SA 1,101 21,846
Telefonica SA 690 30,635
Telefonica SA Rights 690 612
---------
75,168
---------
Sweden -- 0.3%
- --------------------------------------------------------------------
Electrolux 1,600 27,471
Getinge Industrier 1,831 27,494
Skandinaviska Enskilda
Banken 1,970 20,731
---------
75,696
---------
Switzerland -- 1.0%
- --------------------------------------------------------------------
Forbo Holding 58 25,333
Nestle SA 16 34,826
Novartis AG 29 56,999
Saurer AG 31 18,505
Schweizerische Ruckversicherungs
Gesellschaft AG 14 36,496
Schweizerische Industrie
Gesellschaft Holdings AG 39 22,996
Sulzer AG 39 23,734
---------
218,889
---------
Total Common Stocks 2,168,911
---------
SHORT-TERM OBLIGATIONS--0.4%
- --------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 97,054
---------
Total International Equity
(Identified Cost $2,213,461) 2,265,965
---------
Principal
Issuer Amount Value
- --------------------------------------------------------------------
DOMESTIC FIXED INCOME--26.1%
- --------------------------------------------------------------------
FIXED INCOME--26.0%
- --------------------------------------------------------------------
Corporate Bonds -- 6.3%
- --------------------------------------------------------------------
Allstate Corp.
6.75% due 5/15/18 $ 50,000 $ 51,966
Associates Corp. North
America
6.25% due 11/01/08 75,000 77,664
Atlantic City Electric Co.
7.01% due 8/23/02 45,000 47,254
BB & T Corp.
6.375% due 6/30/0 595,000 97,008
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 50,000 51,401
Commonwealth Edison
Electric Co.
7.00% due 7/01/05 43,000 45,812
Conseco Inc.
6.40% due 6/15/01 40,000 38,535
Dayton Hudson Corp.
5.95% due 6/15/00 25,000 25,201
Equitable Life Assurance
6.95% due 12/01/05 60,000 63,606
Ford Motor Co.
6.50% due 8/01/18 70,000 71,716
GTE Corp.
6.36% due 4/15/06 50,000 52,310
Hartford Financial Services
Group Inc.
6.375% due 11/01/08 35,000 35,961
Household Financial Corp.
6.50% due 11/15/08 50,000 52,026
Jackson National Life
Insurance Co.
8.15% due 3/15/27 50,000 57,421
Lucent Technologies Inc.
5.50% due 11/15/08 35,000 35,376
MCI Communications
Corp
6.125% due 4/15/12 55,000 55,837
Mattel Inc.
6.00% due 7/15/03 35,000 35,340
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Amount Value
- -------------------------------------------------------------------
Mellon Financial Co.
5.75% due 11/15/03 $ 50,000 $ 50,347
National Rural Utitlities
6.20% due 2/01/08 55,000 57,143
Nationsbank Corp.
6.375% due 5/15/05 60,000 62,367
Norfolk Southern Crop
6.95% due 5/01/02 45,000 46,768
Occidental Petroleum
Corp
6.40% due 4/01/03 20,000 19,683
Ontario Province
Canada
5.50% due 10/01/08 35,000 35,135
Philadelphia Electric Co.
7.125% due 9/01/02 15,000 15,727
6.625% due 3/01/03 30,000 31,061
Raytheon Co.
6.30% due 3/15/05 50,000 51,249
Suntrust Banks Inc.
6.00% due 1/15/28 35,000 35,766
TCI Communications Inc.
6.875% due 2/15/06 50,000 53,354
USA Waste Services Inc.
6.50% due 12/15/02 50,000 50,806
Walt Disney Co.
5.125% due 12/15/03 35,000 34,806
----------
1,438,646
----------
Mortgage Backed -- 2.9%
- -------------------------------------------------------------------
Commercial Mortgage
Acceptance Corp.
5.80% due 3/15/06 24,626 24,537
Federal Home Loan
Mortgage Corp.
6.25% due 6/15/24 50,000 50,346
Federal National
Mortgage Association
6.00% due 12/1/99 TBA 50,000 49,266
6.50% due 12/1/99 TBA 85,000 85,558
6.00% due 5/15/08 190,000 200,568
7.349% due 8/17/2 150,000 54,611
GMAC Commercial
Mortgage Securities Inc.
6.42% due 8/15/08 50,000 51,799
J.P. Morgan Commercial
Mortgage Finance Corp.
6.373% due 1/15/30 27,636 28,126
Sears Credit Account
Master Trust II
5.25% due 10/16/08 65,000 63,679
Structured Asset
Securities Corp.
6.79% due 10/15/3 448,685 50,765
----------
659,255
----------
U.S. Treasury Obligations -- 16.1%
- -------------------------------------------------------------------
United States Treasury
Bonds
3.625% due 4/15/28 60,492 58,677
United States Treasury
Notes
6.375% due 5/15/99 315,000 316,969
5.875% due 11/15/99 701,000 708,227
5.625% due 4/30/00 30,000 30,361
5.50% due 12/31/00 40,000 40,669
6.25% due 1/31/027 60,000 793,721
6.50% due 5/31/02 500,000 527,890
6.25% due 6/30/02 250,000 262,422
5.50% due 3/31/03 610,000 628,489
5.875% due 2/15/04 140,000 147,700
6.50% due 10/15/06 130,000 144,199
----------
3,600,647
----------
Total U.S. Treasury
Obligations 3,659,324
----------
Yankee Bonds -- 0.7%
- -------------------------------------------------------------------
British Columbia
Province Canada
5.375% due 10/29/08 40,000 39,922
Ericsson
Telecommunication
6.75% due 2/12/02 35,000 36,610
Manitoba Province
Canada
5.50% due 10/01/08 35,000 35,392
Republic of Ireland
6.875% due 3/10/03 40,000 42,300
----------
154,224
----------
Total Fixed Income 5,911,449
----------
SHORT-TERM OBLIGATIONS--0.1%
- -------------------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 13,728
----------
Total Domestic Fixed Income
(Identified Cost $5,800,334) 5,925,177
----------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Company Amount Value
- -----------------------------------------------------------
INTERNATIONAL BOND--30.7%
- -----------------------------------------------------------
FIXED INCOME--21.5%
- -----------------------------------------------------------
Australia -- 2.1%
- -----------------------------------------------------------
Commonwealth of Australia
8.75% due 8/15/08 AUD 205,000 $ 161,084
7.50% due 9/15/09 AUD 433,000 316,136
------------
477,220
------------
Canada -- 1.0%
- -----------------------------------------------------------
Commonwealth of Canada
5.25% due 9/01/03 CAD 110,000 73,463
8.75% due 12/01/05 CAD 159,000 127,488
8.00% due 6/01/23 CAD 32,000 28,902
------------
229,853
------------
Denmark -- 0.4%
- -----------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 300,000 54,685
7.00% due 11/15/07 DKK 200,000 37,732
------------
92,417
------------
France -- 0.2%
- -----------------------------------------------------------
France Republic
3.00% due 7/25/09 FRF 219,809 39,079
------------
Germany -- 1.8%
- -----------------------------------------------------------
Republic of Germany
5.625% due 1/04/28 DEM 614,000 415,203
------------
Great Britain -- 4.4%
- -----------------------------------------------------------
United Kingdom Gilt
7.00% due 11/06/01 GBP 66,000 115,958
8.00% due 6/10/03 GBP 270,000 511,829
8.50% due 12/07/05 GBP 34,000 70,090
7.25% due 12/07/07 GBP 156,000 311,663
------------
1,009,540
------------
Greece -- 1.0%
- -----------------------------------------------------------
Hellenic Republic
12.80% due 6/17/03 GRD 1,600,000 5,825
11.00% due 10/23/03 GRD 5,200,000 19,007
8.80% due 6/19/07 GRD 50,100,000 199,640
------------
224,472
------------
Italy -- 1.1%
- -----------------------------------------------------------
Republic of Italy
6.00% due 1/01/00 ITL 25,000,000 15,528
4.75% due 5/01/03 ITL 30,000,000 19,587
6.75% due 7/01/07 ITL 180,000,000 129,547
5.00% due 5/01/08 ITL 30,000,000 19,160
7.25% due 11/01/26 ITL 95,000,000 78,105
------------
261,927
------------
New Zealand -- 2.0%
- -----------------------------------------------------------
Canada Government
6.625% due 10/03/07 NZD 150,000 80,214
International Bank
Reconciliation and
Develoment
7.25% due 4/09/01 NZD 282,000 152,471
7.25% due 5/27/03 NZD 100,000 55,054
7.00% due 9/18/00 NZD 200,000 107,214
New Zealand Government
8.00% due 11/15/06 NZD 100,000 61,139
------------
456,092
------------
Spain -- 3.5%
- -----------------------------------------------------------
Kingdom of Spain
6.00% due 1/31/08 ESP 98,000,000 794,811
------------
Sweden -- 0.3%
- -----------------------------------------------------------
Kingdom of Sweden
6.50% due 5/05/08 SEK 400,000 57,709
------------
United States -3.7%
- -----------------------------------------------------------
Federal National
Mortgage Association
6.875% due 6/7/02 GBP 20,000 35,332
7.25% due 6/20/02 NZD 280,000 153,031
Government National
Mortgage Association
6.875% due 4/20/27 $ 55,762 56,484
Merrill Lynch & Co. Inc.
5.299% due 11/01/01 $ 100,000 99,232
SLM Student Loan Trust
1.00% due 10/25/04 $ 5,084 5,048
1.00% due 4/25/06 $ 40,920 40,415
5.227% due 4/25/07 $ 189,457 187,369
United States Treasury
Notes
3.625% due 7/15/02 $ 255,983 254,063
------------
830,974
------------
Total Fixed Income 4,889,297
------------
<PAGE>
CitiSelect VIP Folio 300
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Company Amount Value
- -----------------------------------------------------------
SHORT-TERM OBLIGATIONS--9.2%
- -----------------------------------------------------------
Dutch Government
6.50% due 1/15/99 DKK 400,000 $ 213,165
Federal Home Loan
Bank Consumer
Discount Note
4.50% due 1/04/99(+) $ 125,301 125,254
Federal Home Loan Bank
Consumer Discount
Note
5.13% due 1/20/99 $ 800,000 797,834
French Discount
Treasury Bill
3.35% due 2/04/99 FRF 3,100,000 552,714
Kingdom of Norway
4.40% due 3/17/99 NOK 3,000,000 392,059
Total Short-Term Obligations 2,081,026
------------
Total International Bond
(Identified Cost $6,935,981) 6,970,323
------------
SHORT-TERM--3.9%
- -----------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.9%
- -----------------------------------------------------------
Federal Home Loan Bank
Consumer Discount
Note
4.50% due 1/04/99(+) 897,669
------------
Total Short-Term
(Identified Cost $897,669) 897,669
------------
Total Investments
(Identified Cost $24,048,282) 109.0% 24,757,524
Other Assets,
Less Liabilities (9.0) (2,044,244)
------------
Net Assets 100.0% $ 22,713,280
------------
- ----------
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank
Consumer Discount Notes 4.50%, due 1/04/99 valued at
$1,445,457, (portions of which are separately listed
by each Asset class.)
(++) The Portfolio owns in aggregate 645 shares of
International Business Machines valued at $119,164,
and 955 shares of Executive Risk Inc. valued at
$52,465, (portions of which are separately listed by
each asset class.)
