CITISELECT(R) VIP PORTFOLIOS
----------------------------
ANNUAL REPORT
DECEMBER 31, 1999
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
CITISELECT(R) VIP FOLIO 300 BALANCED
CITISELECT(R) VIP FOLIO 400 GROWTH
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
Dear CitiSelect VIP Portfolios Shareholder:
The stock and bond markets provided uneven returns during 1999. In fact,
while some equity sectors, like small cap growth and international, had an
exceptional year, it was one of the worst bond markets in the past 30 years. As
a result, we are pleased to report that the diversification strategy that is the
core of the CitiSelect(R) VIP Portfolios' investment strategy fared well. Yet,
overall, management is disappointed by the Funds' returns since they are below
their expected long-term performance. And while no guarantees can be made,
management continues to believe that for long-term investors, the Funds'
diversification strategy should provide attractive returns while managing risk.
Throughout the reporting period, the investment adviser, Citibank, N.A.,
continued to manage the CitiSelect VIP Portfolios according to the investment
objectives and risk characteristics set forth for each individual portfolio.
Accordingly, CitiSelect VIP Folio 500 Growth Plus continued to produce the
highest returns with the greatest level of risk, while CitiSelect VIP Folio 400
Growth, CitiSelect VIP Folio 300 Balanced and CitiSelect 200 Conservative
provided incrementally lower returns and risks, respectively.
This report reviews the Portfolios' investment activities and performance
during the fiscal year ended December 31, 1999, and provides a summary of
Citibank's perspective on and outlook for the financial markets.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
- ----------------------
Philip W. Coolidge
President
January 17, 2000
------------------------------------------------------
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
------------------------------------------------------
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
ALTHOUGH SEVERAL MAJOR STOCK MARKET INDEXES ENDED 1999 AT OR NEAR RECORD
LEVELS, THE U.S. STOCK MARKET PROVIDED MIXED AND VOLATILE RETURNS OVER THE PAST
YEAR. While the economic and market conditions that fueled the U.S. stock
market's rise have remained largely intact--namely, strong economic growth, low
inflation, robust consumer spending and rising demand for U.S. exports--many
investors have become concerned that inflationary pressures might resurface. In
an effort to forestall a potential reacceleration of inflation, the Federal
Reserve Board (the "Fed") raised interest rates three times in 1999.
These economic conditions are in stark contrast to the environment of one
year ago. In November 1998, the Fed had completed a series of interest rate cuts
that were intended to stimulate global economic growth, which was then
threatened by the spread of an international currency and credit crisis. In
addition, the Fed wanted to help insulate the U.S. economy from any adverse
effects of a global economic slowdown. In hindsight, the Fed's strategy was
effective, because many overseas economies began to recover in 1999, and the
U.S. economy has continued its strong growth during the reporting period.
A GROWING GLOBAL ECONOMY HAS RAISED INFLATION CONCERNS AMONG BOTH STOCK AND
BOND INVESTORS WORLDWIDE. In the U.S. stock market, uncertainty regarding the
magnitude of interest rate changes resulted in higher levels of volatility. This
volatility reflected a dramatic shift in market sentiment as investors turned
their attention away from many of the large, well-known, high-quality companies
they had previously favored. Many investors seeking short-term gains gravitated
to the more speculative Internet companies that they believed possess
outstanding future potential, but may not have turned a profit to date.
GROWTH STOCKS GENERALLY CONTINUED TO PROVIDE STRONG RETURNS IN THE U.S.
MARKET, WHILE VALUE-ORIENTED STOCKS LANGUISHED (Growth investing consists of
investing in companies that appear to have the potential for faster-than-average
growth. Value investing consists of identifying securities of companies that are
believed to be undervalued in the market.) As a result, the value sectors of the
large and small cap markets were the primary detractors from the Portfolios'
performance during the reporting period. Despite relative valuations that have
widened to historical proportions relative to growth stocks, investors have
generally continued to shun value stocks.
IN THE U.S. BOND MARKET, CONSISTENTLY HIGHER INTEREST RATES ERODED THE PRICE
OF MOST BONDS. This was especially true for U.S. Treasury and government agency
securities, which declined sharply in price during the period. While higher
yielding sectors of the bond market such as corporate bonds saw their prices go
down, they generally suffered less severe declines than U.S. Treasuries.
AFTER SEVERAL YEARS OF UNDERPERFORMANCE RELATIVE TO U.S. STOCKS,
INTERNATIONAL STOCKS REPRESENTED ONE OF THE BETTER PERFORMING AREAS IN WHICH THE
PORTFOLIOS INVESTED. Returns in Asia and Japan were especially attractive,
largely because of higher inflows of capital as those regions began to recover
from their economic and financial problems. European stocks also provided
positive returns
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
in local currency terms, but prices generally remained flat for U.S. investors
after accounting for the effects of currency relationships.
Looking ahead, the Portfolios' management expects heightened volatility to
continue in the financial markets over the foreseeable future primarily due to
continuing uncertainty regarding inflation and interest rates. Over the longer
term, however, MANAGEMENT REMAINS POSITIVE ON BOTH STOCKS AND BONDS. When and if
prevailing uncertainty dissipates, the investment team believes that many
investors may once again recognize the compelling values offered by several
market sectors, including value stocks and small cap stocks.
<PAGE>
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
SINCE
ONE 2/10/97
YEAR INCEPTION*
----- ---------
CitiSelect(R)VIP Folio 200 Conservative .............. 1.57% 5.75%
Composite Benchmark+ ................................. 5.36% 9.43%
- --------------------------------------------------------------------------------
* 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
$11,751 (AS OF 12/31/99). THE GRAPH SHOWS HOW THE FUND COMPARES TO ITS
BENCHMARKS OVER THE SAME PERIOD.
[LINE CHART OMITTED]
[LINE CHART REPRESENTED BELOW IN ITS PRINTED FORM.]
Lehman Bros.
CitiSelect VIP Aggregate
Folio 200 Composite S&P 500 Index Bond Index
Conservative Benchmark+ (unmanaged) (unmanaged)
<plot points needed>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's returns would have been lower. Total
returns do not reflect charges attributable to your insurance company's separate
account. Inclusion of these charges would reduce the total returns shown.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (15%); Russell 2000 Index --
Small Cap Stocks (10%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Aggregate Bonds Index -- Domestic Bonds (40%); Salomon
Bros. Non-$ World Gov't Index -- Foreign Gov't Bonds (10%); Salomon Bros.
High Yield Bond Index -- High Yield (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 BALANCED
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
SINCE
ONE 2/10/97
YEAR INCEPTION*
----- ----------
CitiSelect(R)VIP Folio 300 Balanced ............... 4.76% 7.10%
Composite Benchmark+ .............................. 9.44% 12.07%
- --------------------------------------------------------------------------------
* 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
$12,190 (AS OF 12/31/99). THE GRAPH SHOWS HOW THE FUND COMPARES TO ITS
BENCHMARKS OVER THE SAME PERIOD.
[LINE CHART OMITTED]
[LINE CHART REPRESENTED BELOW IN ITS PRINTED FORM.]
Lehman Bros.
CitiSelect VIP Aggregate
Folio 300 Composite S&P 500 Index Bond Index
Conservative Benchmark+ (unmanaged) (unmanaged)
<PLOT POINTS NEEDED>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's returns would have been lower. Total
returns do not reflect charges attributable to your insurance company's separate
account. Inclusion of these charges would reduce the total return shown.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (20%); Morgan Stanley EAFE Index -- International Stocks
(10%); Lehman Bros. Aggregate Bonds Index -- Domestic Bonds (25%); Salomon
Bros. Non-$ World Gov't Index -- Foreign Gov't Bonds (10%); Salomon Bros.
High Yield Bond Index -- High Yield (15%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT(R) VIP FOLIO 400 GROWTH
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
SINCE
ONE 2/10/97
YEAR INCEPTION*
----- ----------
CitiSelect(R)VIP Folio 400 Growth ................ 8.47% 7.29%
Composite Benchmark+ ............................. 14.09% 14.13%
- --------------------------------------------------------------------------------
* 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
$12,252 (AS OF 12/31/99). THE GRAPH SHOWS HOW THE FUND COMPARES TO ITS
BENCHMARKS OVER THE SAME PERIOD.
[LINE CHART OMITTED]
[LINE CHART REPRESENTED BELOW IN ITS PRINTED FORM.]
Lehman Bros.
CitiSelect VIP Aggregate
Folio 400 Composite S&P 500 Index Bond Index
Conservative Benchmark+ (unmanaged) (unmanaged)
<PLOT POINT NEEDED>
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Aggregate Bond Index, which
securities regulations require us to include. All Fund performance numbers
represent past performance, and are no guarantee of future results. The Fund's
share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's returns would have been lower. Total
returns do not reflect charges attributable to your insurance company's separate
account. Inclusion of these charges would reduce the total return shown.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (25%); Russell 2000 Index --
Small Cap Stocks (25%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Aggregate Bonds Index -- Domestic Bonds (10%); Salomon
Bros. Non-$ World Gov't Index -- Foreign Gov't Bonds (10%); Salomon Bros.
High Yield Bond Index -- High Yield (10%). Unlike the Fund's total return the
composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
SINCE
ONE 2/10/97
YEAR INCEPTION*
----- ----------
CitiSelect(R)VIP Folio 500Growth Plus .............. 11.82% 8.28%
Composite Benchmark+ ............................... 18.94% 16.02%
- --------------------------------------------------------------------------------
* 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
$12,582 (AS OF 12/31/99). THE GRAPH SHOWS HOW THE FUND COMPARES TO ITS
BENCHMARKS OVER THE SAME PERIOD.
[LINE CHART OMITTED]
[LINE CHART REPRESENTED BELOW IN ITS PRINTED FORM.]
Lehman Bros.
CitiSelect VIP Aggregate
Folio 500 Composite S&P 500 Index Bond Index
Conservative Benchmark+ (unmanaged) (unmanaged)
<PLOT POINTS NEEDED>
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 Aggregate 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 returns would have been lower. Total
returns do not reflect charges attributable to your insurance company's separate
account. Inclusion of these charges would reduce the total return shown.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (30%); Russell 2000 Index --
Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(30%); Lehman Bros. Aggregate Bond Index -- Domestic Bonds (5%); Salomon
Bros. High Yield Bond Index -- High Yield (5%) Unlike the Fund's total return
the composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS December 31, 1999
ISSUER SHARES VALUE
- ----------------------------------------------------
LARGE CAP GROWTH -- 6.6%
- ----------------------------------------------------
COMMON STOCKS -- 6.2%
- ----------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 0.2%
- ----------------------------------------------------
Danaher Corp. 88 $ 4,246
General Dynamics Corp. 35 1,846
Tyco International Ltd. 339 13,179
--------
19,271
--------
COMMERCIAL SERVICES -- 0.1%
- ----------------------------------------------------
Interpublic Group
Companies Inc. 165 9,518
--------
COMMUNICATION SERVICES -- 0.6%
- ----------------------------------------------------
AT&T Corp.(++) 355 18,016
Bell Atlantic Corp. 265 16,314
BellSouth Corp. 218 10,205
GTE Corp. 148 10,443
SBC Communications Inc.(++) 315 15,356
--------
70,334
--------
CONGLOMERATES -- 0.5%
- ----------------------------------------------------
General Electric Co.(++) 363 56,174
--------
CONSUMER DURABLES -- 0.0%
- ----------------------------------------------------
Harley Davidson Inc. 30 1,922
--------
CONSUMER NON-DURABLES -- 0.3%
- ----------------------------------------------------
Coca Cola Co. 290 16,893
Procter & Gamble Co. 215 23,556
--------
40,449
--------
CONSUMER SERVICES -- 0.1%
- ----------------------------------------------------
Carnival Corp. 145 6,933
--------
FINANCE -- 0.4%
- ----------------------------------------------------
American Express Co. 85 14,131
Bank of New York Inc. 89 3,560
Federal Home Loan
Mortgage Corp. 95 4,471
Federal National
Mortgage Association 145 9,053
MBNA Corp. 355 9,674
Northern Trust Corp. 70 3,710
Charles Schwab Corp. 75 2,878
--------
47,477
--------
HEALTHCARE -- 0.9%
- ----------------------------------------------------
Bristol-Myers
Squibb Co.(++) 300 19,256
Eli Lilly & Co. 72 4,788
Johnson & Johnson 229 21,326
Medtronic Inc. 145 5,283
Merck & Co. 265 17,772
Pfizer Inc. 450 14,597
Schering-Plough Corp. 333 14,048
Warner Lambert Co. 175 14,339
--------
111,409
--------
RETAIL -- 0.6%
- ----------------------------------------------------
Bed Bath & Beyond Inc.* 89 3,093
Home Depot Inc. 287 19,643
Kohls Corp.* 45 3,248
Lowes Co. 50 2,988
Wal Mart Stores Inc. 512 35,392
Walgreen Co. 120 3,510
--------
67,874
--------
TECHNOLOGY -- 2.5%
- ----------------------------------------------------
Altera Corp.* 30 1,487
America Online Inc.* 165 12,447
Amgen Inc.* 120 7,208
BMC Software Inc.* 25 1,998
Cisco Systems Inc.* 383 41,029
Dell Computer Corp.* 295 15,045
EMC Corp.* 105 11,471
Intel Corp. 380 31,279
International Business
Machines Corp. 230 24,840
Lexmark International
Group Inc.* 75 6,788
Linear Technologies Corp. 25 1,789
Lucent Technologies Inc. 344 25,736
Maxim Integrated
Products Inc.* 40 1,888
Microchip Technology Inc.* 25 1,711
Microsoft Corp.* 589 68,766
Oracle Corp.* 165 18,490
Peoplesoft Inc.* 80 1,705
Sun Microsystems Inc.* 185 14,326
Tellabs Inc.* 60 3,851
--------
291,854
--------
TOTAL COMMON STOCKS 723,215
--------
SHORT-TERM OBLIGATION -- 0.4%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 40,167
--------
TOTAL LARGE CAP GROWTH
(Identified Cost $603,094) 763,382
--------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ----------------------------------------------------
LARGE CAP VALUE -- 7.8%
- ----------------------------------------------------
COMMON STOCKS -- 7.2%
- ----------------------------------------------------
BASIC INDUSTRIES-- 0.7%
- ----------------------------------------------------
Alcoa Inc. 300 $ 24,900
Dow Chemical Co. 100 13,363
E. I. du Pont de
Nemours & Co. 161 10,606
International Paper Co. 350 19,753
Kimberly Clark Corp. 300 19,575
--------
88,197
--------
CAPITAL GOODS -- 0.2%
- ----------------------------------------------------
Honeywell International Inc. 325 18,748
--------
COMMUNICATION SERVICES -- 1.1%
- ----------------------------------------------------
AT&T Corp.(++) 650 32,987
Emerson Electric Co. 425 24,384
GTE Corp. 350 24,697
SBC Communications Inc.(++) 425 20,719
Sprint Corp. 400 26,925
--------
129,712
--------
CONGLOMERATES -- 0.3%
- ----------------------------------------------------
General Electric Co.(++) 200 30,950
--------
CONSUMER CYCLICALS -- 0.4%
- ----------------------------------------------------
General Motors Corp. 200 14,538
Masco Corp. 650 16,494
McGraw Hill Companies Inc. 325 20,028
--------
51,060
--------
CONSUMER STAPLES -- 0.3%
- ----------------------------------------------------
Avon Products Inc. 150 4,950
H. J. Heinz & Co. 200 7,963
PepsiCo Inc. 650 22,913
--------
35,826
--------
ENERGY -- 1.0%
- ----------------------------------------------------
BP Amoco plc, ADR's 350 20,759
Chevron Corp. 250 21,656
Conoco Inc. Class A 800 19,800
Conoco Inc. Class B 336 8,358
Exxon Mobil Corp. 400 32,225
Halliburton Co. 325 13,081
--------
115,879
--------
FINANCE -- 1.4%
- ----------------------------------------------------
Bank of America Corp. 400 20,075
Chase Manhattan Corp. 350 27,191
Chubb Corp. 325 18,302
Hartford Financial
Services Group 400 18,950
Marsh & McLennan
Companies Inc. 325 31,098
Mellon Bank Corp. 750 25,547
Merrill Lynch & Co. Inc. 100 8,350
UnumProvident Corp. 400 12,825
--------
162,338
--------
HEALTHCARE -- 0.5%
- ----------------------------------------------------
American Home
Products Corp. 400 15,775
Bristol-Myers
Squibb Co.(++) 325 20,861
Pharmacia & Upjohn Inc. 375 16,875
--------
53,511
--------
TECHNOLOGY -- 0.3%
- ----------------------------------------------------
Pitney Bowes Inc. 475 22,948
Xerox Corp. 450 10,209
--------
33,157
--------
TRANSPORTATION -- 0.1%
- ----------------------------------------------------
Union Pacific Corp. 225 9,816
--------
UTILITIES -- 0.9%
- ----------------------------------------------------
Duke Energy Co. 525 26,316
Enron Corp. 750 33,281
Unicom Corp. 550 18,425
Williams Companies Inc. 900 27,506
--------
105,528
--------
TOTAL COMMON STOCKS 834,722
--------
SHORT-TERM OBLIGATION -- 0.6%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 66,195
--------
TOTAL LARGE CAP VALUE
(Identified Cost $879,458) 900,917
--------
SMALL CAP GROWTH -- 5.1%
- ----------------------------------------------------
COMMON STOCKS -- 4.7%
- ----------------------------------------------------
COMMERCIAL SERVICES -- 0.4%
- ----------------------------------------------------
Catalina Marketing Corp.* 107 12,385
Checkfree Holdings Corp.* 99 10,346
Cylink Corp.* 160 2,160
Harmonic Inc.* 25 2,373
Lamar Advertising Co.* 142 8,600
Next Level
Communications Inc.* 10 749
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ----------------------------------------------------
Profit Recovery Group
International Inc.* 159 $ 4,223
QRS Corp.* 37 3,885
Research in Motion Ltd.* 120 5,543
Verticalnet Inc.* 20 3,280
-------
53,544
-------
CONSUMER DURABLES -- 0.1%
- ----------------------------------------------------
Ethan Allen Interiors Inc. 82 2,629
Gentex Corp.* 87 2,414
Saucony Inc.* 160 2,220
-------
7,263
-------
CONSUMER NON-DURABLES -- 0.1%
- ----------------------------------------------------
Beringer Wine Estates
Holdings* 66 2,632
-------
CONSUMER SERVICES -- 0.5%
- ----------------------------------------------------
Activision Inc.* 230 3,522
Emmis Communications Corp.* 35 4,362
Hispanic Broadcasting Corp.* 85 7,839
Houghton Mifflin Co. 60 2,531
Mail.com, Inc.* 75 1,406
SFX Entertainment Inc.* 154 5,573
Scholastic Corp.* 45 2,798
Source Information
Management Co.* 353 5,913
Spanish Broadcasting
Systems Inc.* 87 3,502
Sportsline USA Inc.* 55 2,757
Ticketmaster Online
Citysearch* 40 1,538
Westwood One Inc.* 151 11,476
Young Broadcasting Inc.* 105 5,355
-------
58,572
-------
ELECTRONICS/TECHNICAL SERVICES -- 0.8%
- ----------------------------------------------------
Amkor Technology Inc.* 110 3,108
Anadigics Inc.* 40 1,888
Ancor Communications Inc.* 25 1,697
C Cube Microsystems Inc.* 117 7,283
CTS Corp.* 40 3,015
Crossroads Systems Inc.* 2 169
Cypress Semiconductor
Corp.* 100 3,238
Finistar Corp.* 13 1,168
Macrovision Corp.* 30 2,220
Methode Electronics Inc. 90 2,891
Microchip Technology Inc.* 39 2,669
Microstrategy Inc.* 25 5,250
National Information Inc.* 35 1,120
Network Appliance Inc.* 74 6,147
Novellus Systems Inc.* 88 10,783
Pinnacle Holdings Inc.* 204 8,644
Powertel Inc.* 45 4,517
Powerwave Technologies Inc.* 58 3,386
Remec Inc.* 155 3,953
Remedy Corp.* 45 2,132
Sandisk Corp.* 35 3,369
Sawtek Inc.* 45 2,995
Voicestream Wireless Corp.* 25 3,558
Western Wireless Corp.* 135 9,011
-------
94,211
-------
ENERGY/MINERALS -- 0.2%
- ----------------------------------------------------
Cal Dive International Inc.* 110 3,644
Coflexip 105 3,990
Petroleum Geological
Services* 214 3,812
Precision Drilling Corp.* 170 4,367
R & B Falcon Corp.*(++) 810 10,733
-------
26,546
-------
FINANCE -- 0.3%
- ----------------------------------------------------
Bisys Group Inc.* 91 5,938
Chittenden Corp. 178 5,273
Cullen Frost Bankers Inc. 221 5,691
E.W. Blanch Holdings Inc. 25 1,531
Peoples Heritage
Financial Group 305 4,594
SEI Investments Co. 26 3,094
Telebanc Financial Corp.* 81 2,106
U. S. Trust Corp. 76 6,094
-------
34,321
-------
HEALTH SERVICES/TECHNOLOGY -- 0.6%
- ----------------------------------------------------
Affymetrix Inc.* 15 2,545
Alpharma Inc. 80 2,460
Andrx Corp.* 49 2,073
Apria Healthcare
Group Inc.* 220 3,946
Caliper Technologies Corp.* 16 1,068
Corixa Corp.* 95 1,615
Dusa Pharmaceuticals Inc.* 145 4,133
Enzon Inc.* 70 3,036
IDEC Pharmaceuticals Corp.* 40 3,930
LifePoint Hospitals Inc.* 125 1,476
Medarex Inc.* 225 8,381
MedImmune Inc.* 49 8,128
Medquist Inc.* 110 2,839
Millennium
Pharmaceuticals Inc.* 53 6,466
Pharmacyclics Inc.* 40 1,650
Shire Pharmaceuticals
Group * 378 11,009
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ----------------------------------------------------
Transkaryotic Therapies Inc.* 20 $ 770
Triad Hospitals Inc.* 85 1,286
Varian Inc.* 225 5,063
Ventana Medical
Systems Inc.* 112 2,786
-------
74,660
-------
INDUSTRIAL SERVICES -- 0.1%
- ----------------------------------------------------
Hanover Compressor Co.* 100 3,775
-------
PROCESS INDUSTRIES -- 0.3%
- ----------------------------------------------------
Alliant Techsystems Inc.* 40 2,493
Applied Power Inc. 92 3,381
Aptargroup Inc.* 197 4,950
Cleco Corp.* 100 3,206
DII Group Inc.* 50 3,548
Idex Corp. 110 3,341
Mettler Toledo
International Inc.* 155 5,919
Power One Inc.* 50 2,291
Shaw Group Inc.* 110 2,784
Symyx Technologies Inc.* 52 1,560
-------
33,473
-------
RETAIL -- 0.2%
- ----------------------------------------------------
Cost Plus Inc.* 162 5,771
Linens `n Things Inc.* 139 4,118
O' Reilly Automotive Inc.* 166 3,569
Zale Corp.* 115 5,563
Zany Brainy Inc.* 490 5,023
-------
24,044
-------
TECHNOLOGY SERVICES -- 0.9%
- ----------------------------------------------------
Alpha Industries Inc.* 25 1,433
Bindview Development Corp.* 60 2,981
Broadvision Inc.* 35 5,952
Concentric Network Corp.* 55 1,695
Covad Communications
Group Inc.* 65 3,636
Dallas Semiconductor Corp. 33 2,126
Digital Microwave Corp.* 150 3,516
Electronics for Imaging Inc.* 122 7,091
Emulex Corp.* 20 2,250
