CITISELECT(R) VIP PORTFOLIOS
-----------------------------
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
CITIFUNDS(R)
--------------
SMALL CAP GROWTH VIP PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2000
--------------------------------------------------------
INVESTMENT PRODUCTS:
NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
--------------------------------------------------------
<PAGE>
Table of Contents
CITISELECT(R) VIP PORTFOLIOS
Letter to Our Shareholders 1
................................................................................
Portfolio Environment and Outlook 2
................................................................................
Fund Performance 4
................................................................................
Portfolio of Investments 8
................................................................................
Statement of Assets and Liabilities 53
................................................................................
Statement of Operations 54
................................................................................
Statement of Changes in Net Assets 55
................................................................................
Financial Highlights 57
................................................................................
Notes to Financial Statements 59
................................................................................
CITIFUNDS(R) SMALL CAP GROWTH VIP PORTFOLIO
Letter to Our Shareholders 66
................................................................................
Portfolio Environment and Outlook 67
................................................................................
Fund Performance 69
................................................................................
Portfolio of Investments 70
................................................................................
Statement of Assets and Liabilities 73
................................................................................
Statement of Operations 74
................................................................................
Statement of Changes in Net Assets 75
................................................................................
Financial Highlights 76
................................................................................
Notes to Financial Statements 77
................................................................................
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<PAGE>
CITISELECT(R) VIP PORTFOLIOS
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
LETTER TO OUR SHAREHOLDERS
Dear CitiSelect VIP Portfolios Shareholder:
During the six months ended June 30, 2000, the U.S. stock and bond markets
experienced historic levels of volatility, leaving many investors with little or
no clear indication of the future direction of the financial markets. Despite
the ongoing strength and expansion of both the U.S. and global economies,
investor concerns regarding inflation and rising interest rates led to wide
fluctuations in stock prices.
Throughout the reporting period, the CitiSelect VIP Portfolios' investment
adviser, Citibank, N.A., continued to manage the CitiSelect VIP Portfolios
according to the investment objectives and risk parameters set forth for each
individual portfolio. Accordingly, on a relative basis, CitiSelect VIP Folio 500
Growth Plus produced the highest returns with the greatest level of risk, while
CitiSelect VIP Folios 400 Growth and 300 Balanced provided incrementally lower
returns and risks, respectively. CitiSelect VIP Folio 200 Conservative, the most
conservative portfolio, provided the lowest returns with the least risk.
This report reviews the Funds' investment activities and performance during
the reporting period, and provides a summary of Citibank's perspective on and
outlook for the financial markets.
Thank you for your continued confidence and participation during these
challenging times.
Sincerely,
/s/ Philip W. Coolidge
----------------------
Philip W. Coolidge
President
July 17, 2000
1
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
FOR MANY INVESTORS, THE FIRST HALF OF THE YEAR 2000 MARKED A SIGNIFICANT
CHANGE IN THE PERFORMANCE OF THE STOCK AND BOND MARKETS AS MANY PRICES BEGAN TO
DECLINE. As recently as the fourth quarter of 1999, investment values --
particularly in the stock market -- rose sharply as investors drove up prices
amid unrestrained optimism about the so-called "New Economy," namely, those
companies operating in the technology, telecommunications and Internet
industries. During the first quarter of 2000, however, that optimism dissipated,
triggering a decline in stock prices, especially among "New Economy" stocks. The
prices of many stocks, especially those in the technology sector, fell amid
investors' concerns regarding fundamentals and valuations.
THE CAPITAL MARKETS' HIGHER VOLATILITY TOOK PLACE AGAINST AN ECONOMIC
BACKDROP OF ROBUST ECONOMIC GROWTH AND RISING INTEREST RATES. In the opinion of
management, investors began to conclude that some companies' stock prices might
be too high relative to fundamentals such as revenues and earnings.
Strengthening economies worldwide encouraged many investors to believe that
expanding global demand for goods and services would in turn fuel rising
revenues and earnings for large U.S. companies.
However, rising interest rates tended to have the opposite effect during the
reporting period, dampening investor enthusiasm because of the adverse effects
of higher financing costs that can negatively impact corporate earnings. Indeed,
higher interest rates were the result of more restrictive monetary policies
adopted by several central banks that became increasingly concerned that
unsustainable growth might reignite inflationary pressures. In an attempt to
reduce the rate of economic growth, the Federal Reserve Board (the "Fed") raised
short-term interest rates by three 25-basis point1 increments to 6.50%.
DURING THE REPORTING PERIOD, THE CITISELECT VIP PORTFOLIOS' DIVERSIFICATION
AND ASSET ALLOCATION STRATEGIES ENABLED THE FUNDS TO SEEK TOTAL RETURN, REDUCE
VOLATILITY AND PROVIDE THEIR SHAREHOLDERS WITH EXPOSURE TO SOME OF THE BEST
PERFORMING AREAS OF THE GLOBAL MARKETPLACE. These strategies became especially
important when many investors began to turn their attention away from the young,
fast-growing technology companies that previously led the market. Between
mid-March and the end of April, the tech-laden Nasdaq Composite Index2 fell more
than 35%, including a single-day drop of 10% on April 14, 2000. Shares of more
"Old Economy" or seasoned `blue-chip' companies' stocks declined less severely,
and both large- and small-cap value-oriented stocks gained ground after
languishing for several years. (Value stocks are stocks that are considered to
be inexpensive compared to the stocks of other companies with similar earnings
or assets.)
1 A basis point is .01% or one one-hundredth of a percent.
2 The Nasdaq Composite Index is a market value-weighted index that measures
domestic based securities listed on the NASDAQ stock market.
2
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
Overseas, stock markets roughly followed the patterns established in the
United States. Many technology and telecommunications companies drove Japanese
and European stock markets lower during the first quarter of 2000, then
partially recovered during the second quarter of 2000 based on the relative
strength of "Old Economy" and value stocks. International bond markets also
provided relatively attractive returns.
RISING INTEREST RATES MADE INVESTING IN MOST SECTORS OF THE U.S. BOND MARKET
CHALLENGING FOR MOST INVESTORS DURING THE PERIOD. The prices of most bonds
declined during the period, striving to keep pace with rising interest rates.
However, due to unique supply-and-demand constraints, long-term U.S. Treasury
securities represented an exception to the overall trend, with the bond market
rallying strongly over the past six months due in large part to the U.S.
government's plan to buy back more than $30 billion of long-term debt.
Faced with these volatile market conditions, CitiSelect VIP Portfolios
continued to adhere to their long-term diversification strategy. As a result,
EACH OF THE INDIVIDUAL PORTFOLIOS WITHIN THE CITISELECT FAMILY CONTINUED TO
PROVIDE RETURNS AND LEVELS OF RISK COMMENSURATE WITH THEIR INVESTMENT
OBJECTIVES. Indeed, broad diversification enabled even CitiSelect VIP Folio 500
Growth Plus, the most aggressive portfolio, to cushion the volatility of the
stock markets while also participating in some of its gains. CitiSelect VIP
Folio 500 Growth Plus particularly benefited from its exposure to small-cap
value stocks and international bonds, the period's top-performing market
sectors. In the case of less aggressive portfolios, such as CitiSelect VIP
Folios 200 Conservative and 300 Balanced, broad exposure to fixed-income
securities helped cushion some of the volatility in the large- and small-cap
growth stock areas.
Looking ahead, management expects heightened volatility to continue in 2000
because of ongoing investor uncertainty about inflation and the continued pace
of economic growth. OVER THE LONGER TERM, HOWEVER, MANAGEMENT BELIEVES THAT
CONDITIONS REMAIN POSITIVE FOR BOTH STOCKS AND BONDS. When prevailing
uncertainty dissipates, and the Fed indicates it is more comfortable with the
pace of economic growth, management believes that many investors may once again
recognize the compelling values offered by several market sectors, including
value-oriented, small-cap and international stocks as well as domestic bonds.
Please note that international investing involves certain risks, such as
currency fluctuations, differing accounting and financial disclosure standards
and the potential for adverse political developments.
3
<PAGE>
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 2000
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
--------- ------ ----------
CitiSelect(R) VIP Folio 200 Conservative . 0.89% 2.05% 5.15%
Composite Benchmark+ ..................... 2.08% 5.65% 8.65%
================================================================================
* Average Annual Total Return
** Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$11,855 (as of 6/30/00). The graph shows how the Fund compares to its benchmarks
over the same period.
[Table below represents line graph in its printed piece]
CitiSelect Standard & Poors Lehman Brothers
VIP Folio 200 Composite 500 Index++ Aggregate Bond Index
Conservative Benchmark+ (unmanaged) (unmanaged)
------------ ---------- --------- ------------
10000 10000 10000 10000
9960 9979.58 10079 10025
9810 9827 9665.76 9914
9830 9915.64 10241.8 10063
10210 10312 10867.6 10159
10430 10532.2 11352 10280
10620 10747.7 12253.7 10558
10590 10660.1 11568 10468
10920 10986.5 12201 10622
10790 10906 11792.7 10776
10780 10925 12338.7 10826
10779.1 10996 12550.9 10935
10789.7 11074.2 12689 11075
11136.7 11391.3 13604.1 11066
11326 11548 14300.6 11104
11389.1 11655 14447 11162
11262.9 11556.5 14199 11268
11334.5 11653.1 14775 11364
11113.3 11521.3 14617.9 11388
10544.4 10982.2 12506 11574
10871 11422.7 13308 11845
11165.9 11800.8 14389 11782
11281.8 11990.3 15261 11849
11569.2 12312.2 16140 11885
11580.3 12398.4 16815 11969
11224.4 12045 16292 11760
11335.6 12220 16944 11825
11580.3 12537 17600 11863
11480.2 12394 17185 11759
11616.6 12534 18139 11721
11515.9 12442 17573 11671
11448.8 12358 17485 11665
11437.6 12356 17006 11800
11471.2 12503 18082 11844
11571.9 12675 18449 11843
11750.9 12971 19534 11786
11571.9 12774 18553 11747
11683.8 13016 18202 11889
11874 13202 19982 12046
11717.4 13051 19381 12011
11605.4 12903 18984 12005
11855 13242 19451 12255
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 Bond 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.
++ The Standard & Poor's 500 Index is an index of U.S. common stocks and is used
as a gauge of general U.S. stock market performance.
4
<PAGE>
CITISELECT(R) VIP FOLIO 300 BALANCED
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 2000
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
-------- ------ ---------
CITISELECT(R) VIP FOLIO 300 BALANCED ... 1.68% 4.79% 6.55%
COMPOSITE BENCHMARK .................... 1.90% 7.80% 10.82%
================================================================================
* Average Annual Total Return
** Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$12,395 (as of 6/30/00). The graph shows how the Fund compares to its benchmarks
over the same period.
[Table below represents line graph in its printed piece]
CitiSelect Lehman Brothers Standard & Poors
VIP Folio 300 Aggregate Bond Index 500 Index++ Composite
Balanced (unmanaged) (unmanaged) Benchmark+
------------ ---------- --------- -----------
10000 10000 10000 10000
9950 9970.6 10079 9978.12
9750 9901.8 665.76 9775.48
9780 10017.7 10241.8 9890.44
10250 10100.8 10867.6 10398.6
10520 10192.7 11351.2 10687.9
7/31/97 10770 10399.6 12253.7 10975.9
10700 10347.6 11567.4 10820.5
11110 10467.7 12200.2 11244.5
10890 10583.9 11792.7 11069
10890 10607.1 12338.7 11097.8
10864.7 10692 12550.9 11186.6
1/31/98 10917 10832.1 12689 11281
11346.2 10823.4 13604.1 11716.3
11597.3 10858 14300.6 11942.7
11660.2 10912.3 14446.5 12059.7
11471.8 10992 14198 11903.4
11548.2 11062.3 14774.5 12024.9
7/31/98 11255 11101 14617.9 11832.1
10407 11275.3 12504.4 10997
10763 11558.3 13305.9 11493.1
11129.4 11546.8 14386.4 11996.3
11296.9 11545.9 15258.3 12280.5
11636.5 11592.1 16137.5 12699.3
1/31/99 11636.5 11674.4 16812.4 12812.4
11189.3 11470.1 16289.9 12355.8
11342 11533.2 16941.6 12587.3
11658.3 11570.1 17597.8 13015
11560.1 11468.3 17182.3 12866.7
11829 11431.6 18135.9 13137.6
7/31/99 11730.5 11383.6 17569.7 13011.8
11643 11377.9 17481.9 12883.2
11566.4 11509.8 17002.9 12851.6
11653.9 11552.4 18078.8 13070.4
11818 11551.3 18446.3 13347.4
12190.1 11495.8 19532.8 13898.2
1/31/00 11905.6 11457.9 18551.5 13596.4
12157.3 11596.5 18200.3 14031.6
12430.8 11749.6 19980.9 14244.6
12212 11715.5 19379.6 13959.7
12091.6 11709.7 18982 13710
6/30/00 12395.3 12255.2 19449.9 14161.1
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 Bond 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.
++ The Standard & Poor's 500 Index is an index of U.S. common stocks and is used
as a gauge of general U.S. stock market performance.
5
<PAGE>
CITISELECT(R) VIP FOLIO 400 GROWTH
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 2000
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
-------- ------ ---------
CitiSelect(R) VIP Folio 400 Growth .... 2.50% 7.46% 6.96%
Composite Benchmark ................... 1.22% 10.03% 12.33%
================================================================================
* Average Annual Total Return
** Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$12,559 (as of 6/30/00). The graph shows how the Fund compares to its benchmarks
over the same period.
[Table below represents line graph in its printed piece]
CitiSelect Lehman Brothers Standard & Poors
VIP Folio 400 Aggregate Bond Index 500 Index++ Composite
Balanced (unmanaged) (unmanaged) Benchmark+
------------ ---------- --------- -----------
10000 10000 10000 10000
9930 9970.6 10079 9980.91
9730 9901.8 9665.76 9747.24
9670 10017.7 10241.8 9845.93
10290 10100.8 10867.6 10512.9
10640 10192.7 11351.2 10888.9
7/31/97 10920 10399.6 12253.7 11206.8
10820 10347.6 11567.4 11001.5
11360 10467.7 12200.2 11549.4
10990 10583.9 11792.7 11204.6
10960 10607.1 12338.7 11210.4
10922.4 10692 12550.9 11311.6
1/31/98 10901.1 10832.1 12689 11411.8
11496.1 10823.4 13604.1 12012.4
11846.7 10858 14300.6 12323.5
11921.1 10912.3 14446.5 12448.8
11613 10992 14198 12196.3
11641.8 11062.3 14774.5 12317.5
7/31/98 11184.6 11101 14617.9 12024.5
9876.88 11275.3 12504.4 10756.3
10132 11558.3 13305.9 11239.9
10653 11546.8 14386.4 11897.7
10908.2 11545.9 15258.3 12303.3
11295.6 11592.1 16137.5 12836.9
1/31/99 11218.3 11674.4 16812.4 12943.8
10710.4 11470.1 16289.9 12393.8
10920.2 11533.2 16941.6 12681.5
11406 11570.1 17597.8 13269.8
11317.7 11468.3 17182.3 13073.6
11686.8 11431.6 18135.9 13472.8
7/31/99 11631.4 11383.6 17569.7 13351.8
11565 11377.9 17481.9 13205.4
11432 11509.8 17002.9 13149.9
11553.9 11552.4 18078.8 13463.7
11764.4 11551.3 18446.3 13835.5
12251.8 11495.8 19532.8 14645.2
1/31/0 11886.2 11457.9 18551.5 14198.7
12207.5 11596.5 18200.3 14753.7
12584.1 11749.6 19980.9 15056.5
12318.2 11715.5 19379.6 14623
12207.5 11709.7 18982 14286
6/30/00 12915.5 11953.2 19449.9 15436.8
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 Bond 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.
++ The Standard & Poor's 500 Index is an index of U.S. common stocks and is used
as a gauge of general U.S. stock market performance.
6
<PAGE>
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 2000
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
-------- ------ ---------
CitiSelect(R) VIP Folio 500 Growth Plus . 2.65% 8.75% 7.85%
Composite Benchmark ..................... 0.50% 12.10% 13.67%
================================================================================
* Average Annual Total Return
** Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$12,915 (as of 6/30/00). The graph shows how the Fund compares to its benchmarks
over the same period.
[Table below represents line graph in its printed piece]
Salomon Bros.
Currency-Hedged
CitiSelect Non-$ Government MSCI EAFE
VIP Folio 500 Bond Index Index++ Composite
Growth Plus (unmanaged) (unmanaged) Benchmark+
----------- ---------- --------- ----------
10000 10000 10000 10000
9890 9912.84 10075.5 9993.34
9710 9849.4 10114.5 9748.74
9650 9649.45 10170.2 9867.65
10380 10004.5 10834.3 10616.8
10810 10127.6 11434.5 11060
7/31/97 11170 9863.28 11622 11444.3
11020 9907.66 10756.2 11160.3
11610 10148.4 11360.7 11786
11110 10375.7 10490.4 11285.2
11130 10110.1 10385.5 11303.8
11075.8 10008 10479 11432.7
1/31/98 11033.5 10076.1 10961 11562.3
11773.3 10218.1 11666.9 12272.4
12217.2 10049.5 12028.6 12671.9
12280.6 10270.6 12126 12783.5
11910.7 10254.2 12070.2 12481.2
11920.5 10217.3 12164.4 12616.9
7/31/98 11359.4 10229.5 12290.9 12275.1
9781.98 10509.8 10770.5 10666.5
9930.19 11199.3 10443.1 11072.4
10533.6 11704.4 11534.4 11809.4
10861.8 11465.6 12128.4 12327.8
11252 11788.9 12609.9 12911.8
1/31/99 11134.5 11603.8 12575.9 13038.7
10638.5 11196.5 12279.1 12459
10899.6 11328.7 12794.8 12790.9
11500 11472.5 13315.6 13475.5
11382.5 11442.7 12632.5 13222.2
11875.9 11257.3 13127.7 13768.6
7/31/99 11836.6 11239.3 13521.5 13649.5
11771.2 11261.8 13574.2 13481.7
11575.1 11311.4 13714 13411.2
11705.8 11337.4 14231.1 13824.7
11967.4 11403.1 14729.2 14287.2
12582.2 11444.2 16053.3 15357.8
1/31/00 12111.3 11454.5 15035.5 14748.3
12464.4 11532.4 15443 15437
12948.4 11692.7 16045.3 15835.3
12660.6 11750 15204.5 15227.9
12556 11844 14836.5 14785.3
6/30/00 12915 11904.4 15419.6 15434.3
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.
++ The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI
EAFE) Index is an unmanaged capitalization index representing the industry
composition and a sampling of small, medium, and large capitalization
companies from Europe, Australasia and the Far East.
7
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
LARGE CAP GROWTH -- 6.4%
--------------------------------------------------------------------------------
COMMON STOCKS -- 6.3%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 0.1%
--------------------------------------------------------------------------------
American Power Conversion Corp.* 55 $ 2,245
Illinois Tool Works Inc. 53 3,021
Tyco International Ltd. 180 8,528
-----------
13,794
-----------
COMMERCIAL SERVICES -- 0.2%
--------------------------------------------------------------------------------
Automatic Data Processing Inc. 75 4,017
Concord Inc.* 90 2,340
Interpublic Group Companies Inc. 63 2,709
PayChex Inc. 50 2,100
Time Warner Inc. 110 8,360
-----------
19,526
-----------
COMMUNICATION SERVICES -- 0.2%
--------------------------------------------------------------------------------
SBC Communications Inc.(++) 350 15,137
Sprint Corp.* 105 6,247
-----------
21,384
-----------
COMPUTER SOFTWARE -- 0.8%
--------------------------------------------------------------------------------
America Online Inc.* 243 12,818
Microsoft Corp.* 440 35,200
National Instruments Corp.* 40 1,745
Oracle Corp.* 325 27,320
Yahoo Inc.* 33 4,088
-----------
81,171
-----------
COMPUTER & TELECOMMUNICATIONS
EQUIPMENT -- 1.4%
--------------------------------------------------------------------------------
Cisco Systems Inc.* 656 41,697
Comverse Technology Inc.* 15 1,395
EMC Corp.* 252 19,388
International Business Machines Corp.(++) 160 17,530
Lexmark International Group Inc.* 59 3,968
Network Appliance Inc.* (++) 55 4,428
Nortel Networks Corp. 330 22,523
Qualcomm Inc.* 91 5,460
Sun Microsystems Inc.* 205 18,642
Symbol Technologies Inc. 30 1,620
Tellabs Inc.* 35 2,395
-----------
139,046
-----------
CONGLOMERATES -- 0.5%
--------------------------------------------------------------------------------
General Dynamics Corp. 40 2,090
General Electric Co. (++) 963 51,039
-----------
53,129
-----------
CONSUMER NON-DURABLES -- 0.1%
--------------------------------------------------------------------------------
PepsiCo Inc.(++) 195 8,665
-----------
CONSUMER SERVICES -- 0.1%
--------------------------------------------------------------------------------
Harley Davidson Inc. 65 2,502
-----------
FINANCE -- 0.5%
--------------------------------------------------------------------------------
American Express Co. 184 9,591
Bank of New York Inc. 69 3,209
Charles Schwab Corp. 125 4,203
Federal Home Loan Mortgage Corp. 75 3,038
Federal National Mortgage Association 110 5,741
MBNA Corp. 140 3,798
Marsh & McLennan Companies Inc. (++) 20 2,089
Morgan Stanley Dean Witter & Co. 105 8,741
Northern Trust Corp. 80 5,205
-----------
45,615
-----------
HEALTHCARE -- 1.0%
--------------------------------------------------------------------------------
Abbott Laboratories 183 8,155
Amgen Inc.* 135 9,484
Biogen Inc.* 35 2,258
Cardinal Health Inc. 45 3,330
Eli Lilly & Co. 87 8,689
Johnson & Johnson 179 18,236
Medtronic Inc. 195 9,713
Pfizer Inc. 706 33,888
Schering-Plough Corp. 193 9,746
-----------
103,499
-----------
RETAIL -- 0.6%
--------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 59 2,139
GAP Inc. 135 4,219
Home Depot Inc. 236 11,785
Kohl's Corp.* 100 5,563
Lowes Co. 60 2,464
Walgreen Co. 135 4,345
Wal-Mart Stores Inc. 432 24,894
-----------
55,409
-----------
SEMI-CONDUCTORS -- 0.8%
--------------------------------------------------------------------------------
Altera Corp.* 25 2,548
Applied Materials Inc.* 95 8,609
-----------
8
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Dallas Semiconductor Corp. 40 $ 1,630
Intel Corp. 335 44,785
Linear Technology Corp. 55 3,517
Micrel Inc.* (++) 30 1,303
Texas Instruments Inc. 200 13,737
Xilinx Inc.* 33 2,724
-----------
78,853
-----------
TOTAL COMMON STOCKS 622,593
-----------
SHORT-TERM OBLIGATIONS -- 0.1%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00(+) 13,908
--------
Total Large Cap Growth
(Identified Cost $487,418) 636,501
--------
LARGE CAP VALUE -- 7.6%
--------------------------------------------------------------------------------
COMMON STOCKS -- 7.4%
--------------------------------------------------------------------------------
CAPITAL GOODS -- 0.6%
--------------------------------------------------------------------------------
Emerson Electric Co. 325 19,622
General Electric Co.(++) 225 11,925
Honeywell Inc. 325 10,948
United Technologies Corp. 290 17,074
-----------
59,569
-----------
COMMUNICATION
EQUIPMENT & SERVICES -- 1.1%
--------------------------------------------------------------------------------
AT&T Corp. 575 18,184
Alltel Corp. 250 15,484
Bellsouth Corp. 350 14,919
GTE Corp. 350 21,788
SBC Communications Inc.(++) 425 18,381
Sprint Corp. 400 20,400
-----------
109,156
-----------
CONSUMER CYCLICALS -- 0.2%
--------------------------------------------------------------------------------
McGraw-Hill Companies Inc. 325 17,550
-----------
CONSUMER STAPLES -- 0.5%
--------------------------------------------------------------------------------
Gilette Co. 200 6,731
Kimberly-Clark Corp. 375 21,516
PepsiCo Inc.(++) 575 25,552
-----------
53,799
-----------
ENERGY -- 1.0%
--------------------------------------------------------------------------------
BP Amoco Plc, ADRs 100 5,656
Chevron Corp. 250 21,203
Conoco Inc. Class A 800 17,600
El Paso Energy Corp. 200 10,187
Exxon Corp. 375 29,437
Halliburton Co. 325 15,336
-----------
99,419
-----------
FINANCE -- 1.5%
--------------------------------------------------------------------------------
Bank of America Corp. 400 17,200
Chase Manhattan Corp. 525 24,183
Chubb Corp. 325 19,988
Hartford Financial Services Group 400 22,375
Marsh & McLennan Companies Inc.(++) 185 19,321
Mellon Bank Corp. 600 21,863
Merrill Lynch & Co. Inc. 200 23,000
-----------
147,930
-----------
HEALTHCARE -- 0.7%
--------------------------------------------------------------------------------
American Home Products Corp 400 23,500
Bristol-Myers Squibb Co. 375 21,844
Johnson & Johnson 100 10,187
Pharmacia & Upjohn Inc. 296 15,300
-----------
70,831
-----------
RAW & INTERMEDIATE
MATERIALS -- 0.5%
--------------------------------------------------------------------------------
Alcoa Inc. 600 17,400
Dow Chemical Co. 300 9,056
E. I. du Pont de Nemours & Co. 161 7,044
International Paper Co. 350 10,434
-----------
43,934
-----------
TECHNOLOGY -- 0.5%
--------------------------------------------------------------------------------
First Data Corp. 150 7,444
International Business Machines(++) 125 13,695
Pitney Bowes Inc. 475 19,000
Xerox Corp. 450 9,338
-----------
49,477
-----------
TRANSPORTATION -- 0.1%
--------------------------------------------------------------------------------
Union Pacific Corp. 225 8,367
-----------
UTILITIES -- 0.7%
--------------------------------------------------------------------------------
Duke Energy Co. 375 21,141
Unicom Corp. 550 21,278
Williams Companies Inc. 550 22,928
-----------
65,347
-----------
TOTAL COMMON STOCKS 725,379
-----------
9
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.2%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) $ 22,026
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $767,990) 747,405
-----------
SMALL CAP GROWTH -- 5.0%
--------------------------------------------------------------------------------
COMMON STOCKS -- 4.4%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURING -- 0.4%
--------------------------------------------------------------------------------
Alliant Techsystems Inc.* 30 2,023
Applied Power Inc. 77 2,580
Aptargroup Inc. 162 4,374
Cleco Corp. 85 2,847
Mettler Toledo International Inc.* 125 5,000
National Instruments Corp.* 117 5,104
Newport Corp. 60 6,442
Shaw Group Inc.* 130 6,126
Verticalnet Inc.* 60 2,216
-----------
36,712
-----------
COMMERCIAL SERVICES -- 0.1%
--------------------------------------------------------------------------------
Aeroflex Inc.* 60 2,981
Broadvision Inc.* 85 4,319
Capstone Turbine Corp.* 7 315
Clarus Corp.* 24 933
Cylink Corp.* 120 2,010
Source Information Management Co.* 243 3,706
-----------