See notes to financial statements
Foreign Currency Legend
- -----------------------------------------------------------
Symbol Country
- -----------------------------------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
NZD New Zealand
NOK Norway
ESP Spain
SEK Sweden
<PAGE>
CitiSelect VIP Folio 300
Forward currency contracts which were open at December 31, 1998 are as follows:
<TABLE>
<CAPTION>
Unrealized
Market Aggregate Delivery Date Appreciation
Currency Country Value Face Value of Contracts (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) Germany $ 382,343 $ 386,157 February-99 $ (3,814)
Dollar (Buy) ...... Australia 48,417 50,044 January-99 (1,627)
Dollar (Buy) ...... Canada 11,777 11,675 January-99 102
Dollar (Sell) ..... Canada 169,451 168,897 January-99 (554)
Dollar (Buy) ...... Canada 241,433 239,456 February-99 1,977
Dollar (Sell) ..... Hong Kong 36,235 34,844 February-99 (1,391)
Dollar (Buy) ...... Hong Kong 36,235 35,876 February-99 359
Dollar (Sell) ..... Hong Kong 40,317 39,897 April-99 (420)
Dollar (Sell) ..... New Zealand 414,750 409,773 January-99 (4,977)
Dollar (Sell) ..... New Zealand 73,194 72,653 February-99 (541)
Dollar (Sell) ..... New Zealand 75,309 75,413 March-99 104
Drachma (Sell) .... Greece 26,931 26,917 February-99 (14)
Escudo (Buy) ...... Portugal 27,061 27,052 January-99 9
Franc (Buy) ....... Belgium 185,082 188,059 January-99 (2,977)
Franc (Buy) ....... France 12,716 12,637 January-99 79
Franc (Sell) ...... France 27,580 27,773 January-99 193
Franc (Sell) ...... Switzerland 67,846 70,031 January-99 2,185
Franc (Buy) ....... Switzerland 245,070 250,749 February-99 (5,679)
Franc (Sell) ...... Switzerland 141,920 146,636 February-99 4,716
Guilder (Sell) .... Netherlands 7,994 7,973 January-99 (21)
Krone (Buy) ....... Denmark 26,415 26,082 January-99 333
Krone (Sell) ...... Denmark 9,434 9,264 January-99 (170)
Krone (Buy) ....... Norway 223,153 227,294 January-99 (4,141)
Krone (Sell) ...... Norway 369,321 376,606 January-99 7,285
Krona (Buy) ....... Sweden 256,246 264,870 January-99 (8,624)
Krona (Sell) ...... Sweden 56,545 59,060 January-99 2,515
Lira (Buy) ........ Italy 545,666 547,691 January-99 (2,025)
Lira (Buy) ........ Italy 20,618 20,701 February-99 (83)
Markka (Buy) ...... Finland 41,631 40,977 January-99 654
Peseta (Buy) ...... Spain 10,059 10,092 February-99 (33)
Peseta (Sell) ..... Spain 609,771 616,601 February-99 6,830
Pound (Buy) ....... Great Britain 13,282 13,326 January-99 (44)
Pound (Sell) ...... Great Britain 64,752 65,715 January-99 963
Pound (Buy) ....... Ireland 23,813 23,572 January-99 241
Schilling (Buy) ... Austria 68,657 67,067 January-99 1,590
Yen (Buy) ......... Japan 1,479,185 1,441,971 February-99 37,214
Yen (Sell) ........ Japan 286,148 270,540 February-99 (15,608)
----------
$ 14,606
==========
</TABLE>
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
LARGE CAP GROWTH--11.1%
- -------------------------------------------------------
COMMON STOCKS -- 11.0%
Commercial Services -- 0.4%
- -------------------------------------------------------
Cintas Corp. 400 $ 28,175
Interpublic Group
Companies Inc. 267 21,293
------------
49,468
------------
Consumer Durables -- 0.0%
- -------------------------------------------------------
Leggett & Platt Inc. 100 2,200
------------
Consumer Non-Durables -- 0.7%
- -------------------------------------------------------
Clorox Co. 270 31,539
Coca Cola Co. 365 24,409
Procter & Gamble Co. 505 46,113
------------
102,061
Consumer Services -- 0.1%
- -------------------------------------------------------
Carnival Corp. 320 15,360
------------
Finance -- 1.1%
- -------------------------------------------------------
American International
Group Inc. 173 16,716
Bank of New York Inc. 390 15,697
Federal Home Loan
Mortgage Corp. 230 14,821
Federal National
Mortgage Association 580 42,920
Fifth Third Bancorp 210 14,976
Finova Group Inc. 305 16,451
Zions Bancorp 495 30,876
------------
152,457
------------
Healthcare -- 2.6%
- -------------------------------------------------------
Cardinal Health Inc. 440 33,385
Elan Corp. PLC.* 240 16,695
Health Management
Association* 765 16,543
Johnson & Johnson 380 31,872
Eli Lilly & Co. 562 49,948
Medtronic Inc. 600 44,550
Merck & Co. 310 45,783
Pfizer Inc. 395 49,548
Schering Plough Corp. 870 48,067
Warner Lambert Co. 200 15,038
------------
351,429
------------
Process Industries -- 0.1%
- -------------------------------------------------------
Ecolab Inc. 435 15,742
------------
Producer Manufacturing -- 0.9%
- -------------------------------------------------------
Danaher Corp. 475 25,798
General Electric Co. 985 100,531
------------
126,329
------------
Retail -- 1.3%
- -------------------------------------------------------
Bed Bath & Beyond Inc.* 950 32,419
Costco Companies Inc.* 225 16,242
Home Depot Inc. 580 35,489
Staples Inc.* 380 16,601
Wal Mart Stores Inc. 705 57,413
Walgreen Co. 395 23,132
------------
181,296
------------
Technology -- 3.3 %
- -------------------------------------------------------
Automatic Data Processing
Inc.* 190 15,236
Ceridian Corp.* 215 15,010
Cisco Systems Inc.* 487 45,200
Compaq Computer Corp. 630 26,421
Compuware Corp.* 260 20,312
Dell Computer Corp.* 325 23,786
EMC Corp.* 415 35,275
Firststar Corp. 200 18,650
Intel Corp. 515 61,060
International Business
Machines (++) 150 27,712
Microsoft Corp.* 660 91,534
Paychex Inc. 375 19,289
Solectron Corp.* 240 22,305
Sungard Data Systems* 820 32,544
------------
454,334
------------
Utilities -- 0.5%
- -------------------------------------------------------
Ameritech Corp. 520 32,955
SBC Communications Inc. 545 29,226
------------
62,181
------------
Total Common Stocks 1,512,857
------------
SHORT-TERM OBLIGATIONS--0.1%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 16,761
------------
Total Large Cap Growth
(Identified Cost $1,141,695) 1,529,618
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
LARGE CAP VALUE -10.0%
- -------------------------------------------------------
COMMON STOCKS--9.7%
- -------------------------------------------------------
Basic Industries -- 0.6%
- -------------------------------------------------------
Air Products & Chemicals
Inc. 300 $ 12,000
FMC Corp.* 200 11,200
IMC Global Inc. 400 8,550
Inland Steel Industries Inc. 500 8,437
Lubrizol Corp. 300 7,706
Morton International Inc. 100 2,450
Rohm & Haas Co. 500 15,063
W R Grace & Co.* 700 10,981
Westvaco Corp. 200 5,362
------------
81,749
------------
Capital Goods -- 0.8%
- -------------------------------------------------------
Aeroquip Vickers Inc. 600 17,962
Case Corp.* 1,300 28,356
Cummins Engine Inc. 600 21,300
Harnischfeger Industries Inc. 600 6,113
Kennametal Inc. 400 8,500
Parker Hannifin Corp. 600 19,650
Tecumseh Products Co. 300 13,988
------------
115,869
------------
Consumer Basics -- 1.5%
- -------------------------------------------------------
Beckman Coulter Inc. 400 21,700
Columbia /HCA Healthcare
Corp. 600 14,850
Dole Food Inc. 100 3,000
Foundation Health Systems* 890 10,624
Healthsouth Corp.* 1,600 24,700
IBP Inc. 400 11,650
Mallinckrodt Inc. 200 6,162
Philip Morris Companies Inc. 600 32,100
RJR Nabisco Holdings Corp. 800 23,750
Tenet Healthcare Corp.* 800 21,000
United Healthcare Corp. 500 21,531
Universal Foods Corp. 700 19,206
------------
210,273
------------
Consumer Durable Goods -- 1.1%
- -------------------------------------------------------
Dana Corp. 500 20,437
Eaton Corp. 100 7,069
Ford Motor Co. 600 35,212
General Motors Corp. 800 57,250
Goodyear Tire and Rubber 500 25,219
------------
145,187
------------
Consumer Non-Durables -- 0.8%
- -------------------------------------------------------
Dillards Inc. 500 14,187
Liz Claiborne Inc. 800 25,250
Sears Roebuck & Co. 400 17,000
Springs Industries Inc. 300 12,431
Toys "R" Us Inc.* 1,000 16,875
V. F. Corp. 600 28,125
------------
113,868
------------
Consumer Services -- 0.3%
- -------------------------------------------------------
AMR Corp.* 300 17,813
Delta Airlines Inc. 400 20,800
------------
38,613
------------
Energy -- 0.2%
- -------------------------------------------------------
Nabors Industries Inc.* 700 9,494
Phillips Petroleum Co. 200 8,525
Ultra Mar Diamond
Shamrock 600 14,550
------------
32,569
------------
Finance -- 2.5%
- -------------------------------------------------------
Allstate Corp. 600 23,175
American General Corp. 200 15,600
Banc One Corp. 400 20,425
BankAmerica Corp. 400 24,050
BankBoston Corp. 200 7,788
Chase Manhattan Corp. 600 40,837
Cigna Corp. 400 30,925
Everest Reinsurance
Holdings 400 15,575
First Union Corp. 620 37,704
Hartford Financial Services
Group 400 21,950
Old Republic International
Corp. 600 13,500
PNC Bank Corp. 500 27,063
Reliastar Financial Corp. 400 18,450
Republic NY Corp. 200 9,112
Transatlantic Holdings Inc. 150 11,334
Washington Mutual Inc. 500 19,094
------------
336,582
------------
General Business -- 0.1%
- -------------------------------------------------------
Olsten Corp. 900 6,637
Standard Register 200 6,188
------------
12,825
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Shelter -- 0.2%
- -------------------------------------------------------
Owens Corning 800 $ 28,350
------------
Technology -- 1.0%
- -------------------------------------------------------
Arrow Electronics Inc.* 500 13,344
Avnet Inc. 300 18,150
First Data Corp.* 900 28,519
International Business
Machines (++) 200 36,950
TRW Inc. 300 16,856
Tektronix Inc. 600 18,037
------------
131,856
------------
Transportation -- 0.0%
- -------------------------------------------------------
Burlinton Northern
Santa Fe 100 3,375
------------
Utilities -- 0.6%
- -------------------------------------------------------
Bell Atlantic Corp. 400 21,200
Cinergy Corp. 200 6,875
Cooper Cameron Corp. 100 2,450
DTE Energy Co. 300 12,863
Duke Power Co. 104 6,663
Entergy Corp. 300 9,338
GPU Inc. 200 8,838
Southern Co. 400 11,625
------------
79,852
------------
Total Common Stocks 1,330,968
------------
SHORT-TERM OBLIGATIONS--0.3%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 36,442
------------
Total Large Cap Value
(Identified Cost $1,423,168) 1,367,410
------------
SMALL CAP GROWTH -- 15.3%
- -------------------------------------------------------
COMMON STOCKS--14.1%
- -------------------------------------------------------
Commercial Services -- 2.7%
- -------------------------------------------------------
AHL Services Inc. * 749 23,406
Abacus Direct Corp.* 685 31,168
Catalina Marketing Corp.* 420 28,717
Central Packing Corp. 278 9,018
Ha Lo Industrial Inc.* 644 24,231
Lamar Advertising Co.* 1,142 42,540
Level One
Communications Inc.* 744 26,412
Metzler Group Inc.* 830 40,411
NFO Worldwide Inc. * 881 10,131
Probusiness Services Inc.* 1,046 47,593
Profit Recovery Group
International Inc.* 1,119 41,893
Romac International Inc.* 862 19,179
Wilmar Industries Inc. * 981 19,927
------------
364,626
------------
Consumer Non-Durables -- 0.3%
- -------------------------------------------------------
Beringer Wine Estates
Holdings* 472 21,093
Horizon Organic Holding
Corp.* 633 9,812
Natrol Inc.* 740 8,140
Wiley John & Sons 120 5,798
------------
44,843
------------
Consumer Services -- 1.3%
- -------------------------------------------------------
Devry Inc.* 927 28,389
Heftel Broadcasting Corp.* 854 42,060
Metro Networks Inc.* 697 29,710
Premier Parks Inc.* 767 23,202
SFX Entertainment Inc.* 556 30,510
Sylvan Learning Systems Inc.* 676 20,618
------------
174,489
------------
Electronic Technology -- 1.8%
- -------------------------------------------------------
American Tower Corp.* 772 22,822
C Cube Microsystems Inc.* 764 20,723
Electronics for Imaging Inc.* 592 23,791
Jabil Circuit Inc.* 228 17,015
Microchip Technology Inc.* 251 9,287
Micron Electronics Inc.* 1,259 21,796
Network Appliance Inc.* 782 35,190
Novellus Systems Inc.* 395 19,552
Sipex Corp.* 1,381 48,508
Tekelectronic Inc.* 1,214 20,107
Western Wireless Corp.* 480 10,560
------------
249,351
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Energy/Mineral -- 0.2%
- -------------------------------------------------------
Petroleum Geo Services 1,455 $ 22,916
------------
Finance -- 1.0%
- -------------------------------------------------------
Centura Banks Inc. 342 25,436
Cullen Frost Bankers Inc. 576 31,608
Enhance Financial Services
Group Inc. 518 15,540
Executive Risk Inc.(++) 538 29,556
Peoples Heritage Financial
Group 1,547 30,940
U.S. Trust Corp. 100 7,048
------------
140,128
------------
Health Services/Technology -- 1.7%
- -------------------------------------------------------
Agouron Pharmaceuticals
Inc.* 135 7,931
Andrx Corp.* 360 18,450
Barr Labs Inc.* 576 27,648
Medimmune Inc.* 132 13,126
PSS World Med Inc.* 443 10,189
Parexel International Corp.* 965 24,125
Professional Detailing Inc.* 891 25,171
Roberts Pharmaceutical
Corp.* 1,291 28,079
Steris Corp.* 910 25,878
Total Renal Care
Holdings Inc.* 1,678 49,606
Viropharma Inc.* 991 9,229
------------
239,432
------------
Industrial Services -- 0.4%
- -------------------------------------------------------
Rental Service Corp.* 1,488 23,343
Service Experts Inc.* 814 23,810
Waste Connections Inc.* 625 11,484
------------
58,637
------------
Process Industries -- 0.4%
- -------------------------------------------------------
Aptargroup Inc. 699 19,616
OM Group Inc. 833 30,404
------------
50,020
------------
Producer Manufacturing -- 0.3%
- -------------------------------------------------------
Tower Automotive Inc.* 1,641 40,922
------------
Retail -- 0.8%
- -------------------------------------------------------
CDW Computer
Centers Inc.* 221 21,202
Linens N Things Inc.* 459 18,188
Men's Wearhouse Inc.* 720 22,860
Tiffany & Co. 357 18,519
Whole Foods Market Inc.* 602 29,122
------------
109,891
------------
Technology Services -- 2.5%
- -------------------------------------------------------
Aspect Development Inc.* 538 23,840
Bisys Group Inc.* 282 14,558
Data General Corp.* 782 12,854
Engineering Animation Inc.* 327 17,658
ICG Communications Inc.* 907 19,500
Legato Inc.* 480 31,650
Lernout & Hauspie Speech
Products* 575 18,759
Lycos Inc.* 628 34,893
Macromedia Inc.* 685 23,076
Mercury Interactive Corp.* 188 11,891
NTL Inc.* 369 20,825
RSL Communications Ltd.* 504 14,868
Rational Software Corp.* 948 25,122
Sapient Corp.* 214 11,984
Skytel Communications Inc.* 825 18,253
Transaction System
Architects Inc.* 250 12,500
Whittman Hart Inc.* 1,227 33,896
------------
346,127
------------
Transportation -- 0.7%
- -------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 1,434 35,133
Hub Group Inc.* 521 10,094
Skywest Inc. 366 11,964
United Road Services Inc.* 1,639 30,117
------------
87,308
------------
Total Common Stocks 1,928,690
------------
SHORT-TERM OBLIGATIONS -- 1.2%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 167,611
------------
Total Small Cap Growth
(Identified Cost $1,838,095) 2,096,301
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
SMALL CAP VALUE -- 12.8 %
- -------------------------------------------------------
COMMON STOCKS--12.5 %
- -------------------------------------------------------
Commerical Services -- 0.7%
- -------------------------------------------------------
Corrections Corp. of
America* 400 $ 7,050
Kevco Inc.* 200 1,450
Nash Finch Co. 600 8,550
Reynolds & Reynolds Co. 900 20,644
Rush Enterprises Inc.* 1,100 12,100
Unisource Worldwide Inc. 2,700 19,575
United Industrial Corp. 3,500 34,344
------------
103,713
------------
Consumer Durable Goods -- 0.9%
- -------------------------------------------------------
Cannondale Corp.* 2,200 19,800
Coachmen Industries Inc. 1,100 28,875
D.R. Horton Inc. 800 18,400
EKCO Group Inc.* 2,600 9,750
Engle Homes Inc. 700 10,719
Flexsteel Industries Inc. 1,300 16,738
Haskel International Inc. 600 6,862
