<PAGE>
Cash Reserves Portfolio
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PORTFOLIO OF INVESTMENTS August 31, 1996
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
BANK NOTES--13.1%
Bank America, Illinois
5.70%, due 11/01/96 .................... $ 100,000 $ 100,007,870
Comerica Bank, Detroit
5.77%, due 08/13/97 .................... 100,000 99,963,030
First National Bank, Chicago
5.80%, due 05/12/97 .................... 140,000 139,925,740
Morgan Guaranty Trust Co. ................
5.54%, due 03/13/97 .................... 100,000 99,994,712
5.95%, due 06/06/97 .................... 75,000 74,972,581
Nationsbank, Texas
5.55%, due 11/08/96 .................... 65,000 64,991,857
--------------
579,855,790
--------------
CERTIFICATES OF DEPOSIT
(EURODOLLARS)--3.9%
Abbey National PLC
6.02%, due 07/29/97 .................... 75,000 75,000,000
Deutsche Bank
6.00%, due 07/30/97 .................... 100,000 100,000,000
--------------
175,000,000
--------------
CERTIFICATES OF DEPOSIT
(YANKEE)--29.8%
ABN Amro
5.46%, due 12/09/96 .................... 100,000 100,002,641
5.53%, due 03/18/97 .................... 100,000 100,005,209
Bank of Tokyo Mitsubishi New York
5.55%, due 11/05/96 .................... 50,000 50,008,011
5.64%, due 11/05/96 .................... 25,000 25,000,000
Dai Ichi Kangyo Bank
5.40%, due 09/09/96 .................... 100,000 100,000,535
National Westminister Bank
5.35%, due 10/07/96 .................... 150,000 150,002,974
Royal Bank of Canada
5.68%, due 04/15/97 .................... 50,000 50,002,969
5.25%, due 07/09/97 .................... 125,000 124,927,501
Sanwa Bank
5.45%, due 10/15/96 .................... 100,000 100,000,000
5.46%, due 10/22/96 .................... 50,000 50,000,702
5.41%, due 10/28/96 .................... 50,000 50,000,784
Societe Generale Bank
5.13%, due 09/03/96 .................... 100,000 99,998,297
5.75%, due 05/22/97 .................... 100,000 99,965,501
Sumitomo Bank Ltd. .......................
5.57%, due 09/03/96 .................... 100,000 100,000,000
5.38%, due 09/26/96 .................... 50,000 50,000,000
5.68%, due 11/05/96 .................... 75,000 75,000,000
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1,324,915,124
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MEDIUM TERM NOTES--3.4%
General Electric Capital Corp. ...........
5.26%, due 01/17/97 .................... 50,000 49,992,459
Toyota Motor Credit Corp. ................
5.55%, due 03/20/97 .................... 100,000 99,988,981
-------------
149,981,440
-------------
COMMERCIAL PAPER--8.3%
Associates Corp. of North America
5.30%, due 09/03/96 .................... 150,000 149,955,833
Canadian Imperial Holdings, Inc. .........
5.26%, due 09/30/96 .................... 100,000 99,576,278
Pooled Accounts Receivable Capital Corp. .
5.30%, due 09/20/96 .................... 118,300 117,969,089
-------------
367,501,200
-------------
FLOATING RATE NOTES--30.2%
Abbey National Treasury Services
5.25%, due 07/15/97 .................... 130,000 129,918,741
Bank One, Dayton
5.29%, due 02/12/97 .................... 100,000 99,978,044
Bayerische Landesbank
5.292%, due 01/15/97 ................... 200,000 199,947,277
C.I.T. Group Holding
5.25%, due 03/05/97 .................... 200,000 199,881,488
Federal National Mortgage Association
5.18%, due 10/15/96 .................... 200,000 199,983,319
Key Bank, N.Y ............................
5.28%, due 09/06/96 .................... 150,000 149,998,613
Merrill Lynch & Co., Inc. ................