Exactis Communications Inc.* 78 1,896
Exodus Communications Inc.* 99 8,792
High Speed Access Corp.* 60 1,057
Inprise Corp.* 520 5,752
Legato Systems Inc.* 107 7,363
MTI Technology Corp.* 60 2,212
Macromedia Inc.* 129 9,433
Mercury Interactive Corp.* 113 12,197
Micrel Inc.* 100 5,694
National Instruments Corp.* 212 8,109
Semtech Corp.* 50 2,606
Transwitch Corp.* 35 2,540
Triquint Semiconductor Inc.* 20 2,225
Vixel Corp.* 30 512
Whittman Hart Inc.* 94 5,041
--------
106,109
--------
TRANSPORTATION -- 0.2%
- ----------------------------------------------------
C. H. Robinson
Worldwide Inc. 141 5,605
CNF Transportation Inc. 130 4,485
Eagle U.S.A. Airfreight Inc.* 227 9,789
--------
19,879
--------
TOTAL COMMON STOCKS 539,029
--------
SHORT-TERM OBLIGATIONS -- 0.4%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 52,368
--------
TOTAL SMALL CAP GROWTH
(Identified Cost $419,207) 591,397
--------
SMALL CAP VALUE -- 5.1%
- ----------------------------------------------------
COMMON STOCKS -- 4.9%
- ----------------------------------------------------
COMMERCIAL SERVICES-- 0.1%
- ----------------------------------------------------
Reynolds & Reynolds Co. 500 11,250
--------
CONSUMER DURABLE GOODS -- 0.1%
- ----------------------------------------------------
D.R. Horton Inc. 600 8,288
Engle Homes Inc. 200 2,400
Flexsteel Industries Inc. 300 4,013
--------
14,701
--------
CONSUMER NON-DURABLES -- 0.4%
- ----------------------------------------------------
Dimon Inc. 1,200 3,900
Standard Commercial
Corp. 2,205 7,855
Timberland Co.* 300 15,862
Tropical Sportwear
International Corp. 400 6,450
Wolverine Worldwide Inc. 1,400 15,312
--------
49,379
--------
CONSUMER SERVICES -- 0.1%
- ----------------------------------------------------
Aztar Corp.* 900 9,788
--------
ELECTRONIC TECHNOLOGY -- 0.1%
- ----------------------------------------------------
Diebold Inc. 100 2,350
ESCO Electronics Corp.* 500 5,813
Spacehab Inc.* 1,300 6,987
--------
15,150
--------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ----------------------------------------------------
ENERGY/MINERALS -- 0.2%
- ----------------------------------------------------
R & B Falcon Corp.*(++) 860 $ 11,395
Nuevo Energy Co.* 800 15,000
--------
26,395
--------
FINANCE -- 0.9%
- ----------------------------------------------------
Acceptance Insurance Co.* 400 2,325
American National
Insurance Co. 200 12,750
Harleysville Group Inc. 900 12,825
MMI Companies Inc. 500 4,313
Matrix Bancorp. Inc. 500 6,000
PBOC Holdings Inc.* 700 6,606
PMI Group Inc. 150 7,322
Penn America Group Inc. 600 4,650
Presidential Life Corp. 1,100 20,213
Professional Groups Inc.* 770 18,047
Stancorp Financial
Group Inc. 300 7,556
--------
102,607
--------
HEALTH TECHNOLOGY -- 0.1%
- ----------------------------------------------------
West Pharmaceutical
Services Inc. 400 12,375
--------
INDUSTRIAL SERVICES -- 0.4%
- ----------------------------------------------------
Atwood Oceanics Inc.* 450 17,381
ENSCO International Inc. 400 9,150
Rowan Companies Inc.* 600 13,012
Santa Fe International Corp. 300 7,763
--------
47,306
--------
NON-ENERGY MINERALS -- 0.2%
- ----------------------------------------------------
LTV Corp. 3,400 14,025
Lone Star Technologies Inc.* 400 11,150
--------
25,175
--------
PROCESS INDUSTRIES -- 0.3%
- ----------------------------------------------------
Lancaster Colony Corp. 300 9,938
RPM Inc. 1,400 14,263
Tuscarora Inc. 300 3,637
--------
27,838
--------
PRODUCER MANUFACTURING -- 1.2%
- ----------------------------------------------------
Baldor Electric Co. 500 9,063
Circor International Inc. 200 2,062
Commonwealth
Industries Inc. 700 9,100
JLG Industries Inc. 1,900 30,281
Kaydon Corp. 400 10,725
Myers Industries Inc. 750 11,812
Patrick Industries Inc. 300 2,775
Superior Industries
International Inc. 400 10,725
Teleflex Inc. 400 12,525
Timken Co. 900 18,394
Tower Automotive Inc. 800 12,350
Watts Industries Inc.* 500 7,375
--------
137,187
--------
RETAIL TRADE -- 0.1%
- ----------------------------------------------------
Schultz Sav-O Stores Inc. 650 8,287
Syms Corp.* 1,000 5,000
--------
13,287
--------
TECHNOLOGY SERVICES -- 0.1%
- ----------------------------------------------------
Ultrak Inc.* 1,300 10,075
--------
TRANSPORTATION -- 0.6%
- ----------------------------------------------------
Air Express
International Corp. 300 9,694
Atlantic Coast Airlines
Holdings* 400 9,500
Fritz Companies Inc.* 700 7,350
Kenan Transport Co. 300 9,413
Midwest Express
Holdings Inc.* 400 12,750
Motor Cargo
Industries Inc.* 500 2,312
Tidewater Inc. 400 14,400
--------
65,419
--------
TOTAL COMMON STOCKS 567,932
--------
CONTINGENT RIGHTS -- 0.0%
- ----------------------------------------------------
Skyepharma PLC 1,000 0
--------
SHORT-TERM OBLIGATION -- 0.2%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 23,279
--------
TOTAL SMALL CAP VALUE
(Identified Cost $617,013) 591,211
--------
INTERNATIONAL EQUITY -- 5.8%
- ----------------------------------------------------
COMMON STOCKS -- 5.3%
- ----------------------------------------------------
AUSTRIA -- 0.0%
- ----------------------------------------------------
Boehler-Uddeholm 85 3,922
--------
AUSTRALIA -- 0.1%
- ----------------------------------------------------
Australia & New Zealand
Banking Group 1,040 7,566
Quantas Airways 3,105 7,746
--------
15,312
--------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ---------------------------------------------------
CANADA -- 0.1%
- ---------------------------------------------------
Manulife Financial Corp. 790 $ 10,097
Noranda Inc. 450 6,048
--------
16,145
--------
FINLAND -- 0.1%
- ---------------------------------------------------
UPM Kymmene Oy 250 10,074
--------
FRANCE -- 0.5%
- ---------------------------------------------------
BIC 139 6,326
Banque Nationale de Paris 185 17,071
Lafarge Coppee 80 9,316
Pernod Ricard 146 8,354
Total Fina 122 16,284
--------
57,351
--------
GERMANY -- 0.5%
- ---------------------------------------------------
Aventis AG 222 12,881
Buderus AG 510 8,631
Commerzbank AG 180 6,609
Draegerwerk AG 310 2,732
Dyckerhoff AG 245 7,503
SGL Carbon AG* 91 6,050
Veba AG 208 10,110
Vossloh AG 240 3,602
--------
58,118
--------
GREAT BRITAIN -- 1.4%
- ---------------------------------------------------
Allied Domecq 846 4,182
Allied Zurich 485 5,719
BAA 1,020 7,118
BAT Industries 1,145 6,473
British Telecomm 376 9,110
CGU 400 6,455
Coats Viyella 5,170 3,424
Cookson Group 2,760 11,146
Elementis 3,411 4,463
Hanson 1,195 10,018
Invensys 1,364 7,212
Lex Service 580 3,485
Lloyds TSB Group 522 6,484
Medeva 1,740 4,891
National Westminister Bank 380 8,164
Reckitt & Benckiser 848 8,027
Reed International 970 7,286
Safeway 960 3,330
TI Group 1,090 7,905
Tomkins 2,270 7,407
Unilever 720 5,292
United News & Media plc 810 10,212
Williams 1,904 8,673
--------
156,476
--------
HONG KONG -- 0.2%
- ---------------------------------------------------
Hang Lung
Development Co. 6,000 6,792
New World
Development Co. 3,000 6,754
South China Morning Post 10,000 8,619
--------
22,165
--------
IRELAND -- 0.2%
- ---------------------------------------------------
Allied Irish Banks 902 10,286
Greencore Group 1,950 5,991
Jefferson Smurfit Group 3,140 9,489
--------
25,766
--------
ITALY -- 0.2%
- ---------------------------------------------------
Eni Spa 1,620 8,910
Telecom Italia SPA 1,200 16,923
--------
25,833
--------
JAPAN -- 0.3%
- ---------------------------------------------------
Nintendo Co. 100 16,619
Promise Co. 100 5,090
Sanyo Shinpan Finance 200 6,851
Yodogawa Steel Works 2,000 6,029
--------
34,589
--------
NETHERLANDS -- 0.5%
- ---------------------------------------------------
ABN Amro Holdings NV 245 6,121
Akzo Nobel NV 194 9,732
Buhrmann NV 520 7,831
Ing Groep NV 140 8,453
Koninklijke NV PTT 90 8,785
Philips Electronics NV 93 12,647
--------
53,569
--------
NEW ZEALAND -- 0.2%
- ---------------------------------------------------
Fletcher Challenge 4,080 6,012
Telecom Corp. 3,218 15,133
--------
21,145
--------
NORWAY -- 0.1%
- ---------------------------------------------------
Kvaerner ASA 231 4,875
--------
PORTUGAL -- 0.1%
- ---------------------------------------------------
Portugal Telecommunications 1,210 13,274
--------
SINGAPORE -- 0.2%
- ---------------------------------------------------
Creative Technology Ltd.* 771 13,396
Jardine Matheson 1,600 6,304
--------
19,700
--------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
SHARES/
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------
SPAIN -- 0.1%
- ----------------------------------------------------
Telefonica SA* 614 $ 15,339
--------
SWEDEN -- 0.1%
- ----------------------------------------------------
Electrolux AB 330 8,299
Getinge Industrier 493 5,562
--------
13,861
--------
SWITZERLAND -- 0.4%
- ----------------------------------------------------
Forbo Holding AG 15 7,065
Geberit AG 42 14,375
Novartis AG 8 11,747
Saurer AG 11 5,312
Sig Holding AG 10 5,966
Sulzer AG 9 5,850
--------
50,315
--------
TOTAL COMMON STOCKS 617,829
--------
SHORT-TERM OBLIGATIONS -- 0.5%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 57,122
--------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $626,701) 674,951
--------
DOMESTIC FIXED INCOME -- 46.6%
- ----------------------------------------------------
FIXED INCOME -- 37.3%
- ----------------------------------------------------
ASSET BACKED -- 2.0%
- ----------------------------------------------------
Commercial Mortgage
Acceptance Corp.
5.80% due 3/15/06 $22,544 21,421
GMAC Commercial
Mortgage Securities Inc.
6.42% due 8/15/08 40,000 37,391
J.P. Morgan Commercial
Mortgage Finance Corp.
6.373% due 1/15/30 16,175 15,822
Morgan Stanley Capital Inc.
6.44% due 11/15/02 91,052 89,962
Peco Energy
Transportation Trust
6.05% due 3/01/09 35,000 32,834
Sears Credit Account
Master Trust
5.25% due 10/16/08 40,000 37,487
--------
234,917
--------
CORPORATE BONDS -- 9.9%
- ----------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 55,000 47,517
American Financial
Group Inc.
7.125% due 4/15/09 $ 35,000 $ 31,350
Associates Corp. of
North America
6.95% due 11/01/18 50,000 46,157
BB & T Corp.
6.375% due 6/30/05 60,000 55,899
Bank One Corp.
5.625% due 2/17/04 25,000 23,452
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 55,000 49,909
Conseco Inc.
6.40% due 6/15/01 50,000 48,483
DaimlerChrysler
Northern Holdings Co.
7.20% due 9/01/09 45,000 44,201
Dayton Hudson Corp.
6.65% due 8/01/28 25,000 21,665
Delta Airlines Inc.
8.30% due 12/15/29 45,000 43,305
Donaldson, Lufkin &
Jenrette 5.875%
due 4/01/02 45,000 43,681
Dynergy Inc.
7.45% due 7/15/06 45,000 44,022
E.I. du Pont de
Nemours & Co.
6.875% due 10/15/09 25,000 24,214
Equitable Life Assurance
6.95% due 12/01/05 55,000 53,331
Ford Motor Co.
7.375% due 10/28/09 45,000 44,426
Great Lakes
Chemical Corp.
7.00% due 7/15/09 55,000 52,471
Household Financial Corp.
6.50% due 11/15/08 45,000 41,675
Knight Ridder Inc.
6.875% due 3/15/29 50,000 43,850
MCI Communications
Corp. 6.50%
due 4/15/10 65,000 60,527
Mattel Inc.
6.00% due 7/15/03 50,000 47,168
Merita Bank plc
6.50% due 4/01/09 55,000 50,214
National Rural Utilities
Cooperative Finance
6.20% due 2/01/08 60,000 55,832
Osprey Trust Osprey Inc.
8.31% due 1/15/03 45,000 44,682
Popular North America Inc.
6.875% due 6/15/01 50,000 49,674
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------
Saks Inc.
8.25% due 11/15/08 $ 45,000 $ 43,780
Westvaco Corp.
7.10% due 11/15/09 45,000 43,135
----------
1,154,620
----------
MORTGAGE BACKED -- 11.5%
- ----------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.00% due (TBA) 30,000 27,478
6.25% due 6/15/24 30,000 28,443
Federal National
Mortgage Association
6.50% due (TBA) 65,000 61,242
7.349% due 8/17/21 50,000 48,846
6.50% due 4/01/29 121,357 114,340
7.50% due 7/01/29 700,000 692,562
GE Capital Mortgage
Securities Inc.
5.905% due 10/25/13 100,000 98,370
Government National
Mortgage Association
6.50% due (TBA) 40,000 37,563
7.00% due (TBA) 150,000 144,938
7.00% due 2/15/24 35,516 34,517
Structured Asset
Securities Corp.
6.79% due 10/15/34 47,457 47,070
----------
1,335,369
----------
U. S. TREASURY OBLIGATIONS-- 11.3%
- ----------------------------------------------------
United States Treasury Bonds
3.625% due 4/15/28 36,698 32,775
United States Treasury Notes
5.50% due 12/31/00 25,000 24,848
5.875% due 11/15/04 940,000 921,642
5.625% due 5/15/08 190,000 178,718
3.875% due 1/15/09 51,283 49,552
6.00% due 8/15/09 100,000 96,875
----------
1,304,410
----------
YANKEE BONDS -- 2.6%
- ----------------------------------------------------
Corporacion Andina de
Fomento 7.75%
due 3/01/04 55,000 55,001
Imperial Tobacco Overseas BV
7.125% due 4/01/09 50,000 44,946
Korea Development Bank
7.125% due 4/22/04 50,000 48,744
Quebec Province of Canada
7.50% due 9/15/29 45,000 43,622
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- ----------------------------------------------------
TPSA Finance BV
7.75% due 12/10/08 $ 55,000 $ 50,917
YPF Sociedad Anonima
7.25% due 3/15/03 60,000 58,253
----------
301,483
----------
TOTAL FIXED INCOME 4,330,799
----------
SHORT-TERM OBLIGATIONS -- 9.3%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 1,077,819
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $5,545,805) 5,408,618
----------
INTERNATIONAL BOND -- 11.7%
- ----------------------------------------------------
FIXED INCOME -- 11.2%
- ----------------------------------------------------
BELGIUM -- 0.3%
- ----------------------------------------------------
Kingdom of Belgium
5.50% due 3/28/28 EURO 40,000 36,845
----------
CANADA -- 1.0%
- ----------------------------------------------------
Government of
Canada 1.90%
due 3/23/09 JPY 12,000,000 120,270
----------
DENMARK -- 0.1%
- ----------------------------------------------------
Nykredit
5.00% due 10/01/29 DKK 40,000 4,712
Unikredit Realkred
5.00% due 10/01/29 DKK 59,000 6,929
----------
11,641
----------
FRANCE -- 0.3%
- ----------------------------------------------------
Government of France
5.50%
due 4/25/29 EURO 30,000 28,286
3.00%
due 7/25/09 EURO 10,773 10,335
----------
38,621
----------
GERMANY -- 0.5%
- ----------------------------------------------------
Republic of Germany
5.375% due 1/04/10 EURO 30,000 30,296
5.625% due 1/04/28 EURO 25,338 24,312
----------
54,608
----------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- ----------------------------------------------------
GREAT BRITAIN -- 0.8%
- ----------------------------------------------------
Toyota Motor
Credit Corp.
6.25% due 8/04/03 GBP 20,000 $ 31,424
United Kingdom
Treasury
8.50% due 12/07/05 GBP 34,000 61,648
----------
93,072
----------
GREECE -- 1.2%
- ----------------------------------------------------
Hellenic Republic
7.60% due 1/22/02 GRD 10,000,000 30,943
Republic of Greece
8.90% due 4/01/03 GRD 7,000,000 22,814
12.80% due 6/17/03 GRD 1,200,000 3,759
10.24% due 10/23/03 GRD 4,400,000 13,857
6.60% due 1/15/04 GRD 21,000,000 64,391
----------
135,764
----------
ITALY -- 0.1%
- ----------------------------------------------------
Republic of Italy
6.50% due 11/01/27 EURO 14,000 14,730
----------
JAPAN -- 2.0%
- ----------------------------------------------------
International Bank
Reconciliation
and Development
4.75% due 12/20/04 JPY 6,100,000 70,899
Japan Government
Bonds 4.10%
due 6/21/04 JPY 6,200,000 69,301
4.50% due 12/20/04 JPY 2,700,000 30,971
Nippon Tel and Tel
2.50% due 7/25/07 JPY 5,000,000 51,891
----------
223,062
----------
NETHERLANDS -- 0.6%
- ----------------------------------------------------
Kingdom of Netherland
6.00% due 1/15/06 EURO 60,000 63,191
----------
SPAIN -- 0.8%
- ----------------------------------------------------
Government of Spain
6.00% due 1/31/08 EURO 54,475 $ 56,744
6.15% due 1/31/13 EURO 38,000 39,405
----------
96,149
----------
UNITED STATES -- 3.5%
- ----------------------------------------------------
Bank Nederlandse Gemeenten
6.125% due 2/07/00 $ 55,000 55,003
Chugokuelectric Power 8.00%
due 2/23/00 $ 50,000 50,102
H.J. Heinz & Co.
7.50% due 4/26/00 $ 55,000 55,151
Kingdom of Belgium
8.25% due 2/14/00 $ 60,000 60,128
SLM Student Loan Trust
5.304% due 10/25/04 $ 3,340 3,329
5.394% due 4/25/06 $ 30,842 30,605
United States Treasury Notes
3.625% due 7/15/02 $157,526 155,950
----------
410,268
----------
TOTAL FIXED INCOME 1,298,221
----------
SHORT-TERM OBLIGATIONS -- 0.5%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 57,762
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,388,849) 1,355,983
----------
HIGH YIELD BOND -- 19.8%
- ----------------------------------------------------
FIXED INCOME -- 17.6%
- ----------------------------------------------------
DOMESTIC CORPORATIONS -- 17.2%
- ----------------------------------------------------
AUTOMOTIVE--1.7%
- ----------------------------------------------------
American Axle &
Manufacturing Inc.
9.75% due 3/01/09 $ 50,000 50,500
J.H. Heafner Inc.
10.00% due 5/15/08 50,000 45,250
J.L. French Automotive
Castings
11.50% due 6/01/09(#) 50,000 51,000
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------
Lear Corp.
8.11% due 5/15/09(#) $ 50,000 $ 46,977
--------
193,727
--------
CABLE & OTHER MEDIA -- 2.1%
- ----------------------------------------------------
CSC Holdings Inc.
9.875% due 2/15/13(#) 50,000 52,750
Charter Communications
Holdings
8.625% due 4/01/09(#) 50,000 46,187
Zero Coupon
due 4/01/11(#) 75,000 45,937
Frontiervision Holdings LP
Zero Coupon
due 9/15/07 55,000 48,950
NTL Inc.
Zero Coupon
10/01/08(#) 75,000 52,500
--------
246,324
--------
CAPITAL GOODS/BUILDING
PRODUCTS -- 0.8%
- ----------------------------------------------------
Jordan Industries Inc.
10.375%
due 8/01/07(#) 50,000 50,000
Packard Bioscience Inc.
9.375% due 3/01/07(#) 50,000 42,875
--------
92,875
--------
CHEMICALS -- 0.7%
- ----------------------------------------------------
Lyondell Chemical Co.
9.875% due 5/01/07 40,000 41,000
PCI Chemicals CDA Inc.
9.25% due 10/15/07 50,000 38,375
--------
79,375
--------
CONSUMER PRODUCTS/TOBACCO -- 1.4%
- ----------------------------------------------------
French Fragrances Inc.
10.375% due 5/15/07 50,000 47,250
Home Interiors Gifts Inc.
10.125% due 6/01/08 50,000 42,750
Mail Well Corp.
8.75% due 12/15/08(#) 50,000 47,500
Revlon Consumer
Products Corp.
8.625% due 2/01/08 50,000 24,500
--------
162,000
--------
ENERGY -- 1.3%
- ----------------------------------------------------
Bellwether Exploration Co.
10.875% due 4/01/07 50,000 45,875
Plains Resources Inc.
10.25% due 3/15/06 50,000 48,750
Western Gas Resources
10.00% due 6/15/09(#) 50,000 51,250
--------
145,875
--------
FINANCIAL -- 0.3%
- ----------------------------------------------------
Contifinancial Corp.
8.375% due 8/15/03(#) 50,000 4,500
Williams Scotsman Inc.
9.875% due 6/01/07 30,000 29,025
--------
33,525
--------
FOOD/BEVERAGE/BOTTLING -- 0.4%
- ----------------------------------------------------
B & G Foods Incications
Corp
9.625% due 8/01/07 50,000 44,375
--------
GAMING -- 0.8%
- ----------------------------------------------------
Circus Circus
Enterprises Inc.
9.25% due 12/01/05 50,000 50,625
Majestic Star Casino LLC
10.875%
due 7/01/06(#) 50,000 48,250
--------
98,875
--------
HEALTHCARE -- 0.4%
- ----------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 50,000 43,250
--------
HOUSING RELATED -- 0.4%
- ----------------------------------------------------
CB Richards Ellis
Services Inc.
8.875% due 6/01/06 50,000 44,375
--------
LODGING LEISURE -- 0.4%
- ----------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 50,000 44,500
--------
PAPER/FOREST PRODUCTS -- 0.4%
- ----------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 50,000 51,687
--------
PUBLISHING/PRINTING -- 0.4%
- ----------------------------------------------------
Hollinger International
Publishing Inc.
9.25% due 3/15/07 50,000 49,250
--------
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------
RETAIL -- 0.7%
- ----------------------------------------------------
Cole National Group Inc.
8.625% due 8/15/07 $50,000 $ 35,875
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 50,000 46,250
--------
82,125
--------
SERVICES/OTHER -- 2.1%
- ----------------------------------------------------
Integrated Electrical
Services
9.375% due 2/01/09 50,000 49,062
Iron Mountain Inc.
10.125% due 10/01/06 50,000 51,000
Pierce Leahy
Command Co.
8.125% due 5/15/08 50,000 45,750
Polymer Group Inc.
8.75% due 3/01/08(#) 50,000 48,000
Safety Kleen Services Inc.
9.25% due 6/01/08 50,000 49,375
--------
243,187
--------
TELECOMMUNICATIONS -- 2.6%
- ----------------------------------------------------
Energis PLC
9.75% due 6/15/09(#) 50,000 51,750
Intermedia
Communications Inc.
9.50% due 3/01/09(#) 50,000 48,000
Nextel
Communications Inc.
Zero Coupon
due 2/15/08(#) 70,000 49,175
Orange PLC
9.00% due 6/01/09(#) 50,000 52,500
Price Communications
Wireless Inc.
9.125% due 12/15/06(#) 50,000 50,625
Rogers Cantel
9.375% due 6/01/08 50,000 52,000
--------
304,050
--------
TRANSPORTATION -- 0.3%
- ----------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06(#) 50,000 32,875
----------
MORTGAGE OBLIGATIONS -- 0.4%
- ----------------------------------------------------
MORTGAGE BACKED SECURITIES/
PASSTHROUGHS -- 0.4%
- ----------------------------------------------------
Airplane Trust
10.875% due 3/15/1950,000 43,356
----------
TOTAL FIXED INCOME 2,035,606
----------
ISSUER VALUE
- ----------------------------------------------------
SHORT-TERM OBLIGATIONS -- 2.2%
- ----------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) $ 256,289
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $2,451,070) 2,291,895
-----------
TOTAL INVESTMENTS
(Identified
Cost $12,531,197) 108.5% $12,578,354
OTHER ASSETS,
LESS LIABILITIES (8.5) (989,874)
----- -----------
NET ASSETS 100.0% $11,588,480
===== ===========
* Non-income producing
(#) Rule 144A Security exempt from registration
under Rule 144A of the Securities Act of 1933.
(+) The Portfolio owns in aggregate a repurchase
agreement with First Union National Bank, 4.95%
due 1/03/00 valued at $1,631,001, portions of
which are listed separately by each asset class.
Proceeds at maturity $1,631,673, collateralized
by $1,650,000 Federal Home Loan Mortgage
Association 7.00% due 3/14/03, with a value of
$1,674,727.
(++) The Portfolio owns in aggregate 563 shares of
General Electric Co. valued at $87,124, 625
shares of Bristol Myers Squibb Co. valued at
$40,117, 1,005 shares of AT&T Corp. valued at
$51,003, and 740 shares of SBC Communications
Inc. valued at $36,075, 1,670 shares of
R&BFalcon Corp. valued at $22,128 portions of
which are listed separately by asset class.
TBA's-Mortgage backed securities traded under delayed
delivery commitments.
ADR's-American Depository Receipts.
