<PAGE>
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Cash Reserves Portfolio
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PORTFOLIO OF INVESTMENTS February 28, 1995 (unaudited)
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PRINCIPAL
AMOUNT
ISSUER (000'S) VALUE
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BANK NOTES--5.2%
Bank of New York
6.90%, due 11/28/95 .................. $50,000 $ 49,957,968
Nationsbank, Texas
7.55%, due 1/9/96 .................... 25,000 25,007,277
Northern Trust Bank Co.
5.75%, due 7/20/95 ................... 28,000 27,994,808
-----------
102,960,053
===========
CERTIFICATES OF DEPOSIT
(EURODOLLARS)--3.4%
Barclays Bank
6.94%, due 10/17/95 .................. 67,000 66,982,682
-----------
CERTIFICATES OF DEPOSIT
(YANKEE)--24.5%
Amro
6.08%, due 3/30/95 ................... 23,000 23,001,100
Bank of Montreal
6.05%, due 4/17/95 ................... 40,000 40,000,259
Bank of Nova Scotia
6.09%, due 3/30/95 ................... 90,000 90,002,381
Dai Ichi Kangyo, New York
6.22%, due 5/8/95..................... 55,000 55,001,023
Fuji Bank,
6.05%, due 3/24/95.................... 100,000 100,000,000
Mitsubishi Bank, New York
7.35%, due 12/6/95.................... 50,000 50,000,000
7.625%, due 12/29/95.................. 25,000 25,036,901
Societe Generale Bank
6.00%, due 3/1/95..................... 50,000 50,000,000
7.41%, due 1/23/96.................... 25,000 25,002,119
Sumitomo Bank
6.20%, due 5/22/95.................... 25,000 25,000,561
----------
483,044,344
----------
COMMERCIAL PAPER--9.1%
Bankers Trust Co., New York
6.05%, due 3/28/95.................... 50,000 49,773,125
Ford Motor Credit Corp.
6.05%, due 3/28/95.................... 85,000 84,614,313
General Electric Capital Co.
6.73%, due 10/16/95................... 25,000 23,929,743
Merrill Lynch & Co. Inc.
5.98%, due 3/10/95.................... 20,000 19,970,100
-----------
178,287,281
-----------
FLOATING RATE NOTES--27.4%
Bank One, Chicago
6.15%, due 2/12/96.................... 50,000 50,000,000
Bankers Trust Co., New York
6.17%, due 6/20/95.................... 30,000 29,995,624
Boatmens Bank Southern Missouri
6.14%, due 8/3/95..................... 50,000 49,995,753
Boatmens First National Bank, Kansas
6.19%, due 2/14/96.................... 40,000 40,000,000
FCC National Bank, Delaware
6.17%, due 12/20/95................... 50,000 50,000,000
General Electric Capital Co.
6.115%, due 2/16/96................... 50,000 49,983,077
6.14%, due 5/22/95.................... 25,000 25,000,000
Key Bank, N.Y.
6.09%, due 9/26/95.................... 50,000 49,977,096
Pittsburgh National Bank
6.04%, due 7/26/95.................... 70,000 69,971,808
Royal Bank of Canada
6.24%, due 6/8/95..................... 25,000 25,000,000
Society National Bank
6.09%, due 9/6/95..................... 50,000 49,977,216
Svenska Handelsbanken
6.05%, due 6/28/95.................... 50,000 49,993,200
----------
539,893,774
----------
TIME DEPOSIT--9.6%
Dai Ichi Kangyo, New York
6.063%, due 3/1/95 ................... 40,000 40,000,000
NationsBank Corp.