Rockshox Inc. 500 1,281
TBC Corp.* 2,800 19,950
------------
132,375
------------
Consumer Non-Durables -- 1.7%
- -------------------------------------------------------
Dimon Inc. 3,200 23,800
Schweitzer-Mauduit
International Inc. 1,600 24,700
Sola International Inc.* 1,400 24,150
Standard Commercial
Corp.* 5,526 47,316
Timberland Co. 800 36,450
Tropical Sportwear
International Corp.* 1,200 43,050
Wolverine World Wide
Inc. 2,500 33,125
------------
232,591
------------
Consumer Services -- 0.2%
- -------------------------------------------------------
Aztar Corp.* 4,500 22,781
------------
Electronic Technology -- 1.3%
- -------------------------------------------------------
Aehr Test Systems* 2,500 15,312
Alliant Techsystems Inc.* 200 16,487
Astro-Med Inc. 600 3,263
ESCO Electronics Corp.* 2,100 19,031
FLIR System, Inc.* 1,500 34,875
Komag Inc.* 3,000 31,125
Ladish Inc.* 2,600 21,775
Read-Rite Corp.* 600 8,869
Spacehab Inc.* 2,600 27,300
------------
178,037
------------
Energy Minerals -- 0.3%
- -------------------------------------------------------
Nuevo Energy Co.* 2,300 26,450
Santa Fe International Corp. 800 11,700
------------
38,150
------------
Finance -- 1.4%
- -------------------------------------------------------
Acceptance Insurance Co.* 1,000 20,250
Centris Group Inc. 1,800 17,550
Executive Risk Inc.(++) 400 21,975
MMI Companies Inc. 1,800 30,150
Matrix Capital Corp.* 1,300 17,550
PBOC Holdings Inc.* 800 8,200
PMI Group Inc. 200 9,875
Penn America Group Inc. 1,800 16,312
Presidential Life Corp. 900 17,888
Professional Groups Inc.* 330 10,230
Seibels Bruce Group Inc.* 3,100 10,462
Symons International
Group Inc.* 1,100 7,975
------------
188,417
------------
Health Technology -- 0.4%
- -------------------------------------------------------
DepoTech Corp.* 2,300 5,319
Matrix Pharmaceuticals,
Inc.* 1,000 2,625
OrthoLogic Corp.* 3,400 11,369
West Co., Inc. 900 32,119
------------
51,432
------------
Industrial Services -- 0.5%
- -------------------------------------------------------
Atwood Oceanics Inc.* 1,000 17,000
ENSCO International Inc. 1,300 13,894
Perini Corp.* 1,800 9,225
R & B Falcon Corp. 2,550 19,444
Rowan Companies Inc.* 1,800 18,000
------------
77,563
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Non-Energy Minerals -- 0.4%
- -------------------------------------------------------
Carpenter Technology
Corp. 200 $ 6,788
LTV Corp. 6,200 36,037
Lone Star Technologies
Inc.* 1,500 15,188
------------
58,013
------------
Process Industries -- 0.3%
- -------------------------------------------------------
RPM Inc. 1,300 20,800
Tuscarora Inc. 1,300 17,387
------------
38,187
------------
Producer Manufacturing -- 2.6%
- -------------------------------------------------------
Atchison Casting Corp.* 2,300 21,275
Baldor Electric Co. 900 18,225
Commerical Intertech
Corp. 1,000 12,937
Commonwealth Industries
Inc. 1,800 16,875
Easco Inc. 2,000 15,500
Flowserve Corp. 800 13,250
Global Industrial
Technologies Inc.* 2,100 22,444
Holophane Corp.* 800 20,550
JLG Industries Inc. 3,700 57,812
Keystone Consolidated
Industries Inc.* 2,400 19,500
Morgan Products Ltd.* 2,000 7,000
Myers Industries Inc. 1,300 37,294
Patrick Industries Inc. 1,400 21,525
Superior Industries
International Inc. 1,000 27,813
Timken Co. 1,200 22,650
Watts Industries Inc.* 1,100 18,287
------------
352,937
------------
Retail Trade -- 0.5%
- -------------------------------------------------------
Duckwall-ALCO Stores
Inc.* 1,200 15,900
Haverty Furniture
Companies Inc. 400 8,400
Schultz Sav-O Stores Inc. 1,400 23,100
Syms Corp.* 2,400 21,600
------------
69,000
------------
Technology Services -- 0.3%
- -------------------------------------------------------
Brightpoint Inc.* 1,400 19,250
Interlink Computer
Sciences Inc.* 500 1,813
Manchester Equipment Inc. 900 3,094
Ultrak Inc. 3,500 25,813
------------
49,970
------------
Transportation -- 1.0%
- -------------------------------------------------------
Alaska Air Group Inc.* 100 4,425
Conrad Industries Inc.* 400 1,562
Eagle USA Airfreight Inc.* 600 14,700
Fritz Companies Inc.* 4,800 51,900
Kenan Transport Co. 800 25,600
Motor Cargo Industries
Inc.* 1,900 15,200
Tidewater Inc. 800 18,550
------------
131,937
------------
Total Common Stocks 1,725,103
------------
SHORT-TERM OBLIGATIONS--0.3%
- -------------------------------------------------------
Federal Home Loan
Bank Consumer
Discount Note
4.50% due 1/04/99(+) 37,058
------------
Total Small Cap Value
(Identified Cost $2,100,155) 1,762,161
------------
INTERNATIONAL EQUITY--20.8 %
- -------------------------------------------------------
COMMON STOCKS--20.3%
- -------------------------------------------------------
Austria -- 0.1%
- -------------------------------------------------------
Boehler Uddeholm 308 14,335
------------
Australia -- 0.7%
- -------------------------------------------------------
Australia & New Zealand
Bank Group 7,217 47,231
------------
Pioneer International Ltd. 13,670 28,900
Quantas Airways 11,162 22,777
------------
98,908
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Canada -- 0.7%
- -------------------------------------------------------
Canadian Hunter
Exploring Ltd. 186 $ 1,217
Canadian Imperial Bank 1,465 36,421
Imasco Ltd. 2,560 54,768
Nexfor Inc. 324 1,282
Noranda Inc. 745 7,433
------------
101,121
------------
Finland -- 0.3%
- -------------------------------------------------------
UPM Kymmene Oyj 1,695 47,203
------------
France -- 2.1%
- -------------------------------------------------------
BQE National 595 48,975
BIC 522 28,943
Elf Aquitaine 345 39,862
Lafarge Coppee 572 54,325
Pernod Ricard 565 36,683
Societe Generale 268 43,381
Total SA 304 30,775
------------
282,944
------------
Germany -- 1.6%
- -------------------------------------------------------
Bayer AG 865 36,098
Buderus AG 75 27,316
Commerzbank AG 1,335 42,214
Dragerwerk AG 1,330 21,547
Dyckerhoff AG 110 30,493
Veba AG 798 47,738
Vossloh AG 450 13,231
------------
218,637
------------
Great Britain -- 5.1%
- -------------------------------------------------------
Allied Domecq 4,416 40,829
Allied Zurich 2,630 39,522
BTR 12,670 25,997
BOC Group 1,643 23,557
Brit American Tobacco 2,940 25,888
CGU 3,125 49,271
Coats Viyella 23,490 10,537
Cookson Group 15,995 34,812
Elementis 23,367 31,834
Hanson 9,194 73,167
Hillsdown Holdings 15,032 18,731
Lex Service 4,240 27,121
Lloyds TSB Group 3,970 56,526
Medeva 10,710 19,039
National Westminister 2,065 39,969
Powergen 2,629 34,506
Safeway 5,100 25,589
TI Group 6,330 34,048
Tomkins 12,771 60,683
Williams 4,739 27,084
------------
698,710
------------
Hong Kong -- 0.6%
- -------------------------------------------------------
Hang Lung Development
Co. 10,000 10,713
New World Development
Co. 3,000 7,551
South China Morning
Post 66,000 33,862
Swire Pacific Ltd. 5,500 24,633
------------
76,759
------------
Ireland -- 0.6%
- -------------------------------------------------------
Greencore Group 7,490 34,531
Jefferson Smurfit Group 23,980 43,153
------------
77,684
------------
Italy -- 0.7%
- -------------------------------------------------------
Eni Spa 6,900 45,070
Telecom Italia 1,000 6,290
Telecom Italia SPA 4,500 38,374
------------
89,734
------------
Japan -- 1.5%
- -------------------------------------------------------
Kyocera Corp 900 47,528
Nichicon Corp. 3,000 37,417
Nintendo Co. 500 48,430
Promise Co. Ltd. 1,100 57,214
Yodogawa Steel Works 6,000 22,609
------------
213,198
------------
Netherlands -- 1.8%
- -------------------------------------------------------
ABN Amro Holdings 1,520 31,958
Akzo Nobel 1,078 49,060
Ing Groep 970 59,118
Koninklijke NV PTT 846 42,329
Philips Electronics 681 45,673
TNT Post Groep 786 25,312
------------
253,450
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
New Zealand -- 0.1%
- -------------------------------------------------------
Fletcher Challenge 8,020 $ 12,365
------------
Norway -- 0.4%
- -------------------------------------------------------
Kvaerner ASA 640 12,634
Nycomed Amersham 5,465 38,119
------------
50,753
------------
Singapore -- 0.6%
- -------------------------------------------------------
Creative Technology Ltd 4,700 70,500
Jardine Matheson 6,500 16,770
------------
87,270
------------
Spain -- 0.7%
- -------------------------------------------------------
Banco Santander SA 1,392 27,621
Banco Bilboa Vizcaya 1,810 28,337
Telefonica SA 890 39,515
Telefonica SARights 890 789
------------
96,262
------------
Sweden- 0.7%
- -------------------------------------------------------
Electrolux 2,500 42,924
Getinge Industrier 2,514 37,750
Skandinaviska Enskilda
Banken 1,830 19,258
------------
99,932
------------
Switzerland -- 2.0%
- -------------------------------------------------------
Forbo Holdings 87 37,999
Nestle SA 16 34,826
Novartis AG 36 70,758
Saurer AG 46 27,459
Schweizerische Ruckversicherungs
Gesellschaft AG 54 31,841
Schweizerische Industrie
Gesellschaft Holdings AG 17 44,316
Sulzer AG 52 31,646
------------
278,845
------------
Total Common Stocks 2,798,110
------------
SHORT-TERM OBLIGATIONS--0.5%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 66,485
------------
Total International Equity
(Identified Cost $2,808,327) 2,864,595
------------
Principal
Issuer Amount Value
- -------------------------------------------------------
DOMESTIC FIXED INCOME--5.5%
- -------------------------------------------------------
FIXED INCOME--5.4%
- -------------------------------------------------------
Corporate Bonds -- 1.5%
- -------------------------------------------------------
Allstate Corp.
6.75% due 5/15/18 $ 5,000 $ 5,197
Associates Corp.
North America
6.25% due 11/01/08 10,000 10,355
Atlantic City Electric Co.
7.01% due 8/23/02 10,000 10,501
BB & T Corp.
6.375% due 6/30/05 10,000 10,211
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 5,000 5,140
Commonwealth Edison
Electric Co.
7.00% due 7/01/05 11,000 11,719
Conseco Inc.
6.40% due 6/15/01 5,000 4,817
Dayton Hudson Corp.
5.95% due 6/15/00 5,000 5,040
Ericsson
Telecommunications Inc.
6.75% due 2/12/02 5,000 5,230
Equitable Life Assurance
6.95% due 12/01/05 5,000 5,301
Ford Motor Co.
6.50% due 8/01/18 10,000 10,245
GTE Corp.
6.36% due 4/15/06 5,000 5,231
Hartford Financial
Services Group Inc.
6.375% due 11/01/08 5,000 5,137
Household Finance Corp.
6.50% due 11/15/08 5,000 5,203
Jackson National Life
Insurance Co.
8.15% due 3/15/27 10,000 11,484
Lucent Technologies Inc.
5.50% due 11/15/08 5,000 5,054
MCI Communications
Corp.
6.125% due 4/15/12 10,000 10,152
Mattel Inc.
6.00% due 7/15/03 5,000 5,049
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Amount Value
- -------------------------------------------------------
Mellon Financial Co.
5.75% due 11/15/03 $ 5,000 $ 5,035
National Rural Utilities
6.20% due 11/01/08 5,000 5,195
Nationsbank Corp.
6.375% due 5/15/05 10,000 10,395
Norfolk Southern Corp.
6.95% due 5/01/02 5,000 5,196
Occidental Petroleum
Corp.
6.40% due 4/01/03 5,000 4,921
Ontario Province Canada
5.50% due 10/01/08 5,000 5,019
Philadelphia Electric Co.
7.125% due 9/01/02 5,000 5,242
6.625% due 3/01/03 5,000 5,177
Raytheon Co.
6.30% due 3/15/05 10,000 10,250
Suntrust Banks Inc.
6.00% due 1/15/28 5,000 5,110
TCI Communications Inc.
6.875% due 2/15/06 5,000 5,335
USA Waste Services Inc.
6.50% due 12/15/02 5,000 5,081
Walt Disney Co.
5.125% due 12/15/03 5,000 4,972
------------
207,994
------------
Mortgage Backed -- 0.7%
- -------------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.25% due 6/15/24 10,000 10,069
6.00% due 12/01/99TBA 10,000 9,853
6.50% due 12/01/99TBA 20,000 20,131
6.00% due 5/15/08 25,000 26,391
7.349% due 8/17/21 10,000 10,922
JP Morgan Commercial
Mortgage Finance Group
6.373% due 1/15/30 4,606 4,688
Sears Credit Account
Master Trust II
5.25% due 10/16/08 $10,000 9,797
Structured Asset
Securities Corp.
6.79% due 10/15/34 9,737 10,153
------------
102,004
------------
.S. Treasury Obligations -- 3.1%
- -------------------------------------------------------
United States Treasury
Bonds
3.625% due 4/15/28 10,082 9,780
------------
United States Treasury Notes
6.375% due 5/15/99 20,000 20,125
5.875% due 11/15/99 72,000 72,742
5.625% due 4/30/00 10,000 10,120
6.25% due 1/31/02 100,000 104,437
6.50% due 5/31/02 160,000 168,925
5.50% due 3/31/03 40,000 41,212
------------
417,561
------------
Total U.S. Treasury
Obligations 427,341
------------
Yankee Bonds -- 0.1%
- -------------------------------------------------------
Manitoba Province
Canada
5.50% due 10/01/08 5,000 5,056
Ontario Province Canada
5.38% due 10/29/08 5,000 4,990
Republic of Ireland
6.875% due 3/10/03 5,000 5,287
------------
15,333
------------
Total Fixed Income 752,672
------------
SHORT-TERM OBLIGATIONS--0.1%
- -------------------------------------------------------
Federal Home Loan
Bank Consumer
Discount Note
4.50% due 1/04/99(+) 3,902
------------
Total Domestic Fixed Income
(Identified Cost $739,473) 756,574
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Company Amount Value
- -----------------------------------------------------------
INTERNATIONAL BOND--32.2%
- -----------------------------------------------------------
FIXED INCOME--21.2%
- -----------------------------------------------------------
Australia -- 1.6%
Commonwealth of
Australia
8.75% due 8/15/08 AUD 80,000 $ 62,862
7.50% due 9/15/09 AUD 215,000 156,973
------------
219,835
------------
Canada -- 0.9%
- -----------------------------------------------------------
Commonwealth of Canada
5.250% due 9/01/03 CAD 60,000 40,071
9.00% due 12/01/04 CAD 50,000 39,636
8.00% due 6/01/23 CAD 54,000 48,771
------------
128,478
------------
Denmark -- 0.5%
- -----------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 300,000 54,685
7.00% due 11/15/07 DKK 100,000 18,866
------------
73,551
------------
France -- 0.2%
- -----------------------------------------------------------
Republic of France
3.00% due 7/25/09 FRF 139,878 24,868
------------
Germany -- 1.9%
- -----------------------------------------------------------
Republic of Germany
7.375% due 7/04/27 DEM 25,000 18,818
5.625% due 1/04/28 DEM 360,000 243,442
------------
262,260
------------
Great Britain -- 4.2%
- -----------------------------------------------------------
United Kingdom Gilt
8.00% due 6/10/03 GBP 150,000 284,349
8.50% due 12/07/05 GBP 48,000 98,951
7.25% due 12/07/07 GBP 100,000 199,784
------------
583,084
------------
Greece -- 1.3%
- -----------------------------------------------------------
Hellenic Republic
12.80% due 6/17/03 GRD 1,500,000 5,461
11.00% due 10/23/03 GRD 5,000,000 18,276
8.80% due 6/19/07 GRD 37,200,000 148,236
------------
171,973
------------
Italy -- 1.2%
- -----------------------------------------------------------
Republic of Italy
6.00% due 1/01/00 ITL 20,000,000 12,422
6.75% due 7/01/07 ITL 100,000,000 71,971
5.00% due 5/01/08 ITL 20,000,000 13,058
7.25% due 11/01/26 ITL 90,000,000 73,994
------------
171,445
------------
New Zealand -- 2.2%
- -----------------------------------------------------------
International Bank Reconciliation
and Development
7.00% due 9/18/00 NZD 150,000 80,411
7.25% due 4/09/01 NZD 188,000 101,647
7.25% due 5/27/03 NZD 70,000 38,538
Canada Government
6.63% due 10/03/07 NZD 20,000 10,695
New Zealand Government
7.00% due 7/15/09 NZD 100,000 59,089
------------
290,380
------------
Spain -- 2.5%
- -----------------------------------------------------------
Kingdom of Spain
6.00% due 1/31/08 ESP 42,850,000 347,527
------------
United States -- 4.7%
- -----------------------------------------------------------
Federal National
Mortgage Association
6.50% due 12/01/99
TBA GBP 40,000 70,665
7.25% due 6/20/02 NZD 160,000 87,446
Government National
Mortgage Association
6.88% due 4/20/27 $ 55,763 56,484
Merrill Lynch & Co Inc.