14,264
-----------
CONSUMER SERVICES -- 0.3%
--------------------------------------------------------------------------------
Beringer Wine Estates Holdings* 51 1,801
Callaway Golf Co. 125 2,039
Catalina Marketing Corp.* 72 7,344
Emmis Communications Corp.* 60 2,482
Ethan Allen Interiors Inc. 67 1,608
Hispanic Broadcasting Corp.* 70 2,319
Houghton Mifflin Co. 50 2,334
Imax Corp.* 45 1,024
National Computer Systems Inc 70 3,447
P.F. Changs China Bistro Inc.* 40 1,277
Scholastic Corp.* 35 2,139
Station Casinos Inc.* 40 1,000
Westwood One Inc.* 57 1,945
XM Satellite Radio Holdings Inc.* 35 1,310
-----------
32,069
-----------
ELECTRONIC/TECHNICAL SERVICES -- 0.9%
--------------------------------------------------------------------------------
Accelerated Networks Inc.* 1 42
Acnielson Corp.* 50 1,100
C-Cube Microsystems Inc.* 97 1,904
California Amplifier Inc.* 125 5,719
Celeritek Inc.* 65 2,653
E Piphany Inc.* 21 2,251
Emulex Corp.* 55 3,613
Intertrust Technologies Corp.* 25 514
Iona Technologies Plc* ADRs 40 2,520
MMC Networks Inc.* 100 5,344
Macromedia Inc.* 74 7,155
Macrovision Corp.* 50 3,196
Methode Electronics Inc. 105 4,056
Micrel Inc.*(++) 170 7,384
Network Appliance Inc.*(++) 48 3,864
New Era of Networks Inc.* 15 637
Paradyne Corp.* 65 2,117
Powerwave Technologies Inc.* 64 2,816
Remedy Corp.* 80 4,460
Sandisk Corp.* 35 2,142
Sawtek Inc.* 60 3,454
Semtech Corp.* 70 5,354
Silicon Storage Technology Inc.* 40 3,533
Sonus Networks Inc.* 6 947
Spectralink Corp.* 115 1,682
Stratos Lightwave Inc.* 23 641
Ultimate Electronics Inc.* 65 1,742
Usinternet Working Inc.* 52 1,063
WatchGuard Technologies Inc.* 25 1,373
Wink Communications Inc.* 65 1,983
-----------
85,259
-----------
ENERGY/MINERALS -- 0.4%
--------------------------------------------------------------------------------
Cal Dive International Inc.* 100 5,419
Coflexip ADRs 85 5,143
Hanover Compressor Co.* 160 6,080
Precision Drilling Corp.* 140 5,407
R & B Falcon Corp.*(++) 465 10,957
Varco International Inc.* 120 2,790
-----------
35,796
-----------
FINANCE -- 0.2%
--------------------------------------------------------------------------------
Affiliated Managers Group Inc.* 55 2,502
Banknorth Group Inc. 250 3,828
Chittenden Corp. 148 3,618
Cullen Frost Bankers Inc. 181 4,763
Presidential Life Insurance Corp. 50 694
10
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
SEI Investments Co. 78 $ 3,105
West America Bancorporation 85 2,221
-----------
20,731
-----------
HEALTHCARE -- 0.7%
--------------------------------------------------------------------------------
Affymetrix Inc.* 15 2,477
Alpharma Inc. 65 4,046
Andrx Corp.* 44 2,813
Apria Healthcare Group Inc.* 180 2,205
Aurora Bioscience Corp.* 25 1,705
CIMA Labs Inc.* 40 810
Corixa Corp.* 80 3,435
Curagen Corp.* 20 761
Emisphere Technologies Inc.* 35 1,491
Enzon Inc.* 60 2,550
Genset SA* ADRs 60 1,388
Gilead Sciences Inc.* 55 3,912
Idec Pharmaceuticals Corp.* 35 4,106
Incyte Pharmaceuticals Inc.* 20 1,644
KV Pharmaceutical Co.* 11 291
Lifepoint Hospitals Inc.* 100 2,225
Medarex Inc.* 23 1,943
Medicis Pharmaceutical Corp.* 55 3,135
Millennium Pharmaceuticals Inc.* 66 7,384
Multex Systems Inc.* 28 705
Nanogen Inc.* 25 1,061
Pharmacyclics Inc.* 35 2,135
Shire Pharmaceuticals Group Plc* ADRs 113 5,862
Transkaryotic Therapies Inc.* 15 551
Triad Hospitals Inc.* 70 1,693
Varian Inc.* 180 8,303
-----------
68,631
-----------
INDUSTRIAL SERVICES -- 0.1%
--------------------------------------------------------------------------------
Gasonics International Corp.* 100 3,944
Gentex Corp.* 72 1,809
Harmonic Inc.* 72 1,782
-----------
7,535
-----------
RETAIL -- 0.2%
--------------------------------------------------------------------------------
Cost Plus Inc.* 137 3,930
Footstar Inc.* 50 1,662
Linens 'n Things Inc.* 114 3,092
O' Reilly Automotive Inc.* 271 3,760
Zale Corp.* 60 2,190
-----------
14,634
-----------
SEMI-CONDUCTOR -- 0.3%
--------------------------------------------------------------------------------
ATMI Inc.* 45 $ 2,093
Alpha Industries Inc.* 36 1,586
Amkor Technology Inc.* 85 3,002
Anadigics Inc.* 57 1,942
Cree Inc.* 9 1,201
Cypress Semiconductor Corp.* 25 1,056
Emcore Corp.* 74 8,880
Microchip Technology Inc.* 31 1,806
Silicon Image Inc.* 40 1,995
Transwitch Corp.* 77 5,943
Triquint Semiconductor Inc.* 37 3,540
Virata Corp.* 24 1,431
-----------
34,475
-----------
SOFTWARE -- 0.3%
--------------------------------------------------------------------------------
Active Software Inc.* 45 3,496
Activision Inc.* 385 2,503
Art Technology Group Inc.* 40 4,037
Bindview Development Corp.* 105 1,260
HNC Software Inc.* 25 1,544
Mercury Interactive Corp.* 125 12,094
Microstrategy Inc.* 39 1,170
Oni Systems Corp.* 3 352
-----------
26,456
-----------
TECHNOLOGY SERVICES -- 0.2%
--------------------------------------------------------------------------------
Bisys Group Inc.* 76 4,674
Idex Corp. 90 2,841
Interwoven Inc.* 3 330
Mattson Technology Inc.* 99 3,217
Nextel Partners Inc.* 41 1,335
Oak Technology Inc.* 205 4,420
Western Wireless Corp.* 110 5,995
-----------
22,812
-----------
TELECOMMUNICATIONS -- 0.3%
--------------------------------------------------------------------------------
Covad Communications Group Inc.* 75 1,209
Digital IS Inc.* 20 972
Digital Lightwave Inc.* 15 1,507
Digital Microwave Corp.* 55 2,097
Dobson Communications Corp.* 70 1,347
Exar Corp.* 40 3,487
Expo Electro Optical Energy Inc.* 13 338
Informatica Corp. 5 410
Nextlink Communications Inc.* 57 2,162
P C Telephone Inc.* 20 760
11
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Pinnacle Holdings Inc.* 94 $ 5,076
Powertel Inc.* 35 2,483
Remec Inc.* 138 5,779
Research in Motion Ltd.* 18 815
-----------
28,442
-----------
TRANSPORTATION -- 0.0%
--------------------------------------------------------------------------------
C H Robinson Worldwide Inc. 51 2,525
Eagle USA Airfreight Inc.* 37 1,138
-----------
3,663
-----------
TOTAL COMMON STOCKS 431,479
-----------
SHORT-TERM OBLIGATIONS -- 0.6%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 60,655
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $397,029) 492,134
-----------
SMALL CAP VALUE -- 4.8%
--------------------------------------------------------------------------------
COMMON STOCKS -- 4.7%
--------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.1%
Reynolds & Reynolds Co. 500 9,125
-----------
CONSUMER DURABLE GOODS -- 0.2%
--------------------------------------------------------------------------------
D.R. Horton Inc. 900 12,206
Engle Homes Inc. 300 2,869
La-Z-Boy Inc. 700 9,800
-----------
24,875
-----------
CONSUMER NON-DURABLES -- 0.4%
--------------------------------------------------------------------------------
Block Drug Inc. 100 4,231
Dimon Inc. 1,200 2,550
Standard Commercial Corp. 2,205 10,060
Timberland Co.* 100 7,081
Tropical Sportwear International Corp.* 400 7,000
Wolverine Worldwide Inc. 1,200 11,850
-----------
42,772
-----------
CONSUMER SERVICES -- 0.1%
--------------------------------------------------------------------------------
Aztar Corp.* 700 10,850
-----------
ELECTRONIC TECHNOLOGY -- 0.2%
--------------------------------------------------------------------------------
Diebold Inc. 400 11,150
ESCO Electronics Corp.* 300 5,100
Spacehab Inc.* 800 3,600
-----------
19,850
-----------
ENERGY MINERALS -- 0.1%
--------------------------------------------------------------------------------
Nuevo Energy Co.* 400 7,550
-----------
FINANCE -- 1.0%
--------------------------------------------------------------------------------
American National Insurance Co. 200 10,200
Harleysville Group Inc. 700 11,725
PBOC Holdings Inc.* 600 5,100
PMI Group Inc. 150 7,125
Penn-America Group Inc. 600 4,725
Presidential Life Corp. 1,600 22,200
Professionals Group Inc.* 970 23,704
Reinsurance Group of America Inc. 100 3,012
Stancorp Financial Group Inc. 200 6,425
-----------
94,216
-----------
HEALTH TECHNOLOGY -- 0.1%
--------------------------------------------------------------------------------
West Pharmaceutical Services Inc. 400 8,650
-----------
INDUSTRIAL SERVICES -- 0.5%
--------------------------------------------------------------------------------
Atwood Oceanics Inc.* 200 8,875
ENSCO International Inc. 300 10,744
R & B Falcon Corp.*(++) 460 10,839
Reliance Steel & Aluminium Co. 200 3,825
Rowan Companies Inc.* 300 9,113
Santa Fe International Corp. 200 6,988
-----------
50,384
-----------
NON-ENERGY MINERALS -- 0.2%
--------------------------------------------------------------------------------
LTV Corp. 3,300 9,488
Lone Star Technologies Inc.* 200 9,250
-----------
18,738
-----------
PROCESS INDUSTRIES -- 0.2%
--------------------------------------------------------------------------------
Lancaster Colony Inc. 500 9,594
RPM Inc. 700 7,087
Tuscarora Inc. 300 4,687
-----------
21,368
-----------
Producer Manufacturing -- 1.1%
--------------------------------------------------------------------------------
Baldor Electric Co. 400 7,450
Circor International Inc. 200 1,638
Cohu Inc. 200 5,394
Commonwealth Industries Inc. 700 4,113
Graco Inc. 100 3,250
JLG Industries Inc. 1,800 21,375
12
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Kaydon Corp. 400 $ 8,400
Myers Industries Inc. 750 8,062
Patrick Industries Inc. 300 1,875
Superior Industries International Inc. 400 10,300
Teleflex Inc. 400 14,300
Timken Co. 700 13,037
Tower Automotive Inc.* 700 8,750
Watts Industries Inc. 500 6,312
Woodhead Industries 100 1,825
-----------
116,081
-----------
RETAIL TRADE -- 0.1%
--------------------------------------------------------------------------------
Schultz Sav-O Stores Inc. 650 6,744
-----------
TECHNOLOGY SERVICES -- 0.1%
--------------------------------------------------------------------------------
Ultrak Inc.* 700 5,687
-----------
TRANSPORTATION -- 0.3%
--------------------------------------------------------------------------------
Atlantic Coast Airlines Holdings* 300 9,525
Kenan Transport Co. 300 6,075
Midwest Express Holdings Inc.* 200 4,300
Motor Cargo Industries Inc.* 500 2,313
Tidewater Inc. 200 7,200
-----------
29,413
-----------
TOTAL COMMON STOCKS 466,303
-----------
SHORT-TERM OBLIGATIONS -- 0.1%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 12,685
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $511,816) 478,988
-----------
INTERNATIONAL EQUITY --6.3%
--------------------------------------------------------------------------------
COMMON STOCKS --6.1%
--------------------------------------------------------------------------------
AUSTRALIA -- 0.2%
--------------------------------------------------------------------------------
Australia & New Zealand Banking Group 1,545 11,836
Quantas Airways 3,985 8,055
-----------
19,891
-----------
AUSTRIA -- 0.1%
--------------------------------------------------------------------------------
Boehler-Uddeholm 85 2,974
-----------
CANADA -- 0.2%
--------------------------------------------------------------------------------
BCE Inc. 240 5,692
Manulife Financial Corp. 865 15,254
-----------
20,946
-----------
FINLAND -- 0.1%
--------------------------------------------------------------------------------
UPM-Kymmene Oy 250 6,206
-----------
FRANCE -- 0.6%
--------------------------------------------------------------------------------
Aventis 222 16,204
BIC 139 6,808
BQE National Paris 150 14,435
Pernod-Ricard 146 7,945
Total 108 16,559
-----------
61,951
-----------
GERMANY -- 0.3%
--------------------------------------------------------------------------------
Depfadeutsche Pfandbriefban 70 7,024
Draegerwerk 310 2,575
Dyckerhoff 245 6,198
E ON 181 8,726
SGL Carbon* 56 3,724
Vossloh 240 3,991
-----------
32,238
-----------
GREAT BRITAIN -- 1.8%
--------------------------------------------------------------------------------
Allied Domecq 1,476 7,817
Allied Zurich 815 9,637
BAA 1,930 15,478
BAE Systems 2,386 14,874
British American Tobacco Plc 1,145 7,640
British Telecommunications 463 5,983
CGU 400 6,658
Celltech Group 401 7,766
Cookson Group 1,990 6,639
Hanson 1,645 11,624
Lex Service 1,030 5,198
Lloyds TSB Group 522 4,929
Reckitt & Coleman 648 7,257
Reed International 970 8,439
Royal Bank of Scotland 349 5,840
TI Group 1,460 7,953
Tomkins 2,270 7,376
Unilever 1,682 10,180
United News & Media 610 8,768
Williams 1,904 11,092
-----------
171,148
-----------
13
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
HONG KONG -- 0.3%
--------------------------------------------------------------------------------
Henderson Land Development 2,000 $ 8,800
Hong Kong Electric 3,000 9,659
New World Development Co. 3,000 3,329
South China Morning Post 6,000 4,657
-----------
26,445
-----------
IRELAND -- 0.2%
--------------------------------------------------------------------------------
Allied Irish Banks 1,044 9,339
Greencore Group 1,950 5,213
Jefferson Smurfit Group 3,730 6,410
-----------
20,962
-----------
ITALY -- 0.1%
--------------------------------------------------------------------------------
Telecom Italia Spa 800 10,998
-----------
JAPAN -- 0.3%
--------------------------------------------------------------------------------
Nintendo Co. 100 17,454
Promise Co. 100 7,898
Sanyo Shinpan Financial 200 7,087
-----------
32,439
-----------
NETHERLANDS -- 0.5%
--------------------------------------------------------------------------------
ABN-Amro Holdings 245 6,002
Akzo Nobel 269 11,428
Ing Groep 140 9,463
Koninklijke PTT 180 8,051
Philips Electronics 372 17,544
-----------
52,488
-----------
NEW ZEALAND -- 0.2%
--------------------------------------------------------------------------------
Fletcher Challenge 4,080 4,325
Telecom Corp. 3,218 11,247
-----------
15,572
-----------
PORTUGAL -- 0.1%
--------------------------------------------------------------------------------
Portugal Telecommunications 1,210 13,585
-----------
SINGAPORE -- 0.1%
--------------------------------------------------------------------------------
United Overseas Bank 2,000 13,086
-----------
SPAIN -- 0.2%
--------------------------------------------------------------------------------
Repsol 530 10,550
Telefonica S.A.* 534 11,471
-----------
22,021
-----------
SHARES/
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
SWEDEN -- 0.2%
--------------------------------------------------------------------------------
Electrolux AB 490 7,583
Getinge Industrier 1,068 10,171
-----------
17,754
-----------
SWITZERLAND -- 0.4%
--------------------------------------------------------------------------------
Geberit 32 10,691
Novartis 8 12,672
Sig Holding 10 6,271
Sulzer 9 5,986
-----------
35,620
-----------
UNITED STATES -- 0.2%
--------------------------------------------------------------------------------
Creative Technology Ltd.* 594 14,182
Dairy Farm International 15,300 9,180
-----------
23,362
-----------
TOTAL COMMON STOCKS 599,686
-----------
SHORT-TERM OBLIGATIONS -- 0.2%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 19,667
-----------
Total International Equity
(Identified Cost $562,543) 619,353
-----------
DOMESTIC FIXED INCOME -- 52.7%
--------------------------------------------------------------------------------
FIXED INCOME -- 45.3%
--------------------------------------------------------------------------------
ASSET BACKED -- 3.0%
--------------------------------------------------------------------------------
GE Capital Mortgage Securities Inc.
5.905% due 10/25/13 $ 100,000 98,611
GMAC Commercial Mortgage Inc.
6.42% due 8/15/08 40,000 37,498
JP Morgan Commercial Mortgage Financial Corp.
6.373% due 1/15/30 14,634 14,315
Morgan Stanley Capital Investment Inc.
6.44% due 11/15/02 77,459 76,482
Northwest Airlines
8.072% due 10/01/19 40,000 40,146
Peco Energy Transportation Trust
6.05% due 3/01/09 35,000 32,790
-----------
299,842
-----------
CORPORATE BONDS -- 9.5%
--------------------------------------------------------------------------------
Abitibi Consolidated Inc.
8.50% due 8/01/29 20,000 18,679
14
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 $ 25,000 $ 20,646
BB & T Corp.
6.375% due 6/30/05 45,000 42,537
Bank of America
7.80% due 2/15/10 40,000 39,795
Coastal Corp.
7.75% due 6/15/10 20,000 19,773
Credit Suisse First Boston
7.29% due 9/15/09 50,000 49,323
DaimlerChrysler Northern Holdings Co.
7.75% due 5/27/03 40,000 40,324
Dayton Hudson Corp.
6.65% due 8/01/28 25,000 21,241
Donaldson, Lufkin & Jenrette
5.875% due 4/01/02 45,000 43,693
Dynegy Inc.
7.45% due 7/15/06 20,000 19,462
Federal National Mortgage Association
7.25% due 1/15/10 20,000 20,201
Ford Motor Co.
7.875% due 6/15/10 45,000 44,992
Knight Ridder Inc.
6.875% due 3/15/29 25,000 21,496
Lehman Brothers Holdings Inc.
7.75% due 1/15/05 45,000 44,583
Lockheed Martin Corp.
8.50% due 12/01/29 15,000 15,147
MCI Communications Corp.
6.50% due 4/15/10 65,000 58,975
Merita Bank Plc
6.50% due 4/01/09 45,000 40,873
National Rural Utilities Cooperative Finance
6.20% due 2/01/08 45,000 41,432
Osprey Trust Inc.
8.31% due 1/15/03 45,000 45,097
Pemex Finance Ltd.
9.03% due 2/15/11 20,000 20,636
Popular North America Inc.
6.875% due 6/15/01 50,000 49,731
Qatar St
9.75% due 6/15/30 25,000 24,656
Raytheon Co.
7.90% due 3/01/03 45,000 45,269
St. Paul Cos. Inc.
7.875% due 4/15/05 45,000 44,583
Saks Inc.
8.25% due 11/15/08 25,000 22,206
Valero Energy Corp.
8.75% due 6/15/30 20,000 20,426
Wal-Mart Stores Inc.
7.55% due 2/15/30 15,000 15,355
Wells Fargo & Co.
7.80% due 6/15/10 40,000 40,301
-----------
931,432
-----------
MORTGAGE BACKED -- 15.3%
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
7.50% TBA 55,000 54,274
6.25% due 6/15/24 30,000 28,694
Federal National Mortgage Association
6.50% TBA 800,000 771,500
8.00% TBA 330,000 331,393
7.349% due 8/17/21 50,000 49,921
6.50% due 4/01/29 116,808 110,238
Government National Mortgage Association
6.50% TBA 140,000 132,825
7.00% due 2/15/24 34,023 33,172
-----------
1,512,017
-----------
U. S. TREASURY OBLIGATIONS -- 15.4%
--------------------------------------------------------------------------------
United States Treasury Bonds
3.625% due 4/15/28 37,046 35,309
6.125% due 8/15/29 60,000 60,600
United States Treasury Notes
5.50% due 12/31/00 25,000 24,891
5.875% due 11/15/04 1,025,000 1,010,107
6.875% due 5/15/06 255,000 262,451
6.50% due 2/15/10 120,000 124,106
-----------
1,517,464
-----------
YANKEE BOND -- 2.1%
--------------------------------------------------------------------------------
Corporacion Andina de Fomento
7.75% due 3/01/04 45,000 44,271
Imperial Tobacco
Overseas BV
7.125% due 4/01/09 30,000 26,599
Quebec Province
of Canada
7.50% due 9/15/29 45,000 44,208
TPSA Finance BV
7.75% due 12/10/08 30,000 27,633
15
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENT (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
--------------------------------------------------------------------------------
Telefonica de Argentina
9.125% due 5/07/08 $ 25,000 $ 23,250
YPF Sociedad Anonima
7.25% due 3/15/03 45,000 43,650
-----------
209,611
-----------
Total Fixed Income 4,470,366
-----------
SHORT-TERM OBLIGATIONS -- 7.4%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 730,253
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $5,245,470) 5,200,619
-----------
INTERNATIONAL BOND -- 10.0%
--------------------------------------------------------------------------------
FIXED INCOME -- 8.8%
--------------------------------------------------------------------------------
AUSTRIA -- 0.4%
--------------------------------------------------------------------------------
Osterreichische Kontrollbank
1.80%
due 3/22/10 JPY 4,000,000 38,091
-----------
BELGIUM -- 0.4%
--------------------------------------------------------------------------------
Kingdom of Belgium
5.50% due
3/28/28 EURO 40,000 36,511
-----------
CANADA -- 0.8%
--------------------------------------------------------------------------------
Canadian Government Bonds
1.90% due
3/23/09 JPY 8,000,000 77,252
-----------
DENMARK -- 0.0%
--------------------------------------------------------------------------------
Nykredit
5.00% due
10/01/29 DKK 40,000 4,350
-----------
FRANCE -- 0.2%
--------------------------------------------------------------------------------
Government of France
3.00% due
7/25/09 EURO 10,882 9,677
5.50% due
4/25/29 EURO 15,000 14,249
-----------
23,926
-----------
GERMANY -- 1.8%
--------------------------------------------------------------------------------
Commerzbank AG
13.75% due
1/18/02 PLN 300,000 64,900
Bundesrepublik Deutschland
4.25% due
11/26/04 EURO 90,000 83,251
Republic of Germany
6.50% due
7/15/03 EURO 30,000 29,767
-----------
177,918
-----------
GREAT BRITAIN -- 0.6%
--------------------------------------------------------------------------------
United Kingdom Treasury
8.50% due
12/07/05 GBP 34,000 58,313
-----------
GREECE -- 0.2%
--------------------------------------------------------------------------------
Republic of Greece
7.89% due
6/17/03 GRD 1,200,000 3,510
10.24% due
10/23/03 GRD 4,400,000 12,938
-----------
16,448
-----------
ITALY -- 0.1%
--------------------------------------------------------------------------------
Republic of Italy
6.50% due
11/01/27 EURO 14,000 14,363
-----------
JAPAN -- 1.9%
--------------------------------------------------------------------------------
Government of Japan
4.10% due
6/21/04 JPY 6,200,000 65,659
International Bank
Reconstruction
and Development
4.75% due
12/20/04 JPY 4,000,000 44,034
Nippon Telephone
and Telegraph
2.50% due
7/25/07 JPY 5,000,000 49,802
Toyota Motor
Credit Corp.
6.25% due
8/04/03 GBP 20,000 29,905
-----------
189,400
-----------
NETHERLANDS -- 0.8%
--------------------------------------------------------------------------------
ING Bank
6.125% due
8/07/00 EURO 35,000 34,949
Kingdom of
Netherlands
6.00% due
1/15/06 EURO 40,000 39,544
-----------
74,493
-----------
16
<PAGE>
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
CITISELECT VIP FOLIO 200 CONSERVATIVE
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
UNITED STATES -- 1.6%
--------------------------------------------------------------------------------
Federal National Mortgage Association
7.25% due
1/15/10 $ 10,000 $ 10,101
Hewlett Packard
Financial Co.
6.125% due
8/21/00 50,000 49,941
International American
Development Bank
7.375% due
1/15/10 10,000 10,167
United States
Treasury Inflationary
Index Notes
6.50% due
2/28/02 90,000 90,056
-----------
160,265
-----------
TOTAL FIXED INCOME 871,330
-----------
SHORT-TERM OBLIGATIONS -- 1.2%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Notes
6.57% due 7/03/00 (+) 116,383
-----------
Total International Bond
(Identified Cost $1,024,006) 987,713
-----------
HIGH YIELD BOND -- 19.9%
--------------------------------------------------------------------------------
FIXED INCOME -- 18.4%
--------------------------------------------------------------------------------
DOMESTIC CORPORATIONS -- 18.0%
--------------------------------------------------------------------------------
automotive -- 0.8%
--------------------------------------------------------------------------------
J.H. Heafner Inc.
10.00% due 5/15/08 50,000 36,500
J.L. French Automotive Castings
11.50% due 6/01/09 (#) 25,000 22,750
Lear Corp.
8.11% due 5/15/09 (#) 25,000 22,771
-----------
82,021
-----------
CABLE & OTHER MEDIA -- 3.2%
--------------------------------------------------------------------------------
CSC Holdings Inc.
9.875% due 2/15/13 (#) 50,000 51,313
Charter Communications Holdings
8.625% due 4/01/09 (#) 50,000 43,937
Zero Coupon due
4/01/11 (#) 20,000 11,500
Covad Communications Group
12.00% due 2/15/10 (#) 25,000 20,000
Federal Mogul Corp.
7.375% due 1/15/06 (#) 25,000 18,375
Frontiervision Holdings LP
Zero Coupon due
9/15/07 55,000 47,300
NTL Inc.
Zero Coupon due
10/01/08 (#) 75,000 49,125
Owens Illinois Inc.
7.50% due 5/15/10 (#) 25,000 21,681
Park Place
Entertainment Corp.
9.375% due 2/15/07 (#) 50,000 50,000
-----------
313,231
-----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.5%
--------------------------------------------------------------------------------
Jordan Industries Inc.
10.375% due 8/01/07 (#) 50,000 45,750
-----------
CHEMICALS --1.0%
--------------------------------------------------------------------------------
Acqua Chemicals Inc.
11.25% due 7/01/08 25,000 14,063
Lyondell Chemical Co.
9.875% due 5/01/07 40,000 39,600
PCI Chemicals CDA Inc .
9.25% due 10/15/07 40,000 26,400
Radnor Holdings Corp.
10.00% due 12/01/03 20,000 17,900
-----------
97,963
-----------
CONSUMER PRODUCTS/TOBACCO -- 1.2%
--------------------------------------------------------------------------------
French Fragrances Inc.
10.375% due 5/15/07 50,000 47,000
Home Interiors Gifts Inc.
10.125% due 6/01/08 30,000 17,100
Mail Well Corp.
8.75% due 12/15/08 (#) 50,000 42,000
Revlon Consumer
Products Corp.
8.625% due 2/01/08 25,000 12,500
-----------
118,600
-----------
ENERGY -- 1.4%
--------------------------------------------------------------------------------
Key Energy Services Inc.
14.00% due 1/15/09 10,000 11,250
Plains Resources Inc.
10.25% due 3/15/06 50,000 49,625
17
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Polaroid Corp.
11.50% due 2/15/06 $ 25,000 $ 25,937
Western Gas Resources
10.00% due 6/15/09 (#) 50,000 51,625
-----------
138,437
-----------
FINANCIAL -- 1.1%
--------------------------------------------------------------------------------
Avis Group Holdings Inc.
11.00% due 5/01/09 (#) 50,000 52,125
Contifinancial Corp.
8.375% due 8/15/03 (#) 50,000 6,625
Derby Cycle Corp.
Lyon Investments
10.00% due 5/15/08 (#) 25,000 11,625
Global Crossing
Holdings Ltd.
9.50% due 11/15/09 (#) 10,000 9,650
Williams Scotsman Inc.
9.875% due 6/01/07 30,000 27,000
-----------
107,025
-----------
FOOD/BEVERAGE/BOTTLING -- 0.4%
--------------------------------------------------------------------------------
B & G Foods Indications Corp.
9.625% due 8/01/07 50,000 35,000
-----------
GAMING -- 0.4%
--------------------------------------------------------------------------------
Majestic Star Casino LLC
10.875% due 7/01/06 (#) 50,000 40,750
-----------
HEALTHCARE -- 0.5%
--------------------------------------------------------------------------------
Harrahs Operations Inc.
7.875% due 12/15/05 (#) 25,000 23,500
Tenet Healthcare Corp.
8.00% due 1/15/05 (#) 25,000 23,937
-----------
47,437
-----------
HOUSING RELATED -- 0.4%
--------------------------------------------------------------------------------
CB Richards Ellis Services Inc.
8.875% due 6/01/06 50,000 42,813
-----------
LODGING LEISURE -- 0.7%
--------------------------------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 50,000 44,875
Moll Industries Inc.
10.50% due 6/01/08 25,000 4,375
Psinet Inc.
11.50% due 11/01/08 25,000 23,500
-----------
72,750
-----------
PAPER/FOREST PRODUCTS -- 0.5%
--------------------------------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 50,000 50,000
-----------
PUBLISHING/PRINTING -- 0.5%
--------------------------------------------------------------------------------
Hollinger International Publishing Inc.
9.25% due 3/15/07 50,000 49,250
-----------
RETAIL -- 0.6%
--------------------------------------------------------------------------------
Cole National Group Inc.
8.625% due 8/15/07 15,000 10,350
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 50,000 45,000
-----------
55,350
-----------
SERVICES/OTHER -- 1.6%
--------------------------------------------------------------------------------
American Standard Inc.