6.063%, due 3/1/95.................... 70,000 70,000,000
State Street Bank, Cayman Islands
6.125%, due 3/1/95.................... 78,335 78,335,000
----------
188,335,000
-----------
UNITED STATES AGENCY--3.1%
Federal National Mortgage Association
6.00%, due 3/2/95..................... 20,500 20,496,583
6.86%, due 2/28/96.................... 40,000 39,965,719
-----------
60,462,302
-----------
UNITED STATES GOVERNMENT--9.7%
United States Treasury Bills
5.19%, due 7/27/95.................... 50,000 48,933,167
5.355%, due 8/24/95................... 145,000 141,202,067
-----------
190,135,234
----------
REPURCHASE AGREEMENT--8.9%
Salomon Repurchase Agreement
6.13% and 6.20%, dated 2/28/95,
due 3/1/95 proceeds
at maturity $175,029,896
(secured by $211,021,000
U.S. Treasury Note, 6.25%,
due 8/15/23).......................... 175,000 175,000,000
-----------
TOTAL INVESTMENTS
AT AMORTIZED COST.................... 100.9% 1,985,100,670
OTHER ASSETS, LESS LIABILITIES.......... (0.9%) (17,215,405)
------ --------------
NET ASSETS.............................. 100.0% $1,967,885,265
====== ==============
See notes to financial statements
<PAGE>
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Cash Reserves Portfolio
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STATEMENT OF ASSETS AND LIABILITIES February 28, 1995 (unaudited)
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ASSETS:
Investments at value (Note 1A)....................... $1,985,100,670
Cash................................................. 410
Interest receivable.................................. 8,275,010
Deferred organization expenses (Note 1E)............. 2,117
--------------
Total assets..................................... $1,993,378,207
--------------
LIABILITIES:
Payable for investments purchased.................... 25,335,382
Payable to affiliate--
investment advisory fee (Note 2A).................. 51,757
Accrued expenses and other liabilities............... 105,803
--------------
Total liabilities................................ 25,492,942
--------------
NET ASSETS .......................................... $1,967,885,265
==============
REPRESENTED BY:
Paid-in capital for beneficial interests............. $1,967,885,265
==============
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Cash Reserves Portfolio
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STATEMENT OF OPERATIONS For the Six Months Ended February 28, 1995 (unaudited)
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INTEREST INCOME (Note 1B)...................... $56,663,200
EXPENSES:
Investment advisory fees (Note 2A)............. $ 1,541,592
Administrative fees (Note 2B).................. 513,864
Custodian fees................................. 300,442
Auditing fees.................................. 20,800
Trustees fees.................................. 20,621
Legal fees..................................... 7,635
Amortization of organization expenses
(Note 1E).................................... 5,593
Miscellaneous.................................. 74,249
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Total expenses............................... 2,484,796
Less aggregate amount waived by Investment
Adviser and Administrator
(Notes 2A and 2B).......................... (1,457,066)
----------
Net expenses................................. 1,027,730
-----------
Net investment income........................ $55,635,470
===========
See notes to financial statements
<PAGE>
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Cash Reserves Portfolio
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STATEMENT OF CHANGES IN NET ASSETS
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SIX MONTHS ENDED
FEBRUARY 28, 1995 YEAR ENDED
(UNAUDITED) AUGUST 31, 1994
----------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income.................... $ 55,635,470 $ 46,640,474
-------------- --------------
CAPITAL TRANSACTIONS:
Proceeds from contributions............. 10,786,097,742 11,522,208,314
Value of withdrawals.................... (11,021,208,534) (10,202,958,307)
--------------- ---------------
Net increase (decrease) in net
assets from capital transaction........ (235,110,792) 1,319,250,007
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS .. (179,475,322) 1,365,890,481
NET ASSETS:
Beginning of period..................... 2,147,360,587 781,470,106
--------------- ---------------
End of period........................... $ 1,967,885,265 $ 2,147,360,587
=============== ===============
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Cash Reserves Portfolio
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FINANCIAL HIGHLIGHTS
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<TABLE>
<CAPTION>
MAY 3, 1990
SIX MONTHS ENDED YEAR ENDED AUGUST 31, (COMMENCEMENT OF
FEBRUARY 28, 1995 ---------------------------------------- OPERATIONS) TO
(UNAUDITED) 1994 1993 1992 1991 AUGUST 31, 1990
---------------- ---- ---- ---- ---- ---------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets (000 omitted)............................ $1,967,885 $ 2,147,361 $ 781,470 $901,024 $847,811 $415,400
Ratio of expenses to average net assets ............ 0.10%<F1> 0.11% 0.20% 0.25% 0.25% 0.26%<F1>
Ratio of net investment income to
average net assets................................ 5.41%<F1> 3.87% 3.15% 4.42% 6.75% 8.01%<F1>
Note: If agents of the Portfolio had not voluntarily waived a portion of their fees for the periods indicated, the ratios would
have been as follows:
Ratios:
Ratio of expenses to average net assets .......... 0.24%<F1> 0.24% 0.25% 0.25% 0.25% 0.26%<F1>
Net investment income to average net assets....... 5.27%<F1> 3.74% 3.10% 4.42% 6.75% 8.01%<F1>
<FN>
<F1>Annualized
See notes to financial statements
</TABLE>
<PAGE>
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Cash Reserves Portfolio
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NOTES TO FINANCIAL STATEMENTS (unaudited)
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(1) SIGNIFICANT ACCOUNTING POLICIES
Cash Reserves Portfolio (the "Portfolio") is registered under the U.S.