5.30 due 11/01/01 $ 100,000 99,232
SLM Student Loan Trust
1.00% due 10/25/04 $ 5,084 5,049
1.00% due 4/25/06 $ 32,736 32,332
5.23% due 4/25/07 $ 94,729 93,684
United States Treasury
Notes
3.625% due 7/15/02 $ 204,786 203,250
------------
648,142
------------
Total Fixed Income 2,921,543
------------
<PAGE>
CitiSelect VIP Folio 400
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Company Amount Value
- -----------------------------------------------------------
SHORT-TERM OBLIGATIONS--11.0%
- -----------------------------------------------------------
Dupont E. I. de Nemours
& Co.
5.25% due 2/05/99 $ 100,000 $ 99,490
Dutch Government
5.59% due 1/15/99 DKK 275,000 146,550
Federal Home Loan
Bank Consumer
Discount Note
4.50 % due 1/04/99 (+) $ 73,729 73,702
Federal Home Loan
Bank Consumer
Discount Note
5.13% due 1/20/99 $ 300,000 299,188
Ford Motor Credit
Discount Notes
5.51% due 1/22/99 $ 100,000 99,678
French Discount
Treasury Bill
3.35% due 2/04/99 FRF 1,850,000 329,845
General Electric Capital
Corp. Discount Notes
5.51% due 1/26/99 $ 100,000 99,617
General Motors
Acceptance Corp.
5.51% due 1/25/99 $ 100,000 99,633
Kingdom of Norway
4.40% due 3/17/99 NOK 2,000,000 261,373
------------
1,509,076
------------
Total International Bond
(Identified Cost $4,396,991) 4,430,619
------------
SHORT-TERM OBLIGATIONS--11.0%
- -----------------------------------------------------------
SHORT-TERM--3.5%
- -----------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.5%
- -----------------------------------------------------------
Federal Home Loan
Bank Consumer
Discount Note
4.50% due 1/04/99(+) $ 484,707
------------
Total Short-Term
(Identified Cost $484,707) $ 484,707
------------
Total Investments
(Identified Cost $14,932,611) 111.2% 15,291,985
Other Assets,
Less Liabilities (11.2) (1,541,353)
----- ------------
Net Assets 100.0% $ 13,750,632
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan Bank
Consumer Discount Notes 4.50%, due 1/04/99 valued at
$886,668, (portions of which are separately listed by
each Asset class.)
(++) The Portfolio owns in aggregate 350 shares of
International Business Machines valued at $64,662, and
938 shares of Executive Risk Inc. valued at $51,531
(portions of which are separately listed by each asset
class.)
See notes to financial statements
Foreign Currency Legend
- -----------------------------------------------------------
Symbol Country
- -----------------------------------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
ESP Spain
NZD New Zealand
NOK Norway
<PAGE>
CitiSelect VIP Folio 400
Forward currency contracts which were open at December 31, 1998 are as follows:
<TABLE>
<CAPTION>
Unrealized
Market Aggregate Delivery Date Appreciation
Currency Country Value Face Value of Contracts (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) ... Germany $223,634 $225,727 February-99 $ (2,093)
Dollar (Buy) .......... Australia 28,192 29,116 January-99 (924)
Dollar (Sell) ......... Canada 140,664 140,204 January-99 (460)
Dollar (Buy) .......... Canada 263,679 261,528 February-99 2,151
Dollar (Sell) ......... New Zealand 268,956 265,720 January-99 (3,236)
Dollar (Sell) ......... New Zealand 53,717 53,791 March-99 74
Drachma (Sell) ........ Greece 24,450 24,437 February-99 (13)
Escudo (Buy) .......... Portugal 17,849 17,843 January-99 6
Franc (Buy) ........... Belgium 108,346 110,088 January-99 (1,742)
Franc (Sell) .......... France 17,193 17,301 January-99 108
Franc (Sell) .......... Switzerland 33,558 34,639 January-99 1,081
Franc (Buy) ........... Switzerland 149,236 152,694 February-99 (3,458)
Franc (Sell) .......... Switzerland 95,102 98,262 February-99 3,160
Guilder (Sell) ........ Netherlands 27,712 27,627 January-99 (85)
Hong Kong Dollar (Sell) Japan 57,859 55,638 February-99 (2,221)
Hong Kong Dollar (Buy) Japan 57,859 57,286 February-99 573
Hong Kong Dollar (Sell) Japan 48,654 48,147 April-99 (507)
Krona (Buy) ........... Sweden 184,300 190,219 January-99 (5,919)
Krone (Sell) .......... Denmark 15,723 15,439 January-99 (284)
Krone (Buy) ........... Norway 146,228 148,926 January-99 (2,698)
Krone (Sell) .......... Norway 257,473 262,543 January-99 5,070
Lira (Buy) ............ Italy 319,364 320,550 January-99 (1,186)
Lira (Buy) ............ Italy 11,180 11,225 February-99 (45)
Markka (Buy) .......... Finland 25,528 25,127 January-99 401
Peseta (Sell) ......... Spain 231,352 233,749 February-99 2,397
Pound (Buy) ........... Great Britain 151,088 153,335 January-99 (2,247)
Pound (Buy) ........... Ireland 13,395 13,259 January-99 136
Schilling (Buy) ....... Austria 39,709 38,789 January-99 920
Yen (Buy) ............. Japan 913,543 889,917 February-99 23,626
Yen (Sell) ............ Japan 211,976 200,958 February-99 11,018)
--------
$ 1,567
========
</TABLE>
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
LARGE CAP GROWTH--10.9%
- -------------------------------------------------------
COMMON STOCKS -10.6%
- -------------------------------------------------------
Commercial Services -- 0.3%
- -------------------------------------------------------
Cintas Corp. 160 $ 11,270
Interpublic Group
Companies Inc. 100 7,975
------------
19,245
------------
Consumer Non-Durables -- 0.7%
- -------------------------------------------------------
Clorox Co. 105 12,265
Coca Cola Co. 150 10,031
Procter & Gamble Co. 200 18,262
------------
40,558
------------
Consumer Services -- 0.1%
- -------------------------------------------------------
Carnival Corp. 125 6,000
------------
Finance -- 1.2%
- -------------------------------------------------------
American International
Group Inc. 70 6,764
Bank of New York Inc. 160 6,440
Federal Home Loan
Mortgage Corp. 95 6,122
Federal National
Mortgage Association 230 17,020
Fifth Third Bancorp 85 6,062
Finova Group Inc. 120 6,473
Firstar Corp. 80 7,460
Zions Bancorp 195 12,163
------------
68,504
------------
Healthcare -- 2.5%
- -------------------------------------------------------
Cardinal Health Inc. 175 13,278
Elan PLC* 95 6,608
Eli Lilly & Co. 233 20,708
Health Management
Association* 305 6,596
Johnson & Johnson 150 12,581
Medtronic Inc. 240 17,820
Merck & Co. 120 17,722
Pfizer Inc. 160 20,070
Schering Plough Corp. 355 19,614
Warner Lambert Co. 80 6,015
------------
141,012
------------
Process Industries -- 0.1%
- -------------------------------------------------------
Ecolab Inc. 175 6,333
------------
Producer Manufacturer -- 0.9%
- -------------------------------------------------------
Danaher Corp. 175 9,505
General Electric Co. 395 40,315
------------
49,820
------------
Retail -- 1.3%
- -------------------------------------------------------
Bed Bath & Beyond Inc.* 380 12,967
Costco Companies Inc.* 90 6,497
Home Depot 235 14,379
Staples Inc.* 155 6,771
Wal Mart Stores Inc. 285 23,210
Walgreen Co. 155 9,077
------------
72,901
------------
Technology -- 3.1%
- -------------------------------------------------------
Automatic Data
Processing Inc.* 75 6,014
Ceridian Corp.* 90 6,283
Cisco Systems Inc.* 194 18,006
Compaq Computer Corp. 250 10,484
Compuware Corp.* 100 7,813
Dell Computer Corp.* 120 8,783
EMC Corp.* 170 14,450
Intel Corp. 212 25,135
International Business
Machines (++) 60 11,085
Microsoft Corp.* 270 37,446
Paychex Inc. 150 7,716
Solectron Corp. * 95 8,829
Sun Guard Data Systems* 330 13,096
------------
175,140
------------
Utilities -- 0.4%
- -------------------------------------------------------
Ameritech Corp. 205 12,991
SBC Communciations Inc. 220 11,798
------------
24,789
------------
Total Common Stocks 604,302
------------
SHORT-TERM OBLIGATIONS--0.3%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Notes
4.50% due 1/04/99(+) 18,040
------------
Total Large Cap Growth
(Identified Cost $478,435) 622,342
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
LARGE CAP VALUE--9.8%
- -------------------------------------------------------
COMMON STOCKS -- 9.5%
- -------------------------------------------------------
Basic Industries -- 0.6%
- -------------------------------------------------------
Air Products & Chemicals
Inc. 100 $ 4,000
FMC Corp.* 100 5,600
IMC Global Inc. 200 4,275
Inland Steel Industries Inc. 200 3,375
Lubrizol Corp. 100 2,569
Morton International Inc.100 2,450
Rohm & Haas Co. 200 6,025
W. R. Grace & Co.* 300 4,706
Westvaco Corp. 100 2,681
------------
35,681
------------
Capital Goods -- 0.6%
- -------------------------------------------------------
Aeroquip Vickers Inc. 200 5,988
Case Corp. 400 8,725
Cummins Engine Inc. 200 7,100
Harnischfeger Industries Inc. 300 3,056
Kennametal Inc. 100 2,125
Parker Hannifin Corp. 200 6,550
Tecumseh Products Co. 100 4,662
------------
38,206
------------
Consumer Basics -- 1.4%
- -------------------------------------------------------
Beckman Coulter Inc. 100 5,425
Columbia/HCA Healthcare
Corp. 200 4,950
Foundation Health
Systems* 390 4,656
Healthsouth Corp.* 700 10,806
IBP Inc. 200 5,825
Mallinckrodt Inc. 100 3,081
Philip Morris Companies Inc. 200 10,700
RJR Nabisco Holdings Corp. 300 8,906
Tenet Healthcare Corp.* 300 7,875
United Healthcare Corp. 200 8,612
Universal Foods Corp. 300 8,231
------------
79,067
------------
Consumer Durable Goods -- 1.0%
- -------------------------------------------------------
Dana Corp. 200 8,175
Ford Motor Co. 300 17,606
General Motors Corp. 300 21,469
Goodyear Tire and Rubber 200 10,087
------------
57,337
------------
Consumer Non-Durables -- 0.8%
- -------------------------------------------------------
Dillards Inc. 200 5,675
Liz Claiborne Inc. 300 9,469
Sears Roebuck & Co. 200 8,500
Springs Industries Inc. 100 4,144
Toys "R" Us Inc.* 400 6,750
V. F. Corp. 200 9,375
------------
43,913
------------
Consumer Services -- 0.2%
- -------------------------------------------------------
AMR Corp. * 100 5,937
Delta Airlines Inc. 100 5,200
------------
11,137
------------
Energy -- 0.3%
- -------------------------------------------------------
Nabors Industries Inc.* 300 4,069
Phillips Petroleum Co. 100 4,262
Ultra Mar Diamond
Shamrock 300 7,275
------------
15,606
------------
Finance -- 2.7%
- -------------------------------------------------------
Allstate Corp. 300 11,588
American General Corp. 100 7,800
Banc One Corp. 200 10,212
BankAmerica Corp. 200 12,025
BankBoston Corp. 100 3,894
Chase Manhattan Corp. 300 20,419
Cigna Corp. 200 15,462
Everest Reinsurance
Holdings 200 7,787
First Union Corp. 220 13,379
Hartford Financial Services
Group 200 10,975
Old Republic International
Corp. 250 5,625
PNC Bank Corp. 200 10,825
Reliastar Financial Corp. 200 9,225
Republic New York Corp. 100 4,556
Transatlantic Holdings Inc. 50 3,778
Washington Mutual Inc. 200 7,638
------------
155,188
------------
General Business -- 0.1%
- -------------------------------------------------------
Olsten Corp. 400 2,950
Standard Register 100 3,094
------------
6,044
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Shelter -- 0.2%
- -------------------------------------------------------
Owens Corning 300 $ 10,631
------------
Technology -- 1.0%
- -------------------------------------------------------
Arrow Electronics Inc.* 200 5,337
Avnet Inc. 100 6,050
First Data Corp.* 400 12,675
International Business
Machines (++) 100 18,475
TRW Inc. 100 5,619
Tektronix Inc. 250 7,516
------------
55,672
------------
Utilities -- 0.6%
- -------------------------------------------------------
Bell Atlantic Corp. 200 10,600
Cinergy Corp. 100 3,438
DTE Energy Co. 100 4,288
Duke Power Co. 104 6,663
Entergy Corp. 100 3,113
GPU Inc. 100 4,419
Southern Co. 100 2,906
------------
35,427
------------
Total Common Stocks 543,909
------------
SHORT-TERM OBLIGATIONS--0.3%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 17,086
------------
Total Large Cap Value
(Identified Cost $564,188) 560,995
------------
SMALL CAP GROWTH -- 18.2%
- -------------------------------------------------------
COMMON STOCKS -- 16.6%
- -------------------------------------------------------
Commercial Services -- 3.2%
- -------------------------------------------------------
AHL Services Inc.* 370 11,563
Abacus Direct Corp.* 338 15,379
Catalina Marketing Corp.* 208 14,222
Central Packing Corp. 137 4,444
Ha Lo Industries Inc. * 319 12,002
Lamar Advertising Co.* 564 21,009
Level One Communications
Inc.* 368 13,064
Metzler Group Inc.* 410 19,962
NFO Worldwide Inc.* 435 5,003
Probusiness Services Inc.* 517 23,524
Profit Recovery Group
International Inc.* 553 20,703
Romac International Inc.* 426 9,478
Wilmar Industries Inc.* 485 9,852
------------
180,205
------------
Consumer Non-Durable -- 0.4%
- -------------------------------------------------------
Beringer Wine Estates
Holdings* 233 10,412
Horizon Organic Holding
Corp.* 313 4,852
Natrol Inc.* 366 4,026
Wiley John & Sons 60 2,899
------------
22,189
------------
Consumer Services -- 1.5%
- -------------------------------------------------------
Devry Inc.* 458 14,026
Heftel Broadcasting Corp.* 422 20,784
Metro Networks Inc.* 345 14,706
Premier Parks Inc.* 379 11,465
SFX Entertainment Inc.* 275 15,091
Sylvan Learning Systems
Inc.* 334 10,187
------------
86,259
------------
- -------------------------------------------------------
Electronics/Technical Services -- 2.2%
- -------------------------------------------------------
American Tower Corp.* 382 11,293
C Cube Microsystems Inc.* 378 10,253
Electronics for Imaging Inc.* 292 11,735
Jabil Circuit Inc.* 113 8,433
Microchip Technology Inc.* 124 4,588
Micron Electronics Inc.* 622 10,768
Network Appliance Inc.* 386 17,370
Novellus Systems Inc. 195 9,652
Sipex Corp.* 683 23,990
Tekelectronic Inc.* 600 9,938
Western Wireless Corp.* 237 5,214
------------
123,234
------------
Energy/Mineral -- 0.2%
- -------------------------------------------------------
Petroleum Geo-Services* 719 11,324
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Finance -- 1.1%
- -------------------------------------------------------
Centura Banks Inc. 169 $ 12,569
Cullen Frost Bankers Inc. 285 15,639
Enhance Financial Services
Group Inc. 256 7,680
Executive Risk Inc.(++) 266 14,613
Peoples Heritage Financial
Group 765 15,300
------------
65,801
------------
Health Services/Technology -- 2.1%
- -------------------------------------------------------
Agouron Pharmaceuticals
Inc.* 67 3,936
Andrx Corp.* 175 8,969
Barr Labs Inc.* 285 13,680
MedImmune Inc.* 65 6,463
PSS World Medical Inc.* 219 5,037
Parexel International Corp.* 477 11,925
Professional Detailing Inc.* 440 12,430
Roberts Pharmaceutical
Corp.* 638 13,877
Steris Corp.* 450 12,797
Total Renal Care Holdings
Inc.* 829 24,507
Viropharma Inc.* 490 4,563
------------
118,184
------------
Industrial Services -- 0.5%
- -------------------------------------------------------
Rental Service Corp.* 735 11,530
Service Experts Inc.* 402 11,759
Waste Connections Inc.* 293 5,384
------------
28,673
------------
Process Industries -- 0.4%
- -------------------------------------------------------
Aptargroup Inc. 345 9,682
OM Group Inc. 412 15,038
------------
24,720
------------
Producer Manufacturing -- 0.3%
- -------------------------------------------------------
Tower Automotive Inc.* 811 20,224
------------
Retail -- 0.9%
- -------------------------------------------------------
CDW Computer Centers
Inc.* 109 10,457
Linens N Things Inc.* 227 8,995
Men's Wearhouse Inc.* 356 11,303