7.375% due 4/15/05 25,000 23,156
Integrated Electrical
Services
9.375% due 2/01/09 25,000 20,125
Iron Mountain Inc.
10.125% due 10/01/06 50,000 50,000
Pioneer Natural
Restoration Co.
9.625% due 4/01/10 (#) 25,000 25,750
Polymer Group Inc.
8.75% due 3/01/08 (#) 50,000 41,500
Safety Kleen Services Inc.
9.25% due 6/01/08 50,000 2,000
-----------
162,531
-----------
TELECOMMUNICATIONS -- 3.1%
--------------------------------------------------------------------------------
Energis Plc
9.75% due 6/15/09 (#) 50,000 49,000
Intermedia
Communications Inc.
9.50% due 3/01/09 (#) 50,000 47,500
Leap Wireless
International Inc.
12.50% due 4/15/10 (#) 10,000 8,600
Nextel
Communications Inc.
1.00% due 2/15/08 (#) 70,000 51,625
Orange Plc
9.00% due 6/01/09 (#) 50,000 50,500
Price Communications
Wireless Inc.
9.125% due 12/15/06 (#) 50,000 50,000
Rogers Cantel
9.375% due 6/01/08 50,000 51,500
-----------
308,725
-----------
18
<PAGE>
CITISELECT VIP FOLIO 200 CONSERVATIVE
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
TRANSPORTATION -- 0.1%
--------------------------------------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06 (#) $ 50,000 $ 4,750
-----------
Total Domestic Corporations 1,772,383
-----------
MORTGAGE OBLIGATIONS -- 0.4%
--------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS -- 0.4%
--------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 49,385 40,120
-----------
TOTAL FIXED INCOME 1,812,503
-----------
SHORT-TERM OBLIGATIONS -- 1.5%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 151,424
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $2,256,799) 1,963,927
-----------
TOTAL INVESTMENTS
(Identified Cost $11,253,071) 112.7% 11,126,640
OTHER ASSETS,
LESS LIABILITIES (12.7) (1,254,397)
---------- -----------
NET ASSETS 100.0% $ 9,872,243
========== ===========
* Non-income producing
(#) Rule 144A Security exempt from registration under Rule 144A of the
Securities Act of 1933.
(+) The Portfolio owns in aggregate Student Loan Marketing Association Discount
Note 6.57% due 7/03/00 valued at $1,127,000 portions of which are listed by
each asset class.
(++) The Portfolio owns in aggregate 1,188 shares of General Electric Co. valued
at $62,964; 775 shares of SBC Communications Inc. valued at $33,518; 285
shares of International Business Machines valued at $31,225; 205 shares of
Marsh & McLennan Company valued at $21,410; 925 shares of R & B Falcon
Corp. valued at $21,796; 200 shares of Micrel Inc. valued at $8,687; 103
shares of Network Appliance Inc. valued at $8,292; and 770 shares of
PepsiCo Inc. valued at $34,217, portions of which are separately listed by
each asset class.
TBA (To be announced)--Mortgage-backed securities traded under delayed delivery
commitments
ADRs--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
EURO Italy
JPY Japan
EURO Netherlands
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 2000 ARE AS FOLLOWS:
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
--------------------------------------------------------------------------------
Dollar (Buy) .. Canada $ 23,129 $ 23,171 July-00 $ (42)
Dollar (Sell) . Canada 23,129 23,283 July-00 155
Drachma (Buy) . Greece 41,364 41,296 July-00 69
Euro (Buy) .... Europe 59,025 59,398 July-00 (373)
Euro (Sell) ... Europe 255,620 255,514 July-00 (107)
Franc (Buy) ... Switzerland 29,847 29,617 July-00 231
Krona (Sell) .. Sweden 7,373 7,378 July-00 5
Pound (Sell) .. Great Britain 119,244 119,680 July-00 436
Yen (Buy) ..... Japan 19,744 20,000 July-00 (256)
Yen (Sell) .... Japan 298,618 298,900 July-00 282
Zloty (Sell) .. Poland 55,011 54,383 July-00 (627)
-----
$(227)
=====
19
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
LARGE CAP GROWTH -- 8.7%
--------------------------------------------------------------------------------
COMMON STOCKS -- 8.4%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING -- 0.2%
--------------------------------------------------------------------------------
American Power Conversion Corp.* 110 $ 4,489
Illinois Tool Works Inc. 110 6,270
Tyco International Ltd. 370 17,529
-----------
28,288
-----------
COMMERCIAL SERVICES -- 0.3%
--------------------------------------------------------------------------------
Automatic Data Processing Inc. 155 8,302
Concord Inc.* 190 4,940
Interpublic Group Companies Inc. 126 5,418
PayChex Inc. 100 4,200
Time Warner Inc. 230 17,480
-----------
40,340
-----------
COMMUNICATION SERVICES -- 0.3%
--------------------------------------------------------------------------------
SBC Communications Inc.(++) 725 31,356
Sprint Corp.* 215 12,793
-----------
44,149
-----------
COMPUTER SOFTWARE -- 1.1%
--------------------------------------------------------------------------------
America Online Inc.* 505 26,639
Microsoft Corp.* 878 70,240
National Instruments Corp.* 80 3,490
Oracle Corp.* 655 55,061
Yahoo Inc.* 61 7,556
-----------
162,986
-----------
COMPUTER & TELECOMMUNICATIONS EQUIPMENT -- 1.9%
--------------------------------------------------------------------------------
Cisco Systems Inc.* 1,314 83,521
Comverse Technology Inc.* 30 2,790
EMC Corp.* 519 39,930
International Business Machines Corp.(++) 330 36,155
Lexmark International Group Inc.* 124 8,339
Network Appliance Inc.*(++) 115 9,257
Nortel Networks Corp. 675 46,069
Qualcomm Inc.* 189 11,340
Sun Microsystems Inc.* 423 38,466
Symbol Technologies Inc. 60 3,240
Tellabs Inc.* 70 4,791
-----------
283,898
-----------
CONGLOMERATES -- 0.7%
--------------------------------------------------------------------------------
General Dynamics Corp. 80 4,180
General Electric Co.(++) 1,926 102,078
-----------
106,258
-----------
CONSUMER NON-DURABLES -- 0.1%
--------------------------------------------------------------------------------
PepsiCo Inc.(++) 410 18,219
-----------
CONSUMER SERVICES -- 0.0%
--------------------------------------------------------------------------------
Harley Davidson Inc. 130 5,005
-----------
FINANCE -- 0.6%
--------------------------------------------------------------------------------
American Express Co. 380 19,807
Bank of New York Inc. 139 6,464
Charles Schwab Corp. 260 8,742
Federal Home Loan Mortgage Corp. 150 6,075
Federal National Mortgage Association 230 12,003
MBNA Corp. 290 7,866
Marsh & McLennan Company Inc.(++) 45 4,700
Morgan Stanley Dean Witter & Co. 220 18,315
Northern Trust Corp. 165 10,735
-----------
94,707
-----------
HEALTHCARE --1.4%
--------------------------------------------------------------------------------
Abbott Laboratories 375 16,711
Amgen Inc.* 285 20,021
Biogen Inc.* 70 4,516
Cardinal Health Inc. 90 6,660
Eli Lilly & Co. 183 18,277
Johnson & Johnson 365 37,184
Medtronic Inc. 400 19,925
Pfizer Inc. 1,370 65,760
Schering-Plough Corp. 391 19,746
-----------
208,800
-----------
RETAIL -- 0.8%
--------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 122 4,423
GAP Inc. 280 8,750
Home Depot Inc. 487 24,320
Kohl's Corp.* 204 11,348
Lowes Cos Inc. 120 4,928
Walgreen Co. 275 8,851
Wal-Mart Stores Inc. 891 51,345
-----------
113,965
-----------
SEMI-CONDUCTORS -- 1.0%
--------------------------------------------------------------------------------
Altera Corp.* 45 4,587
Applied Materials Inc.* 194 17,581
Dallas Semiconductor Corp. 85 3,464
Intel Corp. 673 89,972
20
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Linear Technology Corp. 110 $ 7,033
Micrel Inc.*(++) 66 2,867
Texas Instruments Inc. 410 28,162
Xilinx Inc.* 72 5,944
-----------
159,610
-----------
TOTAL COMMON STOCKS 1,266,225
-----------
SHORT-TERM OBLIGATIONS -- 0.3%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 49,688
-----------
TOTAL LARGE CAP GROWTH
(Identified Cost $1,028,159) 1,315,913
-----------
LARGE CAP VALUE -- 10.1%
--------------------------------------------------------------------------------
COMMON STOCKS -- 9.7%
--------------------------------------------------------------------------------
CAPITAL GOODS -- 0.8%
--------------------------------------------------------------------------------
Emerson Electrics Co. 650 39,244
General Electric Co.(++) 450 23,850
Honeywell Inc. 715 24,086
United Technologies Corp. 550 32,381
-----------
119,561
-----------
COMMUNICATION EQUIPMENT & SERVICES -- 1.4%
--------------------------------------------------------------------------------
AT&T Corp. 1,320 41,745
Alltel Corp. 475 29,420
Bellsouth Corp. 675 28,772
GTE Corp. 635 39,529
SBC Communications Inc.(++) 875 37,844
Sprint Corp. 710 36,210
-----------
213,520
-----------
CONSUMER CYCLICALS -- 0.3%
--------------------------------------------------------------------------------
McGraw-Hill Companies Inc. 715 38,610
-----------
CONSUMER STAPLES -- 0.7%
--------------------------------------------------------------------------------
Gillette Co. 400 13,462
Kimberly-Clark Corp. 750 43,031
PepsiCo Inc.(++) 1,220 54,214
-----------
110,707
-----------
ENERGY -- 1.4%
--------------------------------------------------------------------------------
BP Amoco Plc, ADRs 339 19,175
Chevron Corp. 485 41,134
Conoco Inc. Class A 1,700 37,400
El Paso Energy Corp. 400 20,375
Exxon Corp. 760 59,660
Halliburton Co. 620 29,256
-----------
207,000
-----------
FINANCE --1.9%
--------------------------------------------------------------------------------
Bank America Corp. 720 $ 30,960
Chase Manhattan Corp. 991 45,648
Chubb Corp. 615 37,822
Hartford Financial Services Group 720 40,275
Marsh & McLennan Companies Inc.(++) 375 39,164
Mellon Bank Corp. 1,375 50,101
Merrill Lynch & Co. Inc. 325 37,375
-----------
281,345
-----------
HEALTHCARE -- 0.9%
--------------------------------------------------------------------------------
American Home Products Corp. 750 44,063
Bristol-Myers Squibb Co. 725 42,231
Johnson & Johnson 200 20,375
Pharmacia & Upjohn Inc. 567 29,307
-----------
135,976
-----------
RAW & INTERMEDIATE MATERIALS -- 0.6%
--------------------------------------------------------------------------------
Alcoa Inc. 1,000 29,000
Dow Chemical Co. 675 20,377
E. I. du Pont de Nemours & Co. 416 18,200
International Paper Co. 715 21,316
-----------
88,893
-----------
TECHNOLOGY -- 0.7%
--------------------------------------------------------------------------------
First Data Corp. 350 17,369
International Business Machines(++) 300 32,869
Pitney Bowes Inc. 1,015 40,600
Xerox Corp. 1,050 21,787
-----------
112,625
-----------
TRANSPORTATION -- 0.1%
--------------------------------------------------------------------------------
Union Pacific Corp. 485 18,036
-----------
UTILITIES -- 0.9%
--------------------------------------------------------------------------------
Duke Energy Co. 800 45,100
Unicom Corp. 1,000 38,688
Williams Companies Inc. 1,380 57,529
-----------
141,317
-----------
TOTAL COMMON STOCKS 1,467,590
-----------
SHORT-TERM OBLIGATIONS -- 0.4%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (++) 58,793
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,590,708) 1,526,383
-----------
21
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
SMALL CAP GROWTH -- 10.0%
--------------------------------------------------------------------------------
COMMON STOCKS -- 8.7%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING -- 0.7%
--------------------------------------------------------------------------------
Alliant Techsystems Inc.* 95 $ 6,407
Applied Power Inc. 230 7,705
Aptargroup, Inc. 496 13,392
Cleco Corp. 255 8,542
Mettler Toledo International, Inc.* 381 15,240
National Instruments Corp.* 355 15,487
Newport Corp. 180 19,328
Shaw Group Inc.* 390 18,379
Verticalnet Inc.* 180 6,649
-----------
111,129
-----------
COMMERCIAL SERVICES -- 0.3%
--------------------------------------------------------------------------------
Aeroflex Inc.* 190 9,440
Broadvision Inc.* 255 12,957
Capstone Turbine Corp.* 20 901
Clarus Corp.* 71 2,760
Cylink Corp.* 365 6,114
Source Information Management Co.* 744 11,346
-----------
43,518
-----------
CONSUMER SERVICES -- 0.6%
--------------------------------------------------------------------------------
Beringer Wine Estate Holdings* 158 5,579
Callaway Golf Co. 380 6,199
Catalina Marketing Corp.* 214 21,828
Emmis Communications Corp.* 175 7,241
Ethan Allen Interiors Inc. 205 4,920
Hispanic Broadcasting Corp.* 220 7,288
Houghton Mifflin Co. 155 7,237
Imax Corp.* 135 3,071
National Computer System Inc. 210 10,342
P.F. Chang's China Bistro Inc.* 115 3,673
Scholastic Corp.* 110 6,724
Station Casinos Inc.* 120 3,000
Westwood One Inc.* 172 5,870
XM Satellite Radio Holdings Inc.* 105 3,931
-----------
96,903
-----------
ELECTRONIC/TECHNICAL SEVICES -- 1.7%
--------------------------------------------------------------------------------
Accelerated Networks Inc.* 4 169
Acnielson Corp.* 155 3,410
C-Cube Microsystems Inc.* 289 5,672
California Amplifier Inc.* 380 17,385
Celeritek Inc.* 195 7,958
E Piphany Inc.* 61 6,538
Emulex Corp.* 179 11,758
Intertrust Technologies Corp.* 75 1,542
Iona Technologies Plc.*ADRs 123 7,749
MMC Networks Inc.* 315 16,833
Macromedia Inc.* 220 21,271
Macrovision Corp.* 160 10,228
Methode Electronics Inc. 320 12,360
Micrel Inc.*(++) 500 21,719
Network Appliance Inc.*(++) 132 10,626
New Era of Networks Inc.* 45 1,912
Paradyne Corp.* 200 6,512
Powerwave Technologies Inc.* 191 8,404
Remedy Corp.* 235 13,101
Sandisk Corp.* 100 6,119
Sawtek Inc.* 170 9,786
Semtech Corp.* 215 16,444
Silicon Storage Technology Inc.* 125 11,039
Sonus Networks Inc.* 18 2,842
Spectralink Corp.* 355 5,192
Stratos Lightwave Inc.* 69 1,923
Ultimate Electronics Inc.* 200 5,359
Usinternet Working Inc.* 155 3,168
WatchGuard Tecnologies Inc.* 70 3,846
Wink Communications Inc.* 190 5,795
-----------
256,660
-----------
ENERGY/MINERALS -- 0.7%
--------------------------------------------------------------------------------
Cal Dive Internationl Inc.* 300 16,256
Coflexip ADR 265 16,032
Hanover Compressor Co.* 500 19,000
Precision Drilling Corp.* 420 16,222
R & B Falcon Corp.*(++) 1,410 33,223
Vargo International Inc.* 365 8,486
-----------
109,219
-----------
FINANCE -- 0.4%
--------------------------------------------------------------------------------
Affiliated Managers Group Inc.* 165 7,508
Banknorth Group Inc. 750 11,484
Chittenden Corp. 446 10,899
Cullen Frost Bankers Inc. 552 14,525
Presidential Life Insurance Corp. 155 2,150
SEI Investments Co. 222 8,838
West America Bancorporation 255 6,662
-----------
62,066
-----------
HEALTHCARE --1.4%
--------------------------------------------------------------------------------
Affymetrix Inc.* 40 6,605
Alpharma Inc. 200 12,450
Andrx Corp.* 135 8,629
22
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Apria Healthcare Group Inc.* 545 $ 6,676
Aurora Bioscience Corp.* 80 5,455
CIMA Labs Inc.* 125 2,531
Corixa Corp.* 235 10,090
Curagen Corp.* 70 2,664
Emisphere Technologies Inc.* 105 4,474
Enzon Inc.* 180 7,650
Genset SA.*ADRs 175 4,047
Gilead Sciences Inc.* 175 12,446
Idec Pharmaceuticals Corp.* 115 13,491
Incyte Pharmaceuticals Inc.* 60 4,931
KV Pharmaceuticals Co.* 33 875
Lifepoint Hospitals Inc.* 310 6,898
Medarex Inc.* 65 5,492
Medicis Pharmaceutical Corp.* 170 9,690
Millennium Pharmaceuticals Inc.* 179 20,026
Multex System Inc.* 90 2,267
Nanogen Inc.* 80 3,395
Pharmacyclics Inc.* 105 6,405
Shire Pharmaceuticals Group Plc* ADRs 346 17,949
Transkaryotic Therapies Inc.* 50 1,838
Triad Hospitals Inc.* 210 5,079
Varian Inc.* 550 25,369
-----------
207,422
-----------
INDUSTRIAL SERVICES -- 0.2%
--------------------------------------------------------------------------------
Gasonics International Corp.* 300 11,831
Gentex Corp.* 217 5,452
Harmonic Inc.* 219 5,420
-----------
22,703
-----------
RETAIL -- 0.3%
--------------------------------------------------------------------------------
Cost Plus Inc.* 405 11,618
Footstar Inc.* 150 4,988
Linens `n Things Inc.* 340 9,223
O'Reilly Automotive Inc.* 823 11,419
Zale Corp.* 175 6,388
-----------
43,636
-----------
SEMI-CONDUCTOR -- 0.7%
--------------------------------------------------------------------------------
ATMI Inc* 140 6,510
Alpha Industries Inc.* 116 5,111
Amkor Technology Inc.* 255 9,005
Anadigics Inc.* 170 5,791
Cree Inc.* 27 3,605
Cypress Semiconductor Corp.* 75 3,169
Emcore Corp.* 220 26,400
Microchip Technology* 95 5,535
Silicon Image Inc.* 125 6,234
Transwitch Corp.* 232 17,908
Triquint Semiconductor Inc.* 120 11,483
Virata Corp.* 68 4,054
-----------
104,805
-----------
SOFTWARE -- 0.5%
--------------------------------------------------------------------------------
Active Software Inc.* 140 10,876
Activision Inc.* 1,165 7,572
Art Technology Group Inc.* 125 12,617
Bindview Development Corp.* 315 3,780
HNC Software Inc.* 70 4,323
Mercury Interactive Corp.* 374 36,184
Microstrategy Inc.* 118 3,540
Oni Systems Corp.* 10 1,172
-----------
80,064
-----------
TECHNOLOGY SERVICES -- 0.5%
--------------------------------------------------------------------------------
Bisys Group Inc.* 223 13,714
Idex Corp. 270 8,522
Interwoven Inc.* 10 1,100
Mattson Technology Inc.* 307 9,978
Nextel Partners Inc.* 136 4,429
Oak Technology Inc.* 625 13,477
Western Wireless Corp.* 338 18,421
-----------
69,641
-----------
TELECOMMUNICATIONS -- 0.6%
--------------------------------------------------------------------------------
Covad Communications Group Inc.* 228 3,677
Digital IS Inc.* 65 3,161
Digital Lightwave Inc.* 50 5,025
Digital Microware Corp.* 160 6,100
Dobson Communications Corp.* 220 4,235
Exar Corp.* 120 10,463
Expo Electro Optical Energy Inc.* 38 988
Informatica Corp. 25 2,048
Nextlink Communications Inc.* 167 6,336
P C Telephone Inc.* 57 2,166
Pinnacle Holdings Inc.* 283 15,282
Powertel, Inc.* 110 7,803
Remec Inc.* 411 17,211
Research in Motion Ltd.* 56 2,534
-----------
87,029
-----------
TRANSPORTATION -- 0.1%
--------------------------------------------------------------------------------
CH Robinson Worldwide 150 7,424
Eagle USA Airfreight Inc.* 107 3,290
-----------
10,714
-----------
TOTAL COMMON STOCKS 1,305,509
-----------
23
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 1.3%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) $ 191,723
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $1,218,328) 1,497,232
-----------
SMALL CAP VALUE -- 9.9%
--------------------------------------------------------------------------------
COMMON STOCKS -- 9.6%
--------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.2%
--------------------------------------------------------------------------------
Reynolds & Reynolds Co. 1,400 25,550
-----------
CONSUMER DURABLE GOODS -- 0.5%
--------------------------------------------------------------------------------
D.R. Horton Inc. 3,100 42,044
Engle Homes Inc. 800 7,650
La-Z-Boy Inc. 2,000 28,000
-----------
77,694
-----------
CONSUMER NON-DURABLES -- 0.8%
--------------------------------------------------------------------------------
Block Drug Inc. 300 12,694
Dimon Inc. 3,300 7,012
Standard Commercial Corp. 5,618 25,632
Timberland Co.* 200 14,162
Tropical Sportswear International Corp.* 1,000 17,500
Wolverine Worldwide Inc. 4,100 40,488
-----------
117,488
-----------
CONSUMER SERVICES -- 0.2%
--------------------------------------------------------------------------------
Aztar Corp.* 1,900 29,450
-----------
Electronic Technology -- 0.4%
--------------------------------------------------------------------------------
Diebold Inc. 1,400 39,025
ESCO Electronics Corp.* 800 13,600
Spacehab Inc.* 2,300 10,350
-----------
62,975
-----------
ENERGY MINERALS -- 0.1%
--------------------------------------------------------------------------------
Nuevo Energy Co.* 1,200 22,650
-----------
FINANCE -- 2.0%
--------------------------------------------------------------------------------
American National Insurance Co. 700 35,700
Harleysville Group Inc. 2,700 45,225
Matrix Bancorp Inc.* 300 2,025
PBOC Holdings Inc.* 1,800 15,300
PMI Group Inc. 700 33,250
Penn-America Group Inc. 1,800 14,175
Presidential Life Corp. 4,600 63,825
Professionals Group Inc.* 2,800 68,425
Reinsurance Group of America Inc. 200 6,025
Stancorp Financial Group Inc. 600 19,275
-----------
303,225
-----------
HEALTH TECHNOLOGY -- 0.2%
--------------------------------------------------------------------------------
West Pharmaceutical Services Inc. 1,200 25,950
-----------
INDUSTRIAL SERVICES -- 1.1%
--------------------------------------------------------------------------------
Atwood Oceanics Inc.* 550 24,406
ENSCO International Inc. 1,100 39,394
R & B Falcon Corp.*(++) 1,620 38,171
Reliance Steel and Aluminum Co. 700 13,388
Rowan Companies Inc.* 1,000 30,375
Santa Fe International Corp. 700 24,456
-----------
170,190
-----------
NON-ENERGY MINERALS -- 0.4%
--------------------------------------------------------------------------------
LTV Corp. 9,800 28,175
Lone Star Technologies Inc.* 600 27,750
-----------
55,925
-----------
PROCESS INDUSTRIES -- 0.5%
--------------------------------------------------------------------------------
Lancaster Colony Corp. 1,600 30,700
RPM Inc. 2,400 24,300
Tuscarora Inc. 1,400 21,875
-----------
76,875
-----------
PRODUCER MANUFACTURING -- 2.4%
--------------------------------------------------------------------------------
Baldor Electric Co. 1,200 22,350
Circor International Inc. 750 6,141
Cohu Inc. 500 13,484
Commonwealth Industries Inc. 2,000 11,750
Graco Inc. 200 6,500
JLG Industries Inc. 6,300 74,812
Kaydon Corp. 1,400 29,400
Myers Industries Inc. 2,310 24,833
Patrick Industries Inc. 1,000 6,250
Superior Industries International Inc. 1,200 30,900
Teleflex Inc. 1,100 39,325
Timken Co. 2,200 40,975
Tower Automotive Inc.* 2,000 25,000
Watts Industries Inc. 1,400 17,675
Woodhead Industries 400 7,300
-----------
356,695
-----------
RETAIL TRADE -- 0.1%
--------------------------------------------------------------------------------
Schultz Sav-O Stores Inc. 1,450 15,044
-----------
TECHNOLOGY SERVICES -- 0.1%
--------------------------------------------------------------------------------
Ultrak Inc. 2,200 17,875
-----------
24
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
TRANSPORTATION -- 0.6%
--------------------------------------------------------------------------------
Atlantic Coast Airlines Holdings* 800 $ 25,400
Kenan Transport Co. 900 18,225
Midwest Express Holdings Inc.* 600 12,900
Motor Cargo Industries Inc.* 1,500 6,938
Tidewater Inc. 600 21,600
-----------
85,063
-----------
TOTAL COMMON STOCKS 1,442,649
-----------
SHORT-TERM OBLIGATIONS -- 0.3%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 43,589
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $1,626,724) 1,486,238
-----------
INTERNATIONAL EQUITY -- 11.5%
--------------------------------------------------------------------------------
COMMON STOCKS -- 11.1%
--------------------------------------------------------------------------------
AUSTRIA -- 0.1%
--------------------------------------------------------------------------------
Boehler-Uddeholm 212 7,418
-----------
AUSTRALIA -- 0.4%
--------------------------------------------------------------------------------
Australia & New Zealand Bank Group 4,098 31,395
Quantas Airways 10,791 21,813
-----------
53,208
-----------
CANADA -- 0.4%
--------------------------------------------------------------------------------
BCE Inc. 680 16,127
Manulife Financial Corp. 2,163 38,145
-----------
54,272
-----------
FINLAND -- 0.1%
--------------------------------------------------------------------------------
UPM-Kymmene Oy 670 16,631
-----------
FRANCE -- 1.1%
--------------------------------------------------------------------------------
Aventis 611 44,595
BIC 391 19,149
BQE National Paris 435 41,862
Pernod-Ricard 370 20,135
Total 289 44,311
-----------
170,052
-----------
GERMANY -- 0.6%
--------------------------------------------------------------------------------
Depfadeutsche Pfandbriefban 180 18,061
Draegerwerk 1,193 9,909
Dyckerhoff 620 15,686
SGL Carbon 162 10,772
Veba 505 24,347
Vossloh 635 10,561
-----------
89,336
-----------
GREAT BRITAIN -- 3.1%
--------------------------------------------------------------------------------
Allied Domecq 4,005 21,210
Allied Zurich 2,213 26,168
BAA 5,140 41,220
BAE Systems 6,482 40,409
British American Tobacco Plc 2,863 19,104
British Telecommunications 1,257 16,243
CGU 1,090 18,142
Celltech Group 997 19,310
Cookson Group 6,485 21,636
Hanson 4,279 30,236
Lex Service 2,780 14,028
Lloyds TSB Group 1,412 13,332
Reckitt & Coleman 1,860 20,826
Reed International 2,620 22,795
Royal Bank of Scotland 1,113 18,626
TI Group 4,060 22,116
Tomkins 7,342 23,857
Unilever 4,208 25,468
United News & Media 1,720 24,724
Williams 4,758 27,717
-----------
467,167
-----------
HONG KONG -- 0.5%
--------------------------------------------------------------------------------
Henderson Land Development 7,000 30,800
Hong Kong Electric 8,500 27,368
New World Development Co. 8,000 8,877
South China Morning Post 16,000 12,417
-----------
79,462
-----------
IRELAND -- 0.4%
--------------------------------------------------------------------------------
Allied Irish Banks 2,836 25,370
Greencore Group 5,000 13,366
Jefferson Smurfit Group 10,415 17,898
-----------
56,634
-----------
ITALY -- 0.2%
--------------------------------------------------------------------------------
Telecom Italia Spa 2,300 31,620
-----------
JAPAN -- 1.0%
--------------------------------------------------------------------------------
Canon Inc. 1,000 49,762
Nintendo Co. 300 52,363
Promise Co. 400 31,591
Sanyo Shipan Financial 600 21,262
-----------
154,978
-----------
25
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
NETHERLANDS -- 0.9%
--------------------------------------------------------------------------------
ABN-Amro Holdings 595 $ 14,576
Akzo Nobel 674 28,634
Ing Groep 377 25,482
Koninklijke PTT 440 19,680
Philips Electronics 1,024 48,294
-----------
136,666
-----------
NEW ZEALAND -- 0.3%
--------------------------------------------------------------------------------
Fletcher Challenge 9,517 10,090
Telecom Corp. 8,046 28,119
-----------
38,209
-----------
PORTUGAL -- 0.3%
--------------------------------------------------------------------------------
Portugal Telecommunications 3,062 34,378
-----------
SINGAPORE -- 0.2%
--------------------------------------------------------------------------------
United Overseas Bank 4,000 26,173
-----------
SPAIN -- 0.2%
--------------------------------------------------------------------------------
Respol 1,520 30,256
Telefonica S.A.* 1,455 31,255
-----------
61,511
-----------
SWEDEN -- 0.3%
--------------------------------------------------------------------------------
Electrolux AB 1,400 21,667
Getinge Industrier 2,889 27,514
-----------
49,181
-----------
SWITZERLAND -- 0.6%
--------------------------------------------------------------------------------
Geberit 93 31,070
Novartis 19 30,096
Sig Holding 27 16,932
Sulzer 25 16,628
-----------
94,726
-----------
UNITED STATES -- 0.4%
--------------------------------------------------------------------------------
Creative Technology Ltd.* 1,483 35,407
Dairy Farm International 41,400 24,840
-----------
60,247
-----------
TOTAL COMMON STOCKS 1,681,869
-----------
SHORT-TERM OBLIGATIONS -- 0.4%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 57,044
-----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $1,574,512) 1,738,913
-----------
DOMESTIC FIXED INCOME -- 31.8%
--------------------------------------------------------------------------------
FIXED INCOME -- 24.8%
--------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 2.2%
--------------------------------------------------------------------------------
GE Capital Mortgage Services Inc.
