- - --------------------------------------------------------------------------------
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS August 31, 1995
- - --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- - --------------------------------------------------------------------
BANK NOTES--5.3%
Bank of New York
6.90%, due 11/28/95......... $50,000 $ 49,986,402
J.P. Morgan & Co., Inc.
6.50%, due 5/6/96........... 50,000 49,992,165
National Bank of Detroit
6.44%, due 4/19/96.......... 50,000 50,006,025
Nationsbank, Texas
7.55%, due 1/9/96........... 25,000 25,003,013
WestDeusche LandsBank
6.85%, due 3/1/96........... 75,000 75,009,696
--------------
249,997,301
--------------
CERTIFICATES OF DEPOSIT
(EURODOLLARS)--2.5%
Barclays Bank
6.91%, due 10/17/95......... 42,000 41,996,253
6.94%, due 10/17/95......... 25,000 25,000,284
Commerzbank AG, N.Y.
6.76%, due 4/4/96........... 50,000 50,016,855
--------------
117,013,392
--------------
CERTIFICATES OF DEPOSIT
(YANKEE)--33.2%
ABN Amro
5.77%, due 12/15/95......... 45,000 44,995,579
Banque Paribas
5.73%, due 1/4/96........... 50,000 50,000,000
Bayerische Landesbank
5.95%, due 7/18/96.......... 150,000 150,000,000
Commerzbank AG, N.Y.
5.77%, due 12/5/95.......... 50,000 49,992,139
Dai Ichi Kangyo Bank, New York
5.94%, due 9/18/95.......... 83,000 83,000,000
5.80%, due 9/20/95.......... 75,000 75,000,000
5.81%, due 9/29/95.......... 50,000 49,993,973
Dresdner Bank
6.62%, due 3/15/96.......... 65,000 65,003,316
Deutsche Bank
6.02%, due 8/8/96........... 50,000 50,008,433
Fuji Bank
6.03%, due 9/1/95........... 25,000 25,000,000
5.80%, due 9/18/95.......... 100,000 100,000,000
Industrial Bank of Japan
5.87%, due 10/30/95......... 200,000 200,000,000
Mitsubishi Bank, New York
7.35%, due 12/6/95.......... 50,000 50,000,000
7.62%, due 12/29/95......... 25,000 25,014,493
Royal Bank of Canada
5.72%, due 12/22/95......... 40,000 40,000,000
Sanwa Bank
5.90%, due 9/25/95.......... 100,000 100,000,663
5.87%, due 10/23/95......... 100,000 100,001,430
Societe Generale Bank
5.80%, due 9/22/95.......... 100,000 100,000,000
7.41%, due 1/23/96.......... 25,000 25,000,930
Sumitomo Bank
5.81%, due 9/6/95........... 100,000 100,000,138
5.81%, due 9/7/95........... 100,000 100,000,165
--------------
1,583,011,259
--------------
COMMERCIAL PAPER--21.3%
ABN Amro
5.63%, due 12/19/95......... 25,000 24,573,840
5.66%, due 2/21/96.......... 45,000 43,776,025
5.66%, due 2/23/96.......... 100,000 97,248,610
Associates Corp.
5.87%, due 9/1/95........... 100,000 100,000,000
Bankers Trust Corp.
5.75%, due 12/29/95......... 70,000 68,669,514
Cregem North America
5.565%, due 12/15/95........ 50,000 49,188,438
General Electric Co.
5.87%, due 9/1/95........... 100,000 100,000,000
General Electric Capital Co.
6.73%, due 10/16/95......... 25,000 24,789,688
Goldman Sachs
5.85%, due 9/14/95.......... 150,000 149,683,125
Kingdom of Sweden
5.95%, due 1/10/96.......... 25,000 24,458,715
5.58%, due 2/21/96.......... 80,000 77,854,800
Svenska Handelsbanken
5.73%, due 9/15/95.......... 106,000 105,763,797
UBS Finance Delaware, Inc.