Tiffany & Co. 176 9,130
Whole Foods Market Inc.* 298 14,416
------------
54,301
------------
Technology Services -- 3.0%
- -------------------------------------------------------
Aspect Development Inc.* 266 11,787
Bisys Group Inc.* 139 7,176
Data General Corp.* 386 6,345
Engineering Animation Inc.* 162 8,748
ICG Communications Inc.* 448 9,632
Legato Inc.* 238 15,693
Lernout & Hauspie Speech
Products* 284 9,265
Lycos Inc.* 310 17,224
Macromedia Inc.* 339 11,420
Mercury Interactive Corp.* 93 5,882
NTL Inc.* 183 10,328
RSL Communications Ltd.* 249 7,346
Rational Software Corp.* 469 12,428
Sapient Corp.* 106 5,936
Skytel Communications
Inc.* 408 9,027
Transaction Systems
Architects Inc.** 120 6,000
Whittman Hart Inc.* 607 16,768
------------
171,005
------------
Transportation -- 0.8%
- -------------------------------------------------------
Eagle U.S.A. Airfreight Inc.* 709 17,371
Hub Group Inc.* 257 4,979
Skywest Inc. 181 5,916
United Road Services Inc.* 810 14,884
------------
43,150
------------
Total Common Stocks 949,269
------------
SHORT-TERM OBLIGATIONS--1.6%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 89,011
------------
Total Small Cap Growth
(Identified Cost $912,312) 1,038,280
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
SMALL CAP VALUE--15.4%
- -------------------------------------------------------
COMMON STOCKS -- 15.0%
- -------------------------------------------------------
Commercial Services -- 0.9%
- -------------------------------------------------------
Corrections Corp. of
America* 200 $ 3,525
Nash Finch Co. 300 4,275
Reynolds & Reynolds Co. 600 13,763
Rush Enterprises Inc.* 500 5,500
Unisource Worldwide Inc. 1,400 10,150
United Industrial Corp. 1,700 16,681
------------
53,894
------------
Consumer Durable Goods -- 1.2%
- -------------------------------------------------------
Cannondale Corp.* 1,200 10,800
Coachmen Industries Inc. 600 15,750
D.R. Horton Inc. 400 9,200
EKCO Group Inc.* 1,200 4,500
Engle Homes Inc. 300 4,594
Flexsteel Industries Inc. 700 9,012
TBC Corp.* 1,700 12,113
------------
65,969
------------
Consumer Non-Durables --2.1%
- -------------------------------------------------------
Dimon Inc. 1,500 11,156
Schweitzer-Mauduit
International Inc. 800 12,350
Sola International Inc.* 700 12,075
Standard Commercial
Corp.* 2,723 23,316
Timberland Co. 400 18,225
Tropical Sportwear
International Corp.* 700 25,113
Wolverine World Wide
Inc. 1,200 15,900
------------
118,135
------------
Consumer Services --0.2%
- -------------------------------------------------------
Aztar Corp.* 2,000 10,125
------------
Electronic Technology--1.3%
- -------------------------------------------------------
Alliant Techsystems Inc.* 100 8,244
Astro-Med Inc. 200 1,087
ESCO Electronics Corp.* 900 8,156
FLIR Systems Inc.* 700 16,275
Komag Inc.* 1,500 15,563
Ladish Co. Inc.* 1,300 10,887
Read-Rite Corp.* 300 4,434
Spacehab Inc.* 1,100 11,550
------------
76,196
------------
Energy Minerals --0.3%
- -------------------------------------------------------
Nuevo Energy Co.* 1,100 12,650
Santa Fe International
Corp. 400 5,850
------------
18,500
------------
Finance --1.4%
- -------------------------------------------------------
Acceptance Insurance
Co* 500 10,125
Centris Group Inc. 900 8,775
Executive Risk Inc.(++) 200 10,987
MMI Companies Inc. 800 13,400
PBOC Holdings * 400 4,100
PMI Group Inc. 100 4,938
Penn-America Group Inc. 900 8,156
Presidential Life Corp. 500 9,938
Professional Groups Inc.* 110 3,410
Seibels Bruce Group Inc.* 1,400 4,725
Symons International
Group Inc.* 500 3,625
------------
82,179
------------
Health Technology --0.5%
- -------------------------------------------------------
DepoTech Corp.* 1,400 3,237
OrthoLogic Corp.* 1,900 6,353
West Co., Inc. 500 17,844
------------
27,434
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Industrial Services --0.8%
- -------------------------------------------------------
Atwood Oceanics Inc.* 500 $ 8,500
ENSCO International Inc. 700 7,481
Perini Corp.* 900 4,612
R & B Falcon Corp. 1,700 12,963
Rowan Companies Inc.* 900 9,000
------------
42,556
------------
Non-Energy Minerals--0.6%
- -------------------------------------------------------
Carpenter Technology
Corp. 200 6,787
LTV Corp. 3,100 18,019
Lone Star Technologies
Inc.* 1,000 10,125
------------
34,931
------------
Process Industries --0.3%
- -------------------------------------------------------
RPM Inc. 500 8,000
Tuscarora Inc. 700 9,363
------------
17,363
------------
Producer Manufacturing --3.2%
- -------------------------------------------------------
Atchison Casting Corp.* 1,000 9,250
Baldor Electric Co. 400 8,100
Commercial Intertech Corp. 700 9,056
Commonwealth Industries
Inc. 900 8,438
Easco Inc. 1,000 7,750
Flowserve Corp. 500 8,281
Global Industrial
Technologies Inc.* 1,900 20,306
Holophane Corp.* 400 10,275
JLG Industries Inc. 1,600 25,000
Keystone Consolidated
Industries Inc.* 1,100 8,937
Morgan Products Ltd.* 800 2,800
Myers Industries Inc. 600 17,213
Patrick Industries Inc. 600 9,225
Superior Industries
International Inc. 500 13,906
Timken Co. 600 11,325
Watts Industries Inc.* 600 9,975
------------
179,837
------------
Retail Trade --0.6%
- -------------------------------------------------------
Duckwall-ALCO Stores Inc.* 700 9,275
Haverty Furniture
Companies Inc. 200 4,200
Schultz Sav-O Stores Inc. 700 11,550
Syms Corp.* 1,200 10,800
------------
35,825
------------
Technology Services --0.4%
- -------------------------------------------------------
Brightpoint Inc.* 700 9,625
Interlink Computer
Sciences Inc.* 400 1,450
Ultrak Inc. 1,600 11,800
------------
22,875
------------
Transportation -- 1.2%
- -------------------------------------------------------
Alaska Air Group Inc.* 100 4,425
Conrad Industries Inc.* 300 1,172
Eagle USA Airfreight Inc.* 300 7,350
Fritz Companies Inc.* 2,300 24,869
Kenan Transport Co. 400 12,800
Motor Cargo Industries Inc.* 800 6,400
Tidewater Inc. 400 9,275
------------
66,291
------------
Total Common Stocks 852,110
------------
SHORT-TERM OBLIGATIONS--0.4%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 24,699
------------
Total Small Cap Value
(Identified Cost $1,030,549) 876,809
------------
INTERNATIONAL EQUITY--31.6%
- -------------------------------------------------------
COMMON STOCKS -- 31.2%
- -------------------------------------------------------
Austria -- 0.2%
- -------------------------------------------------------
Boehler-Uddeholm 195 9,076
------------
Australia -- 1.6%
- -------------------------------------------------------
Australia & New Zealand
Banking Group 5,570 36,453
Pioneer International
Ltd. 13,150 27,800
Quantas Airways 13,300 27,139
------------
91,392
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
Canada- 1.3%
- -------------------------------------------------------
Canadian Hunter
Exploration Ltd. 342 $ 2,237
Canadian Imperial Bank 850 21,132
Imasco, Ltd. 1,570 33,588
Nexfor Inc. 597 2,363
Noranda, Inc. 1,370 13,669
------------
72,989
------------
Finland -- 0.5%
- -------------------------------------------------------
UPM Kymmene Oy 1,065 29,659
------------
France -- 3.1%
- -------------------------------------------------------
BIC 321 17,798
Banque National De Paris 375 30,867
Elf Aquitaine 220 25,419
Lafarge Coppee 322 30,582
Pernod Ricard 416 27,009
Societe Generale 157 25,413
Total SA 200 20,247
------------
177,335
------------
Germany -- 2.4%
- -------------------------------------------------------
Bayer AG 505 21,074
Buderus AG 45 16,390
Commerzbank AG 805 25,455
Draegerwerk AG 822 13,317
Dyckerhoff AG 60 16,633
Veba AG 490 29,313
Vossloh AG 585 17,200
------------
139,382
------------
Great Britain -- 7.3%
- -------------------------------------------------------
Allied Domecq 2,770 25,611
Allied Zurich 1,655 24,870
BAT Industries 1,605 14,133
BOC Group 965 13,836
BTR PLC 8,197 16,819
CGU 1,790 28,222
Coats Viyella 13,810 6,195
Cookson Group 9,390 20,437
Elementis 14,337 19,532
Hanson 4,987 39,687
Hillsdown Holdings 9,992 12,450
Lex Service 2,320 14,840
Lloyds TSB Group 2,500 35,596
Medeva 5,880 10,453
National Westminster 1,155 22,355
Powergen 1,600 21,000
Safeway 3,170 15,905
TI Group 3,980 21,408
Tomkins 7,590 36,065
Williams 2,985 17,060
------------
416,474
------------
Hong Kong -- 1.1%
- -------------------------------------------------------
Hang Lung Development
Co. 17,000 18,212
New World Development
Co. 5,000 12,585
South China Morning
Post 36,900 18,932
Swire Pacific Ltd. 3,500 15,676
------------
65,405
------------
Ireland -- 0.8%
- -------------------------------------------------------
Greencore Group 4,090 18,856
Jefferson Smurfit Group 15,025 27,038
------------
45,894
------------
Italy -- 1.0%
- -------------------------------------------------------
Eni Spa 4,200 27,434
Telecom Italia 1,000 6,290
Telecom Italia SPA 2,800 23,877
------------
57,601
------------
Japan -- 2.1%
- -------------------------------------------------------
Kyocera Corp. 500 26,404
Nichicon Corp. 2,000 24,945
Nintendo Co. 200 19,372
Promise Co. 700 36,409
Yodogawa Steel Works 3,000 11,305
------------
118,435
------------
Netherlands-- 2.8%
- -------------------------------------------------------
ABN Amro Holdings 935 19,659
Akzo Nobel 663 30,173
Ing Groep 592 36,080
Koninklijke NV PTT 535 26,769
Philips Electronics 426 28,571
TNT Post Groep 495 15,941
------------
157,193
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- -------------------------------------------------------
New Zealand -- 0.4%
- -------------------------------------------------------
Fletcher Challenge 14,011 $ 21,602
------------
Norway -- 0.5%
- -------------------------------------------------------
Kvaerner ASA 415 8,192
Nycomed Amersham 2,885 20,123
------------
28,315
------------
Singapore -- 0.9%
- -------------------------------------------------------
Creative Technology Ltd. 2,900 43,500
Jardine Matheson 3,800 9,804
------------
53,304
------------
Spain -- 1.1%
- -------------------------------------------------------
Banco Bilbao Vizcaya 1,140 17,848
Banco Santander SA 877 17,402
Telefonica SA 560 24,863
Telefonica SA Rights 560 496
------------
60,609
------------
Sweden -- 1.2%
- -------------------------------------------------------
Electrolux 1,610 27,643
Getinge Industrier 1,476 22,163
Skandinaviska Enskilda
Banken 1,665 17,521
------------
67,327
------------
Switzerland -- 2.9%
- -------------------------------------------------------
Forbo Holdings 51 22,276
Nestle SA 10 21,766
Novartis AG 21 41,275
Saurer AG 25 14,923
Schweizerische Ruckversicherung
Gesellschaft AG 11 28,675
Schweizerische Industrie
Gesellschaft Holdings AG 31 18,279
Sulzer AG 33 20,083
------------
167,277
------------
Total Common Stocks 1,779,269
------------
SHORT-TERM OBLIGATIONS--0.4%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 22,205
------------
Total International Equity
(Identified Cost $1,767,009) 1,801,474
------------
Principal
Issuer Amount Value
- -------------------------------------------------------
INTERNATIONAL BOND--15.6%
- -------------------------------------------------------
FIXED INCOME--12.5%
- -------------------------------------------------------
Australia- 0.9%
- -------------------------------------------------------
Commonwealth of
Australia
8.75% due 8/15/08 AUD 66,000 $ 51,862
------------
Canada -- 0.4%
- -------------------------------------------------------
Commonwealth of
Canada
5.25% due 9/01/03 CAD 10,000 6,678
8.00% due 6/01/23 CAD 19,000 17,160
------------
23,838
------------
Denmark -- 0.6%
- -------------------------------------------------------
Kingdom of Denmark
8.00% due 5/15/03 DKK 150,000 27,342
7.00% due 11/15/07 DKK 20,000 3,773
------------
31,115
------------
France -- 0.1%
- -------------------------------------------------------
Government of France
3.00% due 7/25/09 FRF 19,982 3,553
------------
Germany -- 1.3%
- -------------------------------------------------------
Republic of Germany
6.50% due 7/04/27 DEM 25,000 18,819
5.625% due 1/04/28 DEM 80,000 54,098
------------
72,917
------------
Great Britain -- 0.5%
- -------------------------------------------------------
United Kingdom Gilt
7.25% due 12/07/07 GBP 15,000 29,968
------------
Greece -- 1.1%
- -------------------------------------------------------
Hellenic Republic
12.80% due 6/17/03 GRD 300,000 1,092
11.00% due 10/23/03 GRD 2,000,000 7,310
8.80% due 6/19/07 GRD 14,100,000 56,186
------------
64,588
------------
Italy -- 0.6%
- -------------------------------------------------------
Republic of Italy
4.75% due 5/01/03 ITL 30,000,000 19,160
5.00% due 5/01/08 ITL 20,000,000 13,058
------------
32,218
------------
<PAGE>
CitiSelect VIP Folio 500
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Principal
Issuer Currency Amount Value
- -------------------------------------------------------
New Zealand -- 0.5%
- -------------------------------------------------------
International Bank
Reconciliation &
Development
7.25% due 4/09/01 NZD 43,000 $ 23,249
7.25% due 5/27/03 NZD 10,000 5,505
------------
28,754
------------
Spain -- 1.5%
- -------------------------------------------------------
Government of Spain
6.00% due 1/31/08 ESP 10,650,000 86,375
------------
Sweden -- 1.2%
- -------------------------------------------------------
Kingdom of Sweden
10.25% due 5/05/00 SEK 500,000 66,798
------------
United States -- 3.8%
- -------------------------------------------------------
Federal National
Mortgage Association
6.875% due 6/07/02 GBP 31,000 54,765
7.25% due 6/20/02 NZD 60,000 32,792
Government National
Mortgage Association
6.875% due 04/20/27 $ 27,882 28,242
United States Treasury
Notes
3.625% due 7/15/02 $ 102,393 101,625
------------
217,424
------------
Total Fixed Income 709,410
------------
SHORT-TERM OBLIGATIONS--3.1%
- -------------------------------------------------------
Dutch Government
6.50% due 1/15/99 NLG 55,000 29,310
Federal Home Loan
Bank Consumer
Discount Note
4.50% due 1/04/99(+) $ 27,506 27,496
5.13% due 1/20/99 $50,000 49,865
French Discount
Treasury Bill
3.35% due 2/04/99 FRF 400,000 71,317
------------
177,988
------------
Total International Bond
(Identified Cost $881,840) 887,398
------------
SHORT TERM--3.6%
- -------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.6%
- -------------------------------------------------------
Federal Home Loan Bank
Consumer Discount Note
4.50% due 1/04/99(+) 208,311
------------
Total Short-Term
(Identified Cost $208,311)
Total Investments
(Identified Cost $5,842,644) 05.1% 5,995,609
------------
Other Assets
Less Liabilities (5.1) (292,083)
----- ------------
Net Assets 100.0% $ 5,703,526
----- ------------
* Non income producing
(+) The Portfolio owns in aggregate Federal Home Loan
Bank Consumer Discount Notes 4.50%, due 1/04/99
valued at $406,848, (portions of which are listed
separately by each asset class.)
(++) The Portfolio owns in aggregate 160 shares of
International Business Machines valued at $29,560,
and 466 shares of Executive Risk Inc. valued at
$25,600 (portions of which are listed separately by
each asset class.)
See notes to financial statements
Foreign Currency Legend
- --------------------------------------------------------
Symbol Country
- --------------------------------------------------------
AUD Australia