5.905% due 10/25/13 150,000 147,917
GMAC Commercial Mortgage Inc.
6.42% due 8/15/08 50,000 46,873
JP Morgan Commercial Mortgage Financial Corp.
6.373% due 1/15/30 21,951 21,472
Morgan Stanley Capital Investment Inc.
6.44% due 11/15/02 77,459 76,482
Peco Energy Transportation Trust
6.05% due 3/01/09 50,000 46,844
-----------
339,588
-----------
CORPORATE BONDS --6.1%
--------------------------------------------------------------------------------
Abitibi Consolidated Inc.
8.50% due 8/01/29 20,000 18,679
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 20,000 16,517
BB & T Corp.
6.375% due 6/30/05 45,000 42,537
Bank of America
7.80% due 2/15/10 40,000 39,795
Coastal Corp.
7.75% due 6/15/10 20,000 19,773
Credit Suisse First Boston
7.29% due 9/15/09 50,000 49,323
Dayton Hudson Corp.
6.65% due 8/01/28 50,000 42,482
Donaldson, Lufkin & Jenrette
5.875% due 4/01/02 45,000 43,693
Dynegy Inc.
7.45% due 7/15/06 20,000 19,462
Federal National Mortgage Association
7.25% due 1/15/10 20,000 20,201
Ford Motor Co.
7.875% due 6/15/10 40,000 39,993
Knight Ridder Inc.
6.875% due 3/15/29 25,000 21,496
Lehman Brothers Holdings Inc.
7.75% due 1/15/05 40,000 39,629
Lockheed Martin Corp.
8.50% due 12/01/29 20,000 20,195
26
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
MCI Communications Corp.
6.50% due 4/15/10 $ 60,000 $ 54,439
Merita Bank Plc
6.50% due 4/01/09 40,000 36,332
National Rural Utilities Cooperative Finance
6.20% due 2/01/08 40,000 36,828
Northwest Airlines
8.072% due 10/01/19 40,000 40,146
Osprey Trust Inc.
8.31% due 1/15/03 40,000 40,086
Popular North America Inc.
6.875% due 6/15/01 50,000 49,731
Qatar St
9.75% due 6/15/30 25,000 24,656
Raytheon Co.
7.90% due 3/01/03 40,000 40,239
St. Paul Cos Inc.
7.875% due 4/15/05 40,000 39,630
Saks Inc.
8.25% due 11/15/08 20,000 17,765
TPSA Finance BV
7.75% due 12/10/08 25,000 23,028
Valero Energy Corp.
8.75% due 6/15/30 20,000 20,426
Wal-Mart Stores Inc.
7.55% due 2/15/30 15,000 15,354
Wells Fargo & Co.
7.80% due 6/15/10 40,000 40,301
-----------
912,736
-----------
FOREIGN CORPORATIONS -- 0.8%
--------------------------------------------------------------------------------
Pemex Financial Ltd.
9.03% due 2/15/11 20,000 20,636
Quebec Province of Canada
7.50% due 9/15/29 40,000 39,296
Telefonica de Argentina
9.125% due 5/07/08 20,000 18,600
YPF Sociedad Anonima
7.25% due 3/15/03 40,000 38,800
-----------
117,332
-----------
MORTGAGE BACKED -- 8.8%
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
7.50% TBA 50,000 49,340
6.25% due 6/15/24 50,000 47,824
Federal National Mortgage Association
6.50% TBA 600,000 578,625
8.00% TBA 285,000 286,203
7.349% due 8/17/21 50,000 49,921
6.50% due 4/01/29 116,808 110,238
Government National Mortgage Association
6.50% TBA 170,000 161,288
7.00% due 2/15/24 48,604 47,389
-----------
1,330,828
-----------
U. S. TREASURY OBLIGATIONS --6.2%
--------------------------------------------------------------------------------
United States Treasury Bonds
8.125% due 8/15/19 155,000 187,381
3.625% due 4/15/28 63,507 60,530
6.125% due 8/15/29 55,000 55,550
-----------
303,461
-----------
United States Treasury Notes
5.875% due 11/15/04 305,000 300,568
6.875% due 5/15/06 205,000 210,990
6.50% due 2/15/10 115,000 118,935
-----------
630,493
-----------
YANKEES BOND -- 0.7%
--------------------------------------------------------------------------------
Corporacion Andina de Fomento
7.75% due 3/1/04 40,000 39,352
DaimlerChrysler of North America
7.75% due 5/27/03 40,000 40,324
Imperial Tobacco Overseas BV
7.125% due 4/1/09 30,000 26,598
-----------
106,274
-----------
TOTAL FIXED INCOME 3,740,712
-----------
SHORT-TERM OBLIGATIONS -- 7.0%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due
7/03/00(+) 1,059,364
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $4,838,039) 4,800,076
-----------
INTERNATIONAL BOND -- 10.0%
--------------------------------------------------------------------------------
FIXED INCOME -- 9.9%
--------------------------------------------------------------------------------
AUSTRIA -- 0.4%
--------------------------------------------------------------------------------
Osterreichische Kontrollbank
1.80% due
3/22/10 JPY 6,000,000 57,136
27
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
--------------------------------------------------------------------------------
BELGIUM -- 0.2%
--------------------------------------------------------------------------------
Kingdom of Belgium
5.50% due
3/28/28 EURO 40,000 $ 36,512
-----------
CANADA -- 0.6%
--------------------------------------------------------------------------------
Canadian
Government Bonds
1.90% due
3/23/09 JPY 10,000,000 96,565
-----------
DENMARK -- 0.0%
--------------------------------------------------------------------------------
Nykredit
5.00% due
10/01/29 DKK 59,000 6,416
-----------
FRANCE -- 0.2%
--------------------------------------------------------------------------------
Government of France
5.50% due
4/25/29 EURO 10,000 9,499
Republic of France
3.00% due
7/25/09 EURO 17,099 15,206
-----------
24,705
-----------
GERMANY -- 2.6%
--------------------------------------------------------------------------------
Bundesrepublik Deutschland
4.25% due
11/26/04 EURO 130,000 120,251
Commerzbank AG
13.75% due
1/18/02 PLN 400,000 86,533
Republic of Germany
6.50% due
7/15/03 EURO 140,000 138,911
5.375% due
1/04/10 EURO 40,000 38,608
5.625% due
1/04/28 EURO 10,000 9,670
-----------
393,973
-----------
GREAT BRITAIN -- 1.3%
--------------------------------------------------------------------------------
United Kingdom Treasury
7.00% due
11/06/01 GBP 66,000 100,863
Toyota Motor Credit Corp.
6.25% due
8/04/03 GBP 60,000 89,715
-----------
190,578
-----------
GREECE -- 0.1%
--------------------------------------------------------------------------------
Republic of Greece
7.89% due
6/17/03 GRD 1,600,000 4,680
10.24% due
10/23/03 GRD 5,200,000 15,291
-----------
19,971
-----------
Japan -- 2.1%
--------------------------------------------------------------------------------
Government of Japan
4.10% due
6/21/04 JPY 10,100,000 106,961
International Bank
Reconstruction and Development
4.75% due
12/20/04 JPY 10,700,000 117,790
Nippon Telephone and Telegraph
2.50% due
7/25/07 JPY 9,000,000 89,644
-----------
314,395
-----------
NETHERLANDS -- 0.7%
--------------------------------------------------------------------------------
Kingdom of Netherlands
6.00% due
1/15/06 EURO 100,000 98,859
-----------
SPAIN -- 0.2%
--------------------------------------------------------------------------------
Government of Spain
6.00% due
1/31/08 EURO 24,000 23,623
-----------
UNITED STATES -- 1.5%
--------------------------------------------------------------------------------
Federal National
Mortgage Association
7.25% due
1/15/10 $ 15,000 15,151
Hewlett Packard
Financial Co.
6.125% due
8/21/00 $ 55,000 54,936
International American
Development Bank
7.375% due
1/15/10 $ 15,000 15,251
United States Treasury Inflationary
Index Notes
6.50% due
2/28/02 $ 140,000 140,087
-----------
225,425
-----------
TOTAL FIXED INCOME 1,488,158
-----------
28
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) $ 20,947
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $1,556,104) 1,509,105
-----------
HIGH YIELD BOND -- 15.0%
--------------------------------------------------------------------------------
FIXED INCOME -- 13.5%
--------------------------------------------------------------------------------
DOMESTIC CORPORATIONS -- 13.2%
--------------------------------------------------------------------------------
AEROSPACE -- 0.3%
--------------------------------------------------------------------------------
Sequa Corp.
9.00% due 8/01/09 $ 50,000 47,000
-----------
AUTOMOTIVE -- 0.3%
--------------------------------------------------------------------------------
J.L. French
Automotive Castings
11.50% due 6/01/09 (#) 25,000 22,750
Lear Corp.
8.11% due 5/15/09 (#) 25,000 22,771
-----------
45,521
-----------
CABLE & OTHER MEDIA -- 2.2%
--------------------------------------------------------------------------------
CSC Holdings Inc.
9.875% due 2/15/13 (#) 50,000 51,313
Charter Communications Holdings
8.625% due
4/01/09 (#) 50,000 43,938
Zero Coupon due
4/01/11 (#) 15,000 8,625
Covad Communications Group
12.00% due 2/15/10 (#) 25,000 20,000
Federal Mogul Corp.
7.375% due 1/15/06 (#) 25,000 18,375
Frontiervision Holdings LP
Zero Coupon due
9/15/07 55,000 47,300
J.H. Heafner Inc.
10.00% due 05/15/08 50,000 36,500
NTL Inc.
Zero Coupon due
10/01/08 (#) 75,000 49,125
Owens Illinois Inc.
7.50% due 5/15/10 (#) 25,000 21,681
Park Place Entertainment Corp.
9.375% due 2/15/07 (#) 25,000 25,000
Station Casinos
9.875% due 7/01/10 15,000 15,037
-----------
336,894
-----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.3%
--------------------------------------------------------------------------------
Jordan Industries Inc.
10.375% due
8/01/07 (#) 50,000 45,750
-----------
CHEMICALS -- 0.4%
--------------------------------------------------------------------------------
Aqua Chemical Inc.
11.25% due 7/01/08 25,000 14,063
Lyondell Chemical Co.
9.875% due 5/01/07 35,000 34,650
Radnor Holdings Corp.
10.00% due 12/01/03 15,000 13,425
-----------
62,138
-----------
CONSUMER PRODUCTS/TOBACCO -- 0.9%
--------------------------------------------------------------------------------
French Fragrances Inc.
10.375% due 5/15/07 50,000 47,000
Global Crossing
Holdings Ltd.
9.50% due 11/15/09 10,000 9,650
Home Interiors Gifts Inc.
10.125% due 6/01/08 30,000 17,100
Mail Well Corp.
8.75% due
12/15/08 (#) 50,000 42,000
Revlon Consumer
Products Corp.
8.625% due 2/01/08 25,000 12,500
-----------
128,250
-----------
ENERGY -- 1.5%
--------------------------------------------------------------------------------
Belco Oil & Gas Co.
8.875% due 9/15/07 50,000 46,250
Energis Plc
9.75% due 6/15/09 50,000 49,000
Key Energy Services Inc.
14.00% due 1/15/09 20,000 22,500
Lomak Petroleum Inc.
8.75% due 1/15/07 40,000 34,300
Polaroid Corp.
11.50% due 2/15/06 25,000 25,937
Western Gas Resources
10.00% due
6/15/09 (#) 50,000 51,625
-----------
229,612
-----------
FINANCIAL -- 0.5%
--------------------------------------------------------------------------------
Avis Group Holdings Inc.
11.00% due
5/01/09 (#) 50,000 52,125
29
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Contifinancial Corp.
8.375% due
8/15/03 (#) $ 50,000 $ 6,625
Derby Cycle Corp.
Lyon Investments
10.00% due
5/15/08 (#) 25,000 11,625
-----------
70,375
-----------
FOOD/BEVERAGE/BOTTLING -- 0.2%
--------------------------------------------------------------------------------
B & G Foods Indications Corp.
9.625% due 8/01/07 50,000 35,000
-----------
GAMING -- 0.6%
--------------------------------------------------------------------------------
Majestic Star Casino LLC
10.875% due
7/01/06 (#) 50,000 40,750
Sun International Ltd.
9.00% due 3/15/07 50,000 46,500
-----------
87,250
-----------
HEALTHCARE -- 0.3%
--------------------------------------------------------------------------------
Harrahs Operations Inc.
7.875% due
12/15/05 (#) 25,000 23,500
Tenet Healthcare Corp.
8.00% due 1/15/05 (#) 25,000 23,937
-----------
47,437
-----------
HOUSING RELATED -- 0.3%
--------------------------------------------------------------------------------
CB Richards Ellis Services Inc.
8.875% due 6/01/06 50,000 42,812
-----------
LODGING LEISURE -- 0.5%
--------------------------------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 50,000 44,875
Moll Industries Inc.
10.50% due 6/01/08 30,000 5,250
Psinet Inc.
11.50% due 11/01/08 20,000 18,800
-----------
68,925
-----------
METALS/MINING/STEEL -- 0.2%
--------------------------------------------------------------------------------
PCI Chemicals CDA Inc.
9.25% due 10/15/07 40,000 26,400
-----------
PAPER/FOREST PRODUCTS -- 0.3%
--------------------------------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 50,000 50,000
-----------
PUBLISHING/PRINTING -- 0.3%
--------------------------------------------------------------------------------
Hollinger International Publishing Inc.
9.25% due 3/15/07 50,000 49,250
-----------
RETAIL -- 0.8%
--------------------------------------------------------------------------------
Advance Stores Inc.
10.25% due 4/15/08 50,000 41,250
Cole National Group Inc.
8.625% due 8/15/07 15,000 10,350
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 50,000 45,000
Westpoint Stevens Inc.
7.875% due 6/15/05 25,000 20,875
-----------
117,475
-----------
SERVICES/OTHER -- 1.6%
--------------------------------------------------------------------------------
Blount Inc.
13.00% due 8/01/09 50,000 51,000
Gentek Inc.
11.00% due 8/01/09 50,000 50,625
Integrated Electrical Services
9.375% due 2/01/09 25,000 20,125
Iron Mountain Inc.
10.125% due 10/01/06 50,000 50,000
Pioneer Natural Restoration Co.
9.625% due
4/01/10 (#) 20,000 20,600
Polymer Group Inc.
8.75% due
3/01/08 (#) 50,000 41,500
Safety Kleen Services Inc.
9.25% due 6/01/08 50,000 2,000
-----------
235,850
-----------
TELECOMMUNICATIONS -- 1.7%
--------------------------------------------------------------------------------
Intermedia Communications Inc.
9.50% due
3/01/09 (#) 50,000 47,500
Leap Wireless International Inc.
12.50% due
4/15/10 (#) 10,000 8,600
Nextel Communications Inc.
Zero Coupon due
2/15/08 (#) 70,000 51,625
Orange PLC
9.00% due
6/01/09 (#) 50,000 50,500
Price Communications Wireless Inc.
9.125% due
12/15/06 (#) 50,000 50,000
30
<PAGE>
CITISELECT VIP FOLIO 300 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Rogers Cantel
9.375% due 6/01/08 $ 50,000 $ 51,500
-----------
259,725
-----------
TRANSPORTATION -- 0.0%
--------------------------------------------------------------------------------
Holt Group Inc.
9.75% due
1/15/06 (#) 50,000 4,750
-----------
TOTAL DOMESTIC CORPORATIONS 1,990,414
-----------
MORTGAGE OBLIGATIONS -- 0.3%
--------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS -- 0.3%
--------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 49,385 40,120
-----------
TOTAL FIXED INCOME 2,030,534
-----------
SHORT-TERM OBLIGATIONS -- 1.5%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 231,851
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $2,571,699) 2,262,385
TOTAL INVESTMENTS
(Identified Cost $16,004,274) 107.0% 16,136,245
OTHER ASSETS,
LESS LIABILITIES (7.0) (1,055,406)
---------- -----------
NET ASSETS 100.0% $15,080,839
========== ===========
* Non-income producing
(#) Rule 144A Security exempt from registration under Rule 144A of the
Securities Act of 1933.
(+) The Portfolio owns in aggregate Student Loan Marketing Discount Note 6.57%,
due 7/03/00 valued at $1,713,000 portions of which are listed by each asset
class.
(++) The Portfolio owns in aggregate 2,376 shares of General Electric Co. valued
at $125,928; 1,600 shares of SBC Communications Inc. valued at $69,200; 630
shares of International Business Machines valued at $69,024; 420 shares of
Marsh & McLennan Company valued at $43,864; 2,410 shares of R & B Falcon
Corp. valued at $63,598; 566 shares of Micrel Inc. valued at $24,586; 247
shares of Network Appliance Inc. valued at $19,883; and 1,630 shares of
PepsiCo Inc. valued at $72,433, portions of which are separately listed by
each asset class.
TBA (To be announced)--Mortgage-backed securities traded under delayed delivery
commitments
ADRs--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
PLN Poland
EURO Spain
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 2000 ARE AS FOLLOWS:
DELIVERY UNREALIZED
MARKET AGGREGATE DATE OF APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE CONTRACTS (DEPRECIATION)
--------------------------------------------------------------------------------
Dollar (Buy) ... Canada $ 33,858 $ 33,919 July-00 $ (61)
Dollar (Buy) ... Canada 34,084 33,858 July-00 226
Drachma (Buy) .. Greece 66,741 66,530 July-00 211
Euro (Buy) ..... Europe 45,523 45,587 July-00 (64)
Euro (Sell) .... Europe 517,508 517,294 July-00 (214)
Franc (Buy) .... Switzerland 39,796 39,489 July-00 307
Krone (Sell) ... Denmark 4,887 4,890 July-00 3
Pound (Sell) ... Great Britain 186,732 187,399 July-00 667
Pound (Sell) ... Great Britain 45,410 45,587 July-00 177
Yen (Buy) ...... Japan 39,488 40,000 July-00 (512)
Yen (Sell) ..... Japan 495,108 495,576 July-00 468
Zloty(Sell) .... Poland 64,046 63,316 July-00 (730)
-----
$ 478
=====
31
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
LARGE CAP GROWTH -- 11.0%
--------------------------------------------------------------------------------
COMMON STOCKS -- 10.6%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURER -- 0.2%
--------------------------------------------------------------------------------
American Power Conversion Corp.* 85 $ 3,469
Illinois Tool Works Inc. 87 4,959
Tyco International Ltd. 287 13,597
-----------
22,025
-----------
COMMERCIAL SERVICES -- 0.3%
--------------------------------------------------------------------------------
Automatic Data Processing Inc. 120 6,428
Concord Inc.* 145 3,770
Interpublic Group Companies Inc. 99 4,257
Paychex Inc. 75 3,150
Time Warner Inc. 180 13,680
-----------
31,285
-----------
COMMUNICATION SERVICES -- 0.4%
--------------------------------------------------------------------------------
SBC Communications Inc.(++) 560 24,220
Sprint Corp.* 165 9,817
-----------
34,037
-----------
COMPUTER SOFTWARE -- 1.4%
--------------------------------------------------------------------------------
America Online Inc.* 390 20,573
Microsoft Corp.* 662 52,960
National Instruments Corp.* 60 2,618
Oracle Corp.* 510 42,872
Yahoo Inc.* 50 6,194
-----------
125,217
-----------
COMPUTER & TELECOMMUNICATIONS EQUIPMENT -- 2.3%
--------------------------------------------------------------------------------
Cisco Systems Inc.* 986 62,673
Comverse Technology Inc.* 25 2,325
EMC Corp.* 405 31,160
International Business Machines(++) 255 27,938
Lexmark International Group Inc.* 97 6,523
Nortel Networks Corp. 500 34,125
Qualcomm Inc.* 145 8,700
Sun Microsystems Inc.* 329 29,918
Symbol Technologies Inc. 44 2,376
Tellabs Inc.* 55 3,764
-----------
209,502
-----------
CONGLOMERATES -- 0.9%
--------------------------------------------------------------------------------
General Dynamics Corp. 60 3,135
General Electric Co.(++) 1,443 76,479
-----------
79,614
-----------
CONSUMER NON-DURABLES -- 0.1%
--------------------------------------------------------------------------------
PepsiCo Inc.(++) 315 13,998
-----------
CONSUMER SERVICES -- 0.0%
--------------------------------------------------------------------------------
Harley Davidson Inc. 100 3,850
-----------
FINANCE -- 0.8%
--------------------------------------------------------------------------------
American Express Co. 291 15,168
Bank of New York Inc. 104 4,836
Charles Schwab Corp. 200 6,725
Federal Home Loan Mortgage Corp. 115 4,657
Federal National Mortgage Association 175 9,133
MBNA Corp. 225 6,103
Marsh & McLennan Companies Inc.(++) 35 3,655
Morgan Stanley Dean Witter & Co. 170 14,153
Northern Trust Corp. 130 8,458
-----------
72,888
-----------
HEALTHCARE -- 1.8%
--------------------------------------------------------------------------------
Abbott Laboratories 288 12,834
Amgen Inc.* 220 15,455
Biogen Inc.* 55 3,548
Cardinal Health Inc. 70 5,180
Eli Lilly & Co. 142 14,182
Johnson & Johnson 283 28,831
Medtronic Inc. 310 15,442
Pfizer Inc. 1,060 50,880
Schering-Plough Corp. 303 15,301
-----------
161,653
-----------
RETAIL -- 1.0%
--------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 98 3,552
Gap Inc. 215 6,719
Home Depot Inc. 378 18,876
Kohl's Corp.* 157 8,733
Lowes Cos Co. 95 3,901
Walgreen Co. 215 6,920
Wal-Mart Stores Inc. 687 39,588
-----------
88,289
-----------
SEMI-CONDUCTOR -- 1.4%
--------------------------------------------------------------------------------
Altera Corp.* 35 3,568
Applied Materials Inc.* 150 13,594
Dallas Semiconductor Corp. 65 2,649
Intel Corp. 506 67,646
Linear Technologies Corp. 85 5,435
Micrel Inc.*(++) 44 1,911
Network Appliance Inc.*(++) 90 7,245
32
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Texas Instruments Inc. 315 $ 21,636
Xlinx Inc.* 55 4,541
-----------
128,225
-----------
TOTAL COMMON STOCKS 970,583
-----------
SHORT-TERM OBLIGATIONS -- 0.4%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 38,160
-----------
TOTAL LARGE CAP GROWTH
(Identified Cost $800,840) 1,008,743
-----------
LARGE CAP VALUE -- 12.7%
--------------------------------------------------------------------------------
COMMON STOCKS -- 11.8%
--------------------------------------------------------------------------------
CAPITAL GOODS -- 0.9%
--------------------------------------------------------------------------------
Emerson Electric Co. 500 30,188
General Electric Co.(++) 300 15,900
Honeywell Inc. 495 16,675
United Technologies Corp. 400 23,550
-----------
86,313
-----------
COMMUNICATION EQUIPMENT & SERVICES -- 1.7%
--------------------------------------------------------------------------------
AT&T Corp. 925 29,253
Alltel Corp. 350 21,678
Bell South Corp. 500 21,312
GTE Corp. 525 32,681
SBC Communications Inc.(++) 688 29,756
Sprint Corp. 425 21,675
-----------
156,355
-----------
CONSUMER CYCLICALS -- 0.3%
--------------------------------------------------------------------------------
McGraw-Hill Companies Inc. 500 27,000
-----------
CONSUMER STAPLES -- 0.9%
--------------------------------------------------------------------------------
Gillette Co. 300 10,097
Kimberly Clark Corp. 570 32,704
PepsiCo Inc.(++) 840 37,327
-----------
80,128
-----------
ENERGY -- 1.7%
--------------------------------------------------------------------------------
BP Amoco Plc ADRs 250 14,141
Chevron Corp. 320 27,140
Conoco Inc. Class A 1,260 27,720
El Paso Energy Corp. 300 15,281
Exxon Corp. 600 47,100
Halliburton Co. 440 20,762
-----------
152,144
-----------
FINANCE --2.4%
--------------------------------------------------------------------------------
Bank America Corp. 635 27,305
Chase Manhattan Corp. 780 35,929
Chubb Corp. 475 29,213
Hartford Financial Services Group 655 36,639
Marsh & McLennan Companies Inc.(++) 275 28,720
Mellon Bank Corp. 990 36,073
Merrill Lynch & Co. Inc. 250 28,750
-----------
222,629
-----------
HEALTHCARE -- 1.1%
--------------------------------------------------------------------------------
American Home Products Corp. 550 32,313
Bristol-Myers Squibb Co. 525 30,581
Johnson & Johnson 150 15,281
Pharmacia & Upjohn Inc. 424 21,916
-----------
100,091
-----------
RAW & INTERMEDIATE MATERIALS -- 0.7%
--------------------------------------------------------------------------------
Alcoa Inc. 850 24,650
Dow Chemicals Co. 450 13,584
E. I. du Pont de Nemours & Co. 315 13,781
International Paper Co. 525 15,652
-----------
67,667
-----------
TECHNOLOGY -- 0.8%
--------------------------------------------------------------------------------
First Data Corp. 250 12,406
International Business Machines(++) 200 21,912
Pitney Bowes Inc. 730 29,200
Xerox Corp. 675 14,006
-----------
77,524
-----------
TRANSPORTATION -- 0.1%
--------------------------------------------------------------------------------
Union Pacific Corp. 325 12,086
-----------
UTILITIES -- 1.2%
--------------------------------------------------------------------------------
Duke Energy Co. 604 34,051
Unicom Corp. 740 28,629
Williams Companies Inc. 1,000 41,688
-----------
104,368
-----------
TOTAL COMMON STOCKS 1,086,305
-----------
SHORT-TERM OBLIGATIONS -- 0.9%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 84,533
-----------
TOTAL LARGE CAP VALUE
(Identified Cost $1,213,118) 1,170,838
-----------
33
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
SMALL CAP GROWTH -- 12.5%
--------------------------------------------------------------------------------
COMMON STOCKS -- 11.2%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING -- 1.0%
--------------------------------------------------------------------------------
Applied Power Inc. 184 $ 6,164
Alliant Techsystems Inc. * 75 5,057
Aptargroup Inc. 394 10,638
Cleco Corp. 200 6,700
Mettler Toledo International Inc. * 298 11,920
National Instruments Corp. * 280 12,215
Newport Corp. 150 16,106
Shaw Group Inc. * 310 14,609
Verticalnet Inc. * 130 4,802
-----------
88,211
-----------
Commercial Services -- 0.4%
--------------------------------------------------------------------------------
Aeroflex Inc. * 150 7,453
Broadvision Inc. * 185 9,400
Capstone Turbine Corp. 16 721
Clarus Corp. * 56 2,177
Cylink Corp. * 290 4,858
Informatica Corp. 20 1,639
Source Information Management Co. * 589 8,982
-----------
35,230
-----------
Consumer Services -- 0.8%
--------------------------------------------------------------------------------
Beringer Wine Estate Holdings * 123 4,343
Callaway Golf Co. 300 4,894
Catalina Marketing Corp. * 170 17,340
Emmis Communications Corp. * 140 5,793
Ethan Allen Interiors Inc. 161 3,864
Hispanic Broadcasting Corp. * 170 5,631
Houghton Mifflin Co. 124 5,789
Imax Corp.* 105 2,389
National Computer System Inc. 165 8,126
P.F. Chang's China Bistro Inc. * 90 2,874
Scholastic Corp. * 85 5,196
Station Casinos Inc.* 90 2,250
Westwood One, Inc. * 136 4,641
XM Satellite Radio Holdings Inc. * 85 3,182
-----------
76,312
-----------
ELECTRONIC/TECHNICAL SEVICES -- 2.2%
--------------------------------------------------------------------------------
Accelerated Networks Inc.* 3 126
Acnielson Corp.* 120 2,640
C-Cube Microsystems Inc. * 230 4,514
California Amplifier Inc.* 300 13,725
Celeritek Inc.* 155 6,326
E Piphany Inc. * 49 5,252
Emulex Corp. * 140 9,196
Intertrust Technologies Corp. * 60 1,234
Iona Technologies Plc.*ADRs 95 5,985