5.405%, due 12/04/96 ................... 150,000 149,998,074
SMM Trust
5.55%, due 11/15/96 .................... 37,500 37,500,000
5.422%, due 12/16/96 ................... 75,000 74,997,834
Wachovia Bank, North Carolina
5.309%, due 02/12/97 ................... 100,000 99,967,007
-------------
1,342,170,397
-------------
TIME DEPOSIT--6.0%
Banque Nationale de Paris
5.27%, due 09/03/96 .................... 100,000 100,000,000
Deutsche Bank
5.125%, due 09/03/96 ................... 100,000 100,000,000
Harris Trust & Savings Bank, Chicago
5.281%, due 09/03/96 ................... 20,000 20,000,000
State Street Cayman Islands
5.00%, due 09/03/96 .................... 44,080 44,080,000
-------------
264,080,000
-------------
UNITED STATES TREASURY--4.3%
United States Treasury Bills
5.425%, due 07/24/97 ................... 50,000 47,543,681
5.525%, due 07/24/97 ................... 50,000 47,498,403
5.473%, due 08/21/97 ................... 50,000 47,309,354
United States Treasury Notes
6.875%, due 02/28/97 ................... 50,000 50,432,109
-------------
192,783,547
-------------
TOTAL INVESTMENTS
AT AMORTIZED COST ..................... 99.0% 4,396,287,498
OTHER ASSETS, LESS LIABILITIES ........... 1.0 45,899,794
----- --------------
NET ASSETS ............................... 100.0% $4,442,187,292
===== ==============
See notes to financial statements
<PAGE>
Cash Reserves Portfolio
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STATEMENT OF ASSETS AND LIABILITIES August 31, 1996
ASSETS:
Investments at value (Note 1A) ................................ $4,396,287,498
Cash .......................................................... 889
Interest receivable ........................................... 46,416,814
--------------
Total assets .............................................. 4,442,705,201
--------------
LIABILITIES:
Payable to affiliate--investment advisory fee (Note 2A) ....... 190,319
Accrued expenses and other liabilities ........................ 327,590
--------------
Total liabilities ......................................... 517,909
--------------
NET ASSETS .................................................... $4,442,187,292
==============
REPRESENTED BY:
Paid-in capital for beneficial interests ...................... $4,442,187,292
==============
Cash Reserves Portfolio
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STATEMENT OF OPERATIONS
For the Year Ended August 31, 1996
INTEREST INCOME (Note 1B) ....................... $234,876,467
EXPENSES:
Investment advisory fees (Note 2A) .............. $6,140,512
Administrative fees (Note 2B) ................... 2,046,838
Custodian fees .................................. 1,240,220
Trustees' fees .................................. 13,311
Auditing fees ................................... 36,117
Legal fees ...................................... 20,528
Other ........................................... 71,196
----------
Total expenses ............................. 9,568,722
Less aggregate amount waived by Investment
Adviser and Administrator
(Notes 2A and 2B) ........................ (5,473,659)
Less fees paid indirectly (Note 1E) ........ (156)
-----------
Net expenses ............................... 4,094,907
------------
Net investment income ...................... $230,781,560
============
See notes to financial statements
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Cash Reserves Portfolio
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STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED AUGUST 31,
---------------------------------
1996 1995
-------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income ................... $ 230,781,560 $ 160,543,199
---------------- ----------------
CAPITAL TRANSACTIONS:
Proceeds from contributions ............. 24,522,122,636 23,437,948,762
Value of withdrawals .................... (25,076,123,009) (20,980,446,443)
---------------- ----------------
Net increase (decrease) in net assets from
capital transactions .................. (554,000,373) 2,457,502,319
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS ... (323,218,813) 2,618,045,518
NET ASSETS:
Beginning of period ..................... 4,765,406,105 2,147,360,587
---------------- ----------------
End of period ........................... $ 4,442,187,292 $ 4,765,406,105
================ ================
Cash Reserves Portfolio
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FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
----------------------------------------------------------
1996 1995 1994 1993 1992
----- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000 omitted) ....................... $4,442,187 $4,765,406 $2,147,361 $781,470 $901,024
Ratio of expenses to average net assets ........ 0.10% 0.10% 0.11% 0.20% 0.25%
Ratio of net investment income to
average net assets ........................... 5.64% 5.88% 3.87% 3.15% 4.42%
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% 0.23% 0.24% 0.25% 0.25%
Net investment income to average net assets .... 5.50% 5.75% 3.74% 3.10% 4.42%
See notes to financial statements
Cash Reserves Portfolio
</TABLE>
<PAGE>
Cash Reserves Portfolio
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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 preparation of financial statements in accordance with 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 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 U.S. 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. FEES PAID INDIRECTLY -- The Portfolio's custodian bank calculates its fees
based on the Portfolio's average daily net assets. The fees are reduced
according to a fee arrangement, which provides for custody fees to be reduced
based on a formula developed to measure the value of cash deposited with the
custodian by the Portfolio. This amount is shown as a reduction of expenses on
the Statement of Operations.
F. OTHER -- Purchases, maturities and sales of money market instruments are
accounted for on the date of the transaction.
(2) INVESTMENT ADVISORY FEES AND ADMINISTRATIVE FEES
A. INVESTMENT ADVISORY FEE -- The Investment advisory fees paid to Citibank, as
compensation for overall investment management services, amounted to $6,140,512,
of which $3,426,821 was voluntarily waived for the year ended August 31, 1996.
The investment advisory fees are computed at an annual rate of 0.15% of the
Portfolio's average daily net assets.
B. ADMINISTRATIVE FEES -- 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, are computed at
the annual rate of 0.05% of the Portfolio's average daily net assets. The
Administrative fees amounted to $2,046,838, all of which were voluntarily waived
for the year ended August 31, 1996. 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
$127,158,702,622 and $127,831,958,747, respectively, for the year ended August
31, 1996.
(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. 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, 1996,
the commitment fee allocated to the Portfolio was $16,485. Since the line of
credit was established, there have been no borrowings.
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Cash Reserves Portfolio
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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, 1996 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, 1996 by correspondence with the custodian, 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, 1996, 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 9, 1996
