<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 28, 1998
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
ASSET BACKED -- 9.8%
- --------------------------------------------------------------------------------
Asset Backed Securities
Investment Trust
5.625% due 6/15/98 $157,000 $ 156,990,756
Steers
5.625% due 10/15/98 160,000 160,000,000
5.625% due 11/10/98 191,000 190,974,441
Strategic Money Market
Trust Receipts
5.625% due 3/05/99 213,000 213,000,000
Strats Trust
5.647% due 12/15/98 130,000 130,000,000
--------------
850,965,197
--------------
BANK NOTES -- 12.7%
- --------------------------------------------------------------------------------
Bank America of Chicago
5.85% due 3/13/98 100,000 99,996,717
Bank of New York
5.50% due 2/17/99 100,000 99,935,194
FCC National Bank
5.70% due 4/07/98 200,000 199,992,380
5.64% due 7/02/98 100,000 99,970,640
5.86% due 10/02/98 100,000 99,966,353
First USA Bank
5.715% due 4/29/98 100,000 100,018,929
Key Bank National
Association
5.66% due 7/07/98 100,000 99,976,228
5.655% due 9/28/98 200,000 199,916,652
Morgan Guaranty
Trust Co.
5.93% due 8/31/98 100,000 99,980,938
--------------
1,099,754,031
--------------
CERTIFICATES OF DEPOSIT (DOMESTIC) -- 2.3%
- --------------------------------------------------------------------------------
Morgan Guaranty
Trust Co.
5.85% due 3/16/98 100,000 99,998,024
5.55% due 2/02/99 100,000 100,000,000
--------------
199,998,024
--------------
CERTIFICATES OF DEPOSIT (YANKEE) -- 37.9%
- --------------------------------------------------------------------------------
Bank America National
Association
5.64% due 6/30/98 200,000 199,942,538
Bank of Nova Scotia
5.89% due 9/16/98 150,000 149,961,093
Bank of Tokyo Mitsubishi
5.75% due 3/30/98 100,000 100,000,000
5.77% due 3/30/98 200,000 200,000,000
6.00% due 4/06/98 100,000 100,000,000
Barclays Bank
5.84% due 3/11/98 100,000 99,999,292
5.82% due 10/05/98 200,000 199,943,126
5.53% due 2/23/99 100,000 99,943,534
Bayeriche Landesbank
5.86% due 7/17/98 100,000 99,979,957
Bayerische Vereinsbank
5.71% due 10/06/98 30,000 29,992,791
5.70% due 1/07/99 100,000 99,967,345
Canadian Imperial Bank
5.86% due 8/10/98 70,000 69,984,922
Credit Suisse
5.84% due 3/11/98 30,000 29,999,788
5.73% due 10/07/98 300,000 300,000,000
5.73% due 11/09/98 125,000 125,000,000
Deutsche Bank
5.85% due 10/20/98 90,000 89,972,637
5.62% due 2/26/99 100,000 99,952,587
5.65% due 3/02/99 100,000 99,952,075
Dresdner Bank
5.95% due 10/20/98 70,000 70,035,067
Natwest BankCorp
5.933% due 6/26/98 100,000 99,979,497
Rabobank Nederland
6.18% due 5/01/98 100,000 99,996,864
Royal Bank of Canada
6.08% due 5/27/98 75,000 75,013,663
5.93% due 9/15/98 150,000 149,953,570
5.54% due 2/16/99 200,000 199,868,375
Societe Generale Bank
5.87% due 3/03/98 125,000 124,999,869
5.86% due 7/21/98 50,000 49,992,609
5.77% due 10/07/98 66,000 65,995,259
Swiss Bank Corp.
5.69% due 1/07/99 150,000 149,926,533
--------------
3,280,352,991
--------------
COMMERCIAL PAPER -- 12.7%
- --------------------------------------------------------------------------------
Associates Corp. of
North America
5.67% due 3/02/98 150,000 150,000,000
Atlantis One Fundings Corp.
5.50% due 4/07/98 97,745 96,908,737
Caisse D. Amortissement
5.68% due 6/11/98 100,000 98,406,444
Diageo Capital PLC
5.45% due 8/31/98 100,000 97,244,722
Ford Motor Credit Co.
5.70% due 3/02/98 100,000 100,000,000
General Electric Capital Corp.
5.68% due 3/24/98 150,000 149,479,333
J. P. Morgan & Co., Inc.
5.64% due 6/15/98 100,000 98,355,000
Merrill Lynch & Co., Inc.
5.67% due 6/01/98 100,000 98,566,750
Prudential Fundings Corp.
5.67% due 3/02/98 100,000 100,000,000
Receivables Capital Corp.
5.53% due 3/05/98 110,290 110,239,175
--------------
1,099,200,161
--------------
CORPORATE NOTES -- 9.0%
- --------------------------------------------------------------------------------
Associates Corp. of
North America
5.71% due 1/04/99 200,000 199,899,874
Bank One, Columbus
5.59% due 5/14/98 75,000 74,989,845
Bank One, Wisconsin
5.58% due 10/23/98 100,000 99,949,710
Key Bank National
Association
5.65% due 7/02/98 100,000 99,973,895
Morgan Stanley
Group, Inc.