See notes to financial statements
FOREIGN CURRENCY LEGEND
- ----------------------------------------------------
SYMBOL COUNTRY
- ----------------------------------------------------
DKK Denmark
EURO Belgium
EURO France
EURO Germany
GBP Great Britain
GRD Greece
EURO Italy
JPY Japan
EURO Netherlands
EURO Spain
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
CITISELECT VIP FOLIO 200
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1999 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>
Australian Dollar(Buy) Australia $ 39,683 $ 38,418 February-00 $ 1,265
Euro (Buy) ........... Europe 150,712 152,147 February-00 (1,435)
Euro (Sell) .......... Europe 450,187 451,488 February-00 1,301
Drachma (Buy) ........ Greece 30,329 30,424 February-00 (95)
Drachma (Sell) ....... Greece 111,623 111,846 February-00 223
Krona (Buy) ........... Sweden 39,170 39,035 February-00 135
Krona (Sell) .......... Sweden 40,082 39,865 February-00 (217)
Pound (Sell) ......... Great Britain 99,629 98,605 February-00 (1,024)
Yen (Buy) ............ Japan 1,426 1,416 February-00 10
Yen (Sell) ........... Japan 315,707 316,246 February-00 539
-------
$ 702
=======
</TABLE>
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS December 31, 1999
ISSUER SHARES VALUE
- ------------------------------------------------------
LARGE CAP GROWTH -- 8.5%
- ------------------------------------------------------
COMMON STOCKS -- 8.5%
- ------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURING -- 0.2%
- ------------------------------------------------------
Danaher Corp. 173 $ 8,347
General Dynamics Corp. 65 3,429
Tyco International Ltd. 680 26,435
---------
38,211
---------
COMMERCIAL SERVICES -- 0.1%
- ------------------------------------------------------
Interpublic Group
Companies Inc. 337 19,441
---------
COMMUNICATION SERVICES -- 0.8%
- ------------------------------------------------------
AT&T Corp.(++) 720 36,540
Bell Atlantic Corp. 540 33,244
Bellsouth Corp. 435 20,363
GTE Corp. 297 20,957
SBC Communications Inc.(++) 630 30,713
---------
141,817
---------
CONGLOMERATES -- 0.7%
- ------------------------------------------------------
General Electric Co.(++) 730 112,968
---------
CONSUMER DURABLES -- 0.0%
- ------------------------------------------------------
Harley Davidson Inc. 55 3,523
---------
CONSUMER NON-DURABLES -- 0.5%
- ------------------------------------------------------
Coca Cola Co. 580 33,784
Procter & Gamble Co. 431 47,221
---------
81,005
---------
CONSUMER SERVICES -- 0.1%
- ------------------------------------------------------
Carnival Corp. 295 14,105
---------
FINANCE -- 0.5%
- ------------------------------------------------------
American Express Co. 165 27,431
Bank of New York Inc. 174 6,960
Charles Schwab Corp. 150 5,756
Federal Home Loan
Mortgage Corp. 195 9,177
Federal National
Mortgage Association 285 17,795
MBNA Corp. 710 19,348
Northern Trust Corp. 145 7,685
---------
94,152
---------
HEALTHCARE -- 1.3%
- ------------------------------------------------------
Bristol-Myers
Squibb Co.(++) 600 38,513
Eli Lilly & Co. 158 10,507
Johnson & Johnson 465 43,302
Medtronic Inc. 295 10,749
Merck & Co. 532 35,677
Pfizer Inc. 905 29,356
Schering-Plough Corp. 671 28,308
Warner Lambert Co. 355 29,088
---------
225,500
---------
RETAIL -- 0.8%
- ------------------------------------------------------
Bed Bath & Beyond Inc.* 177 6,151
Home Depot Inc. 578 39,595
Kohls Corp.* 92 6,641
Lowes Cos Inc. 105 6,274
Wal Mart Stores Inc. 1,029 71,130
Walgreen Co. 245 7,166
---------
136,957
---------
TECHNOLOGY -- 3.5%
- ------------------------------------------------------
Altera Corp.* 55 2,726
America Online Inc.* 335 25,272
Amgen Inc.* 245 14,715
BMC Software Inc.* 45 3,597
Cisco Systems Inc.* 765 81,951
Dell Computer Corp.* 595 30,345
EMC Corp.* 211 23,052
Intel Corp. 758 62,393
International Business
Machines Corp. 465 50,220
Lexmark International
Group Inc.* 155 14,028
Linear Technology Corp. 50 3,578
Lucent Technologies Inc. 697 52,144
Maxim Integrated
Products Inc.* 80 3,774
Microchip Technology Inc.* 50 3,422
Microsoft Corp.* 1,188 138,699
Oracle Corp.* 330 36,981
Peoplesoft Inc.* 165 3,517
Sun Microsystems Inc.* 368 28,497
Tellabs Inc.* 130 8,344
---------
587,255
---------
TOTAL LARGE CAP GROWTH
(Identified
Cost $1,146,032) 1,454,934
---------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ------------------------------------------------------
LARGE CAP VALUE -- 10.2%
- ------------------------------------------------------
COMMON STOCKS -- 9.9%
- ------------------------------------------------------
BASIC INDUSTRIES-- 1.1%
- ------------------------------------------------------
Alcoa Inc. 600 $ 49,800
Dow Chemical Co. 225 30,066
E. I. du Pont de
Nemours & Co. 416 27,404
International Paper Co. 715 40,353
Kimberly Clark Corp. 675 44,044
---------
191,667
---------
CAPITAL GOODS -- 0.2%
- ------------------------------------------------------
Honeywell International Inc. 715 41,247
---------
COMMUNICATION SERVICES -- 1.5%
- ------------------------------------------------------
AT&T Corp.(++) 1,320 66,990
Emerson Electric Co. 850 48,769
GTE Corp. 710 50,099
SBC Communications Inc.(++) 875 42,656
Sprint Corp. 710 47,792
---------
256,306
---------
CONGLOMERATES -- 0.4%
- ------------------------------------------------------
General Electric Co.(++) 400 61,900
---------
CONSUMER CYCLICALS -- 0.6%
- ------------------------------------------------------
General Motors Corp. 400 29,075
Masco Corp. 1,300 32,988
McGraw Hill
Companies, Inc. 715 44,062
---------
106,125
---------
CONSUMER STAPLES -- 0.4%
- ------------------------------------------------------
Avon Products Inc. 200 6,600
H. J. Heinz & Co. 350 13,934
PepsiCo Inc. 1,220 43,005
---------
63,539
---------
ENERGY -- 1.4%
- ------------------------------------------------------
BP Amoco plc, ADR's 714 42,349
Chevron Corp. 485 42,013
Conoco Inc. Class A 1,700 42,075
Conoco Inc. Class B 676 16,815
Exxon Mobil Corp. 760 61,228
Halliburton Co. 620 24,955
---------
229,435
---------
FINANCE -- 2.0%
- ------------------------------------------------------
Bank of America Corp. 720 36,135
Chase Manhattan Corp. 811 63,005
Chubb Corp. 615 34,631
Hartford Financial
Services Group 720 34,110
Marsh & McLennan
Companies Inc. 625 59,805
Mellon Bank Corp. 1,525 51,945
Merrill Lynch & Co. Inc. 225 18,788
UnumProvident Corp. 980 31,421
---------
329,840
---------
HEALTHCARE -- 0.6%
- ------------------------------------------------------
American Home
Products Corp. 750 29,578
Bristol-Myers Squibb Co.(++) 650 41,721
Pharmacia & Upjohn Inc. 750 33,750
---------
105,049
---------
TECHNOLOGY -- 0.4%
- ------------------------------------------------------
Pitney Bowes Inc. 1,015 49,037
Xerox Corp. 1,050 23,822
---------
72,859
---------
TRANSPORTATION -- 0.1%
- ------------------------------------------------------
Union Pacific Corp. 485 21,158
---------
UTILITIES -- 1.2%
- ------------------------------------------------------
Duke Energy Co. 1,000 50,125
Enron Corp. 1,500 66,563
Unicom Corp. 1,125 37,688
Williams Companies Inc. 1,830 55,929
---------
210,305
---------
TOTAL COMMON STOCKS 1,689,430
---------
SHORT-TERM OBLIGATION -- 0.3%
- ------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 47,745
---------
TOTAL LARGE CAP VALUE
(Identified Cost $1,701,577) 1,737,175
---------
SMALL CAP GROWTH -- 10.3%
- ------------------------------------------------------
COMMON STOCKS -- 9.8%
- ------------------------------------------------------
COMMERCIAL SERVICES-- 0.9%
- ------------------------------------------------------
Catalina Marketing Corp.* 329 38,082
Checkfree Holdings Corp.* 299 31,246
Cylink Corp.* 460 6,210
Harmonic, Inc.* 75 7,120
Lamar Advertising Co.* 442 26,769
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ------------------------------------------------------------
Profit Recovery Group
International Inc.* 497 $ 13,202
QRS Corp.* 123 12,915
Research In Motion Ltd.* 365 16,857
Verticalnet Inc.* 55 9,020
--------
161,421
--------
CONSUMER DURABLES -- 0.1%
- ------------------------------------------------------------
Ethan Allen Interiors Inc. 260 8,336
Gentex Corp.* 277 7,687
Saucony Inc.* 494 6,854
--------
22,877
--------
CONSUMER NON-DURABLES -- 0.1%
- ------------------------------------------------------------
Beringer Wine Estates
Holdings* 198 7,895
--------
CONSUMER SERVICES -- 1.1%
- ------------------------------------------------------------
Activision Inc. * 710 10,872
Emmis Communications
Corp.* 110 13,710
Hispanic Broadcasting Corp.* 265 24,438
Houghton Mifflin Co. 200 8,438
Mail.com, Inc. * 235 4,406
SFX Entertainment Inc.* 480 17,370
Scholastic Corp.* 135 8,395
Source Information
Management Co.* 1,094 18,325
Spanish Broadcasting
Systems, Inc.* 275 11,069
Sportsline USA, Inc. * 175 8,772
Ticketmaster Online
Citysearch* 130 4,996
Westwood One Inc.* 461 35,036
Young Broadcasting Inc.* 325 16,575
--------
182,402
--------
ELECTRONICS/TECHNICAL SERVICES -- 1.9%
- ------------------------------------------------------------
Amkor Technology, Inc.* 335 9,464
Anadigics Inc.* 125 5,898
Ancor Communications Inc.* 75 5,091
C Cube Microsystems, Inc.* 364 22,659
CTS Corp. 125 9,422
Crossroads Systems Inc.* 7 592
Cypress Semiconductor
Corp.* 315 10,198
Finistar Corp.* 49 4,404
Inprise Corp. * 1,615 17,866
Macrovision Corp.* 100 7,400
Methode Electronics Inc. 275 8,834
Microchip Technology Inc.* 115 7,870
Microstrategy, Inc.* 80 16,800
National Information Inc.* 107 3,424
Network Appliance Inc.* 206 17,110
Next Level Communications Inc.* 25 1,872
Novellus Systems Inc.* 246 30,143
Pinnacle Holdings Inc.* 628 26,612
Powertel, Inc. * 140 14,053
Powerwave Technologies Inc.* 177 10,332
Remec Inc.* 490 12,495
Remedy Corp. 140 6,633
Sandisk Corp.* 115 11,069
Sawtek Inc.* 145 9,652
Transwitch Corp.* 105 7,619
Triquint Semiconductor Inc.* 65 7,231
Vixel Corp.* 100 1,706
Western Wireless Corp.* 423 28,235
--------
314,684
--------
ENERGY/MINERALS -- 0.5%
- ------------------------------------------------------------
Cal Dive International Inc.* 340 11,262
Coflexip 325 12,350
Petroleum Geological Services* 671 11,952
Precision Drilling Corp.* 535 13,743
R&B Falcon Corp.*(++) 2,520 33,390
--------
82,697
--------
FINANCE -- 0.6%
- ------------------------------------------------------------
Bisys Group Inc.* 278 18,140
Chittenden Corp. 556 16,472
Cullen Frost
Bankers Inc. 692 17,819
E. W. Blanch Holdings, Inc. 80 4,900
Peoples Heritage
Financial Group 955 14,385
SEI Investments Co. 29 3,451
Telebanc Financial Corp.* 253 6,578
U.S. Trust Corp. 267 21,410
--------
103,155
--------
HEALTH SERVICES/TECHNOLOGY -- 1.4%
- ------------------------------------------------------------
Affymetrix Inc.* 50 8,484
Alpharma, Inc. 255 7,840
Andrx Corp.* 145 6,134
Apria Healthcare Group Inc.* 680 12,198
Caliper Technologies Corp.* 63 4,205
Corixa Corp.* 290 4,930
Dusa Pharmaceuticals Inc.* 455 12,968
Enzon Inc.* 225 9,759
IDEC Pharmaceuticals Corp.* 110 10,808
LifePoint Hospitals Inc.* 390 4,607
Medarex Inc.* 695 25,889
MedImmune Inc.* 158 26,208
Medquist Inc.* 344 8,880
Millennium Pharmaceuticals* 182 22,204
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ------------------------------------------------------
Pharmacyclics Inc.* 130 $ 5,363
Shire Pharmaceuticals
Group* 1,291 37,600
Transkaryotic Therapies Inc.* 65 2,502
Triad Hospitals Inc.* 270 4,084
Varian Inc.* 695 15,638
Ventana Medical
Systems Inc.* 354 8,806
---------
239,107
---------
INDUSTRIAL SERVICES -- 0.0%
- ------------------------------------------------------
Hanover Compressor Co.* 315 11,891
---------
PROCESS INDUSTRIES -- 0.7%
- ------------------------------------------------------
Alliant Techsystems Inc.* 120 7,478
Applied Power Inc. 285 10,474
Aptargroup Inc. 616 15,477
Cleco Corp. 320 10,260
DII Group, Inc. * 150 10,645
Idex Corp. 335 10,176
Mettler Toledo
International Inc.* 476 18,177
Micrel, Inc. * 315 17,935
Power One Inc.* 150 6,872
Shaw Group Inc.* 350 8,859
Symyx Technologies Inc.* 159 4,770
---------
121,123
---------
RETAIL -- 0.4%
- ------------------------------------------------------
Cost Plus Inc.* 500 17,813
Linens n Things Inc.* 430 12,738
O' Reilly Automotive Inc.* 523 11,245
Zale Corp.* 355 17,173
Zany Brainy Inc. 1,525 15,631
---------
74,600
---------
TECHNOLOGY SERVICES -- 1.7%
- ------------------------------------------------------
Alpha Industries Inc.* 70 4,012
Bindview Development Corp. 205 10,186
Broadvision Inc. 105 17,857
Concentric Network Corp.* 165 5,084
Covad Communications
Group Inc.* 192 10,740
Dallas Semiconductor Corp. 101 6,508
Digital Microwave Corp.* 465 10,898
Electronics For Imaging Inc.* 374 21,739
Emulex Corp.* 75 8,438
Exactis Communications Inc.* 237 5,762
Exodus Communications Inc. 304 26,999
High Speed Access Corp.* 183 3,224
Legato Systems Inc.* 320 22,020
Macromedia Inc.* 400 29,250
Mercury Interactive Corp.* 356 38,426
MTT Technology Inc.* 180 6,638
National Instruments Corp.* 665 25,436
Suntech Corp.* 160 8,340
Voicestream Wireless Corp.* 88 12,524
Whittman Hart Inc.* 288 15,444
---------
289,525
---------
TRANSPORTATION -- 0.4%
- ------------------------------------------------------
C.H. Robinson Worldwide Inc. 435 17,291
CNF Transportation Inc. 405 13,973
Eagle U.S.A. Airfreight
Inc.* 702 30,274
---------
61,538
---------
TOTAL COMMON STOCKS 1,672,915
---------
SHORT-TERM OBLIGATIONS -- 0.5%
- ------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 89,237
---------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,224,305) 1,762,152
---------
SMALL CAP VALUE -- 10.2%
- ------------------------------------------------------
COMMON STOCKS -- 9.9%
- ------------------------------------------------------
COMMERICAL SERVICES-- 0.2%
- ------------------------------------------------------
Reynolds & Reynolds Co. 1,200 27,000
---------
CONSUMER DURABLE GOODS -- 0.2%
- ------------------------------------------------------
D.R. Horton Inc. 1,600 22,100
Engle Homes Inc. 600 7,200
Flexsteel Industries Inc. 1,000 13,375
---------
42,675
---------
CONSUMER NON-DURABLES -- 0.9%
- ------------------------------------------------------
Dimon Inc. 3,300 10,725
Standard Commercial
Corp. 5,618 20,013
Timberland Co.* 1,100 58,162
Tropical Sportwear
International Corp.* 1,500 24,187
Wolverine Worldwide Inc. 4,100 44,844
---------
157,931
---------
CONSUMER SERVICES -- 0.2%
- ------------------------------------------------------
Aztar Corp.* 2,400 26,100
---------
ELECTRONIC TECHNOLOGY -- 0.3%
- ------------------------------------------------------
Diebold Inc. 200 4,700
ESCO Electronics Corp.* 2,000 23,250
Spacehab Inc.* 4,800 25,800
---------
53,750
---------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- -------------------------------------------------------
ENERGY/MINERALS -- 0.4%
- -------------------------------------------------------
R & B Falcon Corp.*(++) 2,720 $ 36,040
Nuevo Energy Co.* 2,100 39,375
---------
75,415
---------
FINANCE -- 1.7%
- -------------------------------------------------------
Acceptance Insurance Co.* 1,000 5,813
American National
Insurance Co. 600 38,250
Harleysville Group Inc. 2,600 37,050
MMI Companies Inc. 1,500 12,938
Matrix Bancorp Inc.* 1,100 13,200
PBOC Holdings Inc.* 2,100 19,819
PMI Group Inc. 300 14,643
Penn America Group Inc. 1,800 13,950
Presidential Life Corp. 3,400 62,475
Professional Groups Inc.* 2,200 51,563
Stancorp Financial
Group Inc. 800 20,150
---------
289,851
---------
HEALTH TECHNOLOGY -- 0.2%
- -------------------------------------------------------
West Pharmaceutical
Services Inc. 1,100 34,031
---------
INDUSTRIAL SERVICES -- 0.8%
- -------------------------------------------------------
Atwood Oceanics Inc.* 1,150 44,419
ENSCO International Inc. 1,500 34,312
Perini Corp.* 500 1,937
Rowan Companies Inc.* 1,800 39,038
Santa Fe International Corp. 800 20,700
---------
140,406
---------
NON-ENERGY MINERALS -- 0.4%
- -------------------------------------------------------
LTV Corp. 10,700 44,137
Lone Star
Technologies Inc.* 1,000 27,875
---------
72,012
---------
PROCESS INDUSTRIES -- 0.6%
- -------------------------------------------------------
Lancaster Colony Inc. 1,200 39,750
RPM Inc. 4,100 41,769
Tuscarora Inc. 1,400 16,975
---------
98,494
---------
PRODUCER MANUFACTURING -- 2.5%
- -------------------------------------------------------
Baldor Electronics Co. 1,500 27,188
Circor International Inc. 750 7,734
Commerical Intertech Corp. 400 5,100
Commonwealth
Industries Inc. 2,000 26,000
JLG Industries Inc. 5,700 90,843
Kaydon Corp. 1,200 32,175
Myers Industries Inc. 2,610 41,108
Patrick Industries Inc. 1,000 9,250
Superior Industries
International Inc. 1,400 37,538
Teleflex Inc. 1,100 34,444
Timken Co. 2,500 51,094
Tower Automotive Inc. 2,400 37,050
Watts Industries Inc.* 1,400 20,650
---------
420,174
---------
RETAIL TRADE -- 0.2%
- -------------------------------------------------------
Schultz Sav-O Stores Inc. 1,450 18,488
Syms Corp.* 2,500 12,500
---------
30,988
---------
TECHNOLOGY SERVICES -- 0.2%
- -------------------------------------------------------
Ultrak Inc. 3,900 30,225
---------
TRANSPORTATION -- 1.1%
- -------------------------------------------------------
Air Express
International Corp. 800 25,850
Atlantic Coast Airlines
Holdings* 1,200 28,500
Fritz Companies Inc.* 3,200 33,600
Kenan Transport Co. 900 28,237
Midwest Express
Holdings Inc. 1,000 31,875
Motor Cargo
Industries Inc.* 1,500 6,938
Tidewater Inc. 800 28,800
---------
183,800
---------
TOTAL COMMON STOCKS 1,682,852
---------
CONTINGENT RIGHTS -- 0.0%
- -------------------------------------------------------
Skyepharma PLC 2,100 0
---------
SHORT-TERM OBLIGATIONS -- 0.3%
- -------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 51,767
---------
TOTAL SMALL CAP VALUE
(Identified Cost $1,909,344) 1,734,619
---------
INTERNATIONAL EQUITY -- 11.3%
- -------------------------------------------------------
COMMON STOCKS -- 11.0%
- -------------------------------------------------------
AUSTRIA -- 0.1%
- -------------------------------------------------------
Boehler-Uddeholm 232 10,704
---------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ------------------------------------------------------
AUSTRALIA -- 0.3%
- ------------------------------------------------------
Australia & New
Zealand Banking Group 3,373 $ 24,537
Quantas Airways 9,811 24,476
--------
49,013
--------
CANADA -- 0.3%
- ------------------------------------------------------
Manulife Financial Corp. 2,192 28,017
Noranda Inc. 1,400 18,815
--------
46,832
--------
FINLAND -- 0.2%
- ------------------------------------------------------
UPM Kymmene Oy 785 31,631
--------
FRANCE -- 1.0%
- ------------------------------------------------------
BIC 459 20,890
Banque Nationale de Paris 515 47,520
Lafarge Coppee 154 17,933
Pernod-Ricard 430 24,605
Total Fina 391 52,188
--------
163,136
--------
GERMANY -- 1.0%
- ------------------------------------------------------
Aventis AG 664 38,528
Buderus AG 1,040 17,600
Commerzbank AG 520 19,093
Draegerwerk AG 1,295 11,414
Dyckerhoff AG 675 20,671
SGL Carbon AG* 266 17,685
Veba AG 617 29,989
Vossloh AG 690 10,356
--------
165,336
--------
GREAT BRITAIN -- 2.7%
- ------------------------------------------------------
Allied Domecq 2,935 14,507
Allied Zurich 1,603 18,902
BAA 3,240 22,609
BAT Industries 3,363 19,013
British Telecom 1,039 25,174
CGU 1,270 20,494
Coats Viyella 9,992 6,617
Cookson Group 9,165 37,011
Elementis 10,814 14,149
Hanson 2,769 23,213
Invensys 4,375 23,131
Lex Service 1,740 10,455
Lloyds TSB Group 1,655 20,559
Medeva 5,900 16,583
National Westminister Bank 1,210 25,995
Reckitt & Benckisen 2,530 23,948
Reed International 2,830 21,257
Safeway 4,260 14,777
TI Group 4,050 29,374
Tomkins 8,612 28,100
Unilever 2,120 15,581
United News & Media plc 2,400 30,258
Williams 5,579 25,413
--------
487,120
--------
HONG KONG -- 0.3%
- ------------------------------------------------------
Hang Lung
Development Co. 15,000 16,981
New World
Development Co. 8,000 18,010
South China Morning Post 28,000 24,133
--------
59,124
--------
IRELAND -- 0.4%
- ------------------------------------------------------
Allied Irish Banks 2,672 30,469
Greencore Group 5,860 18,005
Jefferson Smurfit Group 8,685 26,246
--------
74,720
--------
ITALY -- 0.4%
- ------------------------------------------------------
Eni SPA 4,420 24,311
Telecom Italia SPA 3,600 50,770
--------
75,081
--------
JAPAN -- 0.8%
- ------------------------------------------------------
Canon Inc. 1,000 39,738
Nintendo Co. 300 49,858
Promise Co. 400 20,358
Sanyo Shinpan Financial 600 20,554
Yodogawa Steel Works 4,000 12,058
--------
142,566
--------
NETHERLANDS -- 1.0%
- ------------------------------------------------------
ABN Amro Holdings NV 695 17,362
Akzo Nobel NV 609 30,551
Buhrmann NV 1,510 22,740
Ing Groep NV 447 26,990
Koninklijke NV PTT 260 25,379
Philips Electronics NV 300 40,798
--------
163,820
--------
NEW ZEALAND -- 0.4%
- ------------------------------------------------------
Fletcher Challenge 11,158 16,441
Telecom Corp. 9,433 44,359
--------
60,800
--------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
SHARES/
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------
NORWAY -- 0.1%
- --------------------------------------------------------
Kvaerner ASA 596 $ 12,579
----------
PORTUGAL -- 0.2%
- --------------------------------------------------------
Portugal
Telecommunications 3,590 39,382
----------
SINGAPORE -- 0.3%
- --------------------------------------------------------
Creative Technology Ltd.* 2,183 37,930
Jardine Matheson 2,900 11,426
----------
49,356
----------
SPAIN -- 0.3%
- --------------------------------------------------------
Telefonica SA* 1,715 42,845
----------
SWEDEN -- 0.3%
- --------------------------------------------------------
Electrolux AB 1,000 25,150
Getinge Industrier 1,668 18,819
----------
43,969
----------
SWITZERLAND -- 0.9%
- --------------------------------------------------------
Forbo Holdings AG 43 20,254
Geberit 109 37,308
Novartis AG 23 33,771
Saurer AG 36 17,386
Sig Holding 31 18,495
Sulzer AG 29 18,850
----------
146,064
----------
TOTAL COMMON STOCKS 1,864,078
----------
SHORT-TERM OBLIGATIONS -- 0.3%
- --------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 54,120
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $1,771,720) 1,918,198
----------
DOMESTIC FIXED INCOME -- 29.3%
- --------------------------------------------------------
FIXED INCOME -- 22.6%
- --------------------------------------------------------
ASSET BACKED -- 2.0%
- --------------------------------------------------------
Commercial Mortgage
Acceptance Corp.
5.80% due 3/15/06 $ 22,545 21,420
GMAC Commercial
Mortgage Securities Inc.
6.42% due 8/15/08 50,000 46,739
J.P. Morgan Commercial
Mortgage Finance Corp.
6.373% due 1/15/30 24,262 23,734
Morgan Stanley Capital Inc.
6.44% due 11/15/02 91,052 89,962
Peco Energy Transportation
Trust 6.05% due 3/1/09 50,000 46,906
Sears Credit Account
Master Trust
5.25% due 10/16/08 65,000 60,916
Structured Asset
Securities Corp.
6.79% due 10/15/34 47,458 47,070
--------
336,747
--------
CORPORATE BONDS -- 6.9%
- --------------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 50,000 43,197
American Financial
Group Inc.
7.125% due 4/15/09 50,000 44,785
Associates Corp.
of North America
6.95% due 11/01/18 45,000 41,541
BB & T Corp.
6.375% due 6/30/05 95,000 88,507
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 50,000 45,372
Conseco Inc.
6.40% due 6/15/01 45,000 43,635
Dayton Hudson Corp.
6.65% due 8/01/28 50,000 43,330
Delta Air Lines Inc.
8.30% due 12/15/29 45,000 43,305
Donaldson, Lufkin &
Jenrette 5.875%
due 4/01/02 45,000 43,681
Dynergy Inc.
7.45% due 7/15/06 40,000 39,131
E.I. duPont de
Nemours & Co.
6.875% due 10/15/09 25,000 24,214
Equitable Life Assurance
6.95% due 12/01/05 60,000 58,179
Ford Motor Co.
7.375% due 10/28/09 45,000 44,426
Great Lakes
Chemical Corp.
7.00% due 7/15/09 50,000 47,701
Household Financial
Corp. 6.50%
due 11/15/08 70,000 64,828
Knight Ridder Inc.
6.875% due 3/15/29 45,000 39,465
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------
MCI Communications Corp.
6.50% due 4/15/10 $ 60,000 $ 55,871
Mattel Inc.
6.00% due 7/15/03 45,000 42,451
Merita Bank plc
6.50% due 4/1/09 50,000 45,649
National Rural Utilities
Cooperative Finance
6.20% due 2/01/08 55,000 51,180
Osprey Trust Osprey Inc.
8.31% due 1/15/03 45,000 44,682
Popular North
America Inc.
6.875% due 6/15/01 50,000 49,675
Saks Inc.
8.25% due 11/15/08 45,000 43,781
TPSA Finance BV
7.75% due 12/10/08 50,000 46,288
Westvaco Corp.
7.10% due 11/15/09 45,000 43,135
----------
1,178,009
----------
MORTGAGE BACKED -- 7.9%
- -----------------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.00% (TBA) 35,000 32,058
6.25% due 6/15/24 50,000 47,405
Federal National
Mortgage Association
6.50% (TBA) 100,000 94,218
7.349% due 8/17/21 50,000 48,847
6.50% due 4/01/29 121,357 114,340
7.50% due 7/01/29 500,000 494,688
GE Capital Mortgage
Services Inc.