MMC Networks Inc. * 250 13,359
Macromedia Inc. * 170 16,437
Macrovision Corp. * 125 7,990
Methode Electronics Inc. 250 9,656
Micrel Inc.*(++) 400 17,375
Network Appliance Inc.*(++) 98 7,889
New Era of Networks Inc.* 35 1,487
Paradyne Corp.* 155 5,047
Powerwave Technologies Inc. * 152 6,688
Remedy Corp. * 185 10,314
Sandisk Corp. * 80 4,895
Sawtek Inc. * 135 7,771
Semtech Corp. * 170 13,002
Silicon Storage Technology Inc. * 95 8,390
Sonus Networks Inc.* 14 2,210
Stratos Lightwave Inc.* 54 1,505
Ultimate Electronics Inc.* 160 4,288
Usinternet Working Inc. * 122 2,493
WatchGuard
Technologies Inc. * 55 3,022
Wink Communications Inc. * 150 4,575
-----------
197,391
-----------
ENERGY/MINERALS -- 0.9 %
--------------------------------------------------------------------------------
Cal Dive International Inc. * 235 12,734
Coflexip ADRs 205 12,403
Hanover Compressor Co. * 390 14,820
Precision Drilling Corp. * 335 12,939
R & B Falcon Corp.(++) * 1,105 26,037
Varco International Inc.* 285 6,626
-----------
85,559
-----------
FINANCE -- 0.5%
--------------------------------------------------------------------------------
Affiliated Managers Group Inc.* 130 5,915
Banknorth Group Inc. 554 8,483
Chittenden Corp. 349 8,529
Cullen Frost Bankers Inc. 433 11,393
Presidential Life Insurance Corp. 120 1,665
SEI Investments Co. 159 6,330
West America Bancorporation 200 5,225
-----------
47,540
-----------
34
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
HEALTH SERVICES/TECHNOLOGY -- 1.8%
--------------------------------------------------------------------------------
Affymetrix Inc. * 30 $ 4,954
Alpharma Inc. 160 9,960
Andrx Corp. * 104 6,648
Apria Healthcare Group Inc. * 430 5,267
Aurora Bioscience Corp.* 65 4,432
CIMA Labs Inc.* 95 1,924
Corixa Corp. * 185 7,943
Curagen Corp. * 55 2,093
Emisphere Technologies Inc.* 85 3,622
Enzon Inc. * 140 5,950
Genset SA.*ADRs 140 3,238
Gilead Sciences Inc. * 140 9,958
Idec Pharmaceuticals Corp. * 90 10,558
Incyte Genomics Inc. * 50 4,109
KV Pharmaceutical Co.* 25 663
Lifepoint Hospitals Inc. * 245 5,451
Medarex Inc. * 54 4,563
Medicis Pharmaceutical Corp.* 130 7,410
Millennium Pharmaceuticals * 139 15,551
Multex System Inc.* 71 1,788
Nanogen Inc. * 60 2,546
Pharmacyclics Inc.* 85 5,185
Shire Pharmaceuticals Group Plc.*ADRs 274 14,214
Transkaryotic Therapies Inc. * 40 1,470
Triad Hospitals Inc. * 165 3,991
Varian Inc. * 435 20,064
-----------
163,552
-----------
INDUSTRIAL SERVICES -- 0.2%
--------------------------------------------------------------------------------
Gasonics International Corp.* 235 9,268
Gentex Corp. * 170 4,271
Harmonic Inc. * 173 4,282
-----------
17,821
-----------
RETAIL -- 0.4%
--------------------------------------------------------------------------------
Cost Plus Inc. * 317 9,094
Footstar Inc.* 115 3,824
Linens 'n Things Inc. * 271 7,351
O'Reilly Automotive Inc. * 653 9,060
Zale Corp. * 140 5,110
-----------
34,439
-----------
Semi-Conductor -- 0.9%
--------------------------------------------------------------------------------
ATMI Inc * 110 5,115
Alpha Industries Inc. * 94 4,142
Amkor Technology Inc. * 200 7,063
Anadigics Inc. * 134 4,564
Cree Inc. * 20 2,670
Cypress Semiconductor Corp. * 60 2,535
Emcore Corp. * 172 20,640
Microchip Technology * 75 4,370
Silicon Image Inc.* 100 4,988
Transwitch Corp. * 187 14,434
Triquint Semiconductor Inc. * 92 8,803
Virata Corp. * 60 3,578
-----------
82,902
-----------
SOFTWARE -- 0.7%
--------------------------------------------------------------------------------
Active Software Inc.* 110 8,546
Activision Inc. * 920 5,980
Art Technology Group Inc. * 100 10,094
Bindview Development Corp. * 250 3,000
HNC Software Inc.* 55 3,396
Mercury Interactive Corp. * 292 28,251
Microstrategy Inc. * 94 2,820
Oni Systems Corp.* 8 938
-----------
63,025
-----------
TECHNOLOGY SERVICES -- 0.6 %
--------------------------------------------------------------------------------
Bisys Group Inc. * 175 10,762
Idex Corp. 210 6,628
Interwoven Inc.* 8 880
Mattson Technology Inc.* 237 7,702
Nextel Partners Inc. * 108 3,517
Oak Technology Inc.* 490 10,566
Spectralink Corp.* 280 4,095
Western Wireless Corp. * 267 14,551
-----------
58,701
-----------
TELECOMMUNICATIONS -- 0.7 %
--------------------------------------------------------------------------------
Covad Communications Group Inc. * 165 2,661
Digital IS Inc.* 50 2,431
Digital Lightwave Inc. * 39 3,920
Digital Microware Corp. * 125 4,766
Dobson Communications Corp. * 175 3,369
Exar Corp. * 92 8,021
Expo Electro Optical Energy Inc.* 30 780
Nextlink Communications Inc.* 135 5,122
P C Telephone Inc. * 45 1,710
Pinnacle Holdings Inc. * 224 12,096
Powertel Inc. * 90 6,384
Remec Inc. * 327 13,693
Research in Motion Ltd. * 44 1,991
-----------
66,944
-----------
35
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
TRANSPORTATION -- 0.1 %
--------------------------------------------------------------------------------
CH Robinson Worldwide 118 $ 5,841
Eagle USA Airfreight Inc. * 85 2,614
-----------
8,455
-----------
TOTAL COMMON STOCKS 1,026,082
-----------
SHORT-TERM OBLIGATIONS -- 1.3%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 121,968
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $933,236) 1,148,050
-----------
SMALL CAP VALUE -- 12.3%
--------------------------------------------------------------------------------
COMMON STOCKS -- 11.9%
--------------------------------------------------------------------------------
COMMERCIAL SERVICES -- 0.3%
--------------------------------------------------------------------------------
Reynolds & Reynolds Co. 1,300 23,725
-----------
CONSUMER DURABLE GOODS -- 0.6%
--------------------------------------------------------------------------------
D.R. Horton Inc. 2,300 31,194
Engle Homes Inc. 600 5,738
La-Z-Boy Inc. 1,500 21,000
-----------
57,932
-----------
CONSUMER NON-DURABLES -- 0.8%
--------------------------------------------------------------------------------
Dimon Inc. 2,600 5,525
Standard Commercial Corp. 3,426 15,631
Timberland Co. * 200 14,162
Tropical Sportwear International Corp.* 900 15,750
Wolverine Worldwide Inc. 2,700 26,662
-----------
77,730
-----------
CONSUMER SERVICES -- 0.3%
--------------------------------------------------------------------------------
Aztar Corp.* 1,600 24,800
-----------
ELECTRONIC TECHNOLOGY -- 0.6%
--------------------------------------------------------------------------------
Diebold Inc. 1,000 27,875
ESCO Electronics Corp.* 1,000 17,000
Spacehab Inc.* 1,700 7,650
-----------
52,525
-----------
ENERGY MINERALS -- 0.2%
--------------------------------------------------------------------------------
Nuevo Energy Co.* 900 16,988
-----------
FINANCE -- 2.4%
--------------------------------------------------------------------------------
American National Insurance Co. 600 30,600
Harleysville Group Inc. 1,700 28,475
Matrix Bancorp Inc. 200 1,350
PBOC Holdings Inc* 1,300 11,050
PMI Group Inc. 350 16,625
Penn-America Group Inc. 1,300 10,237
Presidential Life Corp. 3,400 47,175
Professionals Groups Inc.* 2,130 52,052
Reinsurance Group of America Inc. 200 6,025
Stancorp Financial Group Inc. 500 16,063
-----------
219,652
-----------
HEALTH TECHNOLOGY -- 0.2%
--------------------------------------------------------------------------------
West Pharmaceutical Services Inc. 800 17,300
-----------
INDUSTRIAL SERVICES -- 1.3%
--------------------------------------------------------------------------------
Atwood Oceanics Inc.* 400 17,750
ENSCO International Inc. 800 28,650
R&B Falcon Corp.*(++) 1,150 27,097
Reliance Steel & Aluminum Co. 500 9,563
Rowan Companies Inc.* 700 21,262
Santa Fe International Corp. 500 17,469
-----------
121,791
-----------
NON-ENERGY MINERALS -- 0.5%
--------------------------------------------------------------------------------
LTV Corp. 7,200 20,700
Lone Star Technologies Inc. * 500 23,125
-----------
43,825
-----------
PROCESS INDUSTRIES -- 0.6%
--------------------------------------------------------------------------------
Lancaster Colony Corp. 1,200 23,025
RPM Inc. 1,700 17,212
Tuscarora Inc. 800 12,500
-----------
52,737
-----------
PRODUCER MANUFACTURING -- 3.0%
--------------------------------------------------------------------------------
Baldor Electric Co. 900 16,762
Block Drug Inc. 200 8,463
Circor International Inc. 450 3,684
Cohu Inc. 400 10,787
Commonwealth Industries Inc. 1,400 8,225
Graco Inc. 200 6,500
JLG Industries Inc. 4,700 55,813
Kaydon Corp. 1,100 23,100
Myers Industries Inc. 1,720 18,490
Patrick Industries Inc. 900 5,625
Superior Industries International Inc. 900 23,175
Teleflex Inc. 800 28,600
Timken Co. 1,600 29,800
Tower Automotive Inc.* 1,900 23,750
Watts Industries Inc. 1,000 12,625
Woodhead Industries Inc. 300 5,475
-----------
280,874
-----------
36
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
RETAIL TRADE -- 0.2%
--------------------------------------------------------------------------------
Schultz Sav-O Stores Inc. 1,400 $ 14,525
-----------
TECHNOLOGY SERVICES -- 0.1%
--------------------------------------------------------------------------------
Ultrak Inc.* 1,600 13,000
-----------
TRANSPORTATION -- 0.8%
--------------------------------------------------------------------------------
Atlantic Coast Airlines Holdings * 700 22,225
Kenan Transport Co. 800 16,200
Midwest Express Holdings Inc.* 500 10,750
Motor Cargo Industries Inc.* 1,300 6,013
Tidewater Inc. 500 18,000
-----------
73,188
-----------
TOTAL COMMON STOCKS 1,090,592
-----------
SHORT-TERM OBLIGATIONS -- 0.4%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 37,748
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $1,195,436) 1,128,340
-----------
INTERNATIONAL EQUITY --21.8%
--------------------------------------------------------------------------------
COMMON STOCKS -- 21.1%
--------------------------------------------------------------------------------
AUSTRALIA -- 0.7%
--------------------------------------------------------------------------------
Australia & New Zealand Bank Group 4,662 35,716
Quantas Airways 12,122 24,503
-----------
60,219
-----------
AUSTRIA -- 0.1%
--------------------------------------------------------------------------------
Boehler-Uddeholm 288 10,077
-----------
CANADA -- 0.7%
--------------------------------------------------------------------------------
BCE Inc. 760 18,025
Manulife Financial Corp. 2,669 47,068
-----------
65,093
-----------
FINLAND -- 0.2%
--------------------------------------------------------------------------------
UPM-Kymmene Oy 835 20,727
-----------
France --2.2%
--------------------------------------------------------------------------------
Aventis SA 675 49,266
BIC 506 24,782
BNP Paribas 535 51,485
Pernod-Ricard 440 23,944
Total 329 50,444
-----------
199,921
-----------
GERMANY -- 1.1%
--------------------------------------------------------------------------------
Depfadeutsche Pfandbriefban 200 20,068
Draegerwerk 1,253 10,407
Dyckerhoff 820 20,746
SGL Carbon* 183 12,169
Veba 563 27,143
Vossloh 450 7,484
-----------
98,017
-----------
GREAT BRITAIN -- 5.9%
--------------------------------------------------------------------------------
Allied Domecq 4,546 24,075
Allied Zurich 2,490 29,444
BAA 5,870 47,074
BAE Systems 7,360 45,882
British American Tobacco Plc 3,480 23,221
British Telecommunications 1,516 19,590
CGU 1,275 21,221
Celltech Group 1,230 23,822
Cookson Group 7,285 24,306
Hanson 5,164 36,490
Lex Service 3,130 15,795
Lloyds TSB Group 1,393 13,152
Reckitt & Coleman 2,154 24,118
Reed International 2,930 25,492
Royal Bank of Scotland 1,173 19,630
TI Group 4,900 26,691
Tomkins 9,221 29,962
Unilever 5,189 31,406
United News & Media 1,920 27,599
Williams 5,789 33,723
-----------
542,693
-----------
HONG KONG -- 0.8%
--------------------------------------------------------------------------------
Henderson Land Development 8,000 35,200
Hong Kong Electric 9,500 30,588
New World Development Co. 3,000 3,329
-----------
69,117
-----------
IRELAND -- 0.8%
--------------------------------------------------------------------------------
Allied Irish Banks 3,421 30,603
Greencore Group 6,900 18,445
Jefferson Smurfit Group 12,370 21,257
-----------
70,305
-----------
ITALY -- 0.4%
--------------------------------------------------------------------------------
Telecom Italia SPA 2,500 34,369
-----------
JAPAN -- 1.9%
--------------------------------------------------------------------------------
Canon Inc. 1,000 49,762
Nintendo Co. 400 69,818
37
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Promise Co. 400 $ 31,591
Sanyo Shinpan Financial 600 21,262
-----------
172,433
-----------
NETHERLANDS --1.8%
--------------------------------------------------------------------------------
ABN-Amro Holdings 805 19,721
Akzo Nobel 833 35,389
Ing Groep 550 37,176
Koninklijke PTT 522 23,348
Philips Electronics 1,072 50,558
-----------
166,192
-----------
NEW ZEALAND -- 0.4%
--------------------------------------------------------------------------------
Fletcher Challenge 5,982 6,342
Telecom Corp. 9,772 34,151
-----------
40,493
-----------
PORTUGAL -- 0.4%
--------------------------------------------------------------------------------
Portugal Telecommunications 3,663 41,125
-----------
SINGAPORE -- 0.3%
--------------------------------------------------------------------------------
United Overseas Bank 5,000 32,716
-----------
SPAIN -- 0.8%
--------------------------------------------------------------------------------
Repsol SA 1,770 35,233
Telefonica SA* 1,792 38,493
-----------
73,726
-----------
SWEDEN -- 0.6%
--------------------------------------------------------------------------------
Electrolux AB 1,620 25,071
Getinge Industrier 3,249 30,943
-----------
56,014
-----------
SWITZERLAND -- 1.2%
--------------------------------------------------------------------------------
Geberit 96 32,072
Novartis 21 33,264
Sig Holding 37 23,203
Sulzer 32 21,284
-----------
109,823
-----------
UNITED STATES -- 0.8%
--------------------------------------------------------------------------------
Creative Technology Ltd.* 1,846 44,073
Dairy Farm International 46,800 28,080
-----------
72,153
-----------
TOTAL COMMON STOCKS 1,935,213
-----------
SHORT-TERM OBLIGATIONS -- 0.7%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 64,216
-----------
Total International Equity
(Identified Cost $1,824,236) 1,999,429
-----------
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
DOMESTIC FIXED INCOME -- 12.2%
--------------------------------------------------------------------------------
FIXED INCOME -- 9.2%
--------------------------------------------------------------------------------
ASSET BACKED -- 0.5%
--------------------------------------------------------------------------------
GE Capital Mortgage Services Inc.
5.905% due
10/25/13 $ 20,000 19,722
JP Morgan
Commercial Mortgage
Finance Group
6.373% due 1/15/30 3,658 3,579
Morgan Stanley Capital
Investment Inc.
6.44% due 11/15/02 15,492 15,296
Peco Energy
Transportation Trust
6.05% due 3/01/09 5,000 4,684
-----------
43,281
-----------
CORPORATE BONDS -- 2.2%
--------------------------------------------------------------------------------
Abitibi Consolidated Inc.
8.50% due 8/01/29 5,000 4,670
Ahold Finance U.S.A. Inc.
6.875% due 5/01/29 5,000 4,129
BB & T Corp.
6.375% due 6/30/05 10,000 9,453
Bank of America
7.80% due 2/15/10 10,000 9,949
Coastal Corp.
7.75% due 6/15/10 5,000 4,943
Credit Suisse First Boston
7.29% due 9/15/09 10,000 9,865
Dayton Hudson Corp.
6.65% due 8/01/28 5,000 4,248
Donaldson Lufkin & Jenerette
5.875% due 4/01/02 10,000 9,710
Dynergy Inc.
7.45% due 7/15/06 5,000 4,865
Ford Motor Co.
7.875% due 6/15/10 10,000 9,998
Knight Ridder Inc.
6.875% due 3/15/29 5,000 4,299
Lehman Brothers Holdings Inc.
7.75% due 1/15/05 10,000 9,907
Lockheed Martin Corp.
8.50% due 12/01/29 5,000 5,049
MCI Communications Group
6.50% due 4/15/10 15,000 13,610
Merita Bank Plc
6.50% due 4/01/09 10,000 9,083
38
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
National Rural Utilities
Cooperative Finance
6.20% due 2/01/08 $ 10,000 $ 9,207
Northwest Airlines
8.072% due 10/01/19 10,000 10,037
Osprey Trust Inc.
8.31% due 1/15/03 10,000 10,022
Popular North America Inc.
6.875% due 6/15/01 10,000 9,946
Qatar St
9.75% due 6/15/30 5,000 4,931
Raytheon Co.
7.90% due 3/01/03 10,000 10,060
St. Paul Cos Inc.
7.875% due 4/15/05 10,000 9,907
Saks Inc.
8.25% due 11/15/08 5,000 4,441
TPSA Finance BV
7.75% due 12/10/08 5,000 4,606
Valero Energy Corp.
8.75% due 6/15/30 5,000 5,107
Wells Fargo & Co.
7.80% due 6/15/10 10,000 10,075
-----------
202,117
-----------
FOREIGN CORPORATIONS -- 0.3%
--------------------------------------------------------------------------------
Pemex Finance Ltd.
9.03% due 2/15/11 5,000 5,159
Quebec Province of Canada
7.50% due 9/15/29 10,000 9,824
Telefonica de Argentina
9.125% due 5/07/08 5,000 4,650
YPF Sociedad Anonima
7.25% due 3/15/03 10,000 9,700
-----------
29,333
-----------
MORTGAGE BACKED -- 3.2%
--------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
7.50% TBA 10,000 9,868
6.25% due 6/15/24 10,000 9,565
Federal National Mortgage Association
6.50% TBA 100,000 96,437
8.00% TBA 110,000 110,464
7.25% due 1/15/10 5,000 5,050
7.349% due 8/17/21 9,999 9,984
6.50% due 4/01/29 23,362 22,048
Government National Mortgage Association
6.50% TBA 25,000 23,719
7.00% due 2/15/24 12,151 11,847
-----------
298,982
-----------
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
--------------------------------------------------------------------------------
U. S. TREASURY OBLIGATIONS -- 2.7%
--------------------------------------------------------------------------------
United States Treasury Bonds
8.125% due 8/15/19 31,000 37,476
3.625% due 4/15/28 10,585 10,088
6.125% due 8/15/29 20,000 20,200
-----------
67,764
-----------
United States Treasury Notes
5.875% due 11/15/04 30,000 29,564
6.875% due 5/15/061 20,000 123,506
6.50% due 2/15/10 25,000 25,856
-----------
178,926
-----------
YANKEE BONDS -- 0.3%
--------------------------------------------------------------------------------
Corporation Andina de Fomento
7.75% due 3/01/04 10,000 9,838
DaimlerChrysler of North America
7.75% due 5/27/03 10,000 10,081
Imperial Tobacco Overseas BV
7.125% due 4/01/09 5,000 4,433
-----------
24,352
-----------
TOTAL FIXED INCOME 844,755
-----------
SHORT-TERM OBLIGATIONS -- 3.0%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 274,327
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $1,119,273) 1,119,082
-----------
INTERNATIONAL BOND -- 10.1%
--------------------------------------------------------------------------------
FIXED INCOME -- 9.6%
--------------------------------------------------------------------------------
AUSTRIA -- 0.3%
--------------------------------------------------------------------------------
Osterreichische Kontrollbank
1.80% due
3/22/10 JPY 3,000,000 28,568
--------------------------------------------------------------------------------
BELGUIM -- 0.2%
--------------------------------------------------------------------------------
Kingdom of Belgium
5.50% due
3/28/28 EURO 20,000 18,256
--------------------------------------------------------------------------------
CANADA -- 0.6%
--------------------------------------------------------------------------------
Canadian Government Bond
1.90% due
3/23/09 JPY 6,000,000 57,939
--------------------------------------------------------------------------------
39
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
--------------------------------------------------------------------------------
DENMARK -- 0.1%
--------------------------------------------------------------------------------
Nykredit
5.00% due
10/01/29 DKK $ 40,000 $ 4,350
-----------
FRANCE -- 0.1%
--------------------------------------------------------------------------------
Government of France
3.00% due
7/25/09 EURO 10,882 9,677
-----------
GERMANY -- 2.6%
--------------------------------------------------------------------------------
Commerzbank AG
13.75% due
1/18/02 EURO 200,000 43,266
Republic of Germany
6.50% due
7/15/03 EURO 90,000 89,300
5.625% due
11/26/04 EURO 70,000 64,751
3.75% due
1/04/09 EURO 10,000 8,594
5.375% due
1/04/10 EURO 30,000 28,956
-----------
234,867
-----------
GREAT BRITAIN -- 0.9%
--------------------------------------------------------------------------------
United Kingdom Treasury
8.50% due
12/07/05 GBP 18,000 30,872
7.75% due
9/08/06 GBP 30,000 50,422
-----------
81,294
-----------
GREECE -- 0.2%
--------------------------------------------------------------------------------
Republic of Greece
7.89% due
6/17/03 GRD 1,600,000 4,680
10.24% due
10/23/03 GRD 5,000,000 14,702
-----------
19,382
-----------
ITALY -- 0.1%
--------------------------------------------------------------------------------
Republic of Italy
6.50% due
11/01/27 EURO 11,000 11,285
-----------
JAPAN -- 1.9%
--------------------------------------------------------------------------------
Government of Japan
4.10% due
6/21/04 JPY 6,200,000 65,660
4.75% due
12/20/04 JPY 5,600,000 61,647
2.50% due
7/25/07 JPY 5,000,000 49,802
-----------
177,109
-----------
NETHERLANDS -- 0.9%
--------------------------------------------------------------------------------
ING Bank
6.125% due
8/07/00 EURO 30,000 29,956
Kingdom of Netherlands
6.00% due
1/15/06 EURO 50,000 49,430
-----------
79,386
-----------
UNITED STATES -- 1.7%
--------------------------------------------------------------------------------
Federal National
Mortgage Association
7.25% due
1/15/10 $15,000 15,151
Hewlett Packard
Finance Co.
6.125% due
8/21/00 $50,000 49,942
International American
Development Bank
7.375% due
1/15/10 $15,000 15,251
United States
Treasury Inflationary
Index Notes
6.50% due
2/28/02 $80,000 80,050
-----------
160,394
-----------
TOTAL FIXED INCOME 882,507
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
--------------------------------------------------------------------------------
Student Loan Association
Marketing Discount Note
6.57% due 7/03/00 (+) 47,481
-----------
TOTAL INTERNATIONAL BOND
(Identified Cost $948,478) 929,988
HIGH YIELD BOND -- 10.0%
--------------------------------------------------------------------------------
FIXED INCOME -- 8.8%
--------------------------------------------------------------------------------
DOMESTIC CORPORATIONS -- 8.6%
--------------------------------------------------------------------------------
AEROSPACE -- 0.2%
--------------------------------------------------------------------------------
Sequa Corp.
9.00% due 8/01/09 20,000 18,800
-----------
AUTOMOTIVE -- 0.4%
--------------------------------------------------------------------------------
J.H. Heafner Inc.
10.00% due 5/15/08 20,000 14,600
J.L. French Automotive Castings
11.50% due 6/01/09 (#) 10,000 9,100
40
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Lear Corp.
8.11% due 5/15/09 (#) $ 10,000 $ 9,108
-----------
32,808
-----------
Cable & Other Media --1.1%
--------------------------------------------------------------------------------
CSC Holdings Inc.
9.875% due
2/15/13 (#) 20,000 20,525
Charter Communications
Holdings
8.625% due
4/01/09 (#) 20,000 17,575
9.92% due
4/01/11 (#) 10,000 5,750
Covad Communications
Group
12.00% due 2/15/10 (#) 10,000 8,000
Federal Mogul Corp.
7.375% due 1/15/06 (#) 10,000 7,350
Frontiervision Holdings LP
11.875% due 9/15/07 20,000 17,200
NTL Communications Corp.
Zero Coupon due
10/01/08 (#) 30,000 19,650
Radnor Holdings Corp.
10.00% due 12/01/03 10,000 8,950
-----------
105,000
-----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.2%
--------------------------------------------------------------------------------
Jordan Industries Inc.
10.375% due
8/01/07 (#) 20,000 18,300
-----------
CHEMICALS -- 0.4%
--------------------------------------------------------------------------------
Aqua Chemicals Inc.
11.25% due 7/01/08 10,000 5,625
Lyondell Chemical Co.
9.875% due 5/01/07 20,000 19,800
PCI Chemicals CDA Inc.
9.25% due 10/15/07 15,000 9,900
-----------
35,325
-----------
CONSUMER PRODUCTS/TOBACCO -- 0.6%
--------------------------------------------------------------------------------
French Fragrances Inc.
10.375% due 5/15/07 20,000 18,800
Global Crossing
Holdings Ltd.
9.50% due 11/15/09 5,000 4,825
Home Interiors Gifts Inc.
10.125% due 6/01/08 10,000 5,700
Mail Well Corp.
8.75% due
12/15/08 (#) 20,000 16,800
Revlon Consumer
Products Corp.
8.625% due 2/01/08 15,000 7,500
-----------
53,625
-----------
Energy -- 0.7%
--------------------------------------------------------------------------------
Key Energy Services Inc.
14.00% due 1/15/09 10,000 11,250
Pioneer Natural Resources Co.
9.625% due 4/01/10 10,000 10,300
Plains Resources Inc.
10.25% due 3/15/06 20,000 19,850
Western Gas Resources Inc.
10.00% due
6/15/09 (#) 20,000 20,650
-----------
62,050
-----------
FINANCIAL -- 0.4%
--------------------------------------------------------------------------------
Avis Group Holdings Inc.
11.00% due 5/01/09 (#) 20,000 20,850
Contifinancial Corp.
8.375% due
8/15/03 (#) 20,000 2,650
Derby Cycle Corp. Lyon Investments
10.00% due 5/15/08 (#) 10,000 4,650
Williams Scotsman Inc.
9.875% due 6/01/07 15,000 13,500
-----------
41,650
-----------
FOOD/BEVERAGE/BOTTLING -- 0.2%
--------------------------------------------------------------------------------
B & G Foods Indications Corp.
9.625% due 8/01/07 20,000 14,000
-----------
GAMING -- 0.5%
--------------------------------------------------------------------------------
Majestic Star Casino LLC
10.875% due
7/01/06 (#) 20,000 16,300
Station Casinos
9.875% due 7/01/10 10,000 10,025
Sun International Ltd.