5.82%, due 9/1/95........... 150,000 150,000,000
--------------
1,016,006,552
--------------
FLOATING RATE NOTES--28.1%
Bank One, Chicago
6.06%, due 2/12/96.......... 50,000 50,000,000
Bank One, Dayton
5.94%, due 8/30/96.......... 70,000 69,959,162
Bank One, Milwaukee
5.96%, due 8/28/96.......... 76,000 75,970,150
Bankers Trust Corp.
6.10%, due 9/29/95.......... 90,000 90,000,000
6.01%, due 12/18/95......... 70,000 70,000,000
Beneficial Corp.
6.04%, due 6/17/96.......... 100,000 100,000,000
5.95%, due 8/26/96.......... 100,000 99,950,954
Boatments First National Bank,
Kansas
6.10%, due 2/14/96.......... 40,000 40,000,000
FCC National Bank, Delaware
6.08%, due 12/20/95......... 50,000 50,000,000
Federal National Mortgage
Association
5.95%, due 10/16/95......... 150,000 149,997,300
General Electric Capital Co.
6.025%, due 2/16/96......... 50,000 49,991,923
J.P. Morgan & Co., Inc.
6.00%, due 3/8/96........... 75,000 74,981,023
Key Bank, N.Y.
5.76%, due 9/26/95.......... 150,000 149,898,450
6.00%, due 9/26/95.......... 50,000 49,997,260
Merrill Lynch & Co., Inc.
6.017%, due 12/4/95......... 140,000 140,000,000
Society National Bank
6.00%, due 9/6/95........... 50,000 49,999,397
SMMTrust
5.895%, due 6/14/96......... 30,000 30,000,000
--------------
1,340,745,619
--------------
MEDIUM TERM NOTES--1.1%
General Electric Capital Co.
6.55%, due 3/25/96.......... 50,000 49,974,741
--------------
TIME DEPOSIT--2.4%
Chemical Bank
5.875%, due 9/1/95.......... 116,518 116,518,000
--------------
UNITED STATES GOVERNMENT
AGENCY--9.1%
Federal Farm Credit Bank
5.75%, due 8/1/96........... 100,000 99,961,557
Federal National Mortgage
Association
6.86%, due 2/28/96.......... 35,000 34,985,167
5.813%, due 7/5/96.......... 100,000 99,918,632
5.725%, due 8/16/96......... 100,000 99,944,230
5.76%, due 9/3/96........... 100,000 99,952,000
--------------
434,761,586
--------------
UNITED STATES TREASURY--3.0%
United States Treasury Bills
5.49%, due 8/22/96.......... 25,000 23,642,750
5.52%, due 8/22/96.......... 25,000 23,635,333
5.535%, due 8/22/96......... 50,000 47,263,250
5.55%, due 8/22/96.......... 50,000 47,255,833
--------------
141,797,166
--------------
TOTAL INVESTMENTS
AT AMORTIZED COST.......... 106.0% 5,049,825,616
OTHER ASSETS, LESS LIABILITIES (6.0%) (284,419,511)
------ -------------
NET ASSETS.................... 100.0% $4,765,406,105
====== ==============
See notes to financial statements
<PAGE>
- - --------------------------------------------------------------------------------
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES August 31, 1995
- - --------------------------------------------------------------------------------
ASSETS:
Investments at value (Note 1A).................................. $5,049,825,616
Cash............................................................ 609
Interest receivable............................................. 41,822,762
--------------
Total assets................................................ $5,091,648,987
--------------
LIABILITIES:
Payable for investments purchased............................... 325,869,262
Payable to affiliate--investment advisory fee (Note 2A)......... 290,532
Accrued expenses and other liabilities.......................... 83,088
--------------
Total liabilities........................................... 326,242,882
--------------
NET ASSETS ..................................................... $4,765,406,105
==============
REPRESENTED BY:
Paid-in capital for beneficial interests........................ $4,765,406,105
==============
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- - --------------------------------------------------------------------------------
For the Year Ended August 31, 1995
- - --------------------------------------------------------------------------------
INTEREST INCOME (Note 1B)......................... $163,277,950
EXPENSES:
Investment advisory fees (Note 2A)................ $ 4,097,854
Administrative fees (Note 2B)..................... 1,365,951
Custodian fees.................................... 782,540
Trustees' fees.................................... 40,605
Auditing fees..................................... 40,500
Amortization of organization expenses............. 7,878
Legal fees........................................ 6,167
Miscellaneous..................................... 65,368
------------
