<PAGE>
Cash Reserves Portfolio
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PORTFOLIO OF INVESTMENTS February 29, 1996 (unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
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BANK NOTES--11.0%
Bank America, Illinois
5.70%, due 11/01/96......... $100,000 $ 100,031,608
J.P. Morgan & Co., Inc.
6.50%, due 05/06/96......... 50,000 49,997,915
6.20%, due 05/13/96......... 82,000 82,055,683
Nationsbank N.A., Carolinas
5.60%, due 07/08/96......... 100,000 100,000,000
Nationsbank, Texas
5.55%, due 11/08/96......... 65,000 64,969,825
Wachovia Bank, North Carolina
5.25%, due 03/18/96......... 50,000 50,000,000
WestDeusche LandsBank
6.85%, due 03/01/96......... 50,000 50,000,000
--------------
497,055,031
--------------
CERTIFICATES OF DEPOSIT (EURODOLLARS)--3.4%
Commerzbank AG, N.Y.
6.76%, due 04/04/96......... 50,000 50,002,653
Deutsche Bank
5.75%, due 10/30/96......... 35,000 35,010,965
Mitsubishi Bank, Japan
5.47%, due 05/01/96......... 70,000 70,004,681
--------------
155,018,299
--------------
CERTIFICATES OF DEPOSIT
(YANKEE)--14.8%
Dai Ichi Kangyo Bank, New York
5.30%, due 05/15/96......... 50,000 50,003,868
5.28%, due 06/19/96......... 50,000 50,001,498
Mitsubishi Bank, New York
5.31% due 05/07/96.......... 30,000 30,000,551
5.18%, due 08/06/96......... 150,000 150,000,000
Sanwa Bank, New York
5.61%, due 04/04/96......... 100,000 100,000,931
5.61%, due 04/12/96......... 100,000 100,001,150
Sumitomo Bank Ltd.
5.75%, due 04/02/96......... 40,000 40,005,198
5.61%, due 04/05/96......... 150,000 150,000,000
--------------
670,013,196
--------------
COMMERCIAL PAPER--9.9%
Associates Corp.
5.55%, due 03/01/96......... $150,000 150,000,000
Canadian Imperial Holdings Inc.
5.202%, due 03/27/96........ 200,000 199,248,600
Morgan Stanley Group Inc.
5.221%, due 03/15/96........ 100,000 99,796,961
--------------
449,045,561
--------------
<PAGE>
FLOATING RATE NOTES--39.8%
Bank One, Dayton
6.22%, due 08/30/96......... 70,000 69,979,581
6.23%, due 02/12/97......... 100,000 99,953,410
Bank One, Milwaukee
6.24%, due 08/28/96......... 76,000 75,985,158
Bankers Trust Corp.
6.30%, due 04/08/96......... 130,000 130,000,000
Bayerische Landsbank
5.183%, due 01/15/97........ 200,000 199,875,946
Beneficial Corp.
6.32%, due 06/17/96......... 100,000 100,000,000
6.23%, due 08/26/96......... 100,000 99,975,749
FCC National Bank, Delaware
6.24%, due 11/06/96......... 100,000 99,946,721
6.25%, due 12/02/96......... 80,000 79,961,711
Federal National Mortgage
Association
5.163, due 08/16/96......... 100,000 99,973,230
5.17%, due 10/15/96......... 200,000 199,913,560
Key Bank, N.Y.
5.24%, due 09/06/96......... 150,000 149,947,560
Merrill Lynch &Co., Inc.
6.345%, due 12/04/96........ 150,000 149,994,303
SMMTrust
5.333%, due 06/14/96........ 30,000 30,000,000
5.30%, due 11/15/96......... 37,500 37,500,000
5.313%, due 12/16/96........ 75,000 74,994,074
Wachovia Bank, North Carolina
5.219%, due 02/12/97........ 100,000 99,929,991
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1,797,930,994
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MEDIUM-TERM NOTES--3.3%
General Electric Capital Corp.