9.00% due 3/15/07 25,000 23,250
-----------
49,575
-----------
HEALTHCARE -- 0.2%
--------------------------------------------------------------------------------
Harrahs Operations Inc.
7.875% due 12/15/05 (#) 10,000 9,400
Tenet Healthcare Corp.
8.00% due 1/15/05 (#) 10,000 9,575
-----------
18,975
-----------
41
<PAGE>
CITISELECT VIP FOLIO 400 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
HOUSING RELATED -- 0.2%
--------------------------------------------------------------------------------
CB Richards Ellis
Services Inc.
8.875% due 6/01/06 $ 20,000 $ 17,125
-----------
LODGING LEISURE -- 0.2%
--------------------------------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 20,000 17,950
-----------
PAPER/FOREST PRODUCTS -- 0.2%
--------------------------------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 20,000 20,000
-----------
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 5,000 3,450
Finlay Fine Jewelry Corp.
8.375% due 5/01/08 10,000 9,000
Westpoint Stevens Inc.
7.875% due 6/15/05 10,000 8,350
-----------
20,800
-----------
SERVICES/OTHER -- 1.3%
--------------------------------------------------------------------------------
Blount Inc.
13.00% due 8/01/09 20,000 20,400
ICG Holdings Inc.
1.00% due 5/01/06 10,000 8,275
Integrat Electrical Services
9.375% due 2/01/09 10,000 8,050
Iron Mountain Inc.
10.125% due 10/01/06 20,000 20,000
Moll Industries Inc.
10.125% due 7/01/08 15,000 2,625
Owens Illinois Inc.
9.25% due 5/15/10 10,000 8,673
Polymer Group Inc.
8.75% due 3/01/08 (#) 20,000 16,600
Safety Kleen Services Inc.
9.25% due 6/01/08 20,000 800
Park Place
Entertainment Corp.
9.375% due 2/15/07 20,000 20,000
Polariod Corp.
11.50% due 2/15/06 10,000 10,375
-----------
115,798
-----------
TELECOMMUNICATIONS --1.4%
--------------------------------------------------------------------------------
Energis plc
9.75% due 6/15/09 (#) 20,000 19,600
Intermedia Communications Inc.
9.50% due 3/01/09(#) 20,000 19,000
Leap Wireless International Inc.
12.50% due 4/15/10 (#) 5,000 4,300
Nextel Communications Inc.
Zero Coupon due
2/15/08 (#) 25,000 18,437
Orange Plc
9.00% due 6/01/09(# 20,000 20,200
PSI Net Inc.
11.50% due 11/01/08 5,000 4,700
Price Communications Wireless Inc.
9.125% due
12/15/06 (#) 20,000 20,000
Rogers Cantel
9.375% due 6/01/08 20,000 20,600
-----------
126,837
-----------
TRANSPORTATION -- 0.0%
--------------------------------------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06 (#)20,000 1,900
-----------
TOTAL DOMESTIC CORPORATIONS 790,218
-----------
MORTGAGE OBLIGATIONS -- 0.2%
--------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS -- 0.2%
--------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 19,754 16,048
-----------
TOTAL FIXED INCOME 806,266
-----------
SHORT-TERM OBLIGATIONS -- 1.2%
--------------------------------------------------------------------------------
Student Loan Association
Marketing Discount Note
6.57% due 7/03/00 (+) 117,568
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $1,045,109) 923,834
-----------
TOTAL INVESTMENTS
(Identified Cost $9,079,726) 102.6% 9,428,304
OTHER ASSETS,
LESS LIABILITIES (2.6) (234,955)
---------- -----------
NET ASSETS 100.0% $ 9,193,349
---------- -----------
42
<PAGE>
* Non-income producing
(#) Rule 144A Security exempt from registration under Rule 144A of the
Securities Act of 1933.
(+) The Portfolio owns in aggregate Student Loan Marketing Discount Note 6.57%,
due 7/03/00, valued at $786,000, portions of which are separately listed by
each asset class.
(++) The Portfolio owns in aggregate 1,743 shares of General Electric Co. valued
at $92,379; 1,248 shares of SBC Communications Inc. valued at $49,8506; 455
shares of International Business Machines valued at $49,850; 310 shares of
Marsh & McLennan Company valued at $32,375; 2,255 shares of R & B Falcon
Corp. valued at $53,134; 444 shares of Micrel Inc. valued at $19,286; 188
shares of Network Appliance Inc. valued at $15,134; and 155 shares of
PepsiCo Inc. valued at $51,325, portions of which are separately listed by
each asset class.
TBA (To be announced)--Mortgage backed securities traded under delayed delivery
commitments
ADRs--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
EURO Italy
JPY Japan
EURO Netherlands
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 2000 ARE AS FOLLOWS:
DELIVERY UNREALIZED
MARKET AGGREGATE DATE OF APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE CONTRACTS (DEPRECIATION)
--------------------------------------------------------------------------------
Dollar (Sell) ... Canada $ 20,300 $ 20,436 July-00 $ 136
Dollar (Buy) .... Canada 20,300 20,337 July-00 (37)
Drachma (Buy) ... Greece 26,437 26,393 July-00 44
Euro (Sell) ..... Europe 30,348 30,391 July-00 (43)
Euro (Buy) ...... Europe 281,862 281,746 July-00 (116)
Franc (Buy) ..... Switzerland 19,898 19,744 July-00 154
Krone (Sell) .... Denmark 2,860 2,862 July-00 2
Pound (Sell) .... Great Britain 79,674 79,959 July-00 285
Pound (Sell) .... Great Britain 30,273 30,391 July-00 118
Yen (Sell) ...... Japan 276,074 276,334 July-00 260
Yen (Buy) ....... Japan 19,744 20,000 July-00 (256)
Zloty (Sell) .... Poland 36,541 36,124 July-00 (417)
-----
$ 130
=====
43
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
LARGE CAP GROWTH -- 13.1%
--------------------------------------------------------------------------------
COMMON STOCKS -- 12.6%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING -- 0.3%
--------------------------------------------------------------------------------
American Power Conversion Corp.* 40 $ 1,633
Illinois Tool Works Inc. 36 2,052
Tyco International Ltd. 124 5,874
-----------
9,559
-----------
COMMERCIAL SERVICES -- 0.4%
--------------------------------------------------------------------------------
Automatic Data Processing Inc. 50 2,678
Concord Inc.* 65 1,690
Interpublic Group Companies Inc. 44 1,892
PayChex Inc. 37 1,554
Time Warner Inc. 77 5,852
-----------
13,666
-----------
COMMUNICATION SERVICES -- 0.4%
--------------------------------------------------------------------------------
SBC Communications Inc.(++) 250 10,812
Sprint Corp.* 75 4,463
-----------
15,275
-----------
COMPUTER SOFTWARE -- 1.6%
--------------------------------------------------------------------------------
America Online Inc.* 172 9,073
Microsoft Corp.* 300 24,000
National Instruments Corp.* 30 1,309
Oracle Corp.* 229 19,250
Yahoo Inc.* 22 2,725
-----------
56,357
-----------
COMPUTER & TELECOMMUNICATIONS EQUIPMENT -- 2.8%
--------------------------------------------------------------------------------
Cisco Systems Inc.* 448 28,476
Comverse Technology Inc.* 12 1,116
EMC Corp.* 177 13,618
International Business Machines Corp.(++) 115 12,600
Lexmark International Group Inc.* 41 2,757
Network Appliance Inc.* 40 3,220
Nortel Networks Corp. 230 15,697
Qualcomm Inc.* 65 3,900
Sun Microsystems Inc.* 147 13,368
Tellabs Inc.* 25 1,711
-----------
96,463
-----------
CONGLOMERATES -- 1.0%
--------------------------------------------------------------------------------
General Dynamics Corp. 25 1,306
General Electric Co.(++) 654 34,662
-----------
35,968
-----------
CONSUMER NON-DURABLES -- 0.2%
--------------------------------------------------------------------------------
PepsiCo Inc.(++) 135 5,999
-----------
CONSUMER SERVICES -- 0.1%
--------------------------------------------------------------------------------
Harley Davidson Inc. 45 1,732
-----------
FINANCE -- 0.9%
--------------------------------------------------------------------------------
American Express Co. 130 6,776
Bank of New York Inc. 50 2,325
Charles Schwab Corp. 87 2,925
Federal Home Loan Mortgage Corp. 50 2,025
Federal National Mortgage Association 80 4,175
MBNA Corp. 100 2,713
Marsh & McLennan Company Inc.(++) 15 1,567
Morgan Stanley Dean Witter & Co. 75 6,244
Northern Trust Corp. 55 3,578
-----------
32,328
-----------
HEALTHCARE -- 2.1%
--------------------------------------------------------------------------------
Abbott Labs 127 5,659
Amgen Inc.* 95 6,674
Biogen Inc.* 23 1,483
Cardinal Health Inc. 30 2,220
Eli Lilly & Co. 63 6,292
Johnson & Johnson 123 12,531
Medtronic Inc. 135 6,725
Pfizer Inc. 483 23,184
Schering-Plough Corp. 134 6,767
-----------
71,535
-----------
RETAIL -- 1.1%
--------------------------------------------------------------------------------
Bed Bath & Beyond Inc.* 43 1,559
GAP Inc. 95 2,969
Home Depot Inc. 167 8,340
Kohl's Corp.* 68 3,783
Lowes Cos Inc. 40 1,643
Walgreen Co. 95 3,058
Wal-Mart Stores Inc. 304 17,518
-----------
38,870
-----------
44
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
SEMI-CONDUCTORS -- 1.7%
--------------------------------------------------------------------------------
Altera Corp.* 18 $ 1,835
Applied Materials Inc.* 67 6,072
Dallas Semiconductor Corp. 30 1,222
Intel Corp. 232 31,015
Linear Technology Corp. 40 2,557
Micrel Inc. *(++) 20 869
Symbol Technology Inc. 23 1,242
Texas Instruments Inc. 140 9,616
Xilinx Inc.* 23 1,899
-----------
56,327
-----------
TOTAL COMMON STOCKS 434,079
-----------
SHORT-TERM OBLIGATIONS -- 0.5%
--------------------------------------------------------------------------------
Student Loan Marketing
Assocation Discount Note
6.57% due 7/03/00 (+) 16,756
-----------
TOTAL LARGE CAP GROWTH
(Identified Cost $368,119) 450,835
-----------
LARGE CAP VALUE -- 15.6%
--------------------------------------------------------------------------------
COMMON STOCKS -- 14.8%
--------------------------------------------------------------------------------
CAPITAL GOODS -- 1.3%
--------------------------------------------------------------------------------
Emerson Electrics Co. 200 12,075
General Electric Co.(++) 225 11,925
Honeywell Inc. 295 9,938
United Technologies Corp. 195 11,481
-----------
45,419
-----------
COMMUNICATION EQUIPMENT & SERVICES -- 2.1%
--------------------------------------------------------------------------------
AT&T Corp. 400 12,650
Alltel Corp. 175 10,839
Bellsouth Corp. 250 10,656
GTE Corp. 230 14,318
SBC Communications Inc.(++) 313 13,537
Sprint Corp. 215 10,965
-----------
72,965
-----------
CONSUMER CYCLICALS -- 0.4%
--------------------------------------------------------------------------------
McGraw-Hill Companies Inc. 240 12,960
-----------
CONSUMER STAPLES -- 1.1%
--------------------------------------------------------------------------------
Gillette Co. 200 6,731
Kimberly-Clark Corp. 240 13,770
PepsiCo Inc.(++) 400 17,775
-----------
38,276
-----------
ENERGY -- 2.0%
--------------------------------------------------------------------------------
BP Amoco Plc, ADRs 65 3,677
Chevron Corp. 180 15,266
Conoco Inc. Class A 500 11,000
El Paso Energy Corp. 125 6,367
Exxon Corp. 270 21,195
Halliburton Co. 215 10,145
-----------
67,650
-----------
FINANCE -- 2.9%
--------------------------------------------------------------------------------
Bank of America Corp. 320 13,760
Chase Manhattan Corp. 390 17,964
Chubb Corp. 200 12,300
Hartford Financial Services Group 300 16,781
Marsh & McLennan Companies Inc.(++) 110 11,488
Mellon Bank Corp. 425 15,486
Merrill Lynch & Co. Inc. 90 10,350
-----------
98,129
-----------
HEALTHCARE -- 1.3%
--------------------------------------------------------------------------------
American Home Products Corp. 250 14,688
Bristol-Myers Squibb Co. 250 14,563
Johnson & Johnson 50 5,094
Pharmacia & Upjohn Inc. 197 10,182
-----------
44,527
-----------
RAW & INTERMEDIATE MATERIALS -- 1.0%
--------------------------------------------------------------------------------
Alcoa Inc. 480 13,920
Dow Chemical Co. 225 6,792
E. I. du Pont de Nemours & Co. 146 6,387
International Paper Co. 270 8,049
-----------
35,148
-----------
TECHNOLOGY -- 1.1%
--------------------------------------------------------------------------------
First Data Corp. 100 4,962
International Business Machines(++) 100 10,956
Pitney Bowes Inc. 325 13,000
Xerox Corp. 350 7,263
-----------
36,181
-----------
TRANSPORTATION -- 0.2%
--------------------------------------------------------------------------------
Union Pacific Corp. 200 7,438
-----------
UTILITIES -- 1.4%
--------------------------------------------------------------------------------
Duke Energy Co. 275 15,503
Unicom Corp. 350 13,542
45
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Williams Companies Inc. 450 $ 18,759
-----------
47,804
-----------
TOTAL COMMON STOCKS 506,497
-----------
SHORT-TERM OBLIGATIONS -- 0.8%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 (+) 27,800
-----------
Total Large Cap Value
(Identified Cost $565,788) 534,297
-----------
SMALL CAP GROWTH -- 14.8%
--------------------------------------------------------------------------------
COMMON STOCKS -- 12.2%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING -- 1.1%
--------------------------------------------------------------------------------
Alliant Techsystems Inc.* 30 2,023
Applied Power Inc. 78 2,613
Aptargroup Inc. 163 4,401
Cleco Corp. 85 2,848
Mettler Toledo International Inc.* 125 5,000
National Instruments Corp.* 117 5,104
Newport Corp. 60 6,442
Shaw Group Inc.* 125 5,891
Verticalnet Inc.* 60 2,216
-----------
36,538
-----------
COMMERCIAL SERVICES -- 0.4%
--------------------------------------------------------------------------------
Aeroflex Inc.* 60 2,981
Broadvision Inc.* 85 4,319
Capstone Turbine Corp. 7 315
Clarus Corp.* 23 894
Cylink Corp.* 120 2,010
Source Information Management Co.* 241 3,675
-----------
14,194
-----------
CONSUMER SERVICES -- 0.9%
--------------------------------------------------------------------------------
Beringer Wine Estate Holdings* 54 1,907
Callaway Golf Co. 120 1,958
Catalina Marketing Corp.* 65 6,630
Emmis Communications Corp.* 55 2,276
Ethan Allen Interiors, Inc. 66 1,584
Hispanic Broadcasting Corp.* 68 2,252
Houghton Mifflin Co. 53 2,474
Imax Corp.* 40 910
National Computer Systems Inc. 70 3,447
P.F. Chang's China Bistro Inc.* 40 1,277
Scholastic Corp.* 35 2,139
Station Casinos Inc.* 35 875
Westwood One Inc.* 59 2,013
XM Satellite Radio Holdings Inc.* 35 1,310
-----------
31,052
-----------
ELECTRONIC/TECHNICAL SERVICES -- 2.4%
--------------------------------------------------------------------------------
Accelerated Networks Inc.* 1 42
Acnielson Corp.* 50 1,100
C-Cube Microsystems Inc.* 94 1,845
California Amplifier Inc.* 120 5,490
Celeritek Inc.* 65 2,653
E Piphany Inc.* 20 2,144
Emulex Corp.* 54 3,547
Intertrust Technologies Corp.* 25 514
Iona Technologies Plc* ADRs 38 2,394
MMC Networks Inc.* 100 5,344
Macromedia Inc.* 68 6,575
Macrovision Corp.* 50 3,196
Methode Electronics Inc. 105 4,056
Micrel Inc.*(++) 170 7,384
Network Appliance Inc.* 46 3,703
New Era of Networks Inc.* 15 637
Paradyne Corp. 60 1,954
Powerwave Technologies Inc.* 60 2,640
Remedy Corp.* 80 4,460
Sandisk Corp.* 35 2,142
Sawtek Inc.* 55 3,166
Semtech Corp.* 60 4,589
Silicon Storage Technology Inc.* 40 3,532
Sonus Networks Inc.* 6 947
Spectralink Corp.* 115 1,682
Stratos Lightwave Inc.* 22 613
Ultimate Electronics Inc.* 65 1,742
Usinternet Working Inc.* 52 1,063
WatchGuard Tecnologies Inc.* 23 1,264
Wink Communications Inc.* 60 1,830
-----------
82,248
-----------
ENERGY/MINERALS -- 1.0%
--------------------------------------------------------------------------------
Cal Dive Internationl Inc.* 95 5,148
Coflexip ADRs 85 5,143
Hanover Compressor Co.* 160 6,080
Precision Drilling Corp.* 140 5,407
R & B Falcon Corp.*(++) 455 10,721
Vargo International Inc.* 115 2,674
-----------
35,173
-----------
46
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
FINANCE -- 0.6%
--------------------------------------------------------------------------------
Affiliated Managers Group Inc.* 50 $ 2,275
Banknorth Group Inc. 252 3,859
Chittenden Corp. 147 3,592
Cullen Frost Bankers Inc. 179 4,710
Presidential Life Insurance Corp. 50 694
SEI Investments Co. 75 2,986
West America Bancorporation 80 2,090
-----------
20,206
-----------
HEALTH SERVICES/TECHNOLOGY -- 1.9%
--------------------------------------------------------------------------------
Affymetrix Inc.* 10 1,651
Alpharma Inc. 65 4,046
Andrx Corp.* 42 2,685
Apria Healthcare Group Inc.* 180 2,205
Aurora Bioscience Corp.* 25 1,705
CIMA Labs Inc.* 40 810
Corixa Corp.* 80 3,435
Curagen Corp.* 20 761
Emisphere Technologies Inc.* 35 1,491
Enzon Inc.* 60 2,550
Genset SA.* ADRs 60 1,387
Gilead Sciences Inc.* 55 3,912
Idec Pharmaceuticals Corp.* 35 4,106
Incyte Pharmaceuticals Inc.* 20 1,644
KV Pharmaceuticals Inc.* 10 265
Lifepoint Hospitals Inc.* 95 2,114
Medarex Inc.* 22 1,859
Medicis Pharmaceuticals Corp.* 50 2,850
Millennium Pharmaceuticals Inc.* 60 6,712
Multex System Inc.* 28 705
Nanogen Inc.* 25 1,061
Pharmacyclics Inc.* 35 2,135
Shire Pharmaceuticals Group Plc* ADRs 115 5,966
Transkaryotic Therapies Inc.* 15 551
Triad Hospitals Inc.* 70 1,693
Varian Inc.* 180 8,302
-----------
66,601
-----------
INDUSTRIAL SERVICES -- 0.2%
--------------------------------------------------------------------------------
Gasonics International Corp.* 95 3,747
Gentex Corp.* 70 1,759
Harmonic Inc.* 71 1,757
-----------
7,263
-----------
RETAIL -- 0.4%
--------------------------------------------------------------------------------
Cost Plus Inc.* 130 3,729
Footstar Inc.* 45 1,496
Linens 'n Things Inc.* 113 3,065
O'Reilly Automotive Inc.* 230 3,191
Zale Corp.* 60 2,190
-----------
13,671
-----------
SEMI-CONDUCTOR --1.0%
--------------------------------------------------------------------------------
ATMI Inc* 45 2,093
Alpha Industries Inc.* 39 1,718
Amkor Technology Inc.* 80 2,825
Anadigics Inc.* 54 1,839
Cree Inc.* 9 1,202
Cypress Semiconductor Corp.* 25 1,056
Emcore Corp.* 73 8,760
Interwoven Inc. 3 330
Microchip Technology* 31 1,806
Silicon Image, Inc.* 40 1,995
Transwitch Corp.* 70 5,403
Triquint Semiconductor Inc.* 40 3,827
Virata Corp.* 22 1,312
-----------
34,166
-----------
SOFTWARE -- 0.7%
--------------------------------------------------------------------------------
Active Software Inc.* 45 3,496
Activision Inc.* 380 2,470
Art Technology Group Inc.* 30 3,028
Bindview Development Corp.* 105 1,260
HNC Software* 25 1,544
Mercury Interactive Corp.* 120 11,610
Microstrategy Inc.* 38 1,140
Oni Systems Corp.* 3 352
-----------
24,900
-----------
TECHNOLOGY SERVICES -- 0.7%
--------------------------------------------------------------------------------
Bisys Group Inc.* 75 4,613
Idex Corp. 90 2,841
Mattson Technology Inc.* 99 3,217
Nextel Partners Inc.* 42 1,368
Oak Technology Inc.* 200 4,312
Western Wireless Corp.* 112 6,104
-----------
22,455
-----------
TELECOMMUNICATIONS -- 0.8%
--------------------------------------------------------------------------------
Covad Communications Group Inc.* 76 1,226
Digital IS Inc.* 20 973
Digital Lightwave Inc.* 15 1,508
Digital Microware Corp.* 55 2,097
Dobson Communications Corp.* 70 1,348
Exar Corp.* 35 3,052
47
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Expo Electro Optical Energy Inc.* 12 $ 312
Informatica Corp. 5 410
Nextlink Communications, Inc.* 57 2,162
P C Telephone Inc.* 18 684
Pinnacle Holdings Inc.* 90 4,860
Powertel, Inc.* 35 2,483
Remec Inc.* 132 5,527
Research in Motion Ltd.* 19 860
-----------
27,502
-----------
TRANSPORTATION -- 0.1%
--------------------------------------------------------------------------------
CH Robinson Worldwide 45 2,228
Eagle USA Airfreight Inc.* 39 1,199
-----------
3,427
-----------
TOTAL COMMON STOCKS 419,396
-----------
SHORT-TERM OBLIGATIONS -- 2.6%
--------------------------------------------------------------------------------
Student Loan Marketing
Assocation Discount Note
6.57% due 7/03/00 (+) 90,600
-----------
TOTAL SMALL CAP GROWTH
(Identified Cost $427,146) 509,996
-----------
SMALL CAP VALUE -- 14.7%
--------------------------------------------------------------------------------
COMMON STOCKS -- 14.1%
--------------------------------------------------------------------------------
COMMERICAL SERVICES -- 0.3%
--------------------------------------------------------------------------------
Reynolds & Reynolds Co. 600 10,950
-----------
CONSUMER DURABLE GOODS -- 0.7%
--------------------------------------------------------------------------------
D.R. Horton Inc. 900 12,206
Engle Homes Inc. 300 2,869
La-Z-Boy Inc. 700 9,800
-----------
24,875
-----------
CONSUMER NON-DURABLES -- 1.1%
--------------------------------------------------------------------------------
Block Drug Inc. 100 4,231
Dimon Inc. 1,400 2,975
Standard Commercial Corp. 1,723 7,861
Timberland Co.* 100 7,081
Tropical Sportswear International Corp.* 300 5,250
Wolverine World Wide Inc. 1,200 11,850
-----------
39,248
-----------
CONSUMER SERVICES -- 0.3%
--------------------------------------------------------------------------------
Aztar Corp.* 700 10,850
-----------
ELECTRONIC TECHNOLOGY -- 0.6%
--------------------------------------------------------------------------------
Diebold Inc. 400 11,150
ESCO Electronics Corp.* 300 5,100
Spacehab Inc.* 800 3,600
-----------
19,850
-----------
ENERGY/MINERALS -- 0.2%
--------------------------------------------------------------------------------
Nuevo Energy Co.* 400 7,550
-----------
FINANCE -- 3.0%
--------------------------------------------------------------------------------
American National Insurance Co. 300 15,300
Harleysville Group Inc. 800 13,400
Matrix Bancorp* 200 1,350
PBOC Holdings Inc.* 600 5,100
PMI Group Inc. 150 7,125
Penn-America Group Inc. 600 4,725
Presidential Life Corp. 1,600 22,200
Professionals Group Inc.* 970 23,704
Reinsurance Group of America Inc. 100 3,013
Stancorp Financial Group Inc. 200 6,425
-----------
102,342
-----------
HEALTH TECHNOLOGY -- 0.3%
--------------------------------------------------------------------------------
West Pharmaceutical Services Inc. 400 8,650
-----------
INDUSTRIAL SERVICES -- 1.4%
--------------------------------------------------------------------------------
Atwood Oceanics Inc.* 200 8,875
ENSCO International Inc. 300 10,744
R & B Falcon Corp.*(++) 400 9,425
Reliance Steel & Aluminum Co. 200 3,825
Rowan Companies Inc.* 300 9,113
Santa Fe International Corp. 200 6,987
-----------
48,969
-----------
NON-ENERGY MINERALS -- 0.6%
--------------------------------------------------------------------------------
LTV Corp. 3,500 10,062
Lone Star Technologies Inc.* 200 9,250
-----------
19,312
-----------
PROCESS INDUSTRIES -- 0.6%
--------------------------------------------------------------------------------
Lancaster Colony Corp. 500 9,594
RPM Inc. 700 7,088
Tuscarora Inc. 300 4,688
-----------
21,370
-----------
48
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
PRODUCER MANUFACTURING -- 3.7%
--------------------------------------------------------------------------------
Baldor Electric Co. 500 $ 9,312
Circor International Inc. 200 1,637
Cohu Inc. 200 5,394
Commonwealth Industries Inc. 700 4,112
Graco Inc. 100 3,250
JLG Industries Inc. 2,100 24,937
Kaydon Corp. 400 8,400
Myers Industries Inc. 850 9,137
Patrick Industries Inc. 400 2,500
Superior Industries International Inc. 300 7,725
Teleflex Inc. 400 14,300
Timken Co. 800 14,900
Tower Automotive Inc.* 800 10,000
Watts Industries Inc. 500 6,313
Woodhead Industries 200 3,650
-----------
125,567
-----------
RETAIL TRADE -- 0.2%
--------------------------------------------------------------------------------
Schultz Sav-O Stores Inc. 700 7,263
-----------
TECHNOLOGY SERVICES -- 0.2%
--------------------------------------------------------------------------------
Ultrak Inc.* 700 5,688
-----------
TRANSPORTATION -- 0.9%
--------------------------------------------------------------------------------
Atlantic Coast Airlines Holdings* 300 9,525
Kenan Transport Co. 400 8,100
Midwest Express Holdings Inc.* 200 4,300
Motor Cargo Industries Inc.* 600 2,775
Tidewater Inc. 200 7,200
-----------
31,900
-----------
TOTAL COMMON STOCKS 484,384
-----------
SHORT-TERM OBLIGATIONS -- 0.6%
--------------------------------------------------------------------------------
Student Loan Marketing
Assocation Discount Note
6.57% due 7/03/00 (+) 20,832
-----------
TOTAL SMALL CAP VALUE
(Identified Cost $539,035) 505,216
-----------
INTERNATIONAL EQUITY --32.7%
--------------------------------------------------------------------------------
COMMON STOCKS -- 30.9%
--------------------------------------------------------------------------------
AUSTRALIA -- 1.0%
--------------------------------------------------------------------------------
Australia & New Zealand Bank Group 2,525 19,344
Quantas Airways 6,955 14,059
-----------
33,403
-----------
AUSTRIA -- 0.2%
--------------------------------------------------------------------------------
Boehler-Uddeholm 155 5,423
-----------
CANADA -- 0.9%
--------------------------------------------------------------------------------
BCE Inc. 400 9,486
Manulife Financial Corp. 1,205 21,250
-----------
30,736
-----------
FINLAND -- 0.3%
--------------------------------------------------------------------------------
UPM-Kymmene Oy 390 9,681
-----------
FRANCE -- 3.0%
--------------------------------------------------------------------------------
Aventis 356 25,983
BIC 260 12,734
BNP Paribas 260 25,021
Pernod-Ricard 231 12,571
Total 178 27,292
-----------
103,601
-----------
GERMANY -- 1.6%
--------------------------------------------------------------------------------
Depfadeutsche Pfandbriefban 110 11,037
Draegerwerk 648 5,382
Dyckerhoff 375 9,487
E ON 300 14,464
SGL Carbon* 107 7,115
Vossloh 470 7,817
-----------
55,302
-----------
GREAT BRITAIN -- 8.3%
--------------------------------------------------------------------------------
Allied Domecq 2,450 12,975
Allied Zurich 1,335 15,786
BAA 3,170 25,422
BAE Systems 3,202 19,962
British American Tobacco Plc 1,815 12,111
British Telecommunications 805 10,402
CGU 730 12,150
Celltech Group 608 11,776
Cookson Group 3,900 13,012
Hanson 2,747 19,411
Lex Service 1,670 8,427
Lloyds TSB Group 823 7,770
Reckitt & Coleman 1,203 13,470
Reed International 1,400 12,180
Royal Bank of Scotland 681 11,396
TI Group 2,600 14,163
Tomkins 4,520 14,687
Unilever 2,548 15,422
United News & Media 1,080 15,524
Williams 3,289 19,160
-----------
285,206
-----------
49
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
HONG KONG -- 1.2%
--------------------------------------------------------------------------------
Henderson Land Development 4,000 $ 17,600
Hong Kong Electric 5,500 17,709
New World Development Co. 4,000 4,438
-----------
39,747
-----------
IRELAND -- 1.1%
--------------------------------------------------------------------------------
Allied Irish Banks 1,817 16,254
Greencore Group 3,490 9,329
Jefferson Smurfit Group 6,905 11,866
-----------
37,449
-----------
ITALY -- 0.5%
--------------------------------------------------------------------------------
Telecom Italia SPA 1,300 17,872
-----------
JAPAN -- 3.6%
--------------------------------------------------------------------------------
Canon Inc. 1,000 49,762
Nintendo Co. 200 34,909
Promise Co. 300 23,693
Sanyo Shipan Financial 400 14,175
-----------
122,539
-----------
NETHERLANDS -- 2.4%
--------------------------------------------------------------------------------
ABN-Amro Holdings 375 9,187
Akzo Nobel 408 17,333
Ing Groep 252 17,033
Koninklijke PTT 260 11,629
Philips Electronics 608 28,675
-----------
83,857
-----------
NEW ZEALAND -- 0.7%
--------------------------------------------------------------------------------
Fletcher Challenge 4,816 5,106
Telecom Corp. 5,200 18,173
-----------
23,279
-----------
PORTUGAL -- 0.7%
--------------------------------------------------------------------------------
Portugal Telecommunications 2,053 23,050
-----------
SINGAPORE -- 0.5%
--------------------------------------------------------------------------------
United Overseas Bank 3,000 19,629
-----------
SPAIN -- 1.1%
--------------------------------------------------------------------------------
Respol 990 19,706
Telefonica S.A.* 921 19,784
-----------
39,490
-----------
SHARES/
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
SWEDEN -- 0.9%
--------------------------------------------------------------------------------
Electrolux AB 910 14,083
Getinge Industrier 1,739 16,562
-----------
30,645
-----------
SWITZERLAND -- 1.8%
--------------------------------------------------------------------------------
Geberit 64 21,382
Novartis 12 19,008
Sig Holding 17 10,661
Sulzer 16 10,642
-----------
61,693
-----------
UNITED STATES -- 1.1%
--------------------------------------------------------------------------------
Creative Technology Ltd.* 970 23,159
Dairy Farm International 25,200 15,120
-----------
38,279
-----------
TOTAL COMMON STOCKS 1,060,881
-----------
SHORT-TERM OBLIGATIONS -- 1.8%
--------------------------------------------------------------------------------
Student Loan Marketing
Assocation Discount Note
6.57% due 7/03/00 (+) 62,870
-----------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $1,022,044) 1,123,751
-----------
DOMESTIC FIXED INCOME -- 4.1%
--------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 4.1%
--------------------------------------------------------------------------------
Student Loan Marketing
Assocation Discount Note
6.57% due 7/03/00 (+) 141,657
-----------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $141,657) 141,657
-----------
HIGH YIELD BOND -- 4.9%
--------------------------------------------------------------------------------
FIXED INCOME -- 4.6%
--------------------------------------------------------------------------------
DOMESTIC CORPORATIONS -- 4.5%
--------------------------------------------------------------------------------
AUTOMOTIVE -- 0.1%
--------------------------------------------------------------------------------
Lear Corp.