Total expenses............................... 6,406,863
Less aggregate amount waived by Investment
Adviser and Administrator (Notes 2A and 2B) (3,672,112)
------------
Net expenses................................. 2,734,751
------------
Net investment income........................ $160,543,199
============
See notes to financial statements
<PAGE>
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
---------------------------------------------
1995 1994
--------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income.......................... $ 160,543,199 $ 46,640,474
--------------- ----------------
CAPITAL TRANSACTIONS:
Proceeds from contributions.................... 23,437,948,762 11,522,208,314
Value of withdrawals........................... (20,980,446,443) (10,202,958,307)
--------------- ----------------
Net increase in net assets from capital transactions 2,457,502,319 1,319,250,007
--------------- ----------------
NET INCREASE IN NET ASSETS .................... 2,618,045,518 1,365,890,481
NET ASSETS:
Beginning of period............................ 2,147,360,587 781,470,106
--------------- ----------------
End of period.................................. $ 4,765,406,105 $ 2,147,360,587
================ ================
</TABLE>
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
-----------------------------------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000 omitted)..................... $4,765,406 $2,147,361 $781,470 $901,024 $847,811
Ratio of expenses to average net assets...... 0.10% 0.11% 0.20% 0.25% 0.25%
Ratio of net investment income to
average net assets......................... 5.88% 3.87% 3.15% 4.42% 6.75%
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:
Expenses to average net assets............... 0.23% 0.24% 0.25% 0.25% 0.25%
Net investment income to average net assets.. 5.75% 3.74% 3.10% 4.42% 6.75%
</TABLE>
See notes to financial statements
<PAGE>
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- - --------------------------------------------------------------------------------
(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. The Portfolio bears all costs of its operations
other than expenses specifically assumed by Citibank and SFG.
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. OTHER -- Purchases, 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 $4,097,854,
of which $2,306,161 was voluntarily waived for the year ended August 31, 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 $1,365,951, all of which was voluntarily waived
for the year ended August 31, 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, maturities and sales of money market instruments aggregated
$145,318,101,772 and $142,492,747,680, respectively, for the year ended August
31, 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 year ended August 31, 1995, the commitment fee
allocated to the Portfolio was $19,641. Since the line of credit was
established, there have been no borrowings.
Cash Reserves Portfolio
- - --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- - --------------------------------------------------------------------------------
TO THE TRUSTEES AND THE INVESTORS OF CASH RESERVES PORTFOLIO:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Cash Reserves Portfolio (the "Portfolio") as at
August 31, 1995 and the related statements of operations and of changes in net
assets and the financial highlights for the periods indicated. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.
We conducted our audits in accordance with U.S. generally accepted auditing
standards. Those standards require that we plan and perform an audit to obtain
reasonable assurance whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of investments owned at
August 31, 1995, by correspondence with the custodian and brokers and the
application of alternative auditing procedures where confirmations from brokers
were not received, provide a reasonable basis for our opinion.
In our opinion, these financial statements present fairly, in all material
respects, the financial position of the Portfolio as at August 31, 1995, the
results of its operations and the changes in its net assets and the financial
highlights for the periods indicated in accordance with U.S. generally accepted
accounting principles.
PRICE WATERHOUSE
Chartered Accountants
Toronto, Ontario
October 5, 1995