5.905% due 10/25/13 150,000 147,555
Government National
Mortgage Association
6.50% (TBA) 70,000 65,733
7.00% (TBA) 270,000 260,888
7.00% due 2/15/24 50,737 49,310
----------
1,355,042
----------
U. S. TREASURY OBLIGATIONS-- 4.1%
- -----------------------------------------------------------
United States Treasury Bonds
3.625% due 4/15/28 62,910 56,186
6.125% due 8/15/29 150,000 142,992
----------
199,178
----------
United States Treasury Notes
5.625% due 4/30/00 30,000 29,986
5.875% due 11/15/04 185,000 181,387
5.625% due 4/15/08 125,000 117,578
3.875% due 1/15/09 82,052 79,283
6.00% due 8/15/09 100,000 96,875
----------
505,109
----------
YANKEE BONDS -- 1.7%
- -----------------------------------------------------------
Corporacion Andina De Fomento
7.75% due 3/1/04 50,000 50,000
DaimlerChrysler of North America
7.20% due 9/1/09 45,000 44,201
Imperial Tobacco Overseas B.V
7.125% due 4/1/09 50,000 44,946
Korea Development Bank
7.125% due 4/22/04 50,000 48,744
Quebec Province of Canada
7.50% due 9/15/29 45,000 43,622
YPF Sociedad Anonima
7.25% due 3/15/03 55,000 53,399
----------
284,912
----------
TOTAL FIXED INCOME 3,858,997
----------
SHORT-TERM OBLIGATIONS -- 6.7%
- -----------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 1,144,375
----------
TOTAL DOMESTIC
FIXED INCOME
(Identified Cost $5,168,807) 5,003,372
----------
INTERNATIONAL BOND -- 11.2%
- -----------------------------------------------------------
FIXED INCOME -- 11.1%
- -----------------------------------------------------------
BELGIUM -- 0.2%
- -----------------------------------------------------------
Kingdom of Belgium
5.50% due 3/28/28 EURO 40,000 36,845
----------
CANADA -- 1.0%
- -----------------------------------------------------------
Government of Canada
1.90% due 3/23/09 JPY 17,000,000 170,383
----------
DENMARK -- 0.1%
- -----------------------------------------------------------
Nykredit
5.00% due 10/01/29 DKK 120,000 14,137
Unikredit Realkred
5.00% due 10/01/29 DKK 109,000 12,802
----------
26,939
----------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- --------------------------------------------------------------------
FRANCE -- 0.3%
- --------------------------------------------------------------------
Government of France
5.50% due 4/25/29 EURO 30,000 $ 28,288
3.00% due 7/25/09 EURO 16,928 16,239
-----------
44,527
-----------
GERMANY -- 0.5%
- --------------------------------------------------------------------
Republic of Germany
5.375% due 1/04/10 EURO 40,000 40,394
5.625% due 1/04/28 EURO 40,451 38,813
-----------
79,207
-----------
GREAT BRITAIN -- 1.2%
- --------------------------------------------------------------------
United Kingdom
Treasury
7.00% due 11/06/01 GBP 66,000 107,569
Toyota Motor Credit Corp.
6.25% due 8/04/03 GBP 60,000 94,272
-----------
201,841
-----------
GREECE -- 1.2%
- --------------------------------------------------------------------
Republic of Greece
7.60% due 1/22/02 GRD 16,000,000 49,509
8.90% due 4/01/03 GRD 11,000,000 35,850
12.80% due 6/17/03 GRD 1,600,000 5,012
10.24% due 10/23/03 GRD 5,200,000 16,376
6.60% due 1/15/04 GRD 32,000,000 98,118
-----------
204,865
-----------
JAPAN -- 2.2%
- --------------------------------------------------------------------
International Bank
Reconciliation and Develoment
4.75% due 12/20/04 JPY 10,700,000 $ 124,364
Nippon Tel and Tel CP
2.50% due 7/25/07 JPY 9,000,000 93,404
Japan Government Bond
4.10% due 6/21/04 JPY 10,100,000 112,893
4.50% due 12/20/04 JPY 4,500,000 51,618
-----------
382,279
-----------
NETHERLANDS -- 0.6%
- --------------------------------------------------------------------
Kingdom of Netherlands
6.00% due 1/15/06 EURO 100,000 105,318
-----------
SPAIN -- 1.1%
- --------------------------------------------------------------------
Government of Spain
6.00% due 1/31/08 EURO 92,992 96,864
6.15% due 1/31/13 EURO 91,000 94,364
-----------
191,228
-----------
UNITED STATES -- 2.7%
- --------------------------------------------------------------------
Bank of Nederlandse Gemeenten
6.00% due 5/12/00 EURO 50,000 49,905
6.125% due 2/07/00 EURO 60,000 60,003
European Investment Bank
6.50% due 2/03/00 EURO 100,000 100,039
H. J. Heinz & Co.
7.50% due 4/26/00 90,000 90,248
Student Loan
Marketing Association
5.304% due 10/25/04 FRN 3,340 3,329
5.394% due 4/25/06 FRN 30,842 30,605
United States Treasury Notes
3.625% due 7/15/02 $ 94,515 93,570
4.75% due 11/15/08 $ 30,000 26,461
-----------
454,160
-----------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------------
TOTAL FIXED INCOME $1,897,592
----------
SHORT-TERM OBLIGATIONS -- 0.1%
- -----------------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 7,768
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,942,803) 1,905,360
----------
HIGH YIELD BOND -- 14.8%
- -----------------------------------------------------------------
FIXED INCOME -- 13.8%
- -----------------------------------------------------------------
DOMESTIC CORPORATIONS -- 13.5%
- -----------------------------------------------------------------
AEROSPACE -- 0.3%
- -----------------------------------------------------------------
Sequa Corp.
9.00% due 8/01/09 $ 50,000 48,375
----------
AUTOMOTIVE -- 1.1%
- -----------------------------------------------------------------
American Axle &
Manufacturing Inc.
9.75% due 3/01/09+(#) 50,000 50,500
J.H. Heafner Inc.
10.00% due 5/15/08 50,000 45,250
J.L. French Automotive
Castings
11.50% due 6/01/09(#) 50,000 51,000
Lear Corp.
8.11% due 5/15/09(#) 50,000 46,978
----------
193,728
----------
CABLE & OTHER MEDIA -- 1.4%
- -----------------------------------------------------------------
CSC Holdings Inc.
9.875% due 2/15/13(#) 50,000 52,750
Charter Communications Holdings
8.625% due 4/01/09(#) 50,000 46,187
Zero Coupon
due 4/01/11(#) 75,000 45,938
Frontiervision Holdings LP
Zero Coupon
due 9/15/07 55,000 48,950
NTL Inc.
Zero Coupon
due 10/01/08(#) 75,000 52,500
----------
246,325
----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.5%
- -----------------------------------------------------------------
Jordan Industries Inc.
10.375% due 8/01/07(#) 50,000 50,000
Packard Bioscience Inc.
9.375% due 3/01/07(#) 50,000 42,875
----------
92,875
----------
CHEMICALS -- 0.2%
- -----------------------------------------------------------------
Lyondell Chemical Co.
9.875% due 5/01/07 40,000 41,000
----------
CONSUMER PRODUCTS/TOBACCO -- 1.0%
- -----------------------------------------------------------------
French Fragrances Inc.
10.375% due 5/15/07 50,000 47,250
Home Interiors Gifts Inc.
10.125% due 6/01/08 50,000 42,750
Mail Well Corp.
8.75% due 12/15/08(#) 50,000 47,500
Revlon Consumer Products Corp.
8.625% due 2/01/08 50,000 24,500
----------
162,000
----------
ENERGY -- 1.1%
- -----------------------------------------------------------------
Belco Oil & Gas Co.
8.875% due 9/15/07 50,000 46,875
Bellwether Exploration Co.
10.875% due 4/01/07 50,000 45,875
Lomak Petroleum Inc.
8.75% due 1/15/07 40,000 36,800
Western Gas Resources
10.00% due 6/15/09(#) 50,000 51,250
----------
180,800
----------
FINANCIAL -- 0.2%
- -----------------------------------------------------------------
Contifinancial Corp.
8.375% due 8/15/03(#) 50,000 4,500
Williams Scotsman Inc.
9.875% due 6/01/07 30,000 29,025
----------
33,525
----------
FOOD/BEVERAGE/BOTTLING -- 0.3%
- -----------------------------------------------------------------
B & G Foods Incications Corp.
9.625% due 8/01/07 50,000 44,375
----------
GAMING -- 0.9%
- -----------------------------------------------------------------
Circus Circus Enterprises Inc.
9.25% due 12/01/05 50,000 50,625
Majestic Star Casino LLC
10.875% due 7/01/06(#) 50,000 48,250
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------------------
Sun International Ltd.
9.00% due 3/15/07 $ 50,000 $ 48,250
-----------
147,125
-----------
HEALTHCARE -- 0.2%
- ----------------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 50,000 43,250
-----------
HOUSING RELATED -- 0.3%
- ----------------------------------------------------------------
CB Richards Ellis Services Inc.
8.875% due 6/01/06 50,000 44,375
-----------
LODGING LEISURE -- 0.3%
- ----------------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 50,000 44,500
-----------
METALS/MINING/STEEL -- 0.4%
- ----------------------------------------------------------------
LTV Corp.
11.75% due 11/15/09(#) 25,000 26,000
PCI Chemicals CDA Inc.
9.25% due 10/15/07 50,000 38,375
-----------
64,375
-----------
PAPER/FOREST PRODUCTS -- 0.3%
- ----------------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 50,000 51,687
-----------
PUBLISHING/PRINTING -- 0.3%
- ----------------------------------------------------------------
Hollinger International
Publishing Inc.
9.25% due 3/15/07 50,000 49,250
-----------
RETAIL -- 0.7%
- ----------------------------------------------------------------
Advance Stores Inc.
10.25% due 4/15/08 50,000 43,500
Cole National Group Inc.
8.625% due 8/15/07 50,000 35,875
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 50,000 46,250
-----------
125,625
-----------
SERVICES/OTHER -- 2.0%
- ----------------------------------------------------------------
Blount Inc.
13.00% due 8/01/09 50,000 52,750
Gentek Inc.
11.00% due 8/01/09 50,000 52,000
Integrated Electrical Service
9.375% due 2/01/09 50,000 49,063
Iron Mountain Inc.
10.125% due 10/01/06 50,000 51,000
Pierce Leahy Command Co.
8.125% due 5/15/08 50,000 45,750
Polymer Group Inc.
8.75% due 3/01/08(#) 50,000 48,000
Safety Kleen Services Inc.
9.25% due 6/01/08 50,000 49,375
-----------
347,938
-----------
TELECOMMUNICATIONS -- 1.8%
- ----------------------------------------------------------------
Energis PLC
9.75% due 6/15/09(#) 50,000 51,750
Intermedia Communications Inc.
9.50% due 3/01/09(#) 50,000 48,000
Nextel Communications Inc.
Zero Coupon
due 2/15/08(#) 70,000 49,175
Orange PLC
9.00% due 6/01/09(#) 50,000 52,500
Price Communications
Wireless Inc.
9.125% due 12/15/06(#) 50,000 50,625
Rogers Cantel
9.375% due 6/01/08 50,000 52,000
-----------
304,050
-----------
TRANSPORTATION -- 0.2%
- ----------------------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06(#) 50,000 32,875
-----------
MORTGAGE OBLIGATIONS -- 0.3%
- ----------------------------------------------------------------
MORTGAGE BACKED SECURITIES/
PASSTHROUGHS -- 0.3%
- ----------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 50,000 43,356
-----------
TOTAL FIXED INCOME 2,341,409
-----------
SHORT-TERM OBLIGATIONS -- 1.0%
- ----------------------------------------------------------------
First Union National Bank
4.95% due 1/03/00(+) 171,987
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $2,677,136) 2,513,396
-----------
TOTAL INVESTMENTS
(Identified
Cost $17,541,724) 105.8% 18,029,206
-----------
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------
OTHER ASSETS,
LESS LIABILITIES (5.8) $ (987,821)
----- ----------
NET ASSETS 100.0% 17,041,385
===== ==========
* Non income producing
(#) Rule 144A -- Security exempt from registration
under Rule 144A of the Securities Act of 1933.
(+) The Portfolio owns in aggregate a repurchase
agreement with First Union National Bank
4.95%, due 1/03/00 valued at $1,566,999,
proceeds at maturity $1,567,646,
collateralized by $1,680,000 Federal Home Loan
Mortgage Association 5.19% due 10/20/03 with a
value of $1,601,404, portions of which are
separately listed by each asset class.
(++) The Portfolio owns in aggregate 1,130 shares
of General Electric Co. valued at $174,868,
1,250 shares of Bristol-Myers Squibb Co.
valued at $80,234, 2,040 shares of AT&T Corp.
valued at $103,530, 1,505 shares of SBC
Communications, Inc. valued at $73,369, and
5,240 shares of R&B Falcon Corp. valued at
$69,430, portions of which are separately
listed by each asset class.
TBA's Mortgage-backed securities traded under
delayed delivery commitments.
ADR's American Depository receipts.
See notes to financial statements
FOREIGN CURRENCY LEGEND
- --------------------------------------
SYMBOL COUNTRY
- --------------------------------------
EURO Belgium
DKK Denmark
EURO France
EURO Germany
GBP Great Britain
GRD Greece
JPY Japan
EURO Netherlands
EURO Spain
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1999 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>
Australian Dollar (Buy).. Australia $ 57,430 $ 55,600 February-00 $ 1,830
Drachma (Buy) .......... Greece 50,548 50,707 February-00 (159)
Drachma (Sell) ......... Greece 174,113 174,521 February-00 408
Euro (Buy) .............. Europe 263,505 266,073 February-00 (2,568)
Euro (Sell) ............. Europe 653,612 655,645 February-00 2,033
Krone (Sell) ............ Denmark 26,217 26,259 February-00 42
Krona (Buy) ............. Sweden 52,226 52,046 February-00 180
Krona (Sell) ............ Sweden 53,464 53,175 February-00 (289)
Pound (Sell) ........... Great Britain 203,028 200,941 February-00 (2,087)
Yen (Buy) .............. Japan 2,502 2,484 February-00 18
Yen (Sell) ............. Japan 492,226 493,070 February-00 844
--------
$ 252
========
</TABLE>
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS December 31, 1999
ISSUER SHARES VALUE
- -------------------------------------------------------
LARGE CAP GROWTH -- 11.0%
- -------------------------------------------------------
COMMON STOCKS -- 10.4%
- -------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 0.3%
- -------------------------------------------------------
Danaher Corp. 121 $ 5,838
General Dynamics Corp. 45 2,374
Tyco International Ltd. 474 18,427
---------
26,639
---------
COMMERCIAL SERVICES -- 0.1%
- -------------------------------------------------------
Interpublic Group
Companies Inc. 234 13,499
---------
COMMUNICATION SERVICES -- 1.0%
- -------------------------------------------------------
AT&T Corp.(++) 500 25,375
Bell Atlantic Corp. 375 23,086
Bellsouth Corp. 305 14,278
GTE Corp. 208 14,677
SBC Communications Inc.(++) 440 21,450
---------
98,866
---------
CONGLOMERATES -- 0.8%
- -------------------------------------------------------
General Electric Co.(++) 509 78,768
---------
CONSUMER DURABLES -- 0.0%
- -------------------------------------------------------
Harley Davidson Inc. 40 2,562
---------
CONSUMER NON-DURABLES -- 0.6%
- -------------------------------------------------------
Cola Cola Co. 405 23,591
Procter & Gamble Co. 301 32,978
---------
56,569
---------
CONSUMER SERVICES -- 0.1%
- -------------------------------------------------------
Carnival Corp. 205 9,801
---------
FINANCE -- 0.7%
- -------------------------------------------------------
American Express Co. 115 19,119
Bank of New York Inc. 124 4,960
Charles Schwab Corp. 105 4,029
Federal Home Loan Mortgage Corp. 135 6,353
Federal National
Mortgage Association 200 12,488
MBNA Corp. 495 13,489
Northern Trust Corp. 100 5,300
---------
65,738
---------
HEALTHCARE -- 1.6%
- -------------------------------------------------------
Bristol-Myers Squibb Co.(++) 420 26,959
Eli Lilly & Co. 112 7,448
Johnson & Johnson 323 30,079
Medtronic Inc. 205 7,470
Merck & Co. 370 24,813
Pfizer Inc. 630 20,436
Schering-Plough Corp. 468 19,744
Warner Lambert Co. 250 20,484
---------
157,433
---------
RETAIL --1.0%
- -------------------------------------------------------
Bed Bath & Beyond Inc.* 123 4,274
Home Depot Inc. 404 27,665
Kohls Corp.* 66 4,764
Lowes Cos. Inc. 75 4,481
Wal Mart Stores Inc. 716 49,494
Walgreen Co. 170 4,973
---------
95,651
---------
TECHNOLOGY -- 4.2%
- -------------------------------------------------------
Altera Corp.* 40 1,982
America Online Inc.* 235 17,728
Amgen Inc.* 170 10,211
BMC Software Inc.* 35 2,798
Cisco Systems Inc.* 533 57,098
Dell Computer Corp.* 415 21,165
EMC Corp.* 147 16,060
Intel Corp. 531 43,708
International Business Machines 325 35,100
Lexmark International Group Inc.* 113 10,227
Linear Technologies Corp. 35 2,505
Lucent Technologies Inc. 487 36,434
Maxim Integrated Products Inc.* 60 2,831
Microchip Technology Inc. 35 2,395
Microsoft Corp.* 826 96,435
Oracle Corp.* 230 25,774
Peoplesoft Inc.* 115 2,451
Sun Microsystems Inc.* 259 20,056
Tellabs Inc.* 70 4,493
---------
409,451
---------
TOTAL COMMON STOCKS 1,014,977
---------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- --------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.6%
- --------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) $ 60,617
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $864,330) 1,075,594
----------
LARGE CAP VALUE -- 13.0%
- --------------------------------------------------------
COMMON STOCKS -- 12.2%
- --------------------------------------------------------
BASIC INDUSTRIES-- 1.4%
- --------------------------------------------------------
Alcoa Inc. 425 35,275
Dow Chemicals Co. 150 20,044
E. I. du Pont de Nemours & Co. 315 20,751
International Paper Co. 525 29,630
Kimberly Clark Corp. 470 30,668
----------
136,368
----------
CAPITAL GOODS -- 1.0%
- --------------------------------------------------------
Emerson Electric Co. 650 37,294
Honeywell International Inc. 495 28,555
Pitney Bowes Inc. 730 35,268
----------
101,117
----------
COMMUNICATION SERVICES -- 1.5%
- --------------------------------------------------------
AT&T Corp.(++) 925 46,944
GTE Corp. 525 37,045
SBC Communications Inc.(++) 688 33,540
Sprint Corp. 425 28,608
----------
146,137
----------
CONGLOMERATES -- 0.3%
- --------------------------------------------------------
General Electric Co.(++) 200 30,950
----------
CONSUMER CYCLICALS -- 0.7%
- --------------------------------------------------------
General Motors Corp. 200 14,537
Masco Corp. 900 22,837
McGraw Hill Companies Inc. 500 30,812
----------
68,186
----------
CONSUMER STAPLES -- 0.5%
- --------------------------------------------------------
Avon Products Inc. 200 6,600
H.J. Heinz & Co. 225 8,958
PepsiCo Inc. 840 29,610
----------
45,168
----------
ENERGY -- 1.5%
- --------------------------------------------------------
BP Amoco plc, ADR's 425 25,208
Chevron Corp. 320 27,720
Conoco Inc. Cl. A 1,260 31,185
Exxon Mobil Corp. 600 48,338
Halliburton Co. 440 17,710
----------
150,161
----------
FINANCE -- 2.5%
- --------------------------------------------------------
Bank of America Corp. 635 31,869
Chase Manhattan Corp. 520 40,397
Chubb Corp. 475 26,748
Hartford Financial
Services Group 655 31,031
Marsh & McLennan
Companies Inc. 475 45,451
Mellon Bank Corp. 1,040 35,425
Merrill Lynch & Co. Inc. 150 12,525
UnumProvident Corp. 680 21,803
----------
245,249
----------
HEALTHCARE -- 0.9%
- --------------------------------------------------------
American Home Products Corp. 750 29,578
Bristol-Myers Squibb Co.(++) 450 28,884
Pharmacia & Upjohn Inc. 525 23,625
----------
82,087
----------
TECHNOLOGY -- 0.2%
- --------------------------------------------------------
Xerox Corp. 675 15,314
----------
TRANSPORTATION -- 0.1%
- --------------------------------------------------------
Union Pacific Corp. 325 14,178
----------
UTILITIES -- 1.6%
- --------------------------------------------------------
Duke Energy Co. 804 40,301
Enron Corp. 1,185 52,584
Unicom Corp. 740 24,790
Williams Companies Inc. 1,300 39,731
----------
157,406
----------
TOTAL COMMON STOCKS 1,192,321
- --------------------------------------------------------
SHORT-TERM OBLIGATION -- 0.8%
- --------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 79,606
----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,261,935) 1,271,927
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- --------------------------------------------------------
SMALL CAP GROWTH -- 13.1%
- --------------------------------------------------------
COMMON STOCKS -- 12.3%
- --------------------------------------------------------
COMMERCIAL SERVICES -- 1.2%
- --------------------------------------------------------
Catalina Marketing Corp.* 240 $ 27,780
Checkfree Holdings Corp.* 216 22,572
Cylink Corp.* 330 4,455
Harmonic Inc.* 55 5,222
Lamar Advertising Co.* 324 19,622
Next Level Communications Inc.* 20 1,497
Profit Recovery Group
International Inc.* 360 9,563
QRS Corp.* 88 9,240
Research in Motion Ltd.* 265 12,240
Verticalnet Inc.* 45 7,380
--------
119,571
--------
CONSUMER DURABLE -- 0.2%
- --------------------------------------------------------
Ethan Allen Interiors Inc. 191 6,124
Gentex Corp.* 200 5,550
Saucony Inc.* 356 4,940
--------
16,614
--------
CONSUMER NON-DURABLE -- 0.1%
- --------------------------------------------------------
Beringer Wine Estates Holdings* 143 5,702
--------
CONSUMER SERVICES -- 1.4%
- --------------------------------------------------------
Activision Inc.* 515 7,886
Emmis Communications Corp.* 80 9,971
Hispanic Broadcasting Corp.* 195 17,983
Houghton Mifflin Co. 144 6,075
Mail.com Inc.* 170 3,187
SFX Entertainment Inc.* 352 12,738
Scholastic Corp.* 95 5,908
Source Information Management Co.* 794 13,299
Spanish Broadcasting System Inc.* 199 8,010
Sportsline USA Inc.* 125 6,266
Ticketmaster Online Citysearch* 95 3,652
Westwood One Inc.* 333 25,308
Young Broadcasting Inc.* 235 11,985
--------
132,268
--------
ELECTRONICS/TECHNICAL
SERVICES -- 2.1%
- --------------------------------------------------------
Amkor Technology Inc.* 245 6,921
Anadigics Inc.* 90 4,247
Ancor Communications Inc.* 55 3,733
C Cube Microsystems Inc.* 265 16,496
CTS Corp.* 90 6,784
Crossroads Systems Inc.* 5 422
Cypress Semiconductor Corp.* 225 7,284
Finistar Corp.* 37 3,325
Macrovision Corp.* 70 5,180
Methode Eletronics Inc. 200 6,425
Microchip Technology Inc.* 85 5,817
Microstrategy Inc.* 55 11,550
National Information Inc.* 77 2,464
Network Appliance Inc.* 154 12,792
Novellus Systems Inc.* 180 22,056
Pinnacle Holdings Inc.* 454 19,238
Powertel Inc.* 100 10,037
Powerwave Technologies Inc.* 129 7,530
Remec Inc.* 355 9,052
Remedy Corp.* 100 4,737
Sandisk Corp.* 80 7,700
Sawtek Inc.* 105 6,989
Voicestream Wireless Corp.* 62 8,823
Western Wireless Corp.* 307 20,492
--------
210,094
--------
ENERGY/MINERALS -- 0.6%
- --------------------------------------------------------
Cal Dive International Inc.* 245 8,116
Coflexip 235 8,930
Petroleum Geological Services* 486 8,657
Precision Drilling Corp.* 385 9,890
R&B Falcon Corp.*(++) 1,830 24,248
--------
59,841
--------
FINANCE -- 0.7%
- --------------------------------------------------------
Bisys Group Inc.* 205 13,376
Chittenden Corp. 404 11,968
Chubb Corp. 1 56
Cullen Frost Bankers Inc. 503 12,952
E.W. Blanch Holdings Inc. 60 3,675
Peoples Heritage
Financial Group 694 10,453
SEI Investments Co. 3 357
Telebanc Financial Corp.* 185 4,810
U.S. Trust Corp. 192 15,396
--------
73,043
--------
HEALTH SERVICES/TECHNOLOGY -- 1.7%
- --------------------------------------------------------
Affymetrix Inc.* 35 5,939
Alpharma Inc. 185 5,689
Andrx Corp.* 104 4,401
Apria Healthcare Group Inc.* 515 9,238
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- --------------------------------------------------------
Caliper Technologies Corp.* 40 $ 2,670
Corixa Corp.* 210 3,570
Dusa Pharmaceuticals Inc.* 330 9,405
Enzon Inc.* 160 6,940
IDEC Pharmaceuticals Corp.* 80 7,860
LifePoint Hospital Inc.* 285 3,367
Medarex Inc.* 515 19,184
MedImmune Inc.* 116 19,241
Medquist Inc.* 249 6,427
Millennium Pharmaceuticals Inc. 122 14,884
Pharmacyclics Inc.* 95 3,919
Shire Pharmaceuticals Group* 859 25,018
