<PAGE>
Cash Reserves Portfolio
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PORTFOLIO OF INVESTMENTS February 28, 1997 (unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
BANK NOTES--8.3%
Australia & New Zealand Bank
5.90%, due 09/23/97 .................. $ 75,000 $ 74,990,702
5.645%, due 02/19/98 ................. 115,000 114,951,064
Bayerische Landesbank
5.85%, due 09/29/97 .................. 100,000 99,972,487
Comerica Bank, Detroit
5.77%, due 08/13/97 .................. 100,000 99,982,584
Morgan Guaranty Trust Co.
5.95%, due 06/06/97 .................. 75,000 74,990,630
--------------
464,887,467
--------------
CERTIFICATES OF DEPOSIT (EURODOLLARS)--4.5%
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
Sumitomo Bank
5.50%, due 03/27/97 .................. 75,000 75,000,491
--------------
250,000,491
--------------
CERTIFICATES OF DEPOSIT (YANKEE)--35.5%
ABN Amro Bank
5.68%, due 12/19/97 .................. 100,000 99,968,745
Australia & New Zealand Bank
5.40%, due 03/25/97 .................. 100,000 100,001,819
5.37%, due 03/31/97 .................. 100,000 100,000,000
Bank of Nova Scotia
5.37%, due 03/10/97 .................. 50,000 50,000,000
Bank of Tokyo Mitsubishi New York
5.52%, due 04/30/97 .................. 75,000 75,000,000
Banque Nationale de Paris
5.37%, due 05/14/97 .................. 100,000 100,005,922
Bayerische Vereinsbank
5.65%, due 02/10/98 .................. 100,000 99,981,928
Canadian Imperial Bank
5.32%, due 03/07/97 .................. 250,000 250,000,000
Dai Ichi Kangyo Bank
5.49%. due 03/03/97 .................. 95,000 95,000,000
5.50%, due 03/14/97 .................. 100,000 100,000,000
5.48%, due 05/19/97 .................. 50,000 49,999,736
Deutsche Bank
5.69%, due 10/28/97 .................. 100,000 99,968,631
Morgan Guaranty Trust Co.
5.91%, due 09/18/97 .................. 50,000 49,997,393
5.71%, due 01/06/98 .................. 100,000 99,967,558
Royal Bank of Canada
5.29%, due 07/09/97 .................. 25,000 24,994,032
5.72%, due 10/29/97 .................. 52,000 51,983,588
5.58%, due 12/11/97 .................. 130,000 129,901,640
Sanwa Bank
5.44%, due 03/27/97 .................. 200,000 200,000,000
5.51%, due 05/21/97 .................. 100,000 100,004,330
Societe Generale Bank
5.75%, due 05/22/97 .................. 100,000 99,989,506
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1,976,764,828
--------------
ASSET BACKED--2.8%
Asset Backed Trust 1996
5.43%, due 01/15/98 .................. 157,000 156,986,322
--------------
COMMERCIAL PAPER--9.9%
Associate Corp. of North America
5.43%, due 03/03/97 .................. 275,000 275,000,000
General Electric Capital Corp.
5.44%, due 03/03/97 .................. 125,000 125,000,000
5.31%, due 03/31/97 .................. 150,000 149,380,500
--------------
549,380,500
--------------
FLOATING RATE NOTES--20.6%
Abbey National Treasury Services
5.29%, due 07/15/97 .................. 130,000 129,965,650
Banc One, Indianapolis
5.29%, due 02/05/98 .................. 150,000 149,917,185
Banc One, Texas
5.27%, due 09/04/97 .................. 100,000 99,960,973
C.I.T. Group Holding
5.25%, due 03/05/97 .................. 200,000 199,998,718
Merrill Lynch & Co., Inc.
5.41%, due 11/12/97 .................. 100,000 99,982,603
5.40%, due 01/09/98 .................. 150,000 149,962,688
Societe Generale North America, Inc.
5.38%, due 01/15/98 .................. 175,000 174,906,791
Strats Trust
5.42%, due 12/15/97 .................. 139,500 139,476,523
--------------
1,144,171,131
--------------
TIME DEPOSIT--14.7%
ABN Amro Canada
5.50%, due 03/03/97 .................. 80,000 80,000,000
Chase Bank
5.43%, due 03/03/97 .................. 201,492 201,492,000
Harris Trust & Savings Bank, Chicago
5.43%, due 03/03/97 .................. 263,000 263,000,000
Nationsbank Charlotte, NC.