6.55%, due 03/25/96......... $50,000 $ 49,997,057
5.715%, due 10/16/96........ 50,000 49,977,659
5.26%, due 1/17/97.......... 50,000 49,982,404
--------------
149,957,120
--------------
TIME DEPOSIT--3.3%
First Union Nation Bank,
North Carolina
5.50%, due 03/01/96......... 146,595 146,595,000
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UNITED STATES GOVERNMENT--5.4%
United States Treasury Bills
5.55%, due 08/22/96......... 50,000 48,658,750
4.79%, due 02/06/97......... 50,000 47,724,750
4.825%, due 02/06/97........ 50,000 47,708,125
United States Treasury Notes
6.875%, due 02/28/97........ 100,000 101,747,642
--------------
245,839,267
--------------
UNITED STATES GOVERNMENT
AGENCY--8.3%
Federal Farm Credit Bank
5.75%, due 08/01/96......... $100,000 $ 99,982,443
Federal National Mortgage
Association
5.76%, due 09/03/96......... 100,000 99,975,739
5.47%, due 11/14/96......... 100,000 99,895,099
5.37%, due 12/18/96......... 75,000 74,908,092
--------------
374,761,373
--------------
TOTAL INVESTMENTS
AT AMORTIZED COST.......... 99.2% 4,486,215,841
OTHER ASSETS, LESS LIABILITIES 0.8% 36,789,961
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NET ASSETS.................... 100.0% $4,523,005,802
===== ==============
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Cash Reserves Portfolio
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STATEMENT OF ASSETS AND LIABILITIES February 29, 1996 (unaudited)
<S> <C>
ASSETS:
Investments at value (Note 1A)...................................................... $4,486,215,841
Cash................................................................................ 676
Interest receivable................................................................. 37,315,539
--------------
Total assets.................................................................... $4,523,532,056
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LIABILITIES:
Payable to affiliate--investment advisory fee (Note 2A)............................. 310,509
Accrued expenses and other liabilities.............................................. 215,745
--------------
Total liabilities............................................................... 526,254
--------------
NET ASSETS ......................................................................... $4,523,005,802
==============
REPRESENTED BY:
Paid-in capital for beneficial interests............................................ $4,523,005,802
==============
</TABLE>
<TABLE>
<CAPTION>
Cash Reserves Portfolio
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STATEMENT OF OPERATIONS
<S> <C> <C>
For the Six Months Ended February 29, 1996 (unaudited)
INTEREST INCOME (Note 1B).............................................. $122,576,191
EXPENSES:
Investment advisory fees (Note 2A)..................................... $3,087,245
Administrative fees (Note 2B).......................................... 1,029,082
Custodian fees......................................................... 599,033
Auditing fees.......................................................... 24,700
Legal fees............................................................. 9,703
Trustees' fees......................................................... 1,271
Miscellaneous.......................................................... 63,826
----------
Total expenses.................................................... 4,814,860
Less aggregate amount waived by Investment Adviser and
Administrator (Notes 2A and 2B)................................. (2,756,620)
Less fees paid indirectly (Note 1E) .............................. (76)
----------
Net expenses...................................................... 2,058,164
------------
Net investment income............................................. $120,518,027
============
</TABLE>
See notes to financial statements
<PAGE>
Cash Reserves Portfolio
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STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31,1995
----------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income.......................... $ 120,518,027 $ 160,543,199
--------------- ----------------
CAPITAL TRANSACTIONS:
Proceeds from contributions.................... 13,881,468,652 23,437,948,762
Value of withdrawals........................... (14,244,386,982) (20,980,446,443)
--------------- ----------------
Net increase (decrease) in net assets from
capital transactions.......................... (362,918,330) 2,457,502,319
--------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS ......... (242,400,303) 2,618,045,518
NET ASSETS:
Beginning of period............................ 4,765,406,105 2,147,360,587
--------------- ----------------
End of period.................................. $ 4,523,005,802 $ 4,765,406,105
================ ================
</TABLE>
Cash Reserves Portfolio
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FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 1996 --------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
------------------ ---------- ---------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Net assets (000's omitted).......... $4,523,006 $4,765,406 $2,147,361 $781,470 $901,024 $847,811
Ratio of expenses to average net assets 0.10%+ 0.10% 0.11% 0.20% 0.25% 0.25%
Ratio of net investment income to
average net assets................ 5.86%+ 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%+ 0.23% 0.24% 0.25% 0.25% 0.25%
Net investment income to average
net assets........................ 5.73%+ 5.75% 3.74% 3.10% 4.42% 6.75%
+Annualized.
</TABLE>
See notes to financial statements
<PAGE>
Cash Reserves Portfolio
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NOTES TO FINANCIAL STATEMENTS (unaudited)
(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 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 $3,087,245,
of which $1,727,538 was voluntarily waived for the six months ended February 29,
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 $1,029,082, all of which were voluntarily waived
for the six months ended February 29, 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
$54,671,611,380 and $55,248,999,164, respectively, for the six months ended
February 29, 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. 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 29, 1996, the
commitment fee allocated to the Portfolio was $11,214. Since the line of credit
was established, there have been no borrowings.