8.11% due 5/15/09(#) 5,000 4,554
-----------
CABLE & OTHER MEDIA -- 1.1%
--------------------------------------------------------------------------------
CSC Holdings Inc.
9.875% due 2/15/13(#) 5,000 5,131
Charter Communications Holdings
8.625% due 4/01/09 (#) 5,000 4,394
Zero Coupon due
4/01/11 (#) 5,000 2,875
50
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Covad Communications Group (#)
12.00% due 2/15/10 $ 5,000 $ 4,000
Federal Mogul Corp.
7.375% due 1/15/06 (#) 5,000 3,675
Frontiervision Holdings LP
Zero Coupon due
9/15/07 5,000 4,300
J.H. Heafner Inc.
10.00% due 05/15/08 5,000 3,650
NTL Inc.
Zero Coupon due
10/01/08 (#) 5,000 3,275
Owens Illinois Inc.
7.50% due 5/15/10 (#) 4,000 3,469
Park Place
Entertainment Corp.
9.375% due 2/15/07 (#) 5,000 5,000
-----------
39,769
-----------
CAPITAL GOODS/BUILDING PRODUCTS -- 0.1%
--------------------------------------------------------------------------------
Jordan Industries Inc.
10.375% due 8/01/07 (#) 5,000 4,575
-----------
CHEMICALS -- 0.1%
--------------------------------------------------------------------------------
Radnor Holdings Corp.
10.00% due 12/01/03 5,000 4,475
-----------
CONSUMER PRODUCTS/TOBACCO -- 0.4%
--------------------------------------------------------------------------------
Global Crossing Holdings Ltd.
9.50% due 11/15/09 5,000 4,825
Home Interiors Gifts Inc.
10.125% due 6/01/08 5,000 2,850
Mail Well Corp.
8.75% due 12/15/08 (#) 5,000 4,200
Revlon Consumer
Products Corp.
8.625% due 2/01/08 5,000 2,500
-----------
14,375
-----------
ENERGY -- 0.2%
--------------------------------------------------------------------------------
Western Gas Resources
10.00% due 6/15/09 (#) 5,000 5,163
-----------
FINANCIAL -- 0.2%
--------------------------------------------------------------------------------
Avis Group Holdings Inc.
11.00% due 5/01/09 (#) 5,000 5,212
Contifinancial Corp.
8.375% due 8/15/03 (#) 5,000 662
-----------
5,874
-----------
FOOD/BEVERAGE/BOTTLING -- 0.1%
--------------------------------------------------------------------------------
B & G Foods Indications Corp.
9.625% due 8/01/07 5,000 3,500
-----------
GAMING -- 0.1%
--------------------------------------------------------------------------------
Majestic Star Casino LLC
10.875% due 7/01/06 (#) 5,000 4,075
-----------
HOUSING RELATED -- 0.1%
--------------------------------------------------------------------------------
CB Richards Ellis Services Inc.
8.875% due 6/01/06 5,000 4,281
-----------
LODGING LEISURE -- 0.2%
--------------------------------------------------------------------------------
HMH Properties Inc.
7.875% due 8/01/08 5,000 4,488
Moll Industries Inc.
10.50% due 6/01/08 5,000 875
-----------
5,363
-----------
METALS/MINING/STEEL -- 0.1%
--------------------------------------------------------------------------------
PCI Chemicals CDA Inc.
9.25% due 10/15/07 5,000 3,300
-----------
PAPER/FOREST PRODUCTS -- 0.2%
--------------------------------------------------------------------------------
Tembec Finance Corp.
9.875% due 9/30/05 5,000 5,000
-----------
PUBLISHING/PRINTING -- 0.2%
--------------------------------------------------------------------------------
Hollinger International Publishing Inc.
9.25% due 3/15/07 5,000 4,925
-----------
SERVICES/OTHER -- 0.4%
--------------------------------------------------------------------------------
Iron Mountain Inc.
10.125% due 10/01/06 5,000 5,000
Pioneer Natural Restoration Co.
9.625% due 4/01/10 (#) 5,000 5,150
Polymer Group Inc.
8.75% due 3/01/08 (#) 5,000 4,150
Safety Kleen Services Inc.
9.25% due 6/01/08 5,000 200
-----------
14,500
-----------
TELECOMMUNICATIONS -- 0.9%
--------------------------------------------------------------------------------
Energis Plc
9.75% due 6/15/09 (#) 5,000 4,900
Intermedia
Communications Inc.
9.50% due 3/01/09 (#) 5,000 4,750
51
<PAGE>
CITISELECT VIP FOLIO 500 BALANCED
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
PRINCIPAL
ISSUER AMOUNT VALUE
--------------------------------------------------------------------------------
Nextel Communications Inc.
Zero Coupon
due 2/15/08 (#) $ 10,000 $ 7,375
Orange Plc
9.00% due 6/01/09 5,000 5,050
Price Communications Wireless Inc.
9.125% due 12/15/06 (#) 5,000 5,000
Rogers Cantel
9.375% due 6/01/08 5,000 5,150
-----------
32,225
-----------
TRANSPORTATION -- 0.0%
--------------------------------------------------------------------------------
Holt Group Inc.
9.75% due 1/15/06 5,000 475
-----------
TOTAL DOMESTIC CORPORATIONS 156,429
--------------------------------------------------------------------------------
MORTGAGE OBLIGATIONS -- 0.1%
--------------------------------------------------------------------------------
Mortgage Backed
Securities/Passthroughs -- 0.1%
--------------------------------------------------------------------------------
Airplane Trust
10.875% due 3/15/19 5,000 4,012
-----------
TOTAL FIXED INCOME 160,441
-----------
SHORT-TERM OBLIGATIONS -- 0.3%
--------------------------------------------------------------------------------
Student Loan Marketing
Assocation Discount Note
6.57% due 7/03/00 (+) 9,486
-----------
TOTAL HIGH YIELD BOND
(Identified Cost $200,191) 169,927
-----------
TOTAL INVESTMENTS
(IDENTIFIED COST $3,263,980) 99.9% $ 3,435,679
OTHER ASSETS,
LESS LIABILITIES 0.1 4,840
---------- -----------
Net Assets 100.0% $ 3,440,519
========== ===========
* Non-income producing
(#) Rule 144A Security exempt from registration under Rule 144A of the
Securities Act of 1933.
(+) The Portfolio owns in aggregate Studend Loan Marketing Association Discount
Note 6.57% due 7/03/00 valued at $370,001 portions of which are listed by
each asset class.
(++) The Portfolio owns in aggregate 879 shares of General Electric Co. valued
at $46,587; 563 shares of SBC Communications Inc. valued at $24,349; 215
shares of International Business Machines valued at $23,556; 125 shares of
Marsh & McLennan Companies Inc. valued at $13,055; 855 shares of R&B Falcon
Corp valued at $20,146; 190 shares of Micrel Inc. valued at $8,253; and 535
shares of PepsiCo. Inc. valued at $23,774, portions of which are separately
listed by each asset class.
TBA (To be announced)--Mortgage-backed securities traded under delayed delivery
commitments
ADRs--American Depository Receipts
See notes to financial statements
52
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
JUNE 30, 2000 (UNAUDITED) CONSERVATIVE BALANCED GROWTH GROWTH PLUS
====================================================================================================================================
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note1A) (Identified Cost,
$11,253,071, $16,004,274, $9,079,726 and $3,263,980,
respectively) $11,126,640 $16,136,245 $9,428,304 $3,435,679
Foreign currency, at value (Cost $2,999, $4,883,
$3,944 and $429, respectively) 2,436 4,847 3,856 429
Cash 1,450 1,373 789 310
Interest receivable 109,420 137,125 55,860 4,259
Receivable from Sub-Administrator (Note 6) 78,227 80,483 80,385 70,234
Receivable for securities sold 41,601 74,439 50,497 21,333
Dividends receivable 3,418 8,705 7,852 3,957
Receivable for forward contracts 1,178 2,059 999 --
Other assets 1,239 17,615 18,653 10,429
------------------------------------------------------------------------------------------------------------------------------------
Total assets 11,365,609 16,462,891 9,647,195 3,546,630
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 1,394,159 1,266,053 341,904 10,983
Payable to affiliates - Management fee 1,912 3,596 2,710 1,140
Payable for forward contracts 1,405 1,581 869 --
Accrued expenses and other liabilities 95,890 110,822 108,363 93,988
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 1,493,366 1,382,052 453,846 106,111
------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS for 978,798, 1,424,426, 853,142 and
372,191 shares, respectively, of beneficial
interest outstanding $ 9,872,243 $15,080,839 $9,193,349 $3,440,519
====================================================================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $ 9,776,455 $14,422,885 $8,480,961 $3,064,556
Undistributed net investment income 248,966 241,278 88,784 24,635
Accumulated net realized gain (loss) on investments (24,897) 286,155 275,961 179,757
Unrealized appreciation (depreciation) of investments,
forward currency contracts, foreign currency and
other assets and liabilities (128,281) 130,521 347,643 171,571
------------------------------------------------------------------------------------------------------------------------------------
Total Net Assets $ 9,872,243 $15,080,839 $9,193,349 $3,440,519
====================================================================================================================================
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST $10.09 $10.59 $10.78 $9.24
====================================================================================================================================
</TABLE>
See notes to financial statements
53
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
CITISELECT(R) CITISELECT(R) CITISELECT(R) CITISELECT(R)
VIP VIP VIP VIP
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED) CONSERVATIVE BALANCED GROWTH GROWTH PLUS
===================================================================================================================================
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (Note 1B) $ 285,075 $ 307,473 $ 113,314 $ 19,165
Dividends (net of foreign tax of $1,317, $3,817,
$4,027 and $2,249) 25,391 61,759 56,880 30,430
-----------------------------------------------------------------------------------------------------------------------------------
310,466 369,232 170,194 49,595
-----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Custody and fund accounting fees 196,648 213,772 201,146 166,471
Management fees (Note 2) 39,573 58,389 34,566 13,627
Transfer agent fees 18,024 18,053 18,122 17,948
Audit fees 10,850 10,850 10,850 10,850
Shareholder reports 10,663 9,830 9,830 9,830
Legal fees 4,095 3,095 3,095 3,095
Trustees fees 2,614 2,598 2,618 2,536
Miscellaneous 1,190 1,449 1,264 842
-----------------------------------------------------------------------------------------------------------------------------------
Total expenses 283,657 318,036 281,491 225,199
-----------------------------------------------------------------------------------------------------------------------------------
Less aggregate amounts waived by the Manager (Note 2) (27,131) (35,817) (17,927) (6,300)
Less expenses assumed by the Sub-Administrator (Note 6) (205,750) (207,272) (204,842) (195,892)
-----------------------------------------------------------------------------------------------------------------------------------
Net expenses 50,776 74,947 58,722 23,007
-----------------------------------------------------------------------------------------------------------------------------------
Net investment income 259,690 294,285 111,472 26,588
-----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain (loss) from investments
purchased options, swaps and futures (23,732) 292,115 290,698 196,744
Net realized gain (loss) from forward currency
contracts and foreign currency transactions 7,558 12,702 2,141 (137)
Net unrealized depreciation on investments,
forward currency contracts, foreign currency,
futures and other assets and liabilities (175,431) (355,800) (178,330) (133,258)
-----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments (191,605) (50,983) 114,509 63,349
-----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 68,085 $ 243,302 $ 225,981 $ 89,937
===================================================================================================================================
</TABLE>
See notes to financial statements
54
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
CONSERVATIVE BALANCED
--------------------------------------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, JUNE 30, 2000 DECEMBER 31,
(Unaudited) 1999 (Unaudited) 1999
===================================================================================================================================
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 259,690 $ 475,115 $ 294,285 $ 570,342
Net realized gain (loss) from investments,
forward currency contracts, foreign currency
transactions, futures and swaps (16,174) 27,498 304,817 444,994
Net unrealized appreciation (depreciation) of
investments, forward currency contracts,
foreign currency, futures, swaps and other
assets and liabilities (175,431) (336,720) (355,800) (229,268)
-----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 68,085 165,893 243,302 786,068
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net income (310,033) (23,901) (321,259) (64,317)
Net realized gain on investments (163,472) (52,558) (670,628) --
-----------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions
to shareholders (473,505) (76,459) (991,887) (64,317)
-----------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares 629,339 1,665,059 236,277 884,642
Net asset value of shares issued to shareholders
from reinvestment of distributions 473,505 76,441 991,887 64,194
Cost of shares repurchased (2,413,661) (4,237,300) (2,440,125) (7,342,482)
-----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from transactions
in shares of beneficial interest (1,310,817) (2,495,800) (1,211,961) (6,393,646)
-----------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS (1,716,237) (2,406,366) (1,960,546) (5,671,895)
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 11,588,480 13,994,846 17,041,385 22,713,280
-----------------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed net
investment income of $248,966, $299,309, $241,278
and $268,252, respectively) $ 9,872,243 $11,588,480 $15,080,839 $17,041,385
===================================================================================================================================
</TABLE>
See notes to financial statements
55
<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
--------------------------------------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, 2000 DECEMBER 31, JUNE 30, 2000 DECEMBER 31,
(Unaudited) 1999 (Unaudited) 1999
===================================================================================================================================
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 111,472 $ 193,903 $ 26,588 $ 44,177
Net realized gain from investments, forward currency
contracts, foreign currency transactions and futures 292,839 373,578 196,607 276,578
Net unrealized appreciation (depreciation) of investments,
forward currency contracts, foreign currency, futures
and other assets and liabilities (178,330) 173,140 (133,258) 151,182
-----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 225,981 740,621 89,937 471,937
-----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net income (36,009) (35,288) (5,280) (8,994)
Net realized gain on investments (422,293) -- (220,003) --
-----------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions
to shareholders (458,302) (35,288) (225,283) (8,994)
-----------------------------------------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 573,720 775,709 107,764 153,260
Net asset value of shares issued to shareholders from
reinvestment of distributions 458,302 35,280 225,283 8,997
Cost of shares repurchased (1,402,661) (5,470,645) (830,768) (2,255,140)
-----------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from transactions
in shares of beneficial interest (370,639) (4,659,656) (497,721) (2,092,883)
-----------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS (602,960) (3,954,323) (633,067) (1,629,940)
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 9,796,309 13,750,632 4,073,586 5,703,526
-----------------------------------------------------------------------------------------------------------------------------------
End of period (including underdistributed net
investment income of $88,784, $13,321, $24,635
and $3,327, respectively) $ 9,193,349 $ 9,796,309 $3,440,519 $4,073,586
===================================================================================================================================
</TABLE>
See notes to financial statements
56
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 200 CITISELECT(R) VIP FOLIO 300
CONSERVATIVE BALANCED
--------------------------------------------------------------------------------------------------
FOR THE PERIOD FOR THE PERIOD
SIX MONTHS YEAR ENDED FEBRUARY 10, SIX MONTHS YEAR ENDED FEBRUARY 10,
ENDED DECEMBER 31, 1997++ TO ENDED DECEMBER 31, 1997++ TO
JUNE 30, 2000 ------------------ DECEMBER 31, JUNE 30, 2000 ------------------ DECEMBER 31,
(Unaudited) 1999 1998 1997 (Unaudited) 1999 1998 1997
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $10.50 $10.40 $10.25 $10.00 $11.14 $10.67 $10.38 $10.00
-----------------------------------------------------------------------------------------------------------------------------------
Income from Operations:
Net investment income 0.584 0.427 0.316 0.339 0.409 0.368 0.271 0.251
Net realized and unrealized
gain (loss) on investments (0.490) (0.265) 0.427 0.436 (0.218) 0.138 0.458 0.609
-----------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.094 0.162 0.743 0.775 0.191 0.506 0.729 0.860
-----------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.330) (0.019) (0.281) (0.339) (0.240) (0.223) (0.251)
Net realized gain on investments (0.174) (0.043) (0.219) (0.157) (0.501) -- (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 (0.504) (0.062) (0.593) (0.525) (0.741) (0.439) (0.480)
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.09 $10.50 $10.40 $10.25 $10.59 $11.14 $10.67 $10.38
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $9,872 $11,588 $13,995 $10,321 $15,081 $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% 0.95% 0.95%*
Ratio of net investment income
to average net assets 4.88%* 3.75% 3.11% 3.43%* 3.75%* 2.95% 2.62% 3.00%*
Portfolio turnover rate 119% 297% 255% 231% 88% 225% 204% 241%
Total return 0.89%** 1.57% 7.33% 7.79%** 1.68%** 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 $0.346 $(0.017) $(0.025) $(0.006) $0.239 $0.026 $0.036 $(0.025)
RATIOS:
Expenses to average net assets 5.37%* 4.82% 4.30% 4.44%* 4.08%* 3.66% 3.23% 4.25%*
Net investment income (loss)
to average net assets 0.46%* (0.12)% (0.24)% (0.06)%* 0.62%* 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
57
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
CITISELECT(R) VIP FOLIO 400 CITISELECT(R) VIP FOLIO 500
GROWTH GROWTH PLUS
--------------------------------------------------------------------------------------------------
FOR THE PERIOD FOR THE PERIOD
SIX MONTHS YEAR ENDED FEBRUARY 10, SIX MONTHS YEAR ENDED FEBRUARY 10,
ENDED DECEMBER 31, 1997++ TO ENDED DECEMBER 31, 1997++ TO
JUNE 30, 2000 ------------------ DECEMBER 31, JUNE 30, 2000 ------------------ DECEMBER 31,
(Unaudited) 1999 1998 1997 (Unaudited) 1999 1998 1997
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period $11.06 $10.23 $10.28 $10.00 $9.62 $8.62 $10.48 $10.00
-----------------------------------------------------------------------------------------------------------------------------------
Income from Operations:
Net investment income 0.148 0.203 0.176 0.212 0.081 0.078 0.172 0.148
Net realized and unrealized
gain (loss) on investments 0.132 0.661 0.165 0.701 0.179 0.940 (0.065)# 0.917
-----------------------------------------------------------------------------------------------------------------------------------
Total from operations 0.280 0.864 0.341 0.913 0.260 1.018 0.107 1.065
-----------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.044) (0.034) (0.082) (0.206) (0.015) (0.018) (0.044) (0.144)
Net realized gain on investments (0.516) -- (0.193) (0.300) (0.625) -- (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 distributions (0.560) (0.034) (0.391) (0.633) (0.640) (0.018) (1.967) (0.585)
-----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.78 $11.06 $10.23 $10.28 $9.24 $9.62 $8.62 $10.48
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $9,193 $9,796 $13,751 $11,279 $3,441 $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% 1.25% 1.25%*
Ratio of net investment income
to average net assets 2.39%* 1.75% 1.50% 2.03%* 1.46%* 0.95% 0.97% 1.45%*
Portfolio turnover rate 63% 199% 265% 230% 24% 78% 146% 134%
Total return 2.50%** 8.47% 3.42% 9.22%** 2.65%** 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 $(0.113) $(0.322) $(0.164) $(0.124) $(0.462) $(0.922) $(0.584) $(0.186)
RATIOS:
Expenses to average net assets 6.06%* 5.44% 4.16% 4.46%* 12.38%* 10.38% 5.53% 4.52%*
Net investment (loss)
to average net assets (2.42)%* (2.44)% (1.41)% (1.18)%* (9.67)%* (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
58
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES CitiSelect(R) VIP Folio 200 Conservative,
CitiSelect(R) VIP Folio 300 Balanced, CitiSelect(R) VIP Folio 400 Growth and
CitiSelect(R) VIP Folio 500 Growth Plus (the "Funds") are each a separate series
of Variable Annuity Portfolios (the "Trust"), a Massachusetts business trust.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end, management investment company. Citibank, N.A. ("Citibank" or the
Manager) is the Investment Manager of each of the Funds. CFBDS, Inc. ("CFBDS")
acts as the Funds' Sub-Administrator. Shares of each Fund may only be purchased
or redeemed through variable annuity contracts and variable life insurance
policies offered by the separate accounts of participating insurance companies.
The financial statements are prepared in accordance with U.S. generally
accepted accounting principles which require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Funds are
as follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities are valued at the
last sale price on the exchange on which they are primarily traded, or at the
quoted bid price for securities in which there were no sales during the day, or
for unlisted securities not reported on the NASDAQ system. Securities listed on
a foreign exchange are valued at the last quoted sale price available. Bonds,
foreignbonds and other fixed income securities (other than short-term
obligations maturing in sixty days or less) are valued on the basis of
valuations furnished by a pricing service, the use of which has been approved by
the Trustees. In making such valuations, the pricing service utilizes both
dealer-supplied valuations and electronic data processing techniques which take
into account appropriate factors such as institutional-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data, without exclusive reliance upon
quoted prices or exchanges or over-the-counter prices. Short-term obligations
maturing in sixty days or less are valued at amortized cost, which constitutes
fair value as determined by the Trustees. Portfolio securities for which there
are no such quotations or valuations are valued at fair value as determined in
good faith by or under guidelines established by the Trustees. Trading in
securities on most foreign exchanges and in over-the-counter markets is normally
completed before the close of the New York Stock Exchange and may also take
place on days on which the New York Stock Exchange is closed. If events
materially affecting the value of foreign securities occur between the time when
the exchange on which they are traded closes and the time when each Fund's net
asset value is calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general supervision of
the Trustees.
59
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
B. INCOME -- Interest income consists of interest accrued and discount
earned, adjusted for amortization of premium or discount on debt securities when
required for U.S. federal income tax purposes. Gain and loss from principal
paydowns are recorded as interest income. Dividend income and other
distributions from investments are recorded on the ex-dividend date. Dividend
and interest income is recorded net of foreign taxes withheld where recovery of
such taxes is not assured.
C. FOREIGN CURRENCY TRANSLATION -- The accounting records of each Fund are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the current rate of exchange to determine the value of investments,
assets and liabilities. Purchases and sales of securities, as well as income and
expenses, are translated at the prevailing rate of exchange on the respective
dates of such transactions. The Funds do not isolate that portion of the results
of operations resulting from changes in foreign exchange rates on investments
from the fluctuation arising from changes in market prices of securities held.
Such fluctuations are included with the net realized and unrealized gain or loss
from investments. Translations of foreign currency includes net exchange gains
and losses, disposition of foreign currency and the difference between the
amount of investment income, expenses, foreign taxes recorded and the amount
actually received or paid.
D. FORWARD FOREIGN CURRENCY CONTRACTS -- Each of the Funds may enter into
forward foreign currency contracts ("contracts") in connection with planned
purchases or sales of securities, to hedge the U.S. dollar value of portfolio
securities denominated in a particular currency. Each of the Funds could be
exposed to risks if the counter-parties to the contracts are unable to meet the
terms of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar. The forward foreign currency
contracts are adjusted by the daily exchange rate of the underlying currency and
any gains or losses are recorded for financial statement purposes as unrealized
gains or losses until the contract settlement date.
E. FEDERAL TAXES -- Each Fund's policy is to comply with the provisions of
the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
F. EXPENSES -- Each Fund bears all costs of its operations other than
expenses specifically assumed by Citibank and CFBDS. Expenses incurred by the
Trust with respect to any two or more Funds are allocated in proportion to the
average net assets of each Fund, except when allocations of direct expenses to
each Fund can otherwise be made fairly. Expenses directly attributable to a Fund
are charged to that Fund.
60
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
G. FUTURES CONTRACTS -- The Funds may engage in futures transactions. The
Funds may use futures contracts in order to protect the Funds from fluctuation
in interest rates without actually buying or selling debt securities, or to
manage the effective maturity or duration of fixed income securities in the
Funds in an effort to reduce potential losses or enhance potential gains. Buying
futures contracts tends to increase the Funds' exposure to the underlying
instrument. Selling futures contracts tends to either decrease the Funds'
exposure to the underlying instrument, or to hedge other fund investments.
Upon entering into a futures contract, a Fund is required to deposit with
the broker an amount of cash or cash equivalents equal to a certain percentage
of the contract amount. This is known as the "initial margin". Subsequent
payments ("variation margin") are made or received by the Fund each day,
depending on the daily fluctuation of the value of the contract. The daily
changes in contract value are recorded as unrealized gains or losses and the
Fund recognizes a realized gain or loss when the contract is closed or expires.
Futures contracts are valued at the settlement price established by the board of
trade or exchange on which they are traded.
There are several risks in connection with the use of futures contracts as
a hedging device. The change in the value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in the value of the hedged instruments. In addition,
there is the risk that the Funds may not be able to enter into a closing
transaction because of an illiquid secondary market. Futures contracts involve,
to varying degrees, risk of loss in excess of the futures variation margin
reflected in the Statement of Assets and Liabilities.