5.43%, due 03/03/97 .................. 275,000 275,000,000
--------------
819,492,000
--------------
UNITED STATES GOVERNMENT AGENCY--2.7%
Federal Home Loan Bank
6.00%, due 09/24/97 .................. 150,000 149,879,228
--------------
TOTAL INVESTMENTS
AT AMORTIZED COST ...................... 99.0% 5,511,561,967
OTHER ASSETS, LESS LIABILITIES .......... 1.0 54,321,654
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NET ASSETS .............................. 100.0% $5,565,883,621
====== ==============
See notes to financial statements
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Cash Reserves Portfolio
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STATEMENT OF ASSETS AND LIABILITIES February 28, 1997 (unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments at value (Note 1A) ..................................................... $5,511,561,967
Cash ............................................................................... 24
Interest receivable ................................................................ 55,016,421
--------------
Total assets ...................................................................... 5,566,578,412
--------------
LIABILITIES:
Payable to affiliate--investment advisory fee (Note 2A) ............................ 325,041
Accrued expenses and other liabilities ............................................. 369,750
--------------
Total liabilities ................................................................. 694,791
--------------
NET ASSETS ......................................................................... $5,565,883,621
==============
REPRESENTED BY:
Paid-in capital for beneficial interests ........................................... $5,565,883,621
==============
</TABLE>
Cash Reserves Portfolio
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STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (unaudited)
<TABLE>
<S> <C> <C>
INTEREST INCOME (Note 1B) ............................................. $155,117,348
EXPENSES:
Investment advisory fees (Note 2A) .................................... $ 4,125,237
Administrative fees (Note 2B) ......................................... 1,375,079
Custodian fees ........................................................ 552,581
Auditing fees ......................................................... 21,953
Legal fees ............................................................ 15,757
Trustees' fees ........................................................ 13,067
Other ................................................................. 103,676
-----------
Total expenses .................................................... 6,207,350
Less aggregate amount waived by Investment Adviser and
Administrator (Notes 2A and 2B) ................................. (3,423,585)
Less fees paid indirectly (Note 1E) ............................... (242)
-----------
Net expenses ...................................................... 2,783,523
------------
Net investment income ............................................. $152,333,825
============
</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 28, 1997 YEAR ENDED
(UNAUDITED) AUGUST 31, 1996
---------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income ......................... $ 152,333,825 $ 230,781,560
--------------- ---------------
CAPITAL TRANSACTIONS:
Proceeds from contributions ................... 15,188,816,956 24,522,122,636
Value of withdrawals .......................... (14,217,454,452) (25,076,123,009)
--------------- ---------------
Net increase (decrease) in net assets from
capital transactions ........................ 971,362,504 (554,000,373)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS ......... 1,123,696,329 (323,218,813)
NET ASSETS:
Beginning of period ........................... 4,442,187,292 4,765,406,105
--------------- ---------------
End of period ................................. $ 5,565,883,621 $ 4,442,187,292
=============== ===============
</TABLE>
Cash Reserves Portfolio
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FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 28, 1997 ------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000 omitted) .................. $5,565,884 $4,442,187 $4,765,406 $2,147,361 $781,470 $901,024
Ratio of expenses to average net assets ... 0.10%+ 0.10% 0.10% 0.11% 0.20% 0.25%
Ratio of net investment income to
average net assets ...................... 5.54%+ 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% 0.23% 0.24% 0.25% 0.25%
Net investment income to average net assets 5.41%+ 5.50% 5.75% 3.74% 3.10% 4.42%
+ 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
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 $4,125,237,
of which $2,048,506 was voluntarily waived for the six months ended February 28,
1997. 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 $1,375,079, all of which were voluntarily waived
for the six months ended February 28, 1997. 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
$162,421,475,694 and $161,327,365,569, respectively, for the six months ended
February 28, 1997.
(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 six months ended February
28, 1997, the commitment fee allocated to the Portfolio was $12,491. Since the
line of credit was established, there have been no borrowings.
