CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 28, 1999
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
ASSET BACKED -- 9.5%
- --------------------------------------------------------------------------------
Lincs-Ser *
4.936% due 3/18/99 $100,000 $ 99,998,386
Lincs-Ser *
4.986% due 2/15/00 87,500 87,500,000
SMM Trust *
5.047% due 1/26/00 100,000 100,000,000
Steers *
4.94% due 3/25/9 76,118 76,118,294
4.998% due 11/10/99 201,000 201,000,000
Strategic Money Market
Trust Receipts *
4.937% due 3/05/99 213,000 213,000,000
5.32% due 12/15/99 200,000 200,000,000
Strats Trust *
4.94% due 8/18/99 50,000 50,000,000
Triangle Funding Ltd.
5.07% due 10/15/99 82,000 82,000,000
--------------
1,109,616,680
--------------
BANK NOTES -- 10.0%
- --------------------------------------------------------------------------------
FCC National Bank
5.12% due 5/12/99 100,000 100,001,950
5.86% due 6/03/99 50,000 49,991,365
4.90% due 12/16/99 185,000 184,929,047
First Union National Bank
5.35% due 9/13/99 50,000 50,002,582
Key Bank National
Association
4.995% due 9/23/99 350,000 349,901,233
Nationsbank *
5.00% due 11/19/99 160,000 160,000,000
5.15% due 3/12/99 50,000 50,000,000
5.04% due 6/01/99 32,000 32,000,000
4.98% due 6/10/99 100,000 100,000,00
4.82% due 6/25/99 100,000 99,984,427
--------------
1,176,810,604
--------------
CERTIFICATES OF DEPOSIT
(DOMESTIC) -- 4.4%
- --------------------------------------------------------------------------------
BankBoston
5.23% due 3/09/99 50,000 50,000,000
Centric Capital Corp.
4.86% due 4/19/99 55,493 55,125,914
Chase Manhattan Bank
Corp
5.74% due 5/10/99 57,000 56,993,721
Monte Rosa Capital Corp.
4.86% due 4/13/99 72,625 72,203,412
4.85% due 4./16/99 145,338 144,437,308
Newport Funding Corp.
4.87% due 3/01/99 140,226 140,226,000
-------------
518,986,355
-------------
CERTIFICATES OF DEPOSIT (EURO) -- 7.5%
- --------------------------------------------------------------------------------
ABBY NATIONAL
5.07% due 5/12/99 100,000 100,000,000
Algemene Bank
5.62% due 4/14/99 75,000 74,995,666
5.50% due 9/02/99 70,000 70,168,808
Bayer Hypo Vereinsbank
5.09% due 5/10/99 100,000 100,000,000
5.09% due 5/12/99 100,000 100,001,950
Bayerische Vereinsbank
4.99% due 11/10/99 171,000 171,023,254
5.02% due 11/23/99 100,000 100,006,647
Halifax
5.07% due 5/12/99 100,000 100,000,000
International Nederlanden
Group
4.935% due 6/30/99 60,000 60,000,985
-------------
876,197,310
-------------
CERTIFICATES OF DEPOSIT (YANKEE) -- 25.4%
- --------------------------------------------------------------------------------
Bank of Nova Scotia
5.65% due 3/29/99 38,000 37,995,977
4.96% due 6/11/99 46,500 46,501,592
Bayerische Vereinsbank
4.91% due 7/08/99 120,000 120,000,000
Canadian Imperial Bank
5.745% due 4/27/99 54,000 54,010,520
Credit Agricole Indosuez
5.74% due 4/26/99 50,000 49,993,919
4.93% due 7/12/99 100,000 100,007,210
5.31% due 9/13/99 50,000 50,095,581
Credit Communal de Belgique
5.62% due 3/19/99 45,000 44,997,777
Credit Suisse First Boston
5.06% due 10/07/99 325,000 325,000,000
5.69% due 7/06/99 100,000 100,000,000
Deutsche Bank
5.65% due 3/02/99 100,000 99,999,869
Dresdner Bank
5.09% due 5/06/99 55,000 54,999,788
13
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 28, 1999
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Landesbank Hessen
Thuringen
5.00% due 4/06/99 $ 50,000 $ 50,000,000
5.19% due 3/01/00 100,000 99,971,037
Morgan Guarantee Trust
Co
4.90% due 10/15/99 85,000 84,948,558
Rabobank Nederland
5.71% due 6/11/99 100,000 99,986,368
5.69% due 6/30/99 75,000 74,996,325
5.64% due 7/30/99 53,000 53,002,363
Societe Generale Bank
5.75% due 4/06/99 100,000 99,995,749
5.76% due 4/16/99 75,000 74,996,380
Societe Generale Bank*
4.85% due 5/20/99 175,800 175,773,654
Svenska Handelsbanken
5.75% due 5/04/99 57,000 56,995,215
5.76% due 5/25/99 75,000 74,989,972
5.74% due 6/01/99 77,000 76,986,818
Swiss Bank Corp.