Investment Company Act of 1940, as amended, as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Declaration of Trust permits the Trustees to issue
beneficial interests in the Portfolio. Signature Financial Group (Grand Cayman),
Ltd. ("SFG") acts as the Portfolio's Administrator and Citibank, N.A.
("Citibank") acts as the Investment Adviser.
The significant accounting policies consistently followed by the Portfolio are
in conformity with U.S. generally accepted accounting principles and are as
follows:
A. VALUATION OF INVESTMENTS -- Money market instruments are valued at amortized
cost, which the Trustees have determined in good faith constitutes fair value.
This method involves valuing a portfolio security at its cost and thereafter
assuming a constant amortization to maturity of any discount or premium. The
Portfolio's use of amortized cost is subject to the Portfolio's compliance with
certain conditions as specified under Rule 2a-7 of the Investment Company Act of
1940.
B. INTEREST INCOME AND EXPENSES -- Interest income consists of interest accrued
and discount earned (including both original issue and market discount) on the
investments of the Portfolio, accrued ratably to the date of maturity, plus or
minus net realized gain or loss, if any, on investments. Expenses of the
Portfolio are accrued daily.
C. U.S. FEDERAL INCOME TAXES -- The Portfolio is considered a partnership under
the U.S. Internal Revenue Code. Accordingly, no provision for federal income
taxes is necessary.
D. REPURCHASE AGREEMENTS -- It is the policy of the Portfolio 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 agreement
investments. Additionally, procedures have been established by the Portfolio 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.
E. DEFERRED ORGANIZATION EXPENSES -- Expenses incurred by the Portfolio in
connection with its organization have been deferred and are being amortized on a
straight-line basis not to exceed five years.
F. OTHER -- Purchases and maturities and sales of money market instruments are
accounted for on the date of the transaction.
(2) INVESTMENT ADVISORY FEE AND ADMINISTRATIVE FEE
A. INVESTMENT ADVISORY FEE -- The investment advisory fee paid to Citibank, as
compensation for overall investment management services, amounted to $1,541,592,
of which $943,202 was voluntarily waived for the six months ended February 28,
1995. The investment advisory fee is computed at an annual rate of 0.15% of the
Portfolio's average daily net assets.
B. ADMINISTRATIVE FEE -- Under the terms of an Administrative Services
Agreement, the administrative fee paid to the Administrator, as compensation for
overall administrative services and general office facilities, is computed at
the annual rate of 0.05% of the Portfolio's average daily net assets. The
administrative fee amounted to $513,864, all of which was voluntarily waived for
the six months ended February 28, 1995. The Portfolio pays no compensation
directly to any Trustee or to any officer who is affiliated with the
Administrator, all of whom receive remuneration for their services to the
Portfolio from the Administrator or its affiliates. Certain of the officers and
a Trustee of the Portfolio are officers and a director of the Administrator or
its affiliates.
(3) INVESTMENT TRANSACTIONS
Purchases and maturities and sales of money market instruments aggregated
$76,662,967,372 and $76,886,693,668, respectively, for the six months ended
February 28, 1995.
(4) LINE OF CREDIT
The Portfolio, along with other Landmark Funds, entered into an agreement with a
bank which allows the Funds collectively to borrow up to $40 million for
temporary or emergency purposes. Interest on borrowings, if any, is charged to
the specific fund executing the borrowing at the base rate of the bank. In
addition, the $15 million committed portion of the line of credit requires a
quarterly payment of a commitment fee based on the average daily unused portion
of the line of credit. For the six months ended February 28, 1995, the
commitment fee allocated to the Portfolio was $9,388. Since the line of credit
was established, there have been no borrowings.