Transkaryotic Therapies Inc.* 45 1,733
Triad Hospitals Inc.* 195 2,949
Varian Inc.* 505 11,363
Ventana Medical Systems Inc.* 258 6,418
---------
170,215
---------
INDUSTRIAL SERVICES -- 0.1%
- --------------------------------------------------------
Hanover Compressor Co.* 225 8,494
---------
PROCESS INDUSTRIES -- 0.8%
- --------------------------------------------------------
Alliant Techsystems Inc.* 85 5,297
Applied Power Inc.* 209 7,681
Aptargroup Inc.* 449 11,281
Cleco Corp.* 230 7,374
DII Group Inc.* 105 7,452
Idex Corp. 245 7,442
Mettler Toledo International Inc.* 348 13,289
Power One Inc.* 110 5,039
Shaw Group Inc.* 255 6,455
Symyx Technologies Inc.* 116 3,480
---------
74,790
---------
RETAIL -- 0.6%
- --------------------------------------------------------
Cost Plus Inc.* 362 12,896
Linens `n Things Inc.* 311 9,213
O'Reilly Automotive Inc.* 378 8,127
Zale Corp.* 255 12,336
Zany Brainy Inc.* 1,105 11,326
---------
53,898
---------
TECHNOLOGY SERVICES -- 2.4%
- --------------------------------------------------------
Alpha Industries Inc.* 50 2,866
Bindview Development Corp.* 135 6,708
Broadvision Inc.* 75 12,755
Concentric Network Corp.* 120 3,697
Covad Communications Group Inc.* 140 7,831
Dallas Semiconductor Corp. 73 4,704
Digital Microwave Corp.* 335 7,852
Electronics for Imaging Inc.* 270 15,694
Emulex Corp.* 60 6,750
Exactis Communications Inc.* 173 4,206
Exodus Communications Inc.* 218 19,361
High Speed Access Corp.* 135 2,379
Inprise Corp.* 1,225 13,552
Legato Systems Inc.* 231 15,896
MTI Technology Corp.* 130 4,794
Macromedia Inc.* 290 21,206
Mercury Interactive Corp.* 256 27,632
Micrel Inc.* 230 13,096
National Instruments Corp.* 485 18,551
Semtech Corp.* 115 5,994
Transwitch Corp.* 75 5,442
Triquint Semiconductor Inc.* 50 5,563
Vixel Corp.* 70 1,194
Whittman Hart Inc.* 210 11,261
---------
238,984
---------
TRANSPORTATION -- 0.4%
- --------------------------------------------------------
C.H. Robinson Worldwide Inc. 318 12,640
CNF Transportation Inc. 295 10,178
Eagle U.S.A. Airfreight Inc.* 510 21,994
---------
44,812
---------
TOTAL COMMON STOCKS 1,208,326
---------
SHORT-TERM OBLIGATIONS -- 0.8%
- --------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 73,346
---------
TOTAL SMALL CAP GROWTH
(Identified Cost $888,393) 1,281,672
---------
SMALL CAP VALUE -- 12.7%
- --------------------------------------------------------
COMMON STOCKS -- 12.2%
- --------------------------------------------------------
COMMERCIAL SERVICES-- 0.2%
- --------------------------------------------------------
Reynolds & Reynolds Co. 1,000 22,500
---------
CONSUMER DURABLE GOODS -- 0.3%
- --------------------------------------------------------
D.R. Horton Inc. 1,000 13,813
Engle Homes Inc. 500 6,000
Flexsteel Industries Inc. 600 8,025
---------
27,838
---------
CONSUMER NON-DURABLES -- 1.1%
- --------------------------------------------------------
Dimon Inc. 2,600 8,450
Standard Commercial Corp. 3,426 12,205
Timberland Co.* 800 42,300
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ---------------------------------------------------------
Tropical Sportwear
International Corp. 1,000 $ 16,125
Wolverine Worldwide Inc. 2,900 31,719
---------
110,799
---------
CONSUMER SERVICES -- 0.2%
- ---------------------------------------------------------
Aztar Corp.* 1,600 17,400
---------
ELECTRONIC TECHNOLOGY -- 0.3%
- ---------------------------------------------------------
Diebold Inc. 200 4,700
ESCO Electronics Corp.* 1,000 11,625
Spacehab Inc.* 2,600 13,975
---------
30,300
---------
ENERGY MINERALS -- 0.5%
- ---------------------------------------------------------
Nuevo Energy Co.* 1,700 31,875
R&B Falcon Corp.*(++) 1,350 17,887
---------
49,762
---------
FINANCE -- 2.2%
- ---------------------------------------------------------
Acceptance Insurance Co.* 900 5,231
American National
Insurance Co. 400 25,500
Harleysville Group Inc. 1,800 25,650
MMI Companies Inc. 1,200 10,350
Matrix Bancorp Inc. 800 9,600
PBOC Holdings Inc* 1,500 14,156
PMI Group Inc. 450 21,966
Penn America Group Inc. 1,300 10,075
Presidential Life Corp. 2,400 44,100
Professional Groups Inc.* 1,430 33,516
Stancorp Financial Group Inc. 500 12,594
---------
212,738
---------
HEALTH TECHNOLOGY -- 0.2%
- ---------------------------------------------------------
West Pharmaceutical Services Inc. 700 21,656
---------
INDUSTRIAL SERVICES -- 1.1%
- ---------------------------------------------------------
Atwood Oceanics Inc.* 800 30,900
ENSCO International Inc. 1,300 29,736
Perini Corp.* 400 1,550
Rowan Companies Inc.* 1,400 30,363
Santa Fe International Corp. 500 12,938
---------
105,487
---------
NON-ENERGY MINERALS -- 0.5%
- ---------------------------------------------------------
LTV Corp. 7,200 29,700
Lone Star Technologies Inc.* 700 19,512
---------
49,212
---------
PROCESS INDUSTRIES -- 0.6%
- ---------------------------------------------------------
Lancaster Colony Corp. 800 26,500
RPM Inc. 2,900 29,544
Tuscarora Inc. 500 6,063
---------
62,107
---------
PRODUCER MANUFACTURING -- 3.0%
- ---------------------------------------------------------
Baldor Electric Co. 1,000 18,125
Circor International Inc. 450 4,641
Commercial Intertech Corp. 200 2,550
Commonwealth Industries Inc. 1,400 18,200
JLG Industries Inc. 4,000 63,750
Kaydon Corp. 800 21,450
Myers Industries Inc. 1,720 27,090
Patrick Industries Inc. 900 8,325
Superior Industries
International Inc. 900 24,131
Teleflex Inc. 800 25,050
Timken Co. 1,800 36,788
Tower Automotive Inc.* 1,700 26,244
Watts Industries Inc.* 1,000 14,750
---------
291,094
---------
RETAIL TRADE -- 0.3%
- ---------------------------------------------------------
Schultz Sav-O Stores Inc. 1,400 17,850
Syms Corp.* 2,200 11,000
---------
28,850
---------
TECHNOLOGY SERVICES -- 0.2%
- ---------------------------------------------------------
Ultrak Inc.* 3,000 23,250
---------
TRANSPORTATION -- 1.5%
- ---------------------------------------------------------
Air Express International Corp. 700 22,619
Atlantic Coast Airlines Holdings* 800 19,000
Fritz Companies Inc.* 2,100 22,050
Kenan Transport Co. 800 25,100
Midwest Express Holdings Inc.* 700 22,312
Motor Cargo Industries Inc.* 1,300 6,012
Tidewater Inc. 700 25,200
---------
142,293
---------
TOTAL COMMON STOCKS 1,195,286
---------
CONTINGENT RIGHTS -- 0.0%
- ---------------------------------------------------------
Skyepharma PLC 2,100 0
---------
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- ---------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.5%
- ---------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) $ 50,267
----------
TOTAL SMALL CAP VALUE
(Identified Cost $1,340,823) 1,245,553
----------
INTERNATIONAL EQUITY -- 21.5%
- ---------------------------------------------------------
COMMON STOCKS -- 19.8%
- ---------------------------------------------------------
AUSTRIA -- 0.1%
- ---------------------------------------------------------
Boehler-Uddeholm 288 13,287
----------
AUSTRALIA -- 0.4%
- ---------------------------------------------------------
Australia & New Zealand
Banking Group 3,082 22,421
Quantas Airways 5,887 14,686
----------
37,107
----------
CANADA -- 0.5%
- ---------------------------------------------------------
Manulife Financial Corp. 2,336 29,857
Noranda Inc. 1,335 17,942
----------
47,799
----------
FINLAND -- 0.4%
- ---------------------------------------------------------
UPM Kymmene Oy 895 36,063
----------
FRANCE -- 1.7%
- ---------------------------------------------------------
BIC 506 23,029
Banque National de Paris 535 49,366
Lafarge Coppee 157 18,283
Pernod Ricard 440 25,176
Total Fina 391 52,188
----------
168,042
----------
GERMANY -- 1.8%
- ---------------------------------------------------------
Aventis SA 675 39,166
Buderus AG 1,039 17,584
Commerzbank AG 700 25,703
Draegerwerk AG 1,253 11,044
Dyckerhoff AG 820 25,111
SGL Carbon AG* 276 18,350
Veba AG 633 30,767
Vossloh AG 450 6,754
----------
174,479
----------
GREAT BRITAIN -- 5.2%
- ---------------------------------------------------------
Allied Domecq 3,206 15,847
Allied Zurich 1,520 17,923
BAA 3,500 24,423
BAT Industries 3,480 19,674
British Telecom 1,119 27,113
CGU 1,275 20,574
Coats Viyella 17,870 11,835
Cookson Group 8,725 35,234
Elementis 12,347 16,155
Hanson 2,954 24,765
Invensys 4,923 26,028
Lex Service 2,240 13,460
Lloyds TSB Group 1,393 17,303
Medeva 7,030 19,759
National Westminster Bank 1,275 27,391
Reckitt & Benckiser 2,594 24,554
Reed International 2,930 22,008
Safeway 4,290 14,881
TI Group 3,590 26,037
Tomkins 9,221 30,087
Unilever 2,190 16,096
United News & Media plc 2,430 30,636
Williams 5,789 26,370
----------
508,153
----------
HONG KONG -- 0.5%
- ---------------------------------------------------------
Hang Lung Development Co. 9,000 10,188
New World Development Co. 3,000 6,754
South China Morning Post 34,000 29,305
----------
46,247
----------
IRELAND -- 0.8%
- ---------------------------------------------------------
Allied Irish Banks 2,742 31,267
Greencore Group 6,900 21,200
Jefferson Smurfit Group 9,300 28,105
----------
80,572
----------
ITALY -- 0.8%
- ---------------------------------------------------------
Eni Spa 4,500 24,750
Telecom Italia SPA 3,700 52,181
----------
76,931
----------
JAPAN -- 1.8%
- ---------------------------------------------------------
Canon Inc. 1,000 39,738
Nintendo Co. 500 83,097
Promise Co. 400 20,358
Sanyo Shinpan Financial 600 20,554
Yodogawa Steel Works 6,000 18,087
----------
181,834
----------
NETHERLANDS -- 1.7%
- ---------------------------------------------------------
ABN Amro Holdings NV 805 20,111
Akzo Nobel NV 608 30,501
Buhrmann NV 1,570 23,644
<PAGE>
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- --------------------------------------------------------
Ing Groep NV 550 $ 33,209
Koninklijke NV PTT 261 25,477
Philips Electronics NV 268 36,446
----------
169,388
----------
NEW ZEALAND -- 0.6%
- --------------------------------------------------------
Fletcher Challenge 5,982 8,814
Telecom Corp. 9,772 45,953
----------
54,767
----------
NORWAY -- 0.2%
- --------------------------------------------------------
Kvaerner ASA 726 15,322
----------
PORTUGAL -- 0.4%
- --------------------------------------------------------
Portugal Telecommunications 3,663 40,183
----------
SINGAPORE -- 0.6%
- --------------------------------------------------------
Creative Technology Ltd.* 2,451 42,586
Jardine Matheson 3700 14,578
----------
57,164
----------
SPAIN -- 0.5%
- --------------------------------------------------------
Telefonica SA* 2,112 52,763
----------
SWEDEN -- 0.4%
- --------------------------------------------------------
Electrolux AB 990 24,898
Getinge Industrier 1,441 16,258
----------
41,156
----------
SWITZERLAND -- 1.4%
- --------------------------------------------------------
Forbo Holdings AG 43 20,254
Geberit AG 85 29,093
Novartis AG 21 30,835
Saurer AG 38 18,352
Sig Holding AG 37 22,075
Sulzer AG 32 20,800
----------
141,409
----------
TOTAL COMMON STOCKS 1,942,666
----------
SHORT-TERM OBLIGATIONS -- 1.7%
- --------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 162,584
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $1,987,177) 2,105,250
----------
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------
DOMESTIC FIXED INCOME -- 10.8%
- --------------------------------------------------------
FIXED INCOME -- 7.9%
- --------------------------------------------------------
ASSET BACKED -- 0.4%
- --------------------------------------------------------
JP Morgan Commercial
Mortgage Finance Group
6.373% due 1/15/30 $ 4,044 $ 3,956
Morgan Stanley Capital Inc.
6.44% due 11/15/02 18,210 17,992
Peco Energy
Transportation Trust
6.05% due 3/01/09 5,000 4,691
Sears Credit Account
Master Trust
5.25% due 10/16/08 10,000 9,372
----------
36,011
----------
CORPORATE BONDS -- 2.2%
- --------------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 10,000 8,639
American Financial Group Inc.
7.125% due 4/15/09 5,000 4,479
Associates Corp. of North America
6.95% due 11/01/18 10,000 9,231
BB & T Corp.
6.375% due 6/30/05 10,000 9,316
Century Telephone
Enterprises Inc.
6.30% due 1/15/08 10,000 9,074
Conseco Inc.
6.40% due 6/15/01 10,000 9,697
DaimlerChrysler
Northern Holdings Co.
7.20% due 9/01/09 10,000 9,822
Dayton Hudson Corp.
6.65% due 8/01/28 5,000 4,333
Delta Airlines Inc.
8.30% due 12/15/29 10,000 9,623
Donaldson, Lufkin & Jenrette
5.875% due 4/01/02 10,000 9,707
Dynergy Inc.
7.45% due 7/15/06 10,000 9,783
E. I. du Pont de Nemours & Co.
6.875% due 10/15/09 10,000 9,686
Equitable Life Assurance
6.95% due 12/01/05 10,000 9,697
Ford Motor Co.
7.375% due 10/28/09 10,000 9,873
Great Lakes Chemical Corp.
7.00% due 7/15/09 10,000 9,540
<PAGE>
- --------------------------------------------------------------------------------
CITISELECT VIP FOLIO 400 GROWTH
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRINCIPAL
ISSUER AMOUNT VALUE
- ------------------------------------------------------------
Household Financial Corp.
6.50% due 11/15/08 $ 10,000 $ 9,261
Knight Ridder Inc.
6.875% due 3/15/29 10,000 8,770
MCI Communications Group
6.50% due 4/15/10 15,000 13,968
Mattel Inc.
6.00% due 7/15/03 10,000 9,434
Merita Bank plc
6.50% due 4/01/09 10,000 9,130
National Rural Utilities
Cooperative Finance
6.20% due 2/01/08 15,000 13,958
Popular North America Inc.
6.875% due 6/15/01 10,000 9,935
Saks Inc.
8.25% due 11/15/08 10,000 9,729
----------
216,685
----------
MORTGAGE BACKED -- 2.4%
- ------------------------------------------------------------
Federal Home Loan Mortgage Corp.
6.00% due (TBA) 10,000 9,159
6.25% due 6/15/24 10,000 9,481
Federal National
Mortgage Association
6.50% due (TBA) 20,000 18,844
7.349% due 8/17/21 10,000 9,769
6.50% due 4/01/29 24,271 22,868
7.50% due 7/01/29 100,000 98,938
GE Capital Mortgage
Securities Inc.
5.905% due 10/25/13 20,000 19,674
Government National
Mortgage Association
7.00% due (TBA) 30,000 28,988
7.00% due 2/15/24 12,684 12,327
Structured Asset
Securities Corp.
6.79% due 10/15/34 9,492 9,414
----------
239,462
----------
U. S. TREASURY OBLIGATIONS-- 2.1%
- -----------------------------------------------------------
United States Treasury Bonds
3.625% due 4/15/28 10,485 9,364
6.125% due 8/15/29 30,000 28,598
----------
37,962
----------
United States Treasury Notes
5.875% due 11/15/04 15,000 14,707
5.625% due 5/15/08 150,000 141,093
3.875% due 1/15/09 10,257 9,910
----------
165,710
----------
YANKEE BONDS -- 0.8%
- -----------------------------------------------------------
Corporation Andina de Fomento
7.75% due 3/01/04 10,000 10,000
Imperial Tobacco Overseas BV
7.125% due 4/01/09 10,000 8,989
Korea Development Bank
7.125% due 4/22/04 10,000 9,749
Osprey Trust Inc.
8.31% due 1/15/03 10,000 9,929
Quebec Province of Canada
7.50% due 9/15/29 10,000 9,694
TPSA Finance BV
7.75% due 12/10/08 10,000 9,258
Westvaco Corp.
7.10% due 11/15/09 10,000 9,585
YPF Sociedad Anonima
7.25% due 3/15/03 15,000 14,563
----------
81,767
----------
TOTAL FIXED INCOME 777,597
----------
SHORT-TERM OBLIGATIONS -- 2.9%
- -----------------------------------------------------------
State Street Bank &
Trust Repurchase Agreement
4.00% due 1/03/00(+) 283,983
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $1,087,861) 1,061,580
----------
INTERNATIONAL BOND -- 10.7%
- -----------------------------------------------------------
FIXED INCOME -- 10.0%
- -----------------------------------------------------------
CANADA -- 0.7%
- -----------------------------------------------------------
Government of Canada
1.90% due 3/23/09 JPY 7,000,000 70,158
----------
DENMARK -- 0.1%
- -----------------------------------------------------------
Nykredit
5.00% due 10/01/29 DKK 40,000 4,712
Unikredit
Realkred
5.00% due 10/01/29 DKK 60,000 7,047
----------
11,759
----------
<PAGE>
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
CITISELECT VIP FOLIO 400 GROWTH
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------
FRANCE -- 0.2%
- -----------------------------------------------------------
Government
of France
5.50% due
4/25/29 EURO 10,000 $ 9,429
3.00% due
7/25/09 EURO 10,773 10,334
----------
19,763
----------
GERMANY -- 0.5%
- -----------------------------------------------------------
Republic of
Germany
3.75% due
1/04/09 EURO 10,000 8,964
5.375% due
1/04/10 EURO 20,000 20,197
5.625% due
1/04/28 EURO 20,225 19,406
----------
48,567
----------
GREAT BRITAIN -- 0.9%
- -----------------------------------------------------------
United Kingdom
Treasury
8.50% due
12/07/05 GBP 18,000 32,637
7.75% due
9/08/06 GBP 30,000 53,063
----------
85,700
----------
GREECE -- 1.3%
- -----------------------------------------------------------
Republic of
Greece
7.60% due
1/22/02 GRD 10,000,000 30,943
8.90% due
4/01/03 GRD 6,000,000 19,554
12.80% due
6/17/03 GRD 1,600,000 5,012
10.24% due
10/23/03 GRD 5,000,000 15,746
6.60% due
1/15/04 GRD 18,000,000 55,192
----------
126,447
----------
ITALY -- 0.1%
- -----------------------------------------------------------
Republic of Italy
6.50% due
11/01/27 EURO 11,000 11,574
----------
JAPAN -- 2.2%
- -----------------------------------------------------------
Japan Government
Bonds
4.10% due
6/21/04 JPY 6,200,000 69,301
4.50% due
12/20/04 JPY 2,700,000 30,971
4.75% due
12/20/04 JPY 5,600,000 65,088
2.50% due
7/25/07 JPY 5,000,000 51,891
----------
217,251
----------
NETHERLANDS -- 0.6%
- -----------------------------------------------------------
Kingdom of Netherlands
6.00% due
1/15/06 EURO 50,000 52,659
----------
SPAIN -- 0.8%
- -----------------------------------------------------------
Government Of
Spain
6.00% due
1/31/08 EURO 40,533 42,221
6.15% due
1/31/13 EURO 33,000 34,220
----------
76,441
----------
UNITED STATES -- 2.6%
- -----------------------------------------------------------
Bank Nederlandse
Gemeenten
6.00%
due 5/12/00 $ 50,000 49,905
Chugokuelectric
Power
8.00% due
2/23/00 $ 50,000 50,102
H.J. Heinz & Co.
7.50%
due 4/26/00 $ 50,000 50,138
Student Loan
Marketing Association
5.012%
due 10/25/04 $ 3,340 3,329
5.102%
due 4/25/06 $ 24,674 24,484
United States
Treasury Notes
3.625%
due 7/15/02 $ 52,509 51,983
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
CITISELECT VIP FOLIO 400 GROWTH
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------
United States
Treasury Notes
4.75%
due 11/15/08 $ 30,000 $ 26,461
----------
256,402
----------
TOTAL FIXED INCOME 976,721
----------
SHORT-TERM OBLIGATIONS -- 0.7%
- -----------------------------------------------------------
State Street Bank &
Trust Repurchase
Agreement 4.00% due
1/03/00(+) 72,553
----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,070,718) 1,049,274
----------
HIGH YIELD BOND -- 9.9%
- -----------------------------------------------------------
FIXED INCOME -- 8.7%
- -----------------------------------------------------------
DOMESTIC CORPORATIONS -- 8.5%
- -----------------------------------------------------------
AEROSPACE -- 0.2%
- -----------------------------------------------------------
Sequa Corp.
9.00 due 8/01/09 $20,000 19,350
----------
AUTOMOTIVE -- 0.6%
- -----------------------------------------------------------
J.H. Heafner Inc.
10.00% due 5/15/08 20,000 18,100
J.L. French Automotive
Castings
11.50% due
6/01/09(#) 20,000 20,400
Lear Corp.
8.11% due 5/15/09(#) 20,000 18,791
----------
57,291
----------
CABLE & OTHER MEDIA -- 1.0%
- -----------------------------------------------------------
CSC Holdings Inc.
9.875% due 2/15/13(#) 20,000 21,100
Charter Communications
Holdings
8.625% due 4/01/09(#) 20,000 18,475
Zero Coupon
due 4/01/11(#) 30,000 18,375
Frontiervision Holdings LP
Zero Coupon
due 9/15/07 20,000 17,800
NTL Inc.
Zero Coupon
10/01/08(#) 30,000 21,000
----------
96,750
----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.4%
- -----------------------------------------------------------
Jordan Industries Inc.
10.375% due
8/01/07(#) 20,000 20,000
Packard Bioscience Inc.
9.375% due
3/01/07(#) 20,000 17,150
----------
37,150
----------
CHEMICALS -- 0.4%
- -----------------------------------------------------------
Lyondell Chemical Co.
9.875% due 5/01/07 $20,000 20,500
PCI Chemicals CDA Inc.
9.25% due 10/15/07 20,000 15,350
----------
35,850
----------
CONSUMER PRODUCTS/TOBACCO -- 0.6%
- -----------------------------------------------------------
French Fragrances Inc.
10.375% due 5/15/07 20,000 18,900
Home Interiors Gifts Inc.
10.125% due 6/01/08 20,000 17,100
Mail Well Corp.
8.75% due 12/15/08(#) 20,000 19,000
Revlon Consumer
Products Corp.
8.625% due 2/01/08 20,000 9,800
----------
64,800
----------
ENERGY -- 0.6%
- -----------------------------------------------------------
Bellwether Exploration Co.
10.875% due 4/01/07 20,000 18,350
Plains Resourses Inc.
10.25% due 3/15/06 20,000 19,500
Western Gas
Resources Inc.
10.00% due 6/15/09(#) 20,000 20,500
----------
58,350
----------
FINANCIAL -- 0.2%
- -----------------------------------------------------------
Contifinancial Corp.
8.375% due 8/15/03(#) 20,000 1,800
Williams Scotsman Inc.
9.875% due 6/01/07 15,000 14,513
----------
16,313
----------
FOOD/BEVERAGE/BOTTLING -- 0.2%
- -----------------------------------------------------------
B & G Foods
Incications Corp.
9.625% due 8/01/07 20,000 17,750
----------
<PAGE>
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
CITISELECT VIP FOLIO 400 GROWTH
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------
GAMING -- 0.6%
- -----------------------------------------------------------
Circus Circus Enterprises Inc.
9.25% due 12/01/05 $20,000 $ 20,250
Majestic Star Casino LLC
10.875% due
7/01/06(#) 20,000 19,300
Sun International Ltd.
9.00 due 3/15/07 25,000 24,125
----------
63,675
----------
HEALTHCARE -- 0.2%
- -----------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 20,000 17,300
----------
HOUSING RELATED -- 0.2%
- -----------------------------------------------------------
CB Richards Ellis
Services Inc.
8.875% due 6/01/06 20,000 17,750
----------
LODGING LEISURE -- 0.2%
- -----------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 20,000 17,800
----------
PAPER/FOREST PRODUCTS -- 0.2%
- -----------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 20,000 20,675
----------
PUBLISHING/PRINTING -- 0.2%
- -----------------------------------------------------------
Hollinger International
Publishing Inc.
9.25% due 3/15/07 20,000 19,700
----------
RETAIL -- 0.2%
- -----------------------------------------------------------
Cole National Group Inc.
8.625% due 8/15/07 20,000 14,350
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 10,000 9,250
----------
23,600
----------
SERVICES/OTHER -- 1.2%
- -----------------------------------------------------------
Blount Inc.
13.00% due 8/01/09 20,000 21,100
Integrated Electrical Service
9.375% due 2/01/09 20,000 19,625
Iron Mountain Inc.
10.125% due 10/01/06 20,000 20,400
Pierce Leahy Command Co.
8.125% due 5/15/08 20,000 18,300
Polymer Group Inc.
8.75% due 3/01/08(#) 20,000 19,200
Safety Kleen Services Inc.
9.25% due 6/01/08 20,000 19,750
----------
118,375
----------
TELECOMMUNICATIONS -- 1.2%
- -----------------------------------------------------------
Energis Plc
9.75% due 6/15/09(#) 20,000 20,700
Intermedia
Communications Inc.
9.50% due 3/01/09(#) 20,000 19,200
Nextel Communications Inc.