5.68% due 5/28/99 40,000 40,051,628
5.715% due 6/14/99 100,000 99,988,980
Toronto Dominion
5.03% due 6/03/99 200,000 200,000,000
5.71% due 6/23/99 85,000 84,989,826
5.60% due 8/17/99 50,000 50,143,031
4.79% due 8/18/99 135,000 134,950,642
UBS AG
5.00% due 5/19/9 50,000 49,997,560
Westdeutsche Landesbank
5.125% due 9/15/99 48,000 48,035,924
5.21% due 9/22/99 50,000 50,074,907
4.84% due 11/05/99 116,000 115,969,420
--------------
2,980,446,590
--------------
COMMERCIAL PAPER -- 19.3%
- --------------------------------------------------------------------------------
Aspen Funding Corp.
4.86% due 4/12/99 200,000 198,866,000
BankAmerica Corp.
4.92% due 4/09/99 50,000 49,733,500
Banco Santander
4.85% due 3/01/99 100,000 100,000,000
Barton Capital Corp.
4.87% due 4/06/99 120,285 119,699,212
Caisse d'Amortissement
4.735% due 10/08/99 76,000 73,790,859
CREGEM INC
4.96% due 4/07/99 50,000 49,745,111
4.81% due 7/08/99 150,000 147,414,625
4.81% due 7/09/99 115,000 113,002,514
Deutsche Bank
4.81% due 8/10/99 165,000 161,428,575
General Electric Capital
Corp
5.12% due 3/11/99 250,000 249,644,444
4.75% due 10/04/99 125,000 121,421,007
4.75% due 10/05/99 125,000 121,404,514
4.88% due 3/01/99 75,000 75,000,000
J. P. Morgan & Co., Inc.*
4.74% due 10/04/99 70,000 67,999,983
Province de Quebec
5.04% due 3/16/99 100,000 99,790,000
Repsol International
Finance
4.87% due 7/15/99 100,000 98,160,222
Sigma Finance Corp.
5.35% due 3/05/99 120,000 119,928,667
5.125% due 2/09/00 250,000 250,000,000
Variable Funding Capital
Corp
4.85% due 3/08/99 50,000 49,952,847
--------------
2,266,982,080
--------------
CORPORATE NOTES -- 7.4%
- --------------------------------------------------------------------------------
Associates Corp. of
North America*
4.91% due 6/29/99 150,000 149,961,490
Bear Stearns*
5.00% due 6/04/99 225,000 225,000,000
J. P. Morgan & Co., Inc.*
4.82% due 7/07/99 210,000 209,957,330
Key Bank National
Association*
4.915% due 5/12/99 88,000 87,987,666
Royal Bank of Canada*
4.92% due 6/07/99 200,000 200,011,567
-------------
872,918,053
-------------
MEDIUM TERM NOTES -- 7.1%
- --------------------------------------------------------------------------------
Abbey National Treasury
Services
4.771% due 6/15/99 100,000 99,968,429
5.58% due 8/25/99 100,000 99,980,986
14
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 28, 1999
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Goldman Sachs Group*
5.05% due 1/31/00 $335,500 $ 335,500,000
Norwest Financial Inc.
5.55% due 8/31/99 100,000 99,985,567
Sigma Finance Corp.