CAD Canada
DKK Denmark
FRF France
DEM Germany
GBP Great Britain
GRD Greece
ITL Italy
NLG Netherland
NZD New Zealand
ESP Spain
SEK Sweden
<PAGE>
CitiSelect VIP Folio 500
Forward currency contracts which were open at December 31, 1998 are as follows:
<TABLE>
<CAPTION>
Unrealized
Market Aggregate Delivery Date Appreciation
Currency Country Value Face Value of Contracts (Depreciation)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) Germany $ 50,490 $ 50,486 February-99 $ 4
Dollar (Buy) ...... Australia 6,742 7,036 January-99 (294)
Dollar (Sell) ..... Australia 613 619 January-99 6
Dollar (Buy) ...... Canada 77,206 76,579 February-99 627
Dollar (Sell) ..... Canada 51,686 51,517 January-99 (169)
Dollar (Buy) ...... Hong Kong 24,848 24,602 February-99 246
Dollar (Sell) ..... Hong Kong 24,848 23,894 February-99 (954)
Dollar (Sell) ..... Hong Kong 40,575 40,152 April-99 (423)
Dollar (Sell) ..... New Zealand 52,107 51,593 January-99 (514)
Dollar (Sell) ..... New Zealand 10,533 10,547 March-99 14
Drachma (Sell) .... Greece 8,859 8,854 February-99 (5)
Escudo(Buy) ....... Portugal 3,483 3,482 January-99 1
Franc (Buy) ....... Belgium 22,752 22,831 January-99 (79)
Franc (Sell) ...... France 4,656 4,651 January-99 (5)
Franc (Buy) ....... Switzerland 29,262 29,940 February-99 (678)
Franc (Sell) ...... Switzerland 19,752 20,408 February-99 656
Franc (Sell) ...... Switzerland 5,107 5,271 January-99 164
Guilder (Sell) .... Netherlands 4,796 4,772 January-99 (24)
Krona (Buy) ....... Sweden 19,834 20,311 January-99 (477)
Krona (Sell) ...... Sweden 56,917 59,984 January-99 3,067
Krone (Buy) ....... Norway 30,634 31,233 January-99 (599)
Krone (Sell) ...... Denmark 18,396 18,147 January-99 (249)
Lira (Buy) ........ Italy 65,533 65,776 January-99 (243)
Lira (Buy) ........ Italy 3,177 3,190 February-99 (13)
Markka (Buy) ...... Finland 5,891 5,799 January-99 92
Peseta (Sell) ..... Spain 62,684 63,383 February-99 699
Pound (Buy) ....... Great Britain 43,168 43,810 January-99 (642)
Pound (Buy) ....... Ireland 2,977 2,947 January-99 30
Schilling (Buy) ... Austria 8,369 8,175 January-99 194
Yen (Buy) ......... Japan 185,030 180,354 February-99 4,676
Yen (Sell) ........ Japan 36,401 34,425 February-99 (1,976)
--------
$ 3,132
========
</TABLE>
<PAGE>
CitiSelect(R) VIP Portfolios
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
CitiSelect(R) CitiSelect(R) CitiSelect(R) CitiSelect(R)
VIP VIP VIP VIP
December 31, 1998 Folio 200 Folio 300 Folio 400 Folio 500
===================================================================================================================================
<S> <C> <C> <C> <C>
Assets:
Investments, at value (Note1A) (Identified Cost, $15,187,553
$24,048,282, $14,932,611 and $5,842,644 respectively) $ 15,577,353 $ 24,757,524 $ 15,291,985 $ 5,995,609
Foreign currency, (cost $2,724, $5,297, $6,546 and $1,255
respectively) at value 3,068 5,356 6,528 1,269
Cash 1,125 1,118 1,718 989
Receivable for securities sold 534,006 888,690 542,479 55,001
Receivable for forward contracts 40,833 67,349 39,703 10,476
Dividends receivable 4,435 10,647 10,207 7,233
Interest receivable 121,941 192,681 75,712 18,301
Receivable from sub-administrator (Note 6) 58,371 67,566 49,559 52,684
Other assets 683 2,742 7,365 5,145
- -----------------------------------------------------------------------------------------------------------------------------------
Total assets 16,341,815 25,993,673 16,025,256 6,146,707
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Payable for securities purchased 2,247,735 3,162,869 2,172,847 378,259
Payable for forward contracts 35,608 52,743 38,136 7,344
Accrued expenses and other liabilities 63,626 64,781 63,641 57,578
- -----------------------------------------------------------------------------------------------------------------------------------
Total liabilities 2,346,969 3,280,393 2,274,624 443,181
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets for 1,345,064, 2,129,027, 1,344,262 and 662,033 shares,
respectively, of beneficial interest outstanding $ 13,994,846 $ 22,713,280 $ 13,750,632 $ 5,703,526
===================================================================================================================================
Net Assets Consist of:
Paid-in capital $ 13,583,072 $ 22,028,492 $ 13,511,256 $ 5,655,160
Undistributed (Overdistributed) net investment income (8,737) 9,442 (25,934) (27,026)
Accumulated net realized gain (loss) on investments 36,641 (40,243) (87,522) (78,255)
Unrealized appreciation of investments, forward currency contracts,
foreign currency and other assets and liabilities 383,870 715,589 352,832 153,647
- -----------------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 13,994,846 $ 22,713,280 $ 13,750,632 $ 5,703,526
===================================================================================================================================
Net Asset Value Per Share of Beneficial Interest $ 10.40 $ 10.67 $ 10.23 $ 8.62
===================================================================================================================================
</TABLE>
See notes to financial statements
<PAGE>
CitiSelect(R) VIP Portfolios
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
CitiSelect(R) CitiSelect(R) CitiSelect(R) CitiSelect(R)
VIP VIP VIP VIP
For the Period Ended December 31, 1998 Folio 200 Folio 300 Folio 400 Folio 500
======================================================================================================================
<S> <C> <C> <C> <C>
Investment Income:
Interest (Note 1B) $ 454,584 $ 583,045 $ 243,260 $ 73,911
Dividends (net of foreign tax of $2,048, $5,515,
$8,291, and $9,229) 52,110 $ 119,218 130,358 115,679
- ----------------------------------------------------------------------------------------------------------------------
Total investment income 506,694 702,263 373,618 189,590
- ----------------------------------------------------------------------------------------------------------------------
Expenses:
Custodian fees and accounting fees 366,285 409,364 385,819 332,280
Management fees (Note 2) 93,713 147,435 101,729 63,903
Transfer agent fees 27,981 27,999 27,993 27,995
Audit fees 21,900 20,000 20,000 20,000
Legal fees 5,120 5,114 5,920 5,120
Shareholder reports 7,668 7,668 7,668 7,668
Trustees fees 7,104 7,268 7,140 7,063
Miscellaneous 7,379 9,520 7,868 7,434
- ----------------------------------------------------------------------------------------------------------------------
Total expenses 537,150 634,368 564,137 471,463
- ----------------------------------------------------------------------------------------------------------------------
Less aggregate amounts waived by the Manager (Note 2) (69,874) (99,660) (56,202) (31,720)
Less expenses assumed by the Sub-Administrator (Note 6) (348,851) (348,380) (338,844) (333,134)
- ----------------------------------------------------------------------------------------------------------------------
Net expenses 118,425 186,328 169,091 106,609
- ----------------------------------------------------------------------------------------------------------------------
Net investment income 388,269 515,935 204,527 82,981
- ----------------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency Transactions:
Net realized gain from investments
purchased options, swaps and futures 373,854 283,982 247,355 976,832
Net realized gain (loss) from forward currency
contracts and foreign currency transactions 49,747 155,772 66,885 (9,104)
Net unrealized appreciation (depreciation) on investments,
forward currency contracts, foreign currency, futures and
other assets and liabilities 14,646 220,563 (293,988) (523,471)
- ----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investments 438,247 660,317 20,252 444,257
- ----------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations $ 826,516 $ 1,176,252 $ 224,779 $ 527,238
======================================================================================================================
</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
===============================================================================
For the Period For the Period
Year February 10, 1997* Year February 10, 1997*
Ended to Ended to
December 31, 1998 December 31, 1997 December 31, 1998 December 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations:
Net investment income $ 388,269 $ 324,583 $ 515,935 $ 318,014
Net realized gain (loss) from investments,
forward currency contracts, foreign currency
transactions, futures and swaps 423,601 149,835 439,754 201,298
Net unrealized appreciation of investments, forward
currency contracts, foreign currency, futures,
swaps and other assets and liabilities 14,646 369,224 220,563 495,026
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 826,516 843,642 1,176,252 1,014,338
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions:
Net income (357,920) (324,560) (456,314) (318,014)
Net realized gain on investments (278,961) (149,835) (229,154) (201,298)
In excess of net income (118,866) -- (207,730) (256)
In excess of realized gain on investments -- (28,242) (3,960) (89,076)
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to
shareholders (755,747) (502,637) (897,158) (608,644)
- ------------------------------------------------------------------------------------------------------------------------------------
Transactions in Shares of Beneficial Interest
(Note 5):
Net proceeds from sale of shares 7,624,696 18,111,458 10,104,875 23,976,027
Net asset value of shares issued to shareholders
from reinvestment of distributions 755,747 502,637 897,158 608,644
Cost of shares repurchased (4,777,431) (8,634,035) (2,759,510) (10,798,702)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from transactions
in shares of beneficial interest 3,603,012 9,980,060 8,242,523 13,785,969
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 3,673,781 10,321,065 8,521,617 14,191,663
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Beginning of period 10,321,065 -- 14,191,663 --
- ------------------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed/
(overdistributed) net investment income of
$(8,737), $(30,349), $9,442 and $(59,621),
respectively) $13,994,846 $ 10,321,065 $ 22,713,280 $ 14,191,663
====================================================================================================================================
</TABLE>
* Commencement of Operations
See notes to financial statements
<PAGE>
CitiSelect(R) VIP Portfolios
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CitiSelect(R) VIP Folio 400 CitiSelect(R) VIP Folio 500
===============================================================================
For the Period For the Period
Year February 10, 1997* Year February 10, 1997*
Ended to Ended to
December 31, 1998 December 31, 1997 December 31, 1998 December 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets from:
Operations:
Net investment income $ 204,527 $ 203,026 $ 82,981 $ 134,213
Net realized gain (loss) from investments, forward
currency contracts, foreign currency transactions
and futures 314,240 296,072 967,728 326,068
Net unrealized appreciation (depreciation) of
investments, forward currency contracts, foreign
currency, futures and other assets and liabilities (293,988) 646,820 (523,471) 677,118
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 224,779 1,145,918 527,238 1,137,399
- ------------------------------------------------------------------------------------------------------------------------------------
Distributions:
Net income (105,817) (203,026) (26,227) (134,213)
Net realized gain on investments (250,270) (296,072) (938,678) (326,068)
In excess of net income (144,202) (64,623) (74,420) (49,682)
In excess of realized gain on investments (5,860) (61,451) (30,861) (36,122)
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to
shareholders (506,149) (625,172) (1,070,186) (546,085)
- ------------------------------------------------------------------------------------------------------------------------------------
Transactions in Shares of Beneficial Interest (Note 5):
Net proceeds from sale of shares 4,599,775 21,130,190 2,776,517 13,699,362
Net asset value of shares issued to shareholders from
reinvestment of distributions 506,149 625,172 1,070,186 546,085
Cost of shares repurchased (2,352,876) (10,997,154) (8,143,739) (4,293,251)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from transactions
in shares of beneficial interest 2,753,048 10,758,208 (4,297,036) 9,952,196
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 2,471,678 11,278,954 (4,839,984) 10,543,510
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Beginning of period 11,278,954 -- 10,543,510 --
- ------------------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed/
(overdistributed) net investment income of
$(25,934), $(98,710), $(27,026) and
$(56,754), respectively) $13,750,632 $ 11,278,954 $ 5,703,526 $ 10,543,510
====================================================================================================================================
</TABLE>
* Commencement of Operations
See notes to financial statements
<PAGE>
CitiSelect(R) VIP Portfolios
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CitiSelect(R) VIP Folio 200 CitiSelect(R) VIP Folio 300
===============================================================================
For the Period For the Period
Year February 10, 1997++ Year February 10, 1997++
Ended to Ended to
December 31, 1998 December 31, 1997 December 31, 1998 December 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $ 10.25 $10.00 $10.38 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
Income from Operations:
Net investment income+ 0.316 0.339 0.271 0.251
Net realized and unrealized gain (loss) on investments 0.427 0.436 0.458 0.609
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.743 0.775 0.729 0.860
- ------------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.281) (0.339) (0.223) (0.251)
Net realized gain on investments (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 (0.593) (0.525) (0.439) (0.480)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $ 10.40 $10.25 $10.67 $10.38
====================================================================================================================================
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) $13,995 $10,321 $22,713 $14,192
Ratio of expenses to average net assets 0.95% 0.95%* 0.95% 0.95%*
Ratio of net investment income to average net assets 3.11% 3.43%* 2.62% 3.00%*
Portfolio turnover rate 255% 231% 204% 241%
Total return 7.33% 7.79%** 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+ $(0.025) $(0.006) $ 0.036 $ (0.025)
RATIOS:
Expenses to average net assets 4.30% 4.44%* 3.23% 4.25%*
Net investment income (loss) to average net assets (0.24)% (0.06)%* 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
</TABLE>
See notes to financial statements
<PAGE>
CitiSelect(R) VIP Portfolios
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CitiSelect(R) VIP Folio 400 CitiSelect(R) VIP Folio 500
===============================================================================
For the Period For the Period
Year February 10, 1997++ Year February 10, 1997++
Ended to Ended to