Zero Coupon
due 2/15/08(#) 25,000 17,563
Orange PLC
9.00% due 6/01/09(#) 20,000 21,000
Price Communications
Wireless Inc.
9.125% due 12/15/06(#) 20,000 20,250
Rogers Cantel
9.375% due 6/01/08 20,000 20,800
----------
119,513
----------
TRANSPORTATION -- 0.1%
- -----------------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06(#) 20,000 13,150
----------
MORTGAGE OBLIGATIONS -- 0.2%
- -----------------------------------------------------------
MORTGAGE BACKED SECURITIES/
PASSTHROUGHS -- 0.2%
- -----------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 20,000 17,342
----------
TOTAL FIXED INCOME 852,484
----------
SHORT-TERM OBLIGATIONS -- 1.2%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 117,044
----------
TOTAL HIGH YIELD BOND
(Identified Cost $1,033,042) 969,528
----------
TOTAL INVESTMENTS
(Identified
Cost $9,534,279) 102.7% 10,060,378
OTHER ASSETS,
LESS LIABILITIES (2.7) (264,069)
----- ----------
NET ASSETS 100.0% $9,796,309
===== ==========
<PAGE>
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
CITISELECT VIP FOLIO 400 GROWTH
* Non-income producing
(#) Rule 144A -- Security exempt from registrtion under Rule 144A of the
Securities Act of 1933.
(+) The Portfolio owns in aggregate a repurchase agreement with State Street
Repurchase Agreement 4.00%, due 1/03/00 valued at $900,000, proceeds at
maturity $900,300,collateralized by $915,000 Federal National Mortgage
Association 6.00% due 9/24/01, with a value of $921,920, portions of
which are listed separately by each asset class.
(++) The Portfolio owns in aggregate 709 shares of General Electric Co. valued
at $109,718, 870 shares of Bristol Myers Squibb Co. valued at $55,843,
1,425 shares of AT&T Corp. valued at $72,319, 1,128 shares of SBC
Communications Inc. valued at $54,990, and 3,180 shares of R&B Falcon
Corp. valued at $42,135, portions of which are listed separately by each
asset class.
TBA's Mortgage backed securities traded under delayed delivery commitments.
ADR's American Depository Receipts.
See notes to financial statements
- --------------------------------------------------------------------------------
FOREIGN CURRENCY LEGEND
- -----------------------------------------------------------
SYMBOL COUNTRY
- -----------------------------------------------------------
DKK Denmark
EURO France
EURO Germany
GBP Great Britain
GRD Greece
EURO Italy
JPY Japan
EURO Netherlands
EURO Spain
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1999 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>
Australian Dollar (Buy) ..... Australia $ 39,242 $ 37,991 February-00 $ 1,251
Drachma (Sell) .............. Greece 114,424 114,650 February-00 226
Drachma (Buy) ............... Greece 30,329 30,424 February-00 (95)
Euro (Sell) ................. Europe 291,946 292,956 February-00 1,010
Euro (Buy) .................. Europe 151,745 153,054 February-00 (1,309)
Krone (Sell). ............... Denmark 10,376 10,392 February-00 16
Pound (Sell). ............... Great Britain 90,144 89,217 February-00 (927)
Yen (Sell). ................. Japan 235,341 235,743 February-00 402
Yen (Buy). .................. Japan 1,309 1,300 February-00 9
-------
$ 583
-------
</TABLE>
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS December 31, 1999
ISSUER SHARES VALUE
- -----------------------------------------------------------
LARGE CAP GROWTH -- 13.0%
- -----------------------------------------------------------
COMMON STOCKS -- 12.6%
- -----------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 0.3%
- -----------------------------------------------------------
Danaher Corp. 61 $ 2,943
General Dynamics Corp. 25 1,319
Tyco International Ltd. 240 9,330
----------
13,592
----------
COMMERCIAL SERVICES -- 0.2%
- -----------------------------------------------------------
Interpublic Group
Companies Inc. 121 6,980
----------
COMMUNICATION SERVICES -- 1.2%
- -----------------------------------------------------------
AT&T Corp.(++) 255 12,941
Bell Atlantic Corp. 190 11,697
Bellsouth Corp. 155 7,256
GTE Corp. 107 7,550
SBC Commun-
ications Inc. (++) 225 10,969
----------
50,413
----------
CONGLOMERATES -- 1.0%
- -----------------------------------------------------------
General Electric Co. (++) 260 40,235
----------
CONSUMER DURABLES -- 0.0%
- -----------------------------------------------------------
Harley Davidson Inc. 20 1,281
----------
CONSUMER NON-DURABLES -- 0.7%
- -----------------------------------------------------------
Cola Cola Co. 205 11,941
Procter & Gamble Co. 153 16,763
----------
28,704
----------
CONSUMER SERVICES -- 0.1%
- -----------------------------------------------------------
Carnival Corp. 105 5,020
----------
FINANCE -- 0.8%
- -----------------------------------------------------------
American Express Co. 60 9,975
Bank of New York Inc. 60 2,400
Charles Schwab Corp. 55 2,111
Federal Home Loan
Mortgage Corp. 70 3,294
Federal National
Mortgage Association 100 6,244
MBNA Corp. 255 6,949
Northern Trust Corp. 50 2,650
----------
33,623
----------
HEALTHCARE -- 2.0%
- -----------------------------------------------------------
Bristol-Myers
Squibb Co.(++) 215 13,800
Eli Lilly & Co. 58 3,857
Johnson & Johnson 163 15,179
Medtronic Inc. 105 3,826
Merck & Co. 187 12,541
Pfizer Inc. 320 10,380
Schering-Plough Corp. 239 10,083
Warner Lambert Co. 125 10,242
----------
79,908
----------
RETAIL -- 1.2%
- -----------------------------------------------------------
Bed Bath & Beyond Inc.* 63 2,189
Home Depot Inc. 203 13,884
Kohls Corp.* 34 2,454
Lowes Cos. Inc. 35 2,091
Wal Mart Stores Inc. 366 25,300
Walgreen Co. 85 2,486
----------
48,404
----------
TECHNOLOGY -- 5.1%
- -----------------------------------------------------------
Altera Corp.* 20 991
America Online Inc. * 120 9,053
Amgen Inc. * 85 5,105
BMC Software Inc. * 20 1,599
Cisco Systems Inc.* 270 28,924
Dell Computer Corp.* 210 10,710
EMC Corp.* 74 8,085
Intel Corp. 267 21,977
International Business
Machines Corp. 165 17,820
Lexmark International
Group Inc.* 60 5,430
Linear Technology Corp. 20 1,431
Lucent Technologies Inc. 246 18,404
Maxim Integrated
Products Inc.* 30 1,416
Microchip Technology Inc. * 20 1,369
Microsoft Corp.* 420 49,035
Oracle Corp. * 117 13,111
Peoplesoft Inc. * 60 1,279
Sun Microsystems Inc.* 132 10,222
Tellabs Inc.* 40 2,568
----------
208,529
----------
TOTAL COMMON STOCKS 516,689
- -----------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.4%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 14,172
----------
TOTAL LARGE CAP GROWTH
(Identified Cost $439,942) 530,861
----------
LARGE CAP VALUE -- 16.2%
- -----------------------------------------------------------
COMMON STOCKS -- 14.4%
- -----------------------------------------------------------
BASIC INDUSTRIES -- 1.6%
- -----------------------------------------------------------
Alcoa Inc. 225 18,675
----------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- -----------------------------------------------------------
Dow Chemicals Co. 75 $ 10,022
E. I. du Pont de
Nemours & Co. 131 8,630
International Paper Co. 250 14,109
Kimberly Clark Corp. 225 14,681
----------
66,117
----------
CAPITAL GOODS -- 0.4%
- -----------------------------------------------------------
Honeywell International Inc. 275 15,864
----------
COMMUNICATION SERVICES -- 2.1%
- -----------------------------------------------------------
AT&T Corp.(++) 415 21,061
Emerson Electric Co. 300 17,213
GTE Corp. 265 18,699
SBC Communications Inc. (++) 288 14,040
Sprint Corp. 215 14,472
----------
85,485
----------
CONGLOMERATES -- 0.3%
- -----------------------------------------------------------
General Electric Co. (++) 75 11,606
----------
CONSUMER CYCLICALS -- 0.9%
- -----------------------------------------------------------
General Motors Corp. 125 9,086
Masco Corp. 450 11,419
McGraw Hill Companies Inc. 220 13,558
----------
34,063
----------
CONSUMER STAPLES -- 0.5%
- -----------------------------------------------------------
Avon Products Inc. 75 2,475
H.J. Heinz & Co. 100 3,981
PepsiCo Inc. 400 14,100
----------
20,556
----------
ENERGY -- 2.0%
- -----------------------------------------------------------
BP Amoco plc, ADR's 270 16,014
Chevron Corp. 165 14,293
Conoco Inc. Class A 500 12,375
Conoco Inc. Class B 377 9,378
Exxon Mobil Corp. 270 21,752
Halliburton Co. 215 8,654
----------
82,466
----------
FINANCE -- 2.9%
- -----------------------------------------------------------
Bank of America Corp. 349 17,515
Chase Manhattan Corp. 265 20,587
Chubb Corp. 225 12,670
Hartford Financial
Services Group 350 16,581
Marsh & McLennan
Companies Inc. 200 19,138
Mellon Bank Corp. 510 17,372
Merrill Lynch & Co. Inc. 75 6,263
UnumProvident Corp. 225 7,214
----------
117,340
----------
HEALTHCARE -- 1.0%
- -----------------------------------------------------------
American Home
Products Corp. 350 13,803
Bristol-Myers
Squibb Co. (++) 250 16,047
Pharmacia & Upjohn Inc. 275 12,375
----------
42,225
----------
TECHNOLOGY -- 0.6%
- -----------------------------------------------------------
Pitney Bowes Inc. 350 16,909
Xerox Corp. 350 7,941
----------
24,850
----------
TRANSPORTATION -- 0.2%
- -----------------------------------------------------------
Union Pacific Corp. 200 8,725
----------
UTILITIES -- 1.9%
- -----------------------------------------------------------
Duke Energy Co. 400 20,050
Enron Corp. 550 24,406
Unicom Corp. 380 12,730
Williams Companies Inc. 675 20,630
----------
77,816
----------
TOTAL COMMON STOCKS 587,113
- -----------------------------------------------------------
SHORT-TERM OBLIGATION -- 1.8%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 74,335
----------
TOTAL LARGE CAP VALUE
(Identified Cost $668,740) 661,448
----------
SMALL CAP GROWTH -- 15.6%
- -----------------------------------------------------------
COMMON STOCKS -- 15.0%
- -----------------------------------------------------------
COMMERCIAL SERVICES-- 1.4%
Catalina Marketing Corp.* 100 11,575
Checkfree Holdings Corp.* 110 11,495
Cylink Corp. * 170 2,295
Harmonic Inc. * 30 2,848
Lamar Advertising Co.* 163 9,872
Profit Recovery Group
International Inc.* 174 4,622
QRS Corp. * 47 4,935
Research in Motion Ltd. * 135 6,235
Verticalnet Inc.* 25 4,100
----------
57,977
----------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- -----------------------------------------------------------
CONSUMER DURABLES -- 0.2%
- -----------------------------------------------------------
Ethan Allen Interiors Inc. 71 $ 2,276
Gentex Corp.* 100 2,775
Saucony Inc.* 139 1,929
----------
6,980
----------
CONSUMER NON-DURABLES -- 0.1%
- -----------------------------------------------------------
Beringer Wine Estates
Holdings* 74 2,951
----------
CONSUMER SERVICES -- 1.6%
- -----------------------------------------------------------
Activision Inc. * 265 4,058
Emmis Communications
Corp. * 40 4,986
Hispanic Broadcasting Corp.* 99 9,130
Houghton Mifflin Co. 73 3,080
Mail.com, Inc. * 90 1,687
SFX Entertainment Inc.* 159 5,754
Scholastic Corp.* 50 3,109
Source Information
Management Co. * 391 6,549
Spanish Broadcasting
Systems Inc. * 103 4,146
Sportsline USA Inc. * 65 3,258
Ticketmaster Online
Citysearch * 50 1,922
Westwood One Inc. * 172 13,072
Young Brodacasting Inc. * 120 6,120
----------
66,871
----------
ELECTRONICS/TECHNICAL SERVICES -- 2.6%
- -----------------------------------------------------------
Amkor Technology Inc. * 125 3,531
Anadigics Inc. * 45 2,123
Ancor Communications Inc. * 30 2,036
C Cube Microsystems Inc.* 134 8,341
CTS Corp. 45 3,392
Crossroads Systems Inc. * 2 169
Cypress Semiconductor
Corp. * 120 3,885
Finistar Corp. * 18 1,618
Macrovision Corp. * 35 2,590
Methode Eletronics Inc. 100 3,212
Microchip Technology Inc.* 41 2,806
Microstrategy Inc. * 30 6,300
National Information Inc. * 38 1,216
Network Appliance Inc.* 78 6,479
Novellus Systems Inc.* 93 11,395
Pinnacle Holdings Inc.* 235 9,958
Powertel Inc. * 50 5,019
Powerwave Technologies Inc.* 65 3,794
Remec Inc. * 170 4,335
Remedy Corp. * 50 2,369
Sandisk Corp. * 45 4,331
Sawtek Inc.* 55 3,661
Voicestream Wireless Corp.* 32 4,554
Western Wireless Corp.* 157 10,480
----------
107,594
----------
ENERGY/MINERAL -- 0.7%
- -----------------------------------------------------------
Cal Dive International Inc.* 95 3,147
Coflexip 120 4,560
Petroleum Geological
Services* 249 4,435
Precision Drilling Corp.* 190 4,881
R & B Falcon Corp.*(++) 930 12,323
----------
29,346
----------
FINANCE -- 1.0%
- -----------------------------------------------------------
Bisys Group Inc.* 105 6,851
Chittenden Corp. 207 6,132
Cullen Frost Bankers Inc. 259 6,669
E.W. Blanch Holdings Inc. 25 1,531
Peoples Heritage
Financial Group 357 5,377
SEI Investments Co. 30 3,570
Telebanc Financial Corp.* 85 2,210
U.S. Trust Corp. 100 8,019
----------
40,359
----------
HEALTH SERVICES/TECHNOLOGY -- 2.1%
- -----------------------------------------------------------
Affymetrix Inc. * 20 3,394
Alpharma Inc. 95 2,921
Andrx Corp.* 53 2,243
Apria Healthcare Group Inc.* 260 4,664
Caliper Technologies Corp. * 23 1,535
Corixa Corp. * 110 1,870
Dusa Pharmaceuticals Inc. * 170 4,845
Enzon Inc. * 85 3,687
IDEC Pharmaceuticals Corp. * 40 3,930
LifePoint Hospital Inc. * 145 1,713
Medarex Inc. * 230 8,567
MedImmune Inc.* 47 7,796
Medquist Inc.* 128 3,304
Millennium
Pharmaceuticals Inc.* 65 7,930
Pharmacyclics Inc. * 50 2,062
Shire Pharmaceuticals
Group * 460 13,398
Transkaryotic Therapies Inc. * 25 963
Triad Hospitals Inc. * 100 1,513
Varian Inc. * 255 5,738
Ventana Medical
Systems Inc.* 132 3,284
----------
85,357
----------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- -----------------------------------------------------------
INDUSTRIAL SERVICES -- 0.1%
- -----------------------------------------------------------
Hanover Compressor Co. * 115 $ 4,341
----------
PROCESS INDUSTRIES -- 0.9%
- -----------------------------------------------------------
Alliant Techsystems Inc.* 45 2,804
Applied Power Inc. 108 3,969
Aptargroup Inc.* 228 5,728
Cleco Corp.* 120 3,847
DII Group Inc. * 55 3,903
Idex Corp. 125 3,797
Mettler Toledo
International Inc.* 175 6,683
Power One Inc. * 55 2,520
Shaw Group Inc. * 125 3,164
Symyx Technologies Inc. * 57 1,710
----------
38,125
----------
RETAIL -- 0.7%
- -----------------------------------------------------------
Cost Plus Inc. * 180 6,412
Linens `n Things Inc.* 153 4,533
O'Reilly Automotive Inc.* 195 4,193
Zale Corp.* 130 6,289
Zany Brainy Inc.* 540 5,535
----------
26,962
----------
TECHNOLOGY SERVICES -- 3.0%
- -----------------------------------------------------------
Alpha Industries Inc. * 25 1,433
Bindview Development Corp. * 75 3,727
Broadvision Inc. * 35 5,952
Concentric Network Corp. * 60 1,849
Covad Communications
Group Inc. * 71 3,972
Dallas Semiconductor Corp. 38 2,449
Digital Microwave Corp. * 175 4,102
Electronics for Imaging Inc.* 139 8,079
Emulex Corp. * 30 3,375
Exactis Communications Inc. * 87 2,115
Exodus Communications Inc.* 110 9,769
High Speed Access Corp.* 70 1,234
Inprise Corp. * 600 6,637
Legato Systems Inc.* 121 8,326
MTI Technology Corp. * 65 2,397
Macromedia Inc.* 148 10,822
Mercury Interactive Corp.* 134 14,464
Micrel Inc. * 120 6,832
National Instruments Corp.* 247 9,448
Semtech Corp. * 60 3,128
Transwitch Corp. * 40 2,903
Triquint Semiconductor Inc. * 25 2,781
Vixel Corp. * 35 597
Whittman Hart Inc.* 109 5,845
----------
122,236
----------
TRANSPORTATION -- 0.6%
- -----------------------------------------------------------
C.H. Robinson
Worldwide Inc. 160 6,360
CNF Transportation Inc. 150 5,175
Eagle U.S.A. Airfreight Inc.* 259 11,169
----------
22,704
----------
TOTAL COMMON STOCKS 611,803
----------
SHORT-TERM OBLIGATIONS -- 0.6%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 22,261
----------
TOTAL SMALL CAP GROWTH
(Identfied Cost $451,600) 634,064
----------
SMALL CAP VALUE -- 15.1%
- -----------------------------------------------------------
COMMON STOCKS -- 14.5%
- -----------------------------------------------------------
COMMERCIAL SERVICES-- 0.3%
Reynolds & Reynolds Co. 500 11,250
----------
CONSUMER DURABLE GOODS -- 0.3%
- -----------------------------------------------------------
D.R. Horton Inc. 500 6,906
Engle Homes Inc. 200 2,400
Flexsteel Industries Inc. 300 4,012
----------
13,318
----------
CONSUMER NON-DURABLES -- 1.4%
- -----------------------------------------------------------
Dimon Inc. 1,400 4,550
Standard Commercial Corp. 1,723 6,138
Timberland Co. * 400 21,150
Tropical Sportwear
International Corp. 500 8,063
Wolverine Worldwide Inc. 1,400 15,313
----------
55,214
----------
CONSUMER SERVICES -- 0.2%
- -----------------------------------------------------------
Aztar Corp.* 900 9,787
----------
ELECTRONIC TECHNOLOGY -- 0.3%
- -----------------------------------------------------------
Diebold Inc. 100 2,350
ESCO Electronics Corp.* 500 5,812
Spacehab Inc.* 1,100 5,913
----------
14,075
----------
ENERGY/MINERALS -- 0.5%
- -----------------------------------------------------------
Nuevo Energy Co.* 700 13,125
R & B Falcon Corp.*(++) 700 9,275
----------
22,400
----------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- -----------------------------------------------------------
FINANCE -- 2.4%
- -----------------------------------------------------------
Acceptance Insurance Co.* 400 $ 2,325
American National
Insurance Co. 200 12,750
Harleysville Group Inc. 900 12,825
MMI Companies Inc. 500 4,312
PBOC Holdings Inc.* 700 6,606
PMI Group Inc. 150 7,322
Penn America Group Inc. 600 4,650
Presidential Life Corp. 1,200 22,050
Professional Groups Inc.* 770 18,047
Stancorp Financial Group Inc. 300 7,556
----------
98,443
----------
HEALTH TECHNOLOGY -- 0.3%
- -----------------------------------------------------------
West Pharmaceutical
Services Inc. 400 12,375
----------
INDUSTRIAL SERVICES -- 1.3%
- -----------------------------------------------------------
Atwood Oceanics Inc.* 400 15,450
ENSCO International Inc. 500 11,437
Rowan Companies Inc.* 800 17,350
Santa Fe International Corp. 300 7,763
----------
52,000
----------
NON-ENERGY MINERALS -- 0.6%
- -----------------------------------------------------------
LTV Corp. 3,400 14,025
Lone Star Technologies Inc. * 300 8,363
----------
22,388
----------
PROCESS INDUSTRIES -- 0.8%
- -----------------------------------------------------------
Lancaster Colony Corp. 400 13,250
RPM Inc. 1,500 15,281
Tuscarora Inc. 300 3,638
----------
32,169
----------
PRODUCER MANUFACTURING -- 3.7%
- -----------------------------------------------------------
Baldor Electric Co. 600 10,875
Circor International Inc. 200 2,062
Commercial Intertech Corp. 100 1,275
Commonwealth
Industries Inc. 700 9,100
JLG Industries Inc. 1,900 30,281
Kaydon Corp. 500 13,406
Myers Industries Inc. 850 13,388
Patrick Industries Inc. 400 3,700
Superior Industries
International Inc. 400 10,725
Teleflex Inc. 400 12,525
Timken Co. 1,000 20,438
Tower Automotive Inc. 900 13,894
Watts Industries Inc.* 500 7,375
----------
149,044
----------
RETAIL TRADE -- 0.4%
- -----------------------------------------------------------
Schultz Sav-O Stores Inc. 700 8,925
Syms Corp.* 1,100 5,500
----------
14,425
----------
TECHNOLOGY SERVICES -- 0.3%
- -----------------------------------------------------------
Ultrak Inc.* 1,400 10,850
----------
TRANSPORTATION -- 1.7%
- -----------------------------------------------------------
Air Express
International Corp. 300 9,694
Atlantic Coast Airlines
Holdings * 500 11,875
Fritz Companies Inc.* 1,000 10,500
Kenan Transport Co. 400 12,550
Midwest Express
Holdings Inc.* 400 12,750
Motor Cargo
Industries Inc.* 600 2,775
Tidewater Inc. 300 10,800
----------
70,944
----------
TOTAL COMMON STOCKS 588,682
----------
CONTINGENT RIGHTS -- 0.0%
- -----------------------------------------------------------
Skyepharma PLC 1,100 0
----------
SHORT-TERM OBLIGATIONS -- 0.6%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 26,138
----------
TOTAL SMALL CAP VALUE
(Identified Cost $638,370) 614,820
----------
INTERNATIONAL EQUITY -- 32.2%
- -----------------------------------------------------------
COMMON STOCKS -- 28.8%
- -----------------------------------------------------------
AUSTRIA -- 0.2%
Boehler-Uddeholm 175 8,074
- -----------------------------------------------------------
AUSTRALIA -- 0.5%
- -----------------------------------------------------------
Australia & New
Zealand Banking Group 1,955 14,222
Quantas Airways 2,825 7,047
----------
21,269
----------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- -----------------------------------------------------------
CANADA -- 0.7%
- -----------------------------------------------------------
Manulife Financial Corp. 1,415 $ 18,086
Noranda Inc. 710 9,542
----------
27,628
----------
FINLAND -- 0.5%
- -----------------------------------------------------------
UPM Kymmene Oy 460 18,535
----------
FRANCE -- 2.4%
- -----------------------------------------------------------
BIC 306 13,927
Banque Nationale de Paris 305 28,143
Lafarge Coppee 87 10,131
Pernod Ricard 271 15,506
Total Fina 224 29,898
----------
97,605
----------
GERMANY -- 2.6%
- -----------------------------------------------------------
Aventis AG 418 24,254
Buderus AG 605 10,239
Commerzbank AG 380 13,953
Draegerwerk AG 761 6,708
Dyckerhoff AG 440 13,474
SGL Carbon AG* 172 11,435
Veba AG 387 18,810
Vossloh AG 555 8,330
----------
107,203
----------
GREAT BRITAIN -- 7.4%
- -----------------------------------------------------------
Allied Domecq 1,800 8,897
Allied Zurich 895 10,554
BAA 2,160 15,073
BAT Industries 2,135 12,070
British Telecom 670 16,234
CGU 850 13,716
Coats Viyella 8,490 5,623
Cookson Group 5,180 20,918
Elementis 6,767 8,854
Hanson 1,867 15,652
Invensys 2,869 15,168
Lex Service 1,090 6,550
Lloyds TSB Group 967 12,012
Medeva 3,730 10,484
National Westminster Bank 795 17,079
Reckitt & Benckiser 1,583 14,984
Reed International 1,500 11,267
Safeway 2,400 8,325
TI Group 1,980 14,360
Tomkins 5,300 17,293
Unilever 1,350 9,922
United News & Media plc 1,510 19,037
Williams 3,604 16,417
----------
300,489
----------
HONG KONG -- 0.9%
- -----------------------------------------------------------
Hang Lung
Development Co. 11,000 12,452
New World
Development Co. 4,000 9,005
South China Morning Post1 8,900 16,290
----------
37,747
----------
IRELAND -- 1.2%
- -----------------------------------------------------------
Allied Irish Banks 1,675 19,100
Greencore Group 3,820 11,737
Jefferson Smurfit Group 5,655 17,090
----------
47,927
----------
ITALY -- 1.1%
- -----------------------------------------------------------
Eni Spa 2,600 14,300
Telecom Italia SPA 2,300 32,437
----------
46,737
----------
JAPAN -- 2.7%
- -----------------------------------------------------------
Canon Inc. 1,000 39,738
Nintendo Co. 200 33,239
Promise Co. 300 15,269
Sanyo Shinpan Finance 400 13,703
Yodogawa Steel Works 3,000 9,044
----------
110,993
----------
NETHERLANDS -- 2.5%
- -----------------------------------------------------------
ABN Amro Holdings NV 440 10,992
Akzo Nobel NV 378 18,963
Buhrmann NV 980 14,758
Ing Groep NV 297 17,933
Koninklijke NV PTT 155 15,130
Philips Electronics NV 167 22,711
----------
100,487
----------
NEW ZEALAND -- 0.9%
- -----------------------------------------------------------
Fletcher Challenge 5,652 8,328
Telecom Corp. 6,103 28,699
----------
37,027
----------
NORWAY -- 0.2%
- -----------------------------------------------------------
Kvaerner ASA 437 9,223
----------
PORTUGAL -- 0.6%
- -----------------------------------------------------------
Portugal Telecommunications 2,250 24,683
----------
SINGAPORE -- 0.8%
- -----------------------------------------------------------
Creative Technology Ltd.* 1,336 23,213
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
SHARES/
PRNCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------
Jardine Matheson 2,200 $ 8,668
----------
31,881
----------
SPAIN -- 0.7%
- -----------------------------------------------------------
Telefonica SA * 1,091 27,256
----------
SWEDEN -- 0.7%
- -----------------------------------------------------------
Electrolux AB 610 15,341
Getinge Industrier 1,007 11,361
----------
26,702
----------
SWITZERLAND -- 2.2%
- -----------------------------------------------------------
Forbo Holdings AG 28 13,188
Geberit AG 70 23,959
Novartis AG 13 19,088
Saurer AG 23 11,108
Sig Holding AG 19 11,336
Sulzer AG 18 11,700
----------
90,379
----------
TOTAL COMMON STOCKS 1,171,845
----------
SHORT-TERM OBLIGATIONS -- 3.4%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 138,592
----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $1,232,665) 1,310,437
----------
DOMESTIC FIXED INCOME -- 4.1%
- -----------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 4.1%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 168,270
----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $168,270) 168,270
----------
HIGH YIELD BOND -- 4.8%
- -----------------------------------------------------------
FIXED INCOME -- 4.3%
- -----------------------------------------------------------
DOMESTIC CORPORATIONS -- 4.2%
AUTOMOTIVE -- 0.4%
- -----------------------------------------------------------
J.H. Heafner Inc.