4.89% due 8/27/99 197,000 196,995,459
--------------
832,430,441
--------------
TIME DEPOSITS -- 7.1%
- --------------------------------------------------------------------------------
Banco Bilbao Vizcaya
Nassau
4.84% due 3/01/99 150,000 150,000,000
Chase Bank
4.75% due 3/01/99 386,966 386,966,000
Suntrust
4.81% due 3/01/99 50,000 50,000,000
Svenska Grand Cayman
4.844% due 3/01/99 250,000 250,000,000
---------------
836,966,000
---------------
UNITED STATES GOVERNMENT AGENCY -- 2.6%
- --------------------------------------------------------------------------------
Federal Home Loan Bank
4.71% due 3/16/99 50,000 49,901,874
4.69% due 4/16/99 600 596,404
5.06% due 3/03/00 100,000 99,937,000
Federal National
Mortgage Association
4.86% due 2/10/99 100,000 99,922,269
Student Loan
Marketing Discount Note
4.69% due 4/16/99 50,000 49,700,361
---------------
300,057,908
---------------
UNITED STATES TREASURY BILLS -- 0.3%
- --------------------------------------------------------------------------------
United States Treasury Bills
4.135% due 10/14/99 25,000 24,348,163
4.175% due 12/09/99 15,000 14,507,698
---------------
38,855,861
---------------
TOTAL INVESTMENTS AT VALUE
/AMORTIZED COST 100.6% 11,810,267,882
OTHER ASSETS,
LESS LIABILITIES (0.6%) (75,220,905)
----- ---------------
NET ASSETS 100.0% $11,735,046,977
----- ---------------
* Variable interest rate - subject to periodic change.
See notes to financial statements
15
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1999 (Unaudited)
================================================================================
ASSETS:
Investments at value (Note 1A) $11,810,267,882
Interest receivable 125,683,746
- --------------------------------------------------------------------------------
Total assets 11,935,951,628
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 199,908,037
Payable to affiliate~Investment Advisory fee
(Note 2A) 663,133
Accrued expenses and other liabilities 333,481
- --------------------------------------------------------------------------------
Total liabilities 200,904,651
- --------------------------------------------------------------------------------
NET ASSETS $11,735,046,977
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $11,735,046,977
================================================================================
CASH RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1999 (Unaudited)
================================================================================
INTEREST INCOME (Note 1B): $ 292,120,478
EXPENSES:
Investment Advisory fees (Note 2A) $ 8,190,847
Administrative fees (Note 2B) 2,730,282
Custody and fund accounting fees 1,095,415
Trustees' fees 53,954
Legal fees 32,082
Audit fees 22,300
Miscellaneous 87,395
- --------------------------------------------------------------------------------
Total expenses 12,212,275
Less aggregate amounts waived by Investment
Adviser and Administrator (Notes 2A, and 2B) (6,745,592)
Less fees paid indirectly (Note 1E) (11)
- --------------------------------------------------------------------------------
Net expenses 5,466,672
- --------------------------------------------------------------------------------
Net investment income $ 286,653,806
================================================================================
See notes to financial statements
16
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 28, 1999 YEAR ENDED
(Unaudited) AUGUST 31, 1998
================================================================================
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 286,653,806 $ 504,627,904
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 22,079,029,546 30,335,511,897
Value of withdrawals (19,436,545,991) (29,691,630,125)
- --------------------------------------------------------------------------------
Net increase in net assets from
capital transactions 2,642,483,555 643,881,772
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 2,929,137,361 1,148,509,676
================================================================================
NET ASSETS:
Beginning of period 8,805,909,616 7,657,399,940
- --------------------------------------------------------------------------------
End of period $ 11,735,046,977 $ 8,805,909,616
================================================================================
CASH RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 28, 1999 --------------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
<S> <C> <C> <C> <C> <C>
Net assets (000's omitted) $ 11,735,047 $ 8,805,910 $ 7,657,400 $ 4,442,187 $ 4,765,406
Ratio of expenses to
average net assets 0.10%* 0.10% 0.10% 0.10% 0.10%
Ratio of net investment
income to average
net assets 5.25%* 5.65% 5.57% 5.64% 5.88%
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%* 0.22% 0.23% 0.23% 0.23%
Net investment income
to average net assets 5.13%* 5.53% 5.44% 5.50% 5.75%
====================================================================================================================================
</TABLE>
* Annualized
See notes to financial statements
17
<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.
Citibank is a wholly-owned subsidiary of Citigroup Inc. Citigroup Inc. was
formed as a result of the merger of Citicorp and Travelers Group, Inc. which was
completed on October 8, 1998.
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
18
<PAGE>
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
$8,190,847, of which $4,015,310 was voluntarily waived for the six months ended
February 28, 1999. 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 $2,730,282, all of which were voluntarily waived
for the six months ended February 28, 1999. 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 $96,550,935,887 and $93,524,876,338, respectively, for
the six months ended February 28, 1999.
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, 1999, the commitment fee allocated to the Portfolio was
$15,271. Since the line of credit was established, there have been no
borrowings.
19