December 31, 1998 December 31, 1997 December 31, 1998 December 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.28 $10.00 $10.48 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
Income from Operations:
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income+ 0.176 0.212 0.172 0.148
Net realized and unrealized gain (loss) on investment 0.165 0.701 (0.065) 0.917
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.341 0.913 0.107 1.065
- ------------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.082) (0.206) (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 (0.391) (0.633) (1.967) (0.585)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.23 $10.28 $8.62 $10.48
====================================================================================================================================
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) $13,751 $11,279 $5,704 $10,544
Ratio of expenses to average net assets 1.25% 1.25%* 1.25% 1.25%*
Ratio of net investment income to average net assets 1.50% 2.03%* 0.97% 1.45%*
Portfolio turnover rate 265% 230% 146% 134%
Total return 3.42% 9.22%** 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+ $(0.164) $(0.124) $(0.584) $(0.186)+
Ratios:
Expenses to average net assets 4.16% 4.46%* 5.53% 4.52%*
Net investment (loss) to average net assets (1.41)% (1.18)%* (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.
</TABLE>
See notes to financial statements
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
1. Significant Accounting Policies CitiSelect(R) VIP Folio 200, CitiSelect(R)
VIP Folio 300, CitiSelect(R) VIP Folio 400 and CitiSelect(R) VIP Folio 500 (the
"Funds") are each a separate series of Variable Annuity Portfolios (the
"Trust"), a Massachusetts business trust. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end, management
investment company. Citibank, N.A. ("Citibank" or the Manager) is the Investment
Manager of each of the Funds. CFBDS, Inc. ("CFBDS", formerly Landmark Funds
Broker-Dealer Services, Inc.) acts as the Funds' Sub-Administrator. Shares of
each Fund may only be purchased or redeemed through variable annuity contracts
and variable life insurance policies offered by the separate accounts of
participating insurance companies.
The financial statements are prepared in accordance with U.S. generally
accepted accounting principles which require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Funds are as
follows:
A. Investment Security Valuations -- Equity securities are valued at the last
sale price on the exchange on which they are primarily traded, or at the quoted
bid price for securities in which there were no sales during the day, or for
unlisted securities not reported on the NASDAQ system. Securities listed on a
foreign exchange are valued at the last quoted sale price available. Bonds,
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 (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 (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 instrument for
the return generated by another instrument. The value of each swap is determined
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
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. For the period ended
December 31, 1998 CitiSelect(R) VIP Folio 200, CitiSelect(R) VIP Folio 300,
CitiSelect(R) VIP Folio 400 CitiSelect(R) VIP
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
Folio 500 reclassified $110,129, $217,172, $118,268 and $8,875, respectively, to
un/overdistributed net investment income from accumulated/overdistributed net
realized gains/loss on investments.
L. Beneficial Interest -- At December 31, 1998, 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 Citigroup, Inc.
The management fees paid to Citibank, are accrued daily and payable monthly.
The management fee is computed at the annual rate of 0.75% of each of the Funds'
average daily net assets.
The management fees paid to Citibank for CitiSelect(R) VIP Folio 200,
CitiSelect(R) VIP Folio 300, CitiSelect(R) VIP Folio 400 and CitiSelect(R) VIP
Folio 500 amounted to $93,713, $147,435, $101,729 and $63,903, respectively, of
which $69,874, $99,660, $56,202 and $31,720, respectively were voluntarily
waived for the year ended December 31, 1998. The Trust pays no compensation
directly to any Trustee or any other officer who is affiliated with the
Administrator, all of whom receive remuneration for their services to the Trust
from the Administrator or its affiliates.
3. Purchases and sales of investments Purchases and sales of securities, other
than short-term obligations, for the year ended December 31, 1998, were as
follows:
Purchases Sales
================================================================================
CitiSelect(R)VIP Folio 200 $27,301,851 $25,119,806
CitiSelect(R)VIP Folio 300 $44,240,992 $36,004,560
CitiSelect(R)VIP Folio 400 $35,184,864 $32,928,039
CitiSelect(R)VIP Folio 500 $11,638,973 $16,526,765
================================================================================
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
4. Federal income tax basis of investments The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at December 31, 1998,
as computed on a federal income tax basis, are as follows:
CitiSelect(R) VIP Folio 200
================================================================================
Aggregate cost $15,230,374
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 847,024
Gross unrealized depreciation (500,045)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 346,979
================================================================================
CitiSelect(R) VIP Folio 300
================================================================================
Aggregate cost $24,139,938
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,733,386
Gross unrealized depreciation (1,115,800)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 617,586
================================================================================
CitiSelect(R) VIP Folio 400
================================================================================
Aggregate cost $15,016,457
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,414,526
Gross unrealized depreciation (1,138,998)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 275,528
================================================================================
CitiSelect(R) VIP Folio 500
================================================================================
Aggregate cost $ 5,913,114
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 647,340
Gross unrealized depreciation (564,845)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 82,495
================================================================================
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:
Year Ended December 31,
-------------------------------
CitiSelect(R) VIP Folio 200 1998 1997
================================================================================
Shares sold 717,008 1,779,423
Shares reinvested 73,568 49,423
Shares repurchased (452,335) (822,023)
- -------------------------------------------------------------------------------
Net increase 338,241 1,006,823
================================================================================
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
CitiSelect(R) VIP Folio 300
================================================================================
Shares sold 940,860 2,343,967
Shares reinvested 85,664 59,206
Shares repurchased (264,486) (1,036,184)
- --------------------------------------------------------------------------------
Net increase 762,038 1,366,989
================================================================================
CitiSelect(R) VIP Folio 400
================================================================================
Shares sold 427,052 2,073,367
Shares reinvested 50,740 61,714
Shares repurchased (230,870) (1,037,741)
- --------------------------------------------------------------------------------
Net increase 246,922 1,097,340
================================================================================
CitiSelect(R) VIP Folio 500
================================================================================
Shares sold 254,345 1,351,914
Shares reinvested 127,447 53,069
Shares repurchased (725,934) (398,808)
- --------------------------------------------------------------------------------
Net increase (decrease) (344,142) 1,006,175
================================================================================
Citicorp Life Insurance Co. and First Citiicorp 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 year ended December 31, 1998. The amounts are as follows:
CitiSelect(R) VIP Folio 200 $348,851
CitiSelect(R) VIP Folio 300 $348,380
CitiSelect(R) VIP Folio 400 $338,844
CitiSelect(R) VIP Folio 500 $333,134
<PAGE>
CitiSelect(R) VIP Portfolios
NOTES TO FINANCIAL STATEMENTS (Continued)
To the Trustees of Variable Annuity Portfolios and the Shareholders of
CitiSelect(R) VIP Folio 200
CitiSelect(R) VIP Folio 300
CitiSelect(R) VIP Folio 400
CitiSelect(R) VIP Folio 500
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CitiSelect(R) VIP Folio 200,
CitiSelect(R) VIP Folio 300, CitiSelect(R) VIP Folio 400 and CitiSelect(R) VIP
Folio 500 (four of the funds constituting Variable Annuity Portfolios, hereafter
referred to as the "Funds") at December 31, 1998, the results of each of their
operations, the changes in their net assets and their financial highlights for
the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities owned at December 31, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 19, 1999
<PAGE>
CitiFunds(SM)
Small Cap Growth
VIP Portfolio
Annual Report
December 31, 1998
We are pleased to present this annual report for the CitiFundsSM Small Cap
Growth VIP Portfolio. The report covers the year from January 1, 1998 to
December 31, 1998. The CitiFunds Small Cap Growth VIP Portfolio's investment
manager, Citibank, N.A., discusses the market conditions it faced, the
strategies it employed and its outlook for the future.
We are also pleased to announce the appointment of Marguerite Wagner as
portfolio manager of the CitiFunds Small Cap Growth VIP Portfolio effective
January, 1999. Ms. Wagner joined Citibank in 1985 and has been a member of the
small capitalization equity management group of Citibank Global Asset Management
since 1992.
Thank you for your participation in the CitiFunds Small Cap Growth VIP
Portfolio. We look forward to serving your variable annuity investment needs in
the future.
-------------------------------------------------------
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
-------------------------------------------------------
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
1998 was a difficult year for the stocks in the small-cap sector of the U.S.
stock market. Gains achieved during the first few months of 1998 were later
retraced when U.S. and global financial markets declined sharply in response to
the currency and credit crisis that began last year in Southeast Asia. During
the summer of 1998, it became more apparent that spreading global financial
problems would have a greater effect on the earnings of U.S. companies than most
analysts had anticipated. Investors reacted by selling investments they
perceived as risky. As a result, small-capitalization stocks, corporate bonds
and many non-U.S. securities experienced steep price declines.
Large-capitalization growth stocks also declined, but to a lesser extent.
Small-capitalization growth stocks were particularly hard-hit during this
past summer's sell-off. Investors seeking risk-averse investments in
anticipation of a slower economy preferred the relative security of large
companies with proven track records of revenue growth, earnings growth and
strong balance sheets. Because many small-cap stocks are relatively young
companies, they tend to have shorter track records, and as a result, they tend
to be more volatile during uncertain times. Therefore, even small-cap growth
stocks with sound fundamentals and bright future prospects declined during the
third quarter of 1998.
The small-cap stock market rebounded strongly in the fourth quarter after
the U.S. Federal Reserve reduced key short-term interest rates in an effort to
stimulate economic growth. In addition, the International Monetary Fund took
steps to stop the spread of the global financial crisis, and the Japanese
government announced long-awaited reforms of its troubled banking system.
We continued to apply our disciplined stock selection process in this
environment. Our investment process carefully evaluates the fundamental
characteristics of companies that we expect to deliver above-average revenue and
earnings growth. We took steps to reduce the overall volatility of the portfolio
during the summer by shifting assets to companies with market capitalizations
toward the higher end of our range and with a demonstrated ability to maintain
earnings growth under difficult economic conditions. We also attempted to
diversify more by increasing the number of positions in the portfolio.
Although we evaluate companies one at a time rather than investing in
response to macroeconomic trends, the changes we make to the portfolio led to a
change in the mix of industries and market sectors. For example, we increased
our technology representation, and we were able to identify growing domestic
technology businesses that were selling at attractive prices. Similarly, we
increased our holdings of certain financial services companies, such as regional
banks. Despite having little or no exposure to overseas credit markets, these
smaller bank stocks had been punished along with large money-center banks, whose
earnings suffered from weakness in foreign markets. As a result, we were able to
acquire the stocks of sound domestic banks at attractive valuation levels during
the third quarter, positioning us well for the rebound in the fourth quarter.
Finally, we increased our holdings of health care companies, which tend to be
less sensitive to economic slow-downs.
Valuation measures indicate that small-cap stocks continue to be attractively
priced relative to larger-cap stocks. At the same time, prices of many large-cap
growth stocks remain near the high end of their valuation ranges. We believe
that such a large disparity is unsustainable over the long term. Despite signs
of renewed strength during the fourth quarter of 1998, we cannot predict the
timing of a return to more reasonable price relationships between small- and
large-cap growth stocks. We believe, however, that a rebound for small-cap
stocks is ahead. Accordingly, we are maintaining the disciplined approach that
has worked well for us in the past: buying the stocks of small-capitalization
companies that we believe are likely to become the mid-cap and large-cap leaders
of tomorrow.
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK (Continued)
Looking forward over the near term, we anticipate slower economic growth
and low inflation. This environment may reduce earnings for many companies,
contributing to continued volatility in the stock market. When global economic
growth reaccelerates, so should corporate profits.