10.00% due 5/15/08 $5,000 4,525
J.L. French Automotive Castings
11.50% due 6/01/09(#) 5,000 5,100
Lear Corp.
8.11% due 5/15/09(#) 5,000 4,698
----------
14,323
----------
CABLE & OTHER MEDIA -- 0.6%
- -----------------------------------------------------------
Charter Communications Holdings
8.625% due 4/01/09(#) 5,000 4,619
Zero Coupon
due 4/01/11(#) 10,000 6,125
CSC Holdings Inc.
9.875% due 2/15/13(#) 5,000 5,275
Frontiervision Holdings LP
Zero Coupon
due 9/15/07 5,000 4,450
NTL Inc.
Zero Coupon
due 10/01/08(#) 5,000 3,500
----------
23,969
----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.2%
- -----------------------------------------------------------
Jordan Industries Inc.
10.375% due 8/01/07(#) 5,000 5,000
Packard Bioscience Inc.
9.375% due 3/01/07(#) 5,000 4,288
----------
9,288
----------
CHEMICALS -- 0.1%
- -----------------------------------------------------------
PCI Chemicals CDA Inc.
9.25% due 10/15/07 5,000 3,838
----------
CONSUMER PRODUCTS/TABACCO -- 0.3%
- -----------------------------------------------------------
Home Interiors Gifts Inc.
10.125% due 6/01/08 5,000 4,275
Mail Well Corp.
8.75% due 12/15/08(#) 5,000 4,750
Revlon Consumer Products Corp.
8.625% due 2/01/08 5,000 2,450
----------
11,475
----------
ENERGY -- 0.2%
- -----------------------------------------------------------
Bellwether Exploration Co.
10.875% due 4/01/07 5,000 4,587
Western Gas Resources Inc.
10.00% due 6/15/09(#) 5,000 5,125
----------
9,712
----------
FINANCIAL -- 0.0%
- -----------------------------------------------------------
Contifinancial Corp.
8.375% due 8/15/03 (#) 5,000 450
----------
FOOD/BEVERAGE/BOTTLING -- 0.1%
- -----------------------------------------------------------
B & G Foods Inciations Corp.
9.625% due 8/01/07 5,000 4,437
----------
<PAGE>
CITISELECT VIP FOLIO 500 GROWTH PLUS
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
PRNCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------
GAMING -- 0.3%
- -----------------------------------------------------------
Circus Circus Enterprises Inc.
9.25% due 12/01/05 $5,000 $ 5,062
Majestic Star Casino LLC
10.875% due 7/01/06(#) 5,000 4,825
----------
9,887
----------
HEALTHCARE -- 0.1%
- -----------------------------------------------------------
Alaris Medical Systems Inc.
9.75% due 12/01/06 5,000 4,325
----------
HOUSING RELATED -- 0.1%
- -----------------------------------------------------------
CB Richards Ellis Services Inc.
8.875% due 6/01/06 5,000 4,437
----------
LODGING LEISURE -- 0.1%
- -----------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 5,000 4,450
----------
PAPER/FOREST PRODUCTS -- 0.1%
- -----------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 5,000 5,169
----------
PUBLISHING/PRINTING -- 0.1%
- -----------------------------------------------------------
Hollinger International Publishing Inc.
9.25% due 3/15/07 5,000 4,925
----------
RETAIL -- 0.1%
- -----------------------------------------------------------
Cole National Group Inc.
8.625% due 8/15/07 5,000 3,587
----------
SERVICES/OTHER -- 0.5%
- -----------------------------------------------------------
Iron Mountain Inc.
10.125% due 10/01/06 5,000 5,100
Pierce Leahy Command Co.
8.125% due 5/15/08 5,000 4,575
Polymer Group Inc.
8.75% due 3/01/08(#) 5,000 4,800
Safety Kleen Services Inc.
9.25% due 6/01/08 5,000 4,938
----------
19,413
----------
TELECOMMUNICATIONS -- 0.8%
- -----------------------------------------------------------
Energis plc
9.75% due 6/15/09(#) 5,000 5,175
Intermedia Communications Inc.
9.50% due 3/01/09(#) 5,000 4,800
Nextel Communications Inc.
Zero Coupon
due 2/15/08 (#) 10,000 7,025
Orange PLC
9.00% due 6/01/09(#) 5,000 5,250
Price Communications Wireless Inc.
9.125% due 12/15/06(#) 5,000 5,062
Rogers Cantel
9.375% due 6/01/08 5,000 5,200
----------
32,512
----------
TRANSPORTATION -- 0.1%
- -----------------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06(#) 5,000 3,287
----------
MORTGAGE OBLIGATIONS -- 0.1%
- -----------------------------------------------------------
MORTGAGE BACKED SECURITIES/
PASSTHROUGHS -- 0.1%
- -----------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 5,000 4,336
----------
TOTAL FIXED INCOME 173,820
----------
SHORT-TERM OBLIGATIONS -- 0.5%
- -----------------------------------------------------------
State Street Bank & Trust
Repurchase Agreement
4.00% due 1/03/00(+) 21,232
----------
TOTAL HIGH YIELD BOND
(Identfied Cost $210,387) 195,052
----------
TOTAL INVESTMENTS
(Identified
Cost $3,809,974) 101.0% 4,114,952
OTHER ASSETS,
LESS LIABILITIES (1.0) (41,366)
----- ----------
NET ASSETS 100.0% $4,073,586
===== ==========
* Non-income producing
(#) Rule 144A Security exempt from registration under Rule 144A of the
Securities Act of 1933.
(+) The Portfolio owns in aggregate a repurchase agreement with State Street
Bank & Trust Repurchase Agreements 4.00%, due 1/03/00 valued at $465,000,
proceeds at maturity $465,155, collateralized by $475,000 Federal National
Mortgage Association 6.00% due 9/24/01, with a value of $479,269, portions
of which are listed separately by each asset class.
(++) The Portfolio owns in aggregate 335 shares of General Electric Co. valued
at $51,841,465 shares of Bristol Myers Squibb Co. valued at $29,847, 670
shares of AT&T Corp. valued at $34,002, 513 shares of SBC Communications
Inc. valued at $25,009, and 1,630 shares of R&B Falcon Corp. valued at
$21,598, portions of which are listed separately by asset class.
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
DECEMBER 31, 1999 CONSERVATIVE BALANCED GROWTH GROWTH PLUS
====================================================================================================================
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note1A)
(Identified Cost, $12,531,197, $17,541,724,
$9,534,279 and $3,809,974, respectively) $12,578,354 $18,029,206 $10,060,378 $4,114,952
Foreign currency, (cost $7,311, $1,218,
$3,709 and $2,945, respectively) at value 7,372 1,209 3,676 2,958
Cash 178 36,351 725 845
Receivable for securities sold 5,054 15,164 13,479 3,370
Receivable for forward contracts 3,473 5,355 2,914 --
Dividends receivable 2,959 7,331 5,659 3,051
Interest receivable 124,101 150,971 55,637 3,531
Receivable from sub-administrator (Note 6) 49,127 45,785 46,989 48,185
Other assets 671 2,728 3,495 2,774
- --------------------------------------------------------------------------------------------------------------------
Total assets 12,771,289 18,294,100 10,192,952 4,179,666
- --------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 1,084,424 1,148,015 298,412 18,430
Payable for forward contracts 2,771 5,103 2,331 --
Payable to affiliates - Management fee 1,696 2,462 1,293 410
Accrued expenses and other liabilities 93,918 97,135 94,607 87,240
- --------------------------------------------------------------------------------------------------------------------
Total liabilities 1,182,809 1,252,715 396,643 106,080
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS for 1,103,162, 1,529,919, 886,024
and 423,551 shares, respectively, of
beneficial interest outstanding $11,588,480 $17,041,385 $9,796,309 $4,073,586
====================================================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $11,087,272 $15,634,846 $8,851,600 $3,562,277
Undistributed (Overdistributed) net investment income 299,309 268,252 13,321 3,327
Accumulated net realized gain on investments 154,749 651,966 405,415 203,153
Unrealized appreciation of investments,
forward currency contracts, foreign currency
and other assets and liabilities 47,150 486,321 525,973 304,829
- --------------------------------------------------------------------------------------------------------------------
Total Net Assets $11,588,480 $17,041,385 $9,796,309 $4,073,586
====================================================================================================================
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST $10.50 $11.14 $11.06 $9.62
====================================================================================================================
</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
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
FOR THE PERIOD ENDED DECEMBER 31, 1999 CONSERVATIVE BALANCED GROWTH GROWTH PLUS
====================================================================================================================
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (Note 1B) $542,551 $623,009 $216,807 $ 37,278
Dividends (net of foreign tax of $1,878, $5,635
$6,331, and $4,293) 52,774 130,811 115,677 64,921
- --------------------------------------------------------------------------------------------------------------------
Total investment income 595,325 753,820 332,484 102,199
- --------------------------------------------------------------------------------------------------------------------
EXPENSES:
Custodian fees and accounting fees 417,367 460,063 420,715 350,363
Management fees (Note 2) 94,905 144,895 83,158 34,811
Transfer agent fees 31,562 31,574 31,560 28,970
Audit fees 21,800 23,700 23,700 23,700
Legal fees 20,426 20,426 19,626 20,426
Shareholder reports 14,447 15,272 15,272 15,271
Trustees fees 6,487 6,762 6,411 6,153
Miscellaneous 2,989 4,411 2,747 1,865
- --------------------------------------------------------------------------------------------------------------------
Total expenses 609,983 707,103 603,189 481,559
- --------------------------------------------------------------------------------------------------------------------
Less aggregate amounts waived by the Manager (Note 2) (67,896) (93,614) (45,229) (17,223)
Less expenses assumed by the Sub-Administrator (Note 6) (421,877) (430,011) (419,379) (406,314)
- --------------------------------------------------------------------------------------------------------------------
Net expenses 120,210 183,478 138,581 58,022
- --------------------------------------------------------------------------------------------------------------------
Net investment income 475,115 570,342 193,903 44,177
- --------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain from investments
purchased options, swaps and futures 218,699 785,469 561,379 317,414
Net realized gain loss from forward currency
contracts and foreign currency transactions (191,201) (340,475) (187,801) (40,836)
Net unrealized appreciation (depreciation) on investments,
forward currency contracts, foreign currency, futures and
other assets and liabilities (336,720) (229,268) 173,140 151,182
- --------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments (309,222) 215,726 546,718 427,760
- --------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $165,893 $786,068 $740,621 $471,937
====================================================================================================================
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
CONSERVATIVE BALANCED
-----------------------------------------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
---------------------------- --------------------------
1999 1998 1999 1998
====================================================================================================================
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $475,115 $388,269 $570,342 $515,935
Net realized gain from investments, forward currency
contracts, foreign currency transactions,
futures and swaps 27,498 423,601 444,994 439,754
Net unrealized appreciation (depreciation) of
investments, forward currency contracts,
foreign currency, futures, swaps and other
assets and liabilities (336,720) 14,646 (229,268) 220,563
- --------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 165,893 826,516 786,068 1,176,252
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net income (23,901) (357,920) (64,317) (456,314)
Net realized gain on investments (52,558) (278,961) -- (229,154)
In excess of net income -- (118,866) -- (207,730)
In excess of realized gain on investments -- -- -- (3,960)
- ---------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (76,459) (755,747) (64,317) (897,158)
- --------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 1,665,059 7,624,696 884,642 10,104,875
Net asset value of shares issued to shareholders from
reinvestment of distributions 76,441 755,747 64,194 897,158
Cost of shares repurchased (4,237,300) (4,777,431) (7,342,482) (2,759,510)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from transactions
in shares of beneficial interest (2,495,800) 3,603,012 (6,393,646) 8,242,523
- --------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (2,406,366) 3,673,781 (5,671,895) 8,521,617
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 13,994,846 10,321,065 22,713,280 14,191,663
- --------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed/
(overdistributed) net investment income of $299,309,
$(8,737), $268,232 and $9,442, respectively) $11,588,480 $13,994,846 $17,041,385 $22,713,280
====================================================================================================================
</TABLE>
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
GROWTH GROWTH PLUS
--------------------------------------------------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
---------------------------- --------------------------
1999 1998 1999 1998
====================================================================================================================
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 193,903 $ 204,527 $ 44,177 $ 82,981
Net realized gain from investments, forward currency
contracts, foreign currency transactions and futures 373,578 314,240 276,578 967,728
Net unrealized appreciation (depreciation) of investments,
forward currency contracts, foreign currency,
futures and other assets and liabilities 173,140 (293,988) 151,182 (523,471)
- --------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 740,621 224,779 471,937 527,238
- --------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net income (35,288) (105,817) (8,994) (26,227)
Net realized gain on investments -- (250,270) -- (938,678)
In excess of net income -- (144,202) -- (74,420)
In excess of realized gain on investments -- (5,860) -- (30,861)
- --------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (35,288) (506,149) (8,994) (1,070,186)
- --------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 775,709 4,599,775 153,260 2,776,517
Net asset value of shares issued to shareholders from
reinvestment of distributions 35,280 506,149 8,997 1,070,186
Cost of shares repurchased (5,470,645) (2,352,876) (2,255,140) (8,143,739)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from transactions
in shares of beneficial interest (4,659,656) 2,753,048 (2,092,883) (4,297,036)
- --------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (3,954,323) 2,471,678 (1,629,940) (4,839,984)
- --------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 13,750,632 11,278,954 5,703,526 10,543,510
- --------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed/(overdistributed)
net investment income of $13,321, $(25,934), $3,327
and $(27,026), respectively) $9,796,309 $13,750,632 $4,073,586 $5,703,526
====================================================================================================================
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
CONSERVATIVE BALANCED
=====================================================================================
YEAR ENDED FOR THE PERIOD YEAR ENDED FOR THE PERIOD
DECEMBER 31, FEBRUARY 10, 1997++ DECEMBER 31, FEBRUARY 10, 1997++
-------------------- TO ------------------ TO
1999 1998 DECEMBER 31, 1997 1999 1998 DECEMBER 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.40 $10.25 $10.00 $10.67 $10.38 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income+ 0.427 0.316 0.339 0.368 0.271 0.251
Net realized and unrealized gain (loss)
on investments (0.265) 0.427 0.436 0.138 0.458 0.609
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.162 0.743 0.775 0.506 0.729 0.860
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.019) (0.281) (0.339) (0.036) (0.223) (0.251)
Net realized gain on investments (0.043) (0.219) (0.157) -- (0.112) (0.159)
In excess of net income -- (0.093) -- -- (0.102) --
In excess of realized gains on investments -- -- (0.029) -- (0.002) (0.070)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (0.062) (0.593) (0.525) (0.036) (0.439) (0.480)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.50 $10.40 $10.25 $11.14 $10.67 $10.38
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $11,588 $13,995 $10,321 $17,041 $22,713 $14,192
Ratio of expenses to average net assets 0.95% 0.95% 0.95%* 0.95% 0.95% 0.95%*
Ratio of net investment income to
average net assets 3.75% 3.11% 3.43%* 2.95% 2.62% 3.00%*
Portfolio turnover rate 297% 255% 231% 225% 204% 241%
Total return 1.57% 7.33% 7.79%** 4.76% 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+ $(0.017) $(0.025) $(0.006) $0.026 $0.036 $(0.025)
RATIOS:
Expenses to average net assets 4.82% 4.30% 4.44%* 3.66% 3.23% 4.25%*
Net investment income (loss) to
average net assets (0.12)% (0.24)% (0.06)%* 0.24% 0.34% (0.30)%*
====================================================================================================================================
</TABLE>
* Annualized
** Not Annualized
+ The per share net investment income amounts do not reflect the period's
reclassification of differences between book and tax basis net investment
income.
++ Commencement of Operations
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 400 CITISELECT(R) VIP FOLIO 500
CONSERVATIVE BALANCED
=====================================================================================
YEAR ENDED FOR THE PERIOD YEAR ENDED FOR THE PERIOD
DECEMBER 31, FEBRUARY 10, 1997++ DECEMBER 31, FEBRUARY 10, 1997++
-------------------- TO ------------------ TO
1999 1998 DECEMBER 31, 1997 1999 1998 DECEMBER 31, 1997
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.23 $10.28 $10.00 $8.62 $10.48 $10.00
- ------------------------------------------------------------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment income+ 0.203 0.176 0.212 0.078 0.172 0.148
Net realized and unrealized gain (loss)
on investment 0.661 0.165 0.701 0.940 (0.065)# 0.917
- ------------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.864 0.341 0.913 1.018 0.107 1.065
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (0.034) (0.082) (0.206) (0.018) (0.044) (0.144)
Net realized gain on investments -- (0.193) (0.300) -- (1.748) (0.349)
In excess of net income -- (0.111) (0.065) -- (0.049) (0.053)
In excess of realized gains on investments -- (0.005) (0.062) -- (0.126) (0.039)
- ------------------------------------------------------------------------------------------------------------------------------------
Total distribution (0.034) (0.391) (0.633) (0.018) (1.967) (0.585)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $11.06 $10.23 $10.28 $9.62 $8.62 $10.48
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $9,796 $13,751 $11,279 $4,074 $5,704 $10,544
Ratio of expenses to average net assets 1.25% 1.25% 1.25%* 1.25% 1.25% 1.25%*
Ratio of net investment income to
average net assets 1.75% 1.50% 2.03%* 0.95% 0.97% 1.45%*
Portfolio turnover rate 199% 265% 230% 78% 146% 134%
Total return 8.47% 3.42% 9.22%** 11.82% 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+ $(0.322) $(0.164) $(0.124) $(0.922) $(0.584) $(0.186)
RATIOS:
Expenses to average net assets 5.44% 4.16% 4.46%* 10.38% 5.53% 4.52%*
Net investment (loss) to average net assets (2.44)% (1.41)% (1.18)%* (8.17)% (3.31)% (1.82)%*
====================================================================================================================================
</TABLE>
* Annualized
** Not Annualized
+ The per share net investment income amounts do not reflect the period's
reclassification of differences between book and tax basis net investment
income.
++ Commencement of Operations
# The amount shown per share does not correspond with the aggregate net
realized and unrealized gain (loss) on investments for the period ended due
to the timing of sales of Fund shares in relation to fluctuating market
values of the investments in the Fund.
See notes to financial statements
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES CitiSelect(R) VIP Folio 200 Conservative,
CitiSelect(R) VIP Folio 300 Balanced, CitiSelect(R) VIP Folio 400 Growth and
CitiSelect(R) VIP Folio 500 Growth Plus (the "Funds") are each a separate series
of Variable Annuity Portfolios (the "Trust"), a Massachusetts business trust.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end, management investment company. Citibank, N.A. ("Citibank" or the
Manager) is the Investment Manager of each of the Funds. CFBDS, Inc. ("CFBDS")
acts as the Funds' Sub-Administrator. Shares of each Fund may only be purchased
or redeemed through variable annuity contracts and variable life insurance
policies offered by the separate accounts of participating insurance companies.
The financial statements are prepared in accordance with U.S. generally
accepted accounting principles which require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Funds are as
follows:
A. Investment Security Valuations -- Equity securities are valued at the last
sale price on the exchange on which they are primarily traded, or at the quoted
bid price for securities in which there were no sales during the day, or for
unlisted securities not reported on the NASDAQ system. Securities listed on a
foreign exchange are valued at the last quoted sale price available. Bonds,
foreignbonds and other fixed income securities (other than short-term
obligations maturing in sixty days or less) are valued on the basis of
valuations furnished by a pricing service, the use of which has been approved by
the Trustees. In making such valuations, the pricing service utilizes both
dealer-supplied valuations and electronic data processing techniques which take
into account appropriate factors such as institutional-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data, without exclusive reliance upon
quoted prices or exchanges or over-the-counter prices. Short-term obligations
maturing in sixty days or less are valued at amortized cost, which constitutes
fair value as determined by the Trustees. Portfolio securities for which there
are no such quotations or valuations are valued at fair value as determined in
good faith by or under guidelines established by the Trustees. Trading in
securities on most foreign exchanges and in over-the-counter markets is normally
completed before the close of the New York Stock Exchange and may also take
place on days on which the New York Stock Exchange is closed. If events
materially affecting the value of foreign securities occur between the time when
the exchange on which they are traded closes and the time when each Fund's net
asset value is calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general supervision of
the Trustees.
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (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 Funds 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
Funds may also enter into interest rate swap agreements which involve the
exchange by the Funds 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 Funds enter 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 0.010% from the principal amount.
The Funds hold, and maintain 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 Funds'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 Fund's will generally enter into TBA purchase commitments with
the intention of acquiring securities for its portfolio, the Fund's may dispose
of a commitment prior to settlement if the Investment 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, 1999 CitiSelect(R) VIP Folio 200 Conservative, CitiSelect(R) VIP
Folio 300 Balanced, CitiSelect(R) VIP Folio 400 Growth, CitiSelect(R) VIP Folio
500 Growth Plus reclassified $143,168,
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
$247,215, $119,360 and $4,830, respectively, from un/overdistributed net
investment income to accumulated/overdistributed net realized gains/loss on
investments.
L. Beneficial Interest-- At December 31, 1999, insurance companies or their
separate accounts were the record owners of all the shares of each Fund. (See
Note 5)
M. Repurchase Agreements -- It is the policy of the Funds to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry System or to have segregated within the custodian bank's
vault, all securities held as collateral in support of repurchase agreements.
Additionally, procedures have been established by each Fund to monitor, on a
daily basis, the market value of the repurchase agreement's underlying
investments to ensure the existence of a proper level of collateral.
N. Mortgage Dollar Rolls -- All Funds may enter into mortgage dollar rolls in
which they sell mortgage securities for delivery currently and simultaneously
contract to repurchase similar, but not identical, securities at the same price
on an agreed upon date. The Funds receive compensation as consideration for
entering into the commitment to repurchase. The compensation is recorded as
deferred income and amortized to income over the roll period. As the holder, the
counterparty receives all principal and interest payments, including
prepayments, made with respect to the similar security. Mortgage dollar rolls
may be renewed with a new sale and repurchase price with a cash settlement made
at renewal without physical delivery of the securities subject to the contract.
O. Other -- Investment transactions are accounted for on the trade date.
Realized gains and losses on investment transactions are determined on the
identified cost basis.
2. MANAGEMENT FEES Citibank is responsible for overall management of the Funds'
business affairs, and has a separate Management Agreement with each of the
Funds. Citibank also provides certain administrative services to the Funds.
These administrative services include providing general office facilities and
supervising the overall administration of the Funds. CFBDS acts as
Sub-Administrator and performs such duties and receives such compensation from
Citibank as from time to time are agreed to by Citibank and CFBDS. Citibank is a
wholly-owned subsidiary of Citicorp, which in turn, is a wholly-owned subsidiary
of Citigroup Inc.
The management fees paid to Citibank are accrued daily and payable monthly.
The management fee is computed at the annual rate of 0.75% of each of the Funds'
average daily net assets.