H. PURCHASED OPTIONS -- The premium paid by a Fund for the purchase of a
call or a put option is included in the Funds' Statement of Assets and
Liabilities as an investment and subsequently marked-to market to reflect the
current market value of the option. When an option which a Fund has purchased
expires on the stipulated expiration date, the Fund will realize a loss in the
amount of the cost of the option. When a Fund enters into a closing sale
transaction, the Fund will realize a gain or loss, depending on whether the sale
proceeds from the closing sale transaction are greater or less than the cost of
the option. When a Fund exercises a put option, the Fund will realize a gain or
loss from sale of the underlying security and the proceeds from such sale will
be decreased by the premium originally paid. When a Fund exercises a call
option, the cost of the security which the Fund purchases upon exercise will be
increased by the premium originally paid.
I. SWAP AGREEMENTS -- To the extent permitted under respective investment
policies, the 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
61
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 0.01% 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 a Fund will generally enter into TBA purchase commitments with the
intention of acquiring securities for its portfolio, a Fund 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.
L. BENEFICIAL INTEREST -- At June 30, 2000, insurance companies or their
separate accounts were the record owners of all the shares of each Fund (See
Note 5).
62
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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 agreements 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 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 $39,573, $58,389,
$34,566 and $13,627, respectively, of which $27,131, $35,817, $17,927 and
$6,300, respectively, were voluntarily waived for the six months ended June 30,
2000. The Trust pays no compensation directly to any Trustee or any other
officer who is affiliated with the Administrator, all of whom receive
remuneration for their services to the Trust from the Administrator or its
affiliates.
63
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of securities, other
than short-term obligations, for the six months ended June 30, 2000, were as
follows:
PURCHASES SALES
================================================================================
CitiSelect(R) VIP Folio 200 Conservative $12,239,563 $12,935,783
CitiSelect(R) VIP Folio 300 Balanced $13,229,272 $15,133,210
CitiSelect(R) VIP Folio 400 Growth $ 5,458,208 $ 6,053,155
CitiSelect(R) VIP Folio 500 Growth Plus $ 951,674 $ 1,600,112
================================================================================
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at June 30, 2000, as
computed on a federal income tax basis, are as follows:
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE
================================================================================
Aggregate cost $ 11,253,071
--------------------------------------------------------------------------------
Gross unrealized appreciation $ 583,328
Gross unrealized depreciation (709,759)
--------------------------------------------------------------------------------
Net unrealized depreciation $ (126,431)
================================================================================
CITISELECT(R) VIP FOLIO 300 BALANCED
================================================================================
Aggregate cost $ 16,004,274
--------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,396,293
Gross unrealized depreciation (1,264,322)
--------------------------------------------------------------------------------
Net unrealized appreciation $ 131,971
================================================================================
CITISELECT(R) VIP FOLIO 400 GROWTH
================================================================================
Aggregate cost $ 9,079,726
--------------------------------------------------------------------------------
Gross unrealized appreciation $ 1,174,254
Gross unrealized depreciation (825,676)
--------------------------------------------------------------------------------
Net unrealized appreciation $ 348,578
================================================================================
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
================================================================================
Aggregate cost $ 3,263,980
--------------------------------------------------------------------------------
Gross unrealized appreciation $ 530,726
Gross unrealized depreciation (359,027)
--------------------------------------------------------------------------------
Net unrealized appreciation $ 171,699
================================================================================
64
<PAGE>
CITISELECT(R) VIP PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial
interest (without par value). Transactions in shares of beneficial interest were
as follows:
SIX MONTHS ENDED YEAR ENDED
CITISELECT(R) VIP FOLIO 200 CONSERVATIVE JUNE 30, 2000 DECEMBER 31, 1999
================================================================================
Shares sold 60,374 161,716
Shares reinvested 46,835 7,450
Shares repurchased (231,573) (411,068)
--------------------------------------------------------------------------------
Net decrease (124,364) (241,902)
================================================================================
CITISELECT(R) VIP FOLIO 300 BALANCED
================================================================================
Shares sold 21,335 83,111
Shares reinvested 93,222 6,022
Shares repurchased (220,050) (688,241
--------------------------------------------------------------------------------
Net decrease (105,493) (599,108)
================================================================================
CITISELECT(R) VIP FOLIO 400 GROWTH
================================================================================
Shares sold 52,586 75,616
Shares reinvested 42,278 3,389
Shares repurchased (127,746) (537,243)
--------------------------------------------------------------------------------
Net decrease (32,882) (458,238)
================================================================================
CITISELECT(R) VIP FOLIO 500 GROWTH PLUS
================================================================================
Shares sold 11,295 17,316
Shares reinvested 24,172 1,006
Shares repurchased (86,827) (256,804)
--------------------------------------------------------------------------------
Net decrease (51,360) (238,482)
================================================================================
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 six months ended June 30, 2000. The amounts are as follows:
================================================================================
CitiSelect(R) VIP Folio 200 Conservative $205,750
CitiSelect(R) VIP Folio 300 Balanced $207,272
CitiSelect(R) VIP Folio 400 Growth $204,842
CitiSelect(R) VIP Folio 500 Growth Plus $195,892
================================================================================
65
<PAGE>
CITIFUNDS(R) SMALL CAP GROWTH VIP PORTFOLIO
LETTER TO OUR SHAREHOLDERS
Dear CitiFunds Shareholder:
During the six months ended June 30, 2000, the U.S. stock market
experienced historic levels of volatility. The continuing growth of the U.S. and
global economies--coupled with rising interest rates and shifts in investor
psychology--largely contributed to the wide fluctuations in stock prices. Yet,
despite higher stock market volatility, some small company stocks provided
competitive returns during the period.
Throughout the reporting period, the CitiFunds' investment adviser,
Citibank, N.A., continued to manage CitiFunds(R) Small Cap Growth VIP Portfolio
with the goal of achieving its investment objective of long-term capital growth.
This report reviews the Portfolio's investment activities and performance
during the reporting period, and provides a summary of Citibank's perspective on
as well as its outlook for the small cap growth sector of the U.S. stock market.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
----------------------
Philip W. Coolidge
President
July 17, 2000
66
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
DURING NOVEMBER AND DECEMBER 1999, THE SMALL CAP GROWTH SECTOR OF THE U.S.
STOCK MARKET EXPERIENCED A STRONG RALLY FUELED BY INVESTOR OPTIMISM OVER THE
GROWTH OF THE SO-CALLED "NEW ECONOMY"--NAMELY, THOSE COMPANIES OPERATING IN THE
TECHNOLOGY, TELECOMMUNICATIONS AND INTERNET SECTORS. In fact, small cap growth
stocks (i.e., companies with the potential for faster-than-average growth within
their industries) performed significantly better than small, value-oriented
stocks (i.e., companies whose shares are considered to be inexpensive relative
to their asset values or earning power) as well as most areas of the large cap
sector of the stock market. The rise of small cap growth stocks during the
period was driven primarily by the performance of technology and
telecommunications stocks.
AS A RESULT, SEVERAL MAJOR U.S. STOCK MARKET INDEXES, INCLUDING THE RUSSELL
2000(R) INDEX,(1) REACHED RECORD LEVELS BY THE END OF 1999. However, a closer
examination showed that many investors had started to turn their attention away
from the better-known and high-quality companies that had previously led the
U.S. stock market. Moreover, many investors gravitated to younger and more
speculative technology companies that they believed had great future potential.
During the first four months of 2000, however, investor optimism regarding
the "New Economy" dissipated, triggering a drop in the prices of many large and
small cap growth stocks. Despite a rally in February 2000, small cap shares
began to fall primarily due to investors' concerns regarding these companies'
fundamentals and valuations.
Faced with growing evidence that the U.S. economy was gaining momentum and
that inflationary pressures were building, many investors thought that some
growth stock prices might have gone too high relative to traditional measures
such as revenues and earnings. As a result, despite the February rally, small
cap stocks have for the most part declined so far in 2000. In fact, between
mid-March and the end of April, the tech-laden NASDAQ Composite Index2 fell more
than 35%, including a single-day drop of 10% on April 14, 2000.
THE STOCK MARKET'S HIGHER VOLATILITY TOOK PLACE AGAINST A BACKDROP OF
ROBUST U.S. ECONOMIC GROWTH AND RISING INTEREST RATES. Strengthening economies
worldwide caused investors to think that robust global and domestic demand for
goods and services would in turn fuel rising revenues and earnings for U.S.
companies. However, higher interest rates tended to have the opposite effect,
dampening investor enthusiasm due to the adverse effects of higher financing
costs on corporate earnings.
(1) The Russell 2000(R) Index measures the performance of the 2,000 smallest
companies in the Russell 3000(R) Index, which represents approximately 8%
of the total market capitalization of the Russell 3000(R) Index. The
Russell 3000(R) Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.
(2) The NASDAQ Composite Index is a market value-weighted index that measures
all domestic and non-U.S. based securities listed on the NASDAQ stock
market.
67
<PAGE>
During the reporting period, CitiFunds Small Cap Growth VIP Portfolio
maintained its investment focus on small cap growth companies that met its
stated investment criteria. Despite market challenges, management has continued
to allocate a portion of its assets judiciously to Internet stocks, focusing on
those companies believed to have attractive growth potential and definable
valuation parameters.
However, the Portfolio's management team tended to avoid many of those
speculative high-flyers that most investors associated with the Internet during
the reporting period. Instead of investing in the so-called "dot.com" companies,
THE MANAGEMENT TEAM ESTABLISHED OR INCREASED POSITIONS PRIMARILY IN SMALL
TECHNOLOGY COMPANIES THAT PROVIDE HARDWARE AND INFRASTRUCTURE FOR THE INTERNET.
This area includes telecommunications companies that, in management's view,
should be prime beneficiaries of growing demand for the transmission of voice,
video and data over telephone lines at faster speeds. According to management,
many of these companies have business models that are either proven or
profitable today.
The Portfolio also benefited from the performance of its energy service
holdings that benefited from higher oil prices. Although the financial services
sector generally did not perform as well as the overall stock market during the
period, the manager's emphasis on fee-based asset management firms contributed
positively to the performance of the Portfolio during the period.
Looking forward, management expects heightened stock market volatility to
continue in 2000. While no guarantees can be given, management also believes
that the recent market correction was a generally positive development, setting
new standards for many technology company valuations. The managers intend to
take advantage of buying opportunities created during this correction, adding to
the Portfolio's holdings in small-cap companies at what they deem to be
relatively attractive prices. (Of course, no assurances can be made that they
will be successful.)
OVER THE LONG TERM, MANAGEMENT BELIEVES THAT CONDITIONS REMAIN POSITIVE FOR
MANY SMALL CAP GROWTH COMPANIES and that investors may be beginning to recognize
that small cap growth companies embody the positive and dynamic entrepreneurial
forces driving the U.S. economy. In the opinion of management, these growing
enterprises often provide excellent opportunities to participate in some of the
fastest growing sectors of the U.S. economy.
68
<PAGE>
CITIFUNDS(R) SMALL CAP GROWTH VIP PORTFOLIO
FUND PERFORMANCE
TOTAL RETURNS
ALL PERIODS ENDED JUNE 30, 2000
================================================================================
SINCE
SIX ONE 2/10/97
MONTHS** YEAR INCEPTION*
-------- ---- ----------
CitiFunds(R) Small Cap Growth VIP Portfolio ..... 12.97% 54.33% 16.48%
Russell 2000(R) Growth Index .................... 1.23% 28.39% 16.18%
================================================================================
* Average Annual Total Return
** Not Annualized
GROWTH OF A $10,000 INVESTMENT
A $10,000 investment in the Fund made on inception date would have grown to
$16,764 (as of 6/30/00). The graph shows how the Fund compares to its benchmark
over the same period.
[Table below represents line chart in its printed piece]
CITIFUNDS
SMALL CAP
GROWTH RUSSELL 2000(R)
VIP PORTFOLIO GROWTH INDEX+
------------- -------------
2/10/97 10000 10000
9550 9758
9050 9297.42
8730 9323.46
10000 10360.2
10520 10804.7
7/31/97 10860 11307.1
11020 11566
11960 12412.7
11350 11867.7
11240 11790.6
11210 11996.9
1/31/98 10860 11807.6
12120 12681.4
12660 13203.9
12760 13276.5
11710 12560.9
12490 12587.3
7/31/98 11340 11567.7
8550 9321.25
9240 10051.1
9480 10461.2
10140 11009.3
10783.8 11690.8
1/31/99 10817.5 11846.3
9772.77 10886.8
9997.44 11056.6
10222.1 12047.3
10222.1 12223.2
10862.4 12775.7
7/31/99 10986 12425.6
11019.7 11965.8
11480.2 11968.2
11996.9 12017.3
12996.7 12734.8
14838.9 14176.3
1/31/00 14794 13948.1
18523.3 16250.9
17040.6 15180
15636.4 14266.1
14546.8 13434.4
6/30/00 16763.5 14605.9
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.
Russell 2000(R) Growth Index measures the performance of those Russell
2000(R) companies with higher price-to-book ratios and higher forecasted growth
values.
69
<PAGE>
CITISELECT SMALL CAP GROWTH VIP FOLIO
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
COMMON STOCK -- 89.8%
--------------------------------------------------------------------------------
CAPITAL GOODS/PRODUCER MANUFACTURING -- 7.9%
--------------------------------------------------------------------------------
Alliant Techsystems Inc. * 335 $ 22,592
Applied Power Inc. 810 27,135
Aptargroup Inc. 1,744 47,088
Cleco Corp. 890 29,815
Mettler Toledo International Inc.* 1,329 53,160
National Instruments Corp. * 1,407 61,380
Newport Corp. 660 70,867
Shaw Group Inc.* 1,375 64,797
Verticalnet Inc. * 590 21,793
-----------
398,627
-----------
COMMERCIAL SERVICES -- 3.8%
--------------------------------------------------------------------------------
Aeroflex Inc.* 675 33,539
Broadvision Inc.* 815 41,412
Capstone Turbine Corp.* 69 3,109
Clarus Corp.* 250 9,719
Cylink Corp.* 1,285 21,524
Informatica Corp. 90 7,374
National Computer Systems Inc. 740 36,445
Source Information Management Co.* 2,616 39,894
-----------
193,016
-----------
CONSUMER SERVICES -- 6.0%
--------------------------------------------------------------------------------
Beringer Wine Estates Holdings* 552 19,493
Callaway Golf Co. 1,335 21,777
Catalina Marketing Corp.* 747 76,194
Emmis Communications Corp.* 620 25,652
Ethan Allen Interiors Inc. 721 17,304
Hispanic Broadcasting Corp. * 764 25,308
Houghton Mifflin Co. 550 25,678
Imax Corp.* 470 10,693
P.F. Chang's China Bistro Inc.* 390 12,456
Scholastic Corp.* 385 23,533
Station Casinos Inc.* 415 10,375
Westwood One Inc.* 614 20,953
XM Satellite Radio Holdings Inc.* 370 13,851
-----------
303,267
-----------
ELECTRONIC/TECHNICAL SERVICES --16.6%
--------------------------------------------------------------------------------
Accelerated Networks Inc.* 14 591
Acnielson Corp.* 545 11,990
Bisys Group Inc.* 783 48,155
C-Cube Microsystems Inc.* 1,016 19,939
E Piphany Inc.* 220 23,581
Emulex Corp.* 626 41,120
Intertrust Technologies Corp.* 270 5,552
Interwoven Inc. 37 4,069
Iona Technologies Plc.*ADRs 425 26,775
MMC Networks Inc.* 1,105 59,048
Macromedia Inc.* 769 74,353
Macrovision Corp. * 550 35,157
Methode Electronics Inc. 1,125 43,453
Micrel Inc.* 1,770 76,884
Network Appliance Inc.* 442 35,581
New Era Networks Inc.* 155 6,587
Paradyne Corp.* 695 22,631
Powerwave Technologies Inc. * 662 29,128
Remedy Corp.* 825 45,994
Sandisk Corp.* 345 21,110
Sawtek Inc.* 595 34,250
Semtech Corp.* 755 57,746
Silicon Storage Technology Inc.* 430 37,974
Sonus Networks Inc.* 62 9,788
Stratos Lightwave Inc.* 235 6,551
Ultimate Electronics Inc.* 710 19,026
USinternet working, Inc.* 547 11,179
Watchguard Technologies Inc.* 250 13,734
Wink Communications Inc.* 665 20,283
-----------
842,229
-----------
ENERGY/MINERAL -- 7.5%
--------------------------------------------------------------------------------
Cal Dive International Inc.* 1,045 56,626
Coflexip ADRs 920 55,660
Hanover Compressor Co.* 1,750 66,500
Precision Drilling Corp.* 1,480 57,165
R & B Falcon Corp.* 4,920 115,928
Varco International Inc.* 1,275 29,644
-----------
381,523
-----------
FINANCE -- 4.0%
--------------------------------------------------------------------------------
Affiliated Managers Group Inc.* 285 12,967
Banknorth Group Inc. 2,548 39,016
70
<PAGE>
CITISELECT SMALL CAP GROWTH VIP FOLIO
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
Chittenden Corp. 1,561 $ 38,147
Cullen Frost Bankers Inc. 1,930 50,783
Presidential Life Insurance Corp. 540 7,492
SEI Investments Co. 750 29,859
West America Bancorporation 890 23,251
-----------
201,515
-----------
HEALTH SERVICES/TECHNOLOGY --14.3%
--------------------------------------------------------------------------------
Affymetrix Inc.* 115 18,989
Alpharma Inc. 710 44,198
Andrx Corp.* 465 29,724
Apria Healthcare Group Inc.* 1,920 23,520
Aurora Bioscience Corp.* 285 19,433
Cima Labs Inc.* 435 8,809
Corixa Corp.* 825 35,423
Curagen Corp.* 250 9,516
Emisphere Technologies Inc.* 380 16,192
Enzon Inc.* 630 26,775
Genset SA* ADRs 620 14,337
Gilead Sciences Inc.* 615 43,742
Idec Pharmaceuticals Corp.* 395 46,338
Incyte Pharmaceuticals Inc.* 220 18,081
K V Pharmaceuticals Co.* 118 3,127
Lifepoint Hospitals Inc.* 1,095 24,364
Medarex Inc.* 230 19,435
Medicis Pharmaceutical Corp.* 580 33,060
Millennium Pharmaceuticals Inc.* 622 69,586
Multex Systems Inc.* 317 7,984
Nanogen Inc.* 270 11,458
Pharmacyclics Inc.* 370 22,570
Shire Pharmaceuticals Group Plc* ADRs 1,213 62,924
Transkaryotic Therapies Inc.* 175 6,431
Triad Hospitals Inc.* 730 17,657
Varian Inc.* 1,930 89,021
-----------
722,694
-----------
INDUSTRIAL SERVICES -- 1.6%
--------------------------------------------------------------------------------
Gasonics International Corp.* 1,045 41,212
Gentex Corp. * 760 19,095
Harmonic Inc.* 764 18,909
-----------
79,216
-----------
RETAIL --2.9%
--------------------------------------------------------------------------------
Cost Plus Inc.* 1,412 40,507
Footstar Inc.* 285 9,476
Linens 'n Things Inc.* 1,200 32,550
O'Reilly Automotive Inc. * 2,896 40,182
Zale Corp. * 605 22,083
-----------
144,798
-----------
SEMI-CONDUCTOR --6.8%
--------------------------------------------------------------------------------
ATMI Inc.* 495 23,018
Alpha Industries Inc.* 405 17,845
Amkor Technology Inc.* 885 31,252
Anadigics Inc.* 595 20,267
Cree Inc.* 95 12,682
Cypress Semiconductor
Corp.* 260 10,985
Emcore Corp.* 771 92,520
Microchip Technology Inc.* 328 19,111
Transwitch Corp.* 820 63,294
Triquint Semiconductor Inc.* 410 39,232
Virata Corp.* 240 14,310
-----------
344,516
-----------
SOFTWARE -- 5.5 %
--------------------------------------------------------------------------------
Active Software Inc.* 495 38,455
Activision Inc.* 4,095 26,618
Art Technology Group Inc.* 445 44,917
Bindview Development
Corp.* 1,110 13,320
HNC Software Inc.* 250 15,438
Mercury Interactive Corp.* 1,296 125,388
Microstrategy Inc.* 415 12,450
Oni Systems Corp.* 35 4,102
-----------
280,688
-----------
TECHNOLOGY SERVICES -- 5.9%
--------------------------------------------------------------------------------
California Amplifier Inc. 1,325 60,619
Celeritek Inc. 690 28,161
Idex Corp. 940 29,669
Mattson Technology Inc.* 1,069 34,743
Nextel Partners Inc.* 475 15,467
Oak Technology* 2,180 47,006
Spectralink Corp. 1,235 18,062
Western Wireless Corp.* 1,185 64,583
-----------
298,310
-----------
71
<PAGE>
CITISELECT SMALL CAP GROWTH VIP FOLIO
PORTFOLIO OF INVESTMENTS (Continued) June 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 6.3%
--------------------------------------------------------------------------------
Covad Communications Group Inc.* 766 $ 12,352
Digital IS Inc.* 230 11,184
Digital Lightwave Inc.* 165 16,582
Digital Microwave Corp.* 555 21,159
Dobson Communications
Corp.* 770 14,823
Exar Corp.* 420 36,619
Expo Electro Optical Energy Inc. 129 3,354
Nextlink
Communications Inc. 592 22,456
P C Telephone Inc.* 200 7,600
Pinnacle Holdings Inc.* 985 53,190
Powertel Inc.* 390 27,666
Remec Inc.* 1,442 60,384
Research in Motion Ltd.* 197 8,914
Silicon Image Inc. 440 21,945
-----------
318,228
-----------
TRANSPORTATION -- 0.7%
--------------------------------------------------------------------------------
C H Robinson Worldwide 532 26,334
Eagle USA Airfreight Inc.* 382 11,747
-----------
38,081
-----------
TOTAL COMMON STOCKS
(Identified Cost $3,991,391) 4,546,708
-----------
SHORT-TERM OBLIGATIONS -- 10.9%
--------------------------------------------------------------------------------
Student Loan Marketing
Association Discount Note
6.57% due 7/03/00 550,000
-----------
TOTAL INVESTMENTS
(Identified Cost $4,541,391) 100.7% 5,096,708
OTHER ASSETS,
LESS LIABILITIES (0.7) (36,511)
---------- -----------
NET ASSETS 100.0% $ 5,060,197
========== ===========
* Non-income producing
ADRs--American Depository Receipts
See notes to financial statements
72
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
===============================================================================
ASSETS:
Investments at value (Note 1A) (Identified Cost, $4,541,391) $5,096,708
Cash 2,499
Receivable for shares of beneficial interest sold 54,118
Receivable for investments sold 22,276
Dividends and interest receivable 174
Receivable from Sub-Administrator 32,941
-------------------------------------------------------------------------------
Total assets 5,208,716
-------------------------------------------------------------------------------
LIABILITIES:
Payable for shares of beneficial interest repurchased 55,514
Payable for investments purchased 50,605
Accrued expenses and other liabilities 42,400
-------------------------------------------------------------------------------
Total liabilities 148,519
-------------------------------------------------------------------------------
NET ASSETS for 369,622 shares of beneficial interest outstanding $5,060,197
===============================================================================
NET ASSETS CONSIST OF:
Paid-in capital $3,892,411
Unrealized appreciation of investments 555,317
Accumulated net realized gain on investments 619,814
Accumulated net investment loss (7,345)
-------------------------------------------------------------------------------
Total $5,060,197
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST $13.69
================================================================================
See notes to financial statements
73
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1B):
Interest income $ 8,416
Dividend income 4,568
--------------------------------------------------------------------------------
$ 12,984
--------------------------------------------------------------------------------
EXPENSES:
Custody and fund accounting fees $ 57,005
Transfer agent fees 17,963
Management fees (Note 2) 16,874
Audit fees 10,850
Shareholder reports 10,619
Legal fees 3,095
Trustee fees 2,542
Miscellaneous 616
--------------------------------------------------------------------------------
Total expenses 119,564
Less aggregate amount waived by the Manager (Note 2) (16,874)
Less expense assumed by the Sub-Administrator (Note 6) (82,361)
--------------------------------------------------------------------------------
Net expenses 20,329
--------------------------------------------------------------------------------
Net investment loss (7,345)
--------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments 640,847
Unrealized depreciation from investments (148,478)
--------------------------------------------------------------------------------
Net realized and unrealized gain on investments 492,369
--------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $485,024
================================================================================
See notes to financial statements
74
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(unaudited) 1999
================================================================================
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss $ (7,345) $ (11,378)
Net realized gain on investments 640,847 425,218
Unrealized appreciation (depreciation) of investments (148,478) 448,441
-------------------------------------------------------------------------------
Net increase in net assets resulting from operations 485,024 862,281
-------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain on investments (420,933) --
-------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (Note 5):
Net proceeds from sale of shares 1,351,821 1,499,089
Net asset value of shares issued to shareholders
from reinvestment of distributions 420,933 --
Cost of shares repurchased (589,029) (554,718)
-------------------------------------------------------------------------------
Net increase in net assets from transactions
in shares of beneficial interest 1,183,725 944,371
-------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 1,247,816 1,806,652
-------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 3,812,381 2,005,729
-------------------------------------------------------------------------------
End of period (accumulated net investment loss
of $7,345 and $0, respectively) $5,060,197 $3,812,381
================================================================================
See notes to financial statements
75
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
Financial Highlights
FEBRUARY 10, 1997
SIX MONTHS YEAR ENDED (COMMENCEMENT
ENDED DECEMBER 31, OF OPERATIONS) TO
JUNE 30, 2000 ---------------- DECEMBER 31,
(Unaudited) 1999 1998 1997
================================================================================
Net Asset Value,
beginning of period $13.21 $ 9.60 $11.21 $10.00
--------------------------------------------------------------------------------
Income From Operations:
Net investment loss (0.02) (0.04) (0.08) (0.05)
Net realized gain (loss)
on investments 1.76 3.65 (0.42)# 1.26
--------------------------------------------------------------------------------
Total from operations 1.74 3.61 (0.50) 1.21
--------------------------------------------------------------------------------
Less Distributions From:
Net realized gain on investments (1.26) -- (1.11) --
--------------------------------------------------------------------------------
Net Asset Value, end of period $13.69 $13.21 $ 9.60 $11.21
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
period (000's omitted) $5,060 $3,812 $2,006 $3,091
Ratio of expenses to
average net assets 0.90%* 0.90% 0.90% 0.90%*
Ratio of net investment
loss to average net assets (0.33)%* (0.52)% (0.72)% (0.49)%*
Portfolio turnover 55% 150% 94% 113%
Total return 12.97%** 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 $(0.29) $(0.68) $(0.64) $(0.52)
RATIOS:
Expenses to average
net assets 5.31%* 9.40% 5.74% 5.50%*
Net investment loss to
average net assets (4.74)%* (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
76
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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
77
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
income and net realized gains available for distribution (or available capital
loss carryovers) under income tax rules and regulations.
F. REPURCHASE AGREEMENTS -- It is the policy of the Fund to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry System or to have segregated within the custodian bank's
vault, all securities held as collateral in support of repurchase agreements.
Additionally, procedures have been established by the Fund to monitor, on a
daily basis, the market value of the repurchase agreement's underlying
investments to ensure the existence of a proper level of collateral.
G. BENEFICIAL INTEREST -- At June 30, 2000, insurance companies or their
separate accounts were the record owners of all the shares of the Fund. (See
Note 5)
H. OTHER -- Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
2. MANAGEMENT FEES CITIBANK is responsible for overall management of the Fund's
business affairs and has a separate Management Agreement with the Fund. Citibank
also provides certain administrative services to the Fund. These administrative
services include providing general office facilities and supervising the overall
administration of the Fund. CFBDS acts as sub-administrator and performs such
duties and receives such compensation from Citibank as from time to time is
agreed to by Citibank and CFBDS. Citibank is a wholly-owned subsidiary of
Citigroup Inc.
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 $16,874, all
of which was voluntarily waived for the six months ended June 30, 2000.
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other
than short-term obligations, aggregated $2,755,829 and $2,253,746, respectively,
for the six months ended June 30, 2000.
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at June 30, 2000 as
computed on a federal income tax basis, are as follows:
Aggregate cost $4,541,391
================================================================================
Gross unrealized appreciation $ 966,642
Gross unrealized depreciation (411,325)
--------------------------------------------------------------------------------
Net unrealized appreciation $ 555,317
================================================================================
78
<PAGE>
CITIFUNDS SMALL CAP GROWTH VIP PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial
interest (without par value). Transactions in shares of beneficial interest were
as follows:
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(Unaudited) 1999
================================================================================
Shares sold 90,785 136,874
Shares reinvested 30,217 --
Shares repurchased (39,934) (57,218)
--------------------------------------------------------------------------------
Net increase 81,068 79,656
================================================================================
Citicorp Life Insurance Co. and First Citicorp Life I nsurance 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 six months ended June 30, 2000, which
amounted to $82,361.
79