Unlike the past three years, however, when large-cap stocks led the
market's advance, we expect leadership to shift to smaller companies.
Historically, market declines are usually followed by a change in leadership.
Considering the above-average growth prospects and attractive current valuations
of many small-cap growth stocks, we believe that small companies may be poised
for strong returns over the long term.
<PAGE>
FUND PERFORMANCE
Total Returns
Since
One 2/10/97
All Periods Ended December 31, 1998 Year Inception*
================================================================================
CitiFunds Small Cap Growth VIP Portfolio ............. (3.80)% 4.08%
Russell 2000(R)Index ................................. 1.24% 18.57%
* Average Annual Total Return
Growth of a $10,000 Investment
A $10,000 investment in the Fund made on inception date would have grown to
$10,784 (as of 12/31/98). The graph shows how the Fund compares to our
benchmarks over the same period.
[THE FOLLOWING TABLE WAS PRESENTED AS A LINE GRAPH IN THE PRINTED DOCUMENT]
CitiFunds
Small Cap
Growth VIP Russell
Date Portfolio 2000 Index
- ---- --------- ----------
Feb-1997 $10,000 $10,000
Mar-1997 $ 9,050 $ 9,297
Jun-1997 $10,520 $10,805
Sep-1997 $11,960 $12,413
Dec-1997 $11,210 $11,997
Mar-1998 $12,660 $13,204
Jun-1998 $12,490 $12,587
Sep-1998 $ 9,240 $10,051
Dec-1998 $10,784 $11,691
Notes: All Fund performance numbers represent past performance, and are no
guarantee of future results. The Fund's share price and investment return will
fluctuate, so that the value of an investor's shares, when redeemed, may be
worth more or less than their original cost. Total returns include change in
share price and reinvestment of dividends and distributions, if any. Total
return figures are provided in accordance with SEC guidelines for comparative
purposes for prospective investors. Total returns reflect certain voluntary fee
waivers. If the waivers were not in place, total returns would be lower.
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
PORTFOLIO OF INVESTMENTS December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------------------
COMMON STOCK - 97.3%
- --------------------------------------------------------------------------------
Commercial Services - 17.1%
- --------------------------------------------------------------------------------
AHL Services Inc.* 760 $ 23,750
Abacus Direct Corp.* 695 31,623
Catalina Marketing Corp.* 426 29,128
Central Packing Corp. 282 9,147
Ha Lo Industrials Inc.* 654 24,607
Lamar Advertising Co.* 1,158 43,136
Metzler Group Inc.* 842 40,995
NFO Worldwide Inc.* 894 10,281
Probusiness Services Inc.* 1,06 148,276
Profit Recovery Group* 1,136 42,529
Romac International Inc.* 875 19,469
Wilmar Industries Inc.* 996 20,231
-----------
343,172
-----------
Consumer Non-Durable - 2.3%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 479 21,405
Horizon Organic Holdings
Corp.* 642 9,951
Natrol Inc.* 752 8,272
Wiley, John & Son--
Class A 125 6,039
-----------
45,667
-----------
Consumer Services - 8.8%
- --------------------------------------------------------------------------------
Devry Inc.* 940 28,788
Heftel Broadcasting Corp.*--
Class A 867 42,700
Metro Networks Inc.* 707 30,136
Premier Parks Inc.* 778 23,535
SFX Entertainment Inc.*--
Class A 565 31,004
Sylvan Learning System Inc.* 686 20,923
-----------
177,086
-----------
Electronics/Technological
Services - 14.0%
- --------------------------------------------------------------------------------
American Tower Corp.*--
Class A 784 23,177
C Cube Microsystems Inc.* 776 21,049
Electronics For Imaging Inc.* 600 24,113
Jabil Circuit Inc.* 231 17,238
Level One Communications
Inc.* 755 26,803
Microchip Technology Inc.* 255 9,435
Micron Electronics Inc.* 1,278 $ 22,125
Network Appliance Inc.* 794 35,730
Novellus System Inc.* 401 19,850
Sipex Corp.* 1,402 49,245
Tekelec Inc.* 1,232 20,405
Western Wireless Corp.* 487 10,714
-----------
279,884
-----------
Energy/Mineral - 1.2%
- --------------------------------------------------------------------------------
Petroleum Geo. Services *--
ADR's 1,476 23,247
-----------
Finance - 6.8%
- --------------------------------------------------------------------------------
Centura Banks Inc. 347 25,808
Cullen Frost Bankers Inc. 584 32,047
Enhance Financial Service
Group Inc. 526 15,780
Executive Risk Inc. 546 29,996
Peoples Heritage Financial
Group* 1,570 31,400
-----------
135,031
-----------
Health Services/Technology - 12.1%
- --------------------------------------------------------------------------------
Agouron Pharmaceuticals
Inc.* 137 8,049
Andrx Corp.* 365 18,706
Barr Labs Inc.* 585 28,080
Medimmune Inc.* 134 13,325
PSS World Medical Inc.* 450 10,350
Parexel International Corp.* 980 24,500
Professional Detailing Inc.* 904 25,538
Roberts Pharmaceutical
Corp.* 1,310 28,492
Steris Corp.* 924 26,276
Total Renal Care Holdings
Inc.* 1,703 50,345
Viropharma Inc.* 1,005 9,359
-----------
243,020
-----------
Industrial Services - 3.0%
- --------------------------------------------------------------------------------
Rental Services Corp.* 1,510 23,688
Service Experts Inc.* 826 24,161
Waste Connections Inc.* 645 11,852
-----------
59,701
-----------
Producer Industries - 2.5%
- --------------------------------------------------------------------------------
Aptargroup Inc. 709 19,896
Om Group Inc.* 846 30,879
-----------
50,775
-----------
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1998
Issuer Shares Value
- --------------------------------------------------------------------------------
COMMON STOCK - 97.3%
- --------------------------------------------------------------------------------
Producer Manufacturing - 7.6%
- --------------------------------------------------------------------------------
CDW Computer
Centers Inc.* 224 $ 21,490
Linens N Things Inc.* 466 18,465
Men's Wearhouse Inc.* 731 23,209
Tiffany & Co. 362 18,776
Tower Automotive Inc.* 1,666 41,546
Whole Foods Market Inc.* 611 29,557
-----------
153,043
-----------
Technology Services - 17.5%
- --------------------------------------------------------------------------------
Aspect Development Inc.* 546 24,195
Bisys Group Inc.* 286 14,765
Data General Corp.* 793 13,035
Engineering Animation Inc.* 331 17,874
ICG Communications Inc.* 921 19,802
Legato Systems Inc.* 488 32,178
Lernout & Hauspie Speech
Products* 583 19,020
Lycos Inc.* 637 35,393
Macromedia Inc.* 695 23,413
Mercury Interactive Corp.* 191 12,081
NTL Inc.* 375 21,164
Rational Software Corp.* 962 25,493
RSL Communications Ltd.*--
Class A 512 15,104
Sapient Corp.* 217 12,152
Skytel Communications Inc.* 838 18,541
Transaction System
Architects Inc.*--Class A 260 13,000
Whittman - Hart Inc.* 1,246 34,421
-----------
351,631
-----------
Transportation - 4.4%
- --------------------------------------------------------------------------------
Eagle USA Airfreight Inc.* 1,455 35,648
Hub Group Inc.*--Class A 529 10,248
Skywest Inc. 371 12,127
United Road Services Inc.* 1,664 30,576
-----------
88,599
-----------
Total Common Stocks
(Identified cost $1,695,502) 1,950,856
-----------
Issuer Value
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATION--5.5%
- --------------------------------------------------------------------------------
State Street
Repurchase Agreement
2.00% due 1/04/99
proceeds at maturity
$110,024
(collateralized by $
70,000 U.S. Treasury
Note 10.625% due
08/15/15, valued at
$114,133) $ 110,000
-----------
Total Investments
(Identified Cost
$1,805,502) 102.8% 2,060,856
Other Assets,
Less Liabilities (2.8) (55,127)
-----------
Net Assets 100.0% $2,005,729
===========
*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
December 31, 1998
================================================================================
Assets:
Investments at value (Note 1A) (Identified Cost, $1,805,502) $2,060,856
Cash 389
Receivable for securities sold 8,150
Dividends and interest receivable 29
Receivable from the Sub-Administrator 11,573
- --------------------------------------------------------------------------------
Total assets 2,080,997
- --------------------------------------------------------------------------------
Liabilities:
Payable for securities purchased 42,650
Accrued expenses and other liabilities 32,618
- --------------------------------------------------------------------------------
Total liabilities 75,268
- --------------------------------------------------------------------------------
Net Assets for 208,898 shares of beneficial interest outstanding $2,005,729
================================================================================
Net Assets Consist of:
Paid-in capital $1,763,279
Unrealized appreciation of investments 255,354
Accumulated net realized loss on investments (12,904)
- --------------------------------------------------------------------------------
Total $2,005,729
================================================================================
Net Asset Value and Redemption Price Per Share of Beneficial Interest $9.60
================================================================================
CitiFunds Small Cap Growth VIP Portfolio
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1998
================================================================================
Investment Income (Note 1B):
Dividend income $ 4,172
Interest income 1,278
- --------------------------------------------------------------------------------
$ 5,450
- --------------------------------------------------------------------------------
Expenses:
Custody and fund accounting fees $ 62,434
Transfer agent fees 26,460
Management fees (Note 2) 19,462
Audit fees 15,700
Shareholder reports 9,876
Trustees fees 6,568
Legal fees 4,120
Registration fees 801
Miscellaneous 3,615
- --------------------------------------------------------------------------------
Total expenses 149,036
Less expenses assumed by the Sub-
Administrator (Note 6) (106,177)
Less aggregate amount waived by the Manager (Note 2) (19,462)
- --------------------------------------------------------------------------------
Net expenses 23,397
- --------------------------------------------------------------------------------
Net investment loss (17,947)
- --------------------------------------------------------------------------------
Net Realized and Unrealized Gain on Investments:
Net realized gain on investments 368,740
Unrealized depreciation of investments (303,546)
- --------------------------------------------------------------------------------
Net realized and unrealized gain on investments 65,194
- --------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations $47,247
================================================================================
See notes to financial statements
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
STATEMENT OF CHANGES IN NET ASSETS
February 10,
1997
(Commencement
Year Ended of Operations)
December 31, to December
1998 31, 1997
================================================================================
Increase (Decrease) in Net Assets from:
Operations:
Net investment loss $ (17,947) $ (13,699)
Net realized gain (loss) on investments 368,740 (170,336)
Unrealized appreciation (depreciation) of
investments (303,546) 558,900
- --------------------------------------------------------------------------------
Net increase in net assets resulting from
operations 47,247 374,865
- --------------------------------------------------------------------------------
Distributions:
Net realized gain on investments (211,308) --
- --------------------------------------------------------------------------------
Transactions in Shares of Beneficial Interest
(Note 5):
Net proceeds from sale of shares 1,433,019 3,994,408
Net asset value of shares issued to shareholders
from reinvestment of distributions 211,308 --
Cost of shares repurchased (2,565,888) (1,277,922)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets from
transactions in shares of beneficial interest (921,561) 2,716,486
- --------------------------------------------------------------------------------
Net Increase in Net Assets (1,085,622) 3,091,351
- --------------------------------------------------------------------------------
Net Assets:
Beginning of period 3,091,351 --
- --------------------------------------------------------------------------------
End of period (undistributed net investment
income of $0 and $0 respectively) $2,005,729 $3,091,351
================================================================================
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
FINANCIAL HIGHLIGHTS
February 10,
1997
(Commencement
Year Ended of Operations)
December 31, to December
1998 31, 1997
================================================================================
Net Asset Value, beginning of period $11.21 $10.00
Income From Operations:
Net investment loss (0.08)+ (0.05)+
Net realized gain (loss) on investments (0.42)# 1.26
- --------------------------------------------------------------------------------
Total from operations (0.50) 1.21
- --------------------------------------------------------------------------------
Less Distributions From:
Net realized gain on investments (1.11) 0
- --------------------------------------------------------------------------------
Net Asset Value, end of period $9.60 $11.21
================================================================================
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) $2,006 $3,091
Ratio of expenses to average net assets 0.90% 0.90%*
Ratio of net investment loss to average net assets (0.72)% (0.49)%*
Portfolio turnover 94% 113%
Total return (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 $(0.64)+ $(0.52)+
Ratios:
Expenses to average net assets 5.74% 5.50%*
Net investment loss to average net assets (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
1. Significant Accounting Policies The CitiFunds Small Cap Growth VIP
Portfolio (formerly Landmark Small Cap Equity VIP Fund) (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
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
NOTES TO FINANCIAL STATEMENTS (Continued)
income and net realized gains available for distribution (or available capital
loss carryovers) under income tax rules and regulations. For the period ended
December 31, 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 December 31, 1998, insurance companies or
their separate accounts were the record owners of all the shares of the Fund.
(See Note 5)
H. Other -- Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
2. Management Fees Citibank is responsible for overall management of the Fund's
business affairs, and has a separate Management Agreement with the Fund.
Citibank also provides certain administrative services to the Fund. These
administrative services include providing general office facilities and
supervising the overall administration of the Fund. CFBDS acts as
Sub-Administrator and performs such duties and receives such compensation from
Citibank as from time to time is agreed to by Citibank and CFBDS. Citibank is a
wholly-owned subsidiary of 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 $19,462, all
of which was voluntarily waived for the year ended December 31, 1998.
3. Purchases and Sales Of Investments Purchases and sales of investments, other
than short-term obligations, aggregated $2,359,990 and $3,401,891, respectively,
for the year ended December 31, 1998.
4. Federal Income Tax Basis Of Investments The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at December 31, 1998
as computed on a federal income tax basis, are as follows:
Aggregate cost $1,805,503
================================================================================
Gross unrealized appreciation $ 314,774
Gross unrealized depreciation (59,420)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 255,354
================================================================================
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
NOTES TO FINANCIAL STATEMENTS (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:
February 10, 1997
Year (Commencement of
Ended Operations) to
December 31, 1998 December 31, 1997
================================================================================
Shares sold 124,384 396,702
Shares reinvested 23,452 --
Shares repurchased (214,592) (121,048)
- --------------------------------------------------------------------------------
Net (decrease) increase (66,756) 275,654
================================================================================
Citicorp Life Insurance Co. and First Citicorp Life Insurance Co., directly and
through their separate accounts, own approximately 99.9% of the Fund.
6. Assumption Of Expenses CFBDS has voluntarily agreed to pay a portion of the
unwaived expenses of the Fund for the year ended December 31, 1998, which
amounted to $106,177.
<PAGE>
CitiFunds Small Cap Growth VIP Portfolio
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Variable Annuity Portfolios and the Shareholders of CitiFunds
Small Cap Growth VIP Portfolio.
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of CitiFunds Small Cap Growth VIP
Portfolio (one of the funds constituting Variable Annuity Portfolios, the
"Fund") at December 31, 1998, and the results of its operations, the changes in
its net assets and the financial highlights for the periods indicated in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, the
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities owned at
December 31, 1998 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 12, 1999