5.76% due 5/18/98 75,000 75,000,000
PNC Bank National
Association
5.74% due 10/02/98 230,000 229,907,930
--------------
779,721,254
--------------
MEDIUM TERM NOTES -- 5.5%
- --------------------------------------------------------------------------------
Abbey National Treasury
Services
6.00% due 6/17/98 100,000 99,988,796
5.54% due 1/20/99 125,000 124,980,830
5.525% due 1/26/99 100,000 99,960,952
Sigma Finance Corp.
5.94% due 11/17/98 150,000 150,000,000
--------------
474,930,578
--------------
PROMISSORY NOTES -- 4.1%
- --------------------------------------------------------------------------------
Goldman Sachs Group
5.625% due 11/13/98 350,000 350,000,000
--------------
TIME DEPOSITS -- 7.0%
- --------------------------------------------------------------------------------
Den Danske
5.531% due 3/02/98 150,000 150,000,000
First Union National Bank
5.438% due 3/02/98 153,820 153,820,000
Harris Trust and
Savings Bank
5.719% due 3/02/98 150,000 150,000,000
Nationsbank
5.50% due 3/02/98 150,000 150,000,000
--------------
603,820,000
--------------
TOTAL INVESTMENTS AT
AMORTIZED COST 101.0% 8,738,742,236
OTHER ASSETS,
LESS LIABILITIES (1.0) (89,586,231)
----- --------------
NET ASSETS 100.0% $8,649,156,005
----- --------------
See notes to financial statements
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1998 (Unaudited)
- --------------------------------------------------------------------------------
ASSETS:
Investments at value (Note 1A) $8,738,742,236
Cash 898
Interest receivable 109,503,307
- --------------------------------------------------------------------------------
Total assets 8,848,246,441
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for investment purchased 198,184,037
Payable to affiliate--Investment Advisory fee (Note 2A) 529,266
Accrued expenses and other liabilities 377,133
- --------------------------------------------------------------------------------
Total liabilities 199,090,436
- --------------------------------------------------------------------------------
NET ASSETS $8,649,156,005
- --------------------------------------------------------------------------------
REPRESENTED BY:
Paid-in capital for beneficial interests $8,649,156,005
- --------------------------------------------------------------------------------
CASH RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1998 (Unaudited)
- --------------------------------------------------------------------------------
INTEREST INCOME (Note 1B): $256,547,997
EXPENSES:
Investment Advisory fees (Note 2A) $6,618,719
Administrative fees (Note 2B) 2,206,240
Custodian fees 656,895
Auditing fees 26,500
Trustees' fees 23,334
Legal fees 17,783
Other 135,055
- --------------------------------------------------------------------------------
Total expenses 9,684,526
Less aggregate amounts waived by Investment
Adviser and Administrator (Notes 2A, and 2B) (5,247,106)
Less fees paid indirectly (Note 1E) (547)
- --------------------------------------------------------------------------------
Net expenses 4,436,873
- --------------------------------------------------------------------------------
Net investment income $252,111,124
- --------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 28, 1998 YEAR ENDED
(Unaudited) AUGUST 31, 1997
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 252,111,124 $ 339,604,126
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 16,267,169,184 33,685,999,190
Value of withdrawals (15,527,524,243) (30,810,390,668)
- --------------------------------------------------------------------------------
Net increase in net assets from
capital transactions 739,644,941 2,875,608,522
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 991,756,065 3,215,212,648
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 7,657,399,940 4,442,187,292
- --------------------------------------------------------------------------------
End of period $ 8,649,156,005 $ 7,657,399,940
- --------------------------------------------------------------------------------
CASH RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
FEBRUARY 28, YEAR ENDED AUGUST 31,
1998 ------------------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000's omitted) $8,649,156 $7,657,400 $4,442,187 $4,765,406 $2,147,361 $781,470
Ratio of expenses to average
net assets 0.10%+ 0.10% 0.10% 0.10% 0.11% 0.20%
Ratio of net investment
income to average net assets 5.68%+ 5.57% 5.64% 5.88% 3.87% 3.15%
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 0.22%+ 0.23% 0.23% 0.23% 0.24% 0.25%
Net investment income to average
net assets 5.56%+ 5.44% 5.50% 5.75% 3.74% 3.10%
- -------------------------------------------------------------------------------------------------------------------------
+ Annualized
</TABLE>
See notes to financial statements
<PAGE>
CASH RESERVES PORTFOLIO
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
$6,618,719, of which $3,040,866 was voluntarily waived for the six months ended
February 28, 1998. 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 $2,206,240, all of which were voluntarily waived
for the six months ended February 28, 1998. 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 $165,501,676,391 and $164,382,220,872, respectively, for
the six months ended February 28, 1998.
4. LINE OF CREDIT The Portfolio, along with other CitiFunds, entered into an
agreement with a bank which allows the Funds collectively to borrow up to $60
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, 1998, the commitment fee allocated to the Portfolio was
$15,151. Since the line of credit was established, there have been no
borrowings.