The management fees paid to Citibank for CitiSelect(R)VIP Folio 200
Conservative, CitiSelect(R)VIP Folio 300 Balanced, CitiSelect(R)VIP Folio 400
Growth and CitiSelect(R)VIP Folio 500 Growth Plus amounted to $94,905, $144,895,
$83,158 and $34,811, respectively, of which $67,896, $93,614, $45,229 and
$17,223, respectively were voluntarily waived for the year ended December 31,
1999. The
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 1999, were as
follows:
PURCHASES SALES
================================================================================
CitiSelect(R)VIP Folio 200 Conservative $34,019,079 $34,734,409
CitiSelect(R)VIP Folio 300 Balanced $41,980,469 $48,364,497
CitiSelect(R)VIP Folio 400 Growth $21,140,153 $25,993,194
CitiSelect(R)VIP Folio 500 Growth Plus $ 4,563,146 $ 6,840,684
================================================================================
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at December 31, 1999,
as computed on a federal income tax basis, are as follows:
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
================================================================================
Aggregate cost $12,522,729
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 667,414
Gross unrealized depreciation (611,789)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 55,625
================================================================================
CITISELECT(R) VIP FOLIO 300 BALANCED
================================================================================
Aggregate cost $17,518,429
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,668,914
Gross unrealized depreciation (1,157,137)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 511,777
================================================================================
CITISELECT(R) VIP FOLIO 400 GROWTH
================================================================================
Aggregate cost $ 9,523,093
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,293,224
Gross unrealized depreciation (755,939)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 537,285
================================================================================
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
================================================================================
Aggregate cost $ 3,801,361
- --------------------------------------------------------------------------------
Gross unrealized appreciation $ 643,900
Gross unrealized depreciation (330,309)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 313,591
================================================================================
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
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:
YEAR ENDED DECEMBER 31,
---------------------------
CITISELECT(R)VIP FOLIO 200 CONSERVATIVE 1999 1998
================================================================================
Shares sold 161,716 717,008
Shares reinvested 7,450 73,568
Shares repurchased (411,068) (452,335)
- --------------------------------------------------------------------------------
Net increase (decrease) (241,902) 338,241
================================================================================
CITISELECT(R) VIP FOLIO 300 BALANCED
================================================================================
Shares sold 83,111 940,860
Shares reinvested 6,022 85,664
Shares repurchased (688,241) (264,486)
- --------------------------------------------------------------------------------
Net increase (decrease) (599,108) 762,038
================================================================================
CITISELECT(R) VIP FOLIO 400 GROWTH
================================================================================
Shares sold 75,616 427,052
Shares reinvested 3,389 50,740
Shares repurchased (537,243) (230,870)
- --------------------------------------------------------------------------------
Net increase (decrease) (458,238) 246,922
================================================================================
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
================================================================================
Shares sold 17,316 254,345
Shares reinvested 1,006 127,447
Shares repurchased (256,804) (725,934)
- --------------------------------------------------------------------------------
Net decrease (238,482) (344,142)
================================================================================
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, 1999. The amounts are as follows:
CitiSelect(R) VIP Folio 200 Conservative $421,877
CitiSelect(R) VIP Folio 300 Balanced $430,011
CitiSelect(R) VIP Folio 400 Growth $419,379
CitiSelect(R) VIP Folio 500 Growth Plus $406,314
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
INDEPENDENT AUDITORS' REPORT
To the Trustees of Variable Annuity Portfolios and the Shareholders of
CitiSelect(R) VIP Folio 200 Conservative
CitiSelect(R) VIP Folio 300 Balanced
CitiSelect(R) VIP Folio 400 Growth
CitiSelect(R) VIP Folio 500 Growth Plus
In our opinion, the accompanying statements 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
Conservative, CitiSelect(R) VIP Folio 300 Balanced, CitiSelect(R) VIP Folio 400
Growth and CitiSelect(R) VIP Folio 500 Growth Plus (four of the funds
constituting Variable Annuity Portfolios, hereafter referred to as the "Funds")
at December 31, 1999, the results of each of their operations, the changes in
each of their net assets and their financial highlights for the periods
indicated, in conformity with accounting principles generally accepted in the
United States. 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 auditing standards generally accepted in the
United States, 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, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 21, 2000
<PAGE>
CITIFUNDS(SM)
- --------------
SMALL CAP GROWTH
VIP PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 1999
Dear CitiFunds Shareholder:
During 1999, small-capitalization growth stocks represented one of the best
performing segments of the overall U.S. stock marketplace. Small cap growth
stocks rose 43.09% during the 12-month period ended December 31, 1999 as
represented by the Russell 2000 Growth Index, outperforming large cap stocks,
which returned 21.03% as represented by the Standard & Poor' s 500 Index as well
as the broader small capitalization stock market, which produced a 21.26% return
as measured by the Russell 2000 Index for the same time period.
Economic conditions during 1999 were characterized by strong U.S. economic
growth and recovering overseas economies. Soon after the beginning of the year,
long-term interest rates began to rise and, after three short-term interest rate
hikes by the Federal Reserve Board (the "Fed") during the summer and fall, 1999
ended with both short- and long-term interest rates well above their levels at
the beginning of the year.
Throughout the reporting period, the CitiFunds' investment adviser,
Citibank, N.A., continued to manage CitiFundsSM Small Cap Growth VIP Portfolio
by seeking to achieve its investment objective of providing long-term capital
growth.
This report reviews the Fund's investment activities and performance during
the 12 months ended December 31, 1999, and provides a summary of Citibank's
perspective on and outlook for small capitalization stocks.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
Philip W. Coolidge
President
January 17, 2000
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
While 1999 saw a narrow marketplace for U.S. equities, SMALL CAP GROWTH STOCKS
SIGNIFICANTLY OUTPERFORMED THEIR VALUE-ORIENTED COUNTERPARTS. In fact, 1999 was
a period of contrasts between value and growth investing in which the value
sector produced a return of a negative 1.4%, as represented by the Russell 2000
Value Index, while the growth sector produced a return of 43.09% as measured by
the Russell 2000 Growth Index. Value investing consists of identifying
securities of companies that are believed to be undervalued in the market.
Growth investing focuses on the stocks of corporations that are exhibiting or
are expected to exhibit faster-than-average growth within their industry. This
performance disparity was largely the result of solid returns from the
technology and telecommunications industries.
WITH SMALL CAPITALIZATION GROWTH STOCKS SHOWING AMONG THE BEST RETURNS
WITHIN THE U.S. EQUITY CLASS, THERE WAS A CLEAR REVERSAL FROM TRENDS ESTABLISHED
OVER THE PAST SEVERAL YEARS, in which small capitalization stocks consistently
failed to perform as well as larger-sized company stocks. Because of this
sustained period of underperformance, the differences in valuations between
large cap and small cap stocks had widened to near historical proportions by the
time 1999 began. As an indication of this valuation discrepancy, large
capitalization companies have been actively buying small-cap companies. Many of
these small companies were acquired by large cap growth companies that have used
their highly valued stocks as currency to purchase the inexpensive shares of
smaller-sized companies. Investors started to focus their attention on small cap
stocks in 1999 due to the relative attractiveness of their prices in comparison
to historical valuation measures.
While prevailing economic conditions have generally been positive for
stocks--including moderate economic growth domestically, low inflation, robust
consumer spending and improving demand for U.S. goods (particularly technology
and telecommunications products) from overseas markets--many investors became
concerned that inflationary pressures might resurface during the period.
Moreover, when 1999 began many investors favored very high-quality
investments, and placed a premium on liquidity (liquidity is the ability to buy
or sell an asset quickly and in large volume without substantially affecting the
asset's price). Small capitalization stocks are inherently less liquid because
of their size and their associated number of shares outstanding, as well as the
higher proportion of shares held by insiders such as venture capitalists,
company founders, management and employees. Also, most small-sized companies are
newer, less seasoned businesses that have not yet proven themselves to the
investment community. When investors selectively began to increase their risks
in the beginning of 1999, many gravitated to Internet-related companies which
have been widely perceived to have great future potential and outstanding
long-term prospects.
CitiFunds Small Cap Growth VIP Portfolio maintained its consistent focus on
small capitalization growth companies that met its stringent investment
criteria. SINCE THE START OF 1999, THE PORTFOLIO'S MANAGEMENT HAS CAREFULLY
STRUCTURED ITS EXPOSURE TO INTERNET STOCKS. Management focused on those
companies that they believe have attractive growth potential and definable
valuation parameters. This led the investment team away from many of the
speculative high-flyers and allowed them to focus on companies they believed
have viable business models today or in the future. The Fund's management
particularly emphasized positions in small technology and telecommunications
companies that provide infrastructure for the Internet. This area includes
telecommunications companies that may be prime beneficiaries of the growing
demand for the transmission of voice, video and data over telephone lines at
faster speeds.
<PAGE>
WIRELESS TELECOMMUNICATIONS STOCKS CONTRIBUTED THE MOST TO THE FUND'S
PERFORMANCE during the period, reflecting the strong demand for wireless
services. The Fund also benefited from performance in energy services companies,
primarily because of higher oil prices. Consumer services companies, including
media-related businesses that are taking advantage of changes in the U.S.
population and favorable demographic trends also did well.
On the other hand, management reduced the Fund's holdings of financial
services stocks during the first half of 1999 when it was deemed that interest
rates might rise and consolidation might slow within the financial industry in
advance of Y2K concerns.
Looking forward, management expects heightened market volatility to
continue into 2000. While no guarantees can be given, the investment team
believes that conditions could remain positive for many small cap growth
companies. In addition, they believe that investors may once again recognize
that small capitalization growth companies embody the entrepreneurial forces
driving the American economy. These growing enterprises often provide an
excellent opportunity to participate in some of the fastest growing sectors of
the U.S. economy and the potential to realize strong competitive results for
investors.
The Russell 2000 Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2000 Growth Index measures the performance of those Russell 2000
companies with higher price-to-book ratios and higher forecasted growth values.
The Standard & Poor's 500 Index is a market capitalization-weighted measure of
500 widely held common stocks.
The Russell 2000 Index measures the performance of the 2,000 smallest companies
in the Russell 3000 Index which represents approximately 92% of the total U.S.
equity market.
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
SINCE
ONE 2/10/97
YEAR INCEPTION*
================================================================================
ALL PERIODS ENDED DECEMBER 31, 1999
CitiFunds Small Cap Growth VIP Portfolio .............. 37.60% 14.65%
Russell 2000(R)Growth Index ........................... 43.09% 20.53%+
* Average Annual Total Return
+ From 2/28/97
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$14,839 (as of 12/31/99). The graph shows how the Fund compares to its benchmark
over the same period.
[LINE CHART OMITTED]
[LINE CHART REPRESENTED BELOW IN ITS PRINTED FORM.]
CitiFunds
Small Cap
Growth VIP Russell 2000(R)
Portfolio Index
--------- --------------
10000 10000
9550 9758
9050 9297
8730 9323
10000 10360
10520 10805
10860 11307
11020 11566
11960 12413
11350 11868
11240 11791
11210 11997
10860 11808
12120 12681
12660 13204
12760 13276
11710 12561
12490 12587
11340 11568
8550 9321
9240 10051
9480 10461
10140 11009
10784 11691
10817 11846
9773 10887
9997 11057
10222 12047
10222 12223
10862 12776
10986 12426
11020 11966
11480 11968
11997 12017
12997 12735
14839 14176
Notes: All Fund performance numbers represent past performance, and are no
guarantee of future results. The Fund's share price and investment return will
fluctuate, so that the value of an investor's shares, when redeemed, may be
worth more or less than their original cost. Total returns include change in
share price and reinvestment of dividends and distributions, if any. Total
return figures are provided in accordance with SEC guidelines for comparative
purposes for prospective investors. Total returns reflect certain voluntary fee
waivers. If the waivers were not in place, total returns would be lower.
Investors may not invest directly in an index. Investments in small company
stocks are subject to additional risks. Please consult the prospectus for more
information.
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS December 31, 1999
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCKS--93.2%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES--9.1%
- --------------------------------------------------------------------------------
Catalina Marketing Corp.* 697 $ 80,678
Checkfree Holdings Corp.* 629 65,730
Cylink Corp.* 970 13,095
Harmonic Inc.* 160 15,190
Lamar Advertising Co.* 943 57,110
Next Level
Communications Inc.* 58 4,343
Profit Recovery
International Group* 1,044 27,731
QRS Corp.* 261 27,405
Research in Motion Ltd.* 775 35,795
Verticalnet Inc.* 130 21,320
-----------
348,397
-----------
CONSUMER DURABLES--1.3%
- --------------------------------------------------------------------------------
Ethan Allen Interiors Inc.* 551 17,666
Gentex Corp.* 585 16,234
Saucony Inc.* 1,042 14,458
-----------
48,358
-----------
CONSUMER NON-DURABLES--0.4%
- --------------------------------------------------------------------------------
Beringer Wine Estates
Holdings* 422 16,827
-----------
CONSUMER SERVICES--10.2%
- --------------------------------------------------------------------------------
Activision Inc.* 1,500 22,969
Emmis
Communications Corp.* 230 28,667
Hispanic Broadcasting Corp.* 567 52,288
Houghton Mifflin Co. 420 17,719
Mail Communications Inc.* 505 9,469
SFX Entertainment Inc.* 1,021 36,947
Scholastic Corp.* 285 17,723
Source Information
Management Co.* 2,321 38,877
Spanish Broadcasting
Systems Inc.* 581 23,385
Sportsline U.S.A. Inc.* 370 18,546
Ticketmaster Online
Citysearch* 275 10,570
Westwood One Inc.* 982 74,632
Young Broadcasting Inc.* 690 35,190
-----------
386,982
-----------
ELECTRONICS/TECHNICAL SERVICES--16.2%
- --------------------------------------------------------------------------------
Amkor Technology Inc.* 710 20,057
Anadigics Inc.* 270 12,741
Ancor Communications Inc.* 160 10,860
C Cube Microsystems Inc.* 771 47,995
CTS Corp. 270 20,351
Crossroads Systems Inc.* 13 1,099
Cypress
Semiconductor Corp.* 670 21,691
Finistar Corp.* 103 9,257
Macrovision Corp.* 210 15,540
Methode Electronics Inc. 585 18,793
Microchip Technology Inc.* 242 16,562
Microstrategy Inc.* 170 35,700
National Information
Consortment* 228 7,296
Network Appliance Inc.* 436 36,215
Novellus Systems Inc.* 526 64,451
Pinnicle Holdings Inc.* 1,330 56,359
Powertel Inc.* 290 29,109
Powerwave
Technologies Inc.* 374 21,832
Remec Inc.* 1,040 26,520
Remedy Corp.* 290 13,739
Sandisk Corp.* 245 23,581
Sawtek Inc.* 305 20,302
Voicestream Wireless Corp.* 185 26,328
Western Wireless Corp.* 895 59,741
-----------
616,119
-----------
ENERGY/MINERAL--4.6%
- --------------------------------------------------------------------------------
Cal Dive International Inc.* 715 23,684
Coflexip 695 26,410
Petroleum Geo Services-
ADR's* 1,417 25,240
Precision Drilling Corp.* 1,125 28,898
R&B Falcon Group* 5,340 70,755
-----------
174,987
-----------
FINANCE--6.1%
- --------------------------------------------------------------------------------
Bisys Group Inc.* 593 38,693
Chittenden Corp. 1,176 34,839
Cullen Frost Bankers Inc. 1,465 37,724
E.W. Blanch Holdings Inc. 170 10,412
Peoples Heritage
Financial Group* 2,023 30,471
SEI Investments Co. 170 20,233
Telebanc Financial Corp.* 641 16,666
U.S. Trust Corp. 563 45,146
-----------
234,184
-----------
HEALTH SERVICES/TECHNOLOGY--13.1%
- --------------------------------------------------------------------------------
Affymetrix Inc.* 105 17,817
Alpharma Inc. 535 16,451
Andrx Corp.* 305 12,905
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) December 31, 1999
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
Apria Healthcare Group Inc.* 1,445 $ 25,920
Caliper Technologies Corp.* 126 8,410
Corixa Corp.* 620 10,540
Dusa Pharmaceuticals Inc.* 965 27,503
Enzon* 470 20,386
IDEC Pharmaceuticals Corp.* 230 22,598
Lifepoint Hospitals Inc.* 825 9,745
Medarex Inc.* 1,465 54,571
Medimmune Inc.* 332 55,071
Medquist Inc.* 728 18,792
Millennium Pharmaceuticals* 371 45,262
Pharmacyclics Inc.* 280 11,550
Shire Pharmaceuticals
Group* 2,623 76,395
Transkaryotic Therapies Inc.* 135 5,198
Triad Hospitals Inc.* 565 8,546
Varian Inc.* 1,465 32,963
Ventana Medical
Systems Inc.* 748 18,607
-----------
499,230
-----------
INDUSTRIAL SERVICES--0.7%
- --------------------------------------------------------------------------------
Hanover Compressor Co.* 665 25,104
-----------
PROCESS INDUSTRIES--5.7%
- --------------------------------------------------------------------------------
Alliant Techsystems Inc.* 255 15,890
Applied Power Inc.* 610 22,417
Aptargroup Inc.* 1,304 32,763
Cleco Corp.* 675 21,642
DII Group Inc.* 310 22,000
Idex Corp.* 710 21,566
Mettler Toledo
International Inc.* 1,009 38,531
Power One Inc.* 320 14,660
Shaw Group Inc.* 740 18,731
Symyx Technologies Inc.* 337 10,110
-----------
218,310
-----------
RETAIL--4.1%
- --------------------------------------------------------------------------------
Cost Plus Inc.* 1,057 37,656
Linens N Things Inc.* 910 26,959
O'Reilly Automotive Inc.* 1,106 23,779
Zale Corp.* 750 36,281
Zany Brainy Inc.* 3,230 33,108
-----------
157,783
-----------
TECHNOLOGY SERVICES--18.3%
- --------------------------------------------------------------------------------
Alpha Industries Inc.* 150 8,597
Bindview Development Corp.* 420 20,869
Broadvision Inc.* 220 37,414
Concentric Network Corp.* 345 10,630
Covad Communications
Group Inc.* 411 22,990
Dallas Semiconuctor Corp.* 215 13,854
Digital Microwave Corp.* 990 23,203
Electronics For Imaging Inc.* 787 45,744
Emulex Corp.* 160 18,000
Exactis Communications Inc.* 502 12,205
Exodus Communications Inc.* 642 57,018
High Speed Access Corp.* 388 6,839
Inprise Corp.* 3,420 37,834
Legato Systems Inc.* 679 46,724
MTI Technology Corp.* 375 13,828
Macromedia Inc.* 844 61,718
Mercury Interactive Corp.* 753 81,277
Micrel Inc.* 670 38,148
National Instruments Corp.* 1,407 53,818
Semtech Corp.* 345 17,983
Transwitch Corp.* 220 15,964
Triquint Semiconductor Inc.* 135 15,019
Vixel Corp.* 210 3,583
Whittman Hart Inc.* 605 32,443
-----------
695,702
-----------
TRANSPORTATION--3.4%
- --------------------------------------------------------------------------------
C H Robinson Worldwide* 922 36,649
CNF Transnational Inc.* 855 29,498
Eagle USA Airfreight Inc.* 1,487 64,127
-----------
130,274
-----------
TOTAL COMMON STOCKS
(Identified Cost
$2,848,462) 3,552,257
-----------
SHORT-TERM OBLIGATIONS--7.1%
- --------------------------------------------------------------------------------
State Street Repurchase Agreement
2.00% due 1/03/00 proceeds
at maturity $272,045
(collateralized by $ 225,000
U.S. Treasury Bond 8.875%
due 02/15/19, valued
at $281,531)
272,000
-----------
TOTAL INVESTMENTS
(Identified Cost
$3,120,462) 100.3% 3,824,257
OTHER ASSETS,
LESS LIABILITIES (0.3) (11,876)
----- -----------
NET ASSETS 100.0% $ 3,812,381
===== ===========
*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, 1999
================================================================================
ASSETS:
Investments at value (Note 1A) (Identified Cost, $3,120,462) $3,824,257
Cash 826
Dividends and interest receivable 75
Receivable from Sub-Administrator 29,525
- --------------------------------------------------------------------------------
Total assets 3,854,683
- --------------------------------------------------------------------------------
LIABILITIES:
Accrued expenses and other liabilities 42,302
- --------------------------------------------------------------------------------
NET ASSETS for 288,554 shares of beneficial interest outstanding $3,812,381
================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $2,708,686
Unrealized appreciation of investments 703,795
Accumulated net realized gain on investments 399,900
- --------------------------------------------------------------------------------
Total $3,812,381
- --------------------------------------------------------------------------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST $ 13.21
================================================================================
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
================================================================================
INVESTMENT INCOME (Note 1B):
Dividend income $ 4,383
Interest income 3,783
- --------------------------------------------------------------------------------
$ 8,166
- --------------------------------------------------------------------------------
EXPENSES:
Custody and fund accounting fees $80,264
Transfer agent fees 31,450
Legal fees 28,629
Audit fees 22,800
Management fees (Note 2) 16,289
Shareholder reports 15,695
Trustee fees 6,064
Miscellaneous 2,889
- --------------------------------------------------------------------------------
Total expenses 204,080
Less aggregate amount waived by the Manager (Note 2) (16,289)
Less expenses assumed by the Sub-Administrator (Note 6) (168,247)
- --------------------------------------------------------------------------------
Net expenses 19,544
- --------------------------------------------------------------------------------
Net investment loss (11,378)
- --------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments 425,218
Unrealized appreciation from investments 448,441
- --------------------------------------------------------------------------------
Net realized and unrealized gain on investments 873,659
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $862,281
================================================================================
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED
DECEMBER 31,
-------------------------
1999 1998
================================================================================
INCREASE (Decrease) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss $ (11,378) $ (17,947)
Net realized gain on investments 425,218 368,740
Unrealized appreciation (depreciation)
of investments 448,441 (303,546)
- --------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 862,281 47,247
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain on investments -- (211,308)
- --------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(Note 5):
Net proceeds from sale of shares 1,499,089 1,433,019
Net asset value of shares issued to
shareholders from reinvestment
of distributions -- 211,308
Cost of shares repurchased (554,718) (2,565,888)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from transactions in shares
of beneficial interest 944,371 (921,561)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 1,806,652 (1,085,622)
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 2,005,729 3,091,351
- --------------------------------------------------------------------------------
End of period (undistributed net investment
loss of $0 and $0 respectively) $3,812,381 $2,005,729
================================================================================
See notes to financial statements
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
FINANCIAL HIGHLIGHTS
FEBRUARY 10, 1997
YEAR ENDED (COMMENCEMENT
DECEMBER 31, OF OPERATIONS) TO
--------------------- DECEMBER 31,
1999 1998 1997
================================================================================
NET ASSET VALUE,
beginning of period $ 9.60 $11.21 $10.00
- --------------------------------------------------------------------------------
INCOME FROM OPERATIONS:
Net investment loss (0.04) (0.08)+ (0.05)+
Net realized gain (loss)
on investments 3.65 (0.42)# 1.26
- --------------------------------------------------------------------------------
Total from operations 3.61 (0.50) 1.21
- --------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net realized gain on investments -- (1.11) --
- --------------------------------------------------------------------------------
Net Asset Value, end of period $13.21 $ 9.60 $11.21
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's omitted) $3,812 $2,006 $3,091
Ratio of expenses to
average net assets 0.90% 0.90% 0.90%*
Ratio of net investment
loss to average net assets (0.52)% (0.72)% (0.49)%*
Portfolio turnover 150% 94% 113%
Total return 37.60% (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 $(0.68) $(0.64)+ $(0.52)+
RATIOS:
Expenses to average
net assets 9.40% 5.74% 5.50%*
Net investment loss to
average net assets (9.02)% (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 CitiFunds Small Cap Growth VIP Portfolio (the
"Portfolio"), a separate series of Variable Annuity Portfolios (the "Trust"), is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company which was organized as a
Massachusetts business trust. The investment manager of the Fund is Citibank,
N.A. ("Citibank"). CFBDS, Inc. ("CFBDS") acts as the Fund's sub-administrator.
Shares of the Fund may only be purchased or redeemed through variable annuity
contracts and variable life insurance policies offered by the separate accounts
of participating insurance companies.
The preparation of financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Fund are as
follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted securities or listed securities for which last sales prices are not
available are valued at last quoted bid prices. Debt securities (other than
short-term obligations maturing in sixty days or less) are valued on the basis
of valuations furnished by pricing services which take into account appropriate
factors such as institutional-size trading in similar groups of securities,
yield, quality, coupon rate, maturity, type of issue, and other market data,
without exclusive reliance on quoted prices or exchange or over-the-counter
prices, since such valuations are believed to reflect more accurately the fair
value of the securities. Short-term obligations, maturing in sixty days or less,
are valued at amortized cost, which approximates market value. Securities, if
any, for which there are no such valuations or quotations are valued at fair
value as determined in good faith by or under guidelines established by the
Trustees.
B. INCOME -- Interest income consists of interest accrued and discount
earned, adjusted for amortization of premium or discount on long-term debt
securities when required for U.S. federal income tax purposes. Dividend income
is recorded on the ex-dividend date.
C. FEDERAL TAXES -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES -- The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more funds or series are allocated in proportion to the
average net assets of each fund, except when allocations of direct expenses to
each fund can otherwise be made fairly. Expenses directly attributable to a fund
are charged to that fund.
E. DISTRIBUTIONS -- Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to the Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carry-
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
overs) under income tax rules and regulations. For the year ended December 31,
1999, the Fund reclassified $12,414 from accumulated net realized gains on
investments, $11,378 to accumulated net investment loss and $1,036 to paid in
capital.
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, 1999, insurance companies or their
separate accounts were the record owners of all the shares of the Fund. (See
Note 5)
H. Other -- Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
2. MANAGEMENT FEES Citibank is responsible for overall management of the Fund's
business affairs and has a separate Management Agreement with the Fund. Citibank
also provides certain administrative services to the Fund. These administrative
services include providing general office facilities and supervising the overall
administration of the Fund. CFBDS acts as sub-administrator and performs such
duties and receives such compensation from Citibank as from time to time is
agreed to by Citibank and CFBDS. Citibank is a wholly-owned subsidiary of
Citicorp, which in turn, is a wholly-owned subsidiary of Citigroup Inc.
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 $16,289, all
of which was voluntarily waived for the year ended December 31, 1999.
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other
than short-term obligations, aggregated $3,824,059 and $3,096,317, respectively,
for the year ended December 31, 1999.
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at December 31, 1999
as computed on a federal income tax basis, are as follows:
Aggregate cost $3,102,963
================================================================================
Gross unrealized appreciation $ 767,344
Gross unrealized depreciation (46,050)
- --------------------------------------------------------------------------------
Net unrealized appreciation $ 721,294
================================================================================
<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:
YEAR ENDED DECEMBER 31,
-----------------------------
1999 1998
================================================================================
Shares sold 136,874 124,384
Shares reinvested -- 23,452
Shares repurchased (57,218) (214,592)
- --------------------------------------------------------------------------------
Net (decrease) increase 79,656 (66,756)
================================================================================
Citicorp Life Insurance Co. and First Citicorp Life Insurance Co., directly and
through their separate accounts, own 100% 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, 1999, which
amounted to $168,247.
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
INDEPENDENT AUDITORS' REPORT
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, 1999, the results of its operations, the changes in its
net assets and the financial highlights for the periods indicated in conformity
with accounting principles generally accepted in the United States. 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 auditing standards generally accepted in the United States 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, 1999 by correspondence with the custodian,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 17, 2000
