CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS August 31, 1999
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- ----------------------------------------------------
ASSET BACKED -- 9.1%
- ----------------------------------------------------
Lincs-Ser *
5.32% due 2/15/00 $ 87,500 $ 87,500,000
5.29% due 4/15/00 100,000 100,000,000
Restructured Asset
Securities *
5.20% due 6/02/00 250,000 250,000,000
SMM Trust *
5.368% due 1/26/00 100,000 100,000,000
Steers *
5.269% due 11/10/99 201,000 201,000,000
Strategic Money Market
Trust Receipts *
5.24% due 12/15/99 200,000 200,000,000
5.20% due 3/15/00 240,000 240,000,000
Strats Trust *
5.38% due 8/18/00 100,000 100,000,000
Triangle Funding Ltd. *
5.35% due 10/15/99 82,000 82,000,000
--------------
1,360,500,000
--------------
BANK NOTES -- 13.2%
- ----------------------------------------------------
Bank of America
5.50% due 2/25/00 400,000 400,000,000
5.84% due 3/17/00 100,000 100,000,000
FCC National Bank
4.90% due 12/16/99 185,000 184,974,065
5.84% due 2/25/00 100,000 100,000,000
5.85% due 3/20/00 164,000 164,000,000
First National Bank
5.83% due 2/22/00 100,000 100,000,000
First USA Bank
5.93% due 8/29/00 100,000 99,961,992
Key Bank National
Association *
5.475% due 9/23/99 350,000 349,989,452
Morgan Guaranty
Trust Co. *
5.40% due 5/10/00 210,000 209,943,306
Nationsbank
5.00% due 11/19/99 160,000 160,000,000
Westpac Banking Corp.
5.20% due 5/11/00 100,000 99,959,974
--------------
1,968,828,789
--------------
CERTIFICATES OF DEPOSIT
(DOMESTIC) -- 2.8%
- ----------------------------------------------------
Bankers Trust Co. *
5.57% due 5/15/00 200,000 199,938,194
Morgan Guaranty
Trust Co.
4.90% due 10/15/99 85,000 84,990,073
4.63% due 10/22/99 65,000 64,963,673
4.99% due 12/10/99 62,000 62,000,000
--------------
411,891,940
--------------
CERTIFICATES OF DEPOSIT (EURO) -- 4.2%
- ----------------------------------------------------
Barclays Bank
5.25% due 11/02/99 100,000 100,000,000
Bayerische Vereinsbank
4.99% due 11/10/99 171,000 171,006,408
5.02% due 11/23/99 100,000 100,002,066
Credit Agricole Indosuez
4.96% due 9/27/99 75,000 75,000,528
Dresdner Bank
5.26% due 11/02/99 100,000 100,000,000
Halifax
5.14% due 12/06/99 55,000 55,015,560
International Nederlanden
Group
4.97% due 9/27/99 25,000 25,000,176
--------------
626,024,738
--------------
CERTIFICATES OF DEPOSIT (YANKEE) -- 27.8%
- ----------------------------------------------------
Abbey National Treasury
Services *
5.495% due 5/01/00 350,000 349,849,366
Algemene Bank
5.50% due 9/02/99 70,000 70,000,912
Bank Austria
5.15% due 5/04/00 100,000 99,987,016
5.20% due 5/10/00 35,000 34,983,722
5.95% due 8/21/00 100,000 99,953,544
Bank of Montreal
5.59% due 2/04/00 400,000 400,000,000
5.11% due 4/10/00 100,000 99,970,712
Bank of Nova Scotia
5.83% due 2/14/00 115,000 115,000,000
Bayerische Hypo
5.16% due 4/03/00 100,000 99,971,649
5.10% due 4/12/00 100,000 99,976,347
13
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) August 31, 1999
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- ----------------------------------------------------
Bayerische Vereinsbank
4.99% due 9/07/99 $ 70,000 $ 70,000,228
5.15% due 3/23/00 100,000 99,973,093
Commerzbank
5.22% due 5/10/00 100,000 99,966,780
5.58% due 6/19/00 160,000 159,963,173
5.77% due 7/03/00 120,000 119,961,481
Deutsche Bank
5.33% due 3/09/00 50,000 50,017,532
Deutsche Bank
5.38% due 4/26/00* 225,000 224,897,019
Deutsche Bank
5.51% due 6/08/00 96,000 95,971,628
5.71% due 7/10/00 100,000 99,967,148
5.98% due 9/05/00 100,000 99,946,907
Landesbank Hessen
Thuringen
5.12% due 4/26/00 100,000 99,962,318
Lloyds Bank
5.67% due 7/17/00 100,000 99,958,011
National Westminster
Bank
5.04% due 9/02/99 118,100 118,100,303
5.03% due 2/08/00 55,000 54,869,521
Nord Deutsche
Landesbank
5.16% due 5/17/00 100,000 99,959,009
Rabobank Nederland
5.08% due 4/12/00 100,000 99,970,431
5.52% due 6/07/00 62,000 61,809,773
Svenska Handelsbanken
5.28% due 3/03/00 120,000 120,044,931
5.23% due 5/10/00 100,000 99,973,424
5.59% due 6/19/00 50,000 49,988,493
Toronto Dominion
5.15% due 4/27/00 100,000 99,968,472
UBS AG Stamford
5.29% due 5/22/00 85,000 84,970,447
5.34% due 5/24/00 50,000 49,982,205
5.60% due 6/26/00 25,000 24,990,185
5.76% due 7/05/00 50,000 49,939,138
Westdeutsche Landesbank
5.625% due 9/01/99 100,000 100,000,000
5.125% due 9/15/99 48,000 48,002,540
4.84% due 11/05/99 116,000 115,992,017
5.47% due 2/22/00 85,000 85,000,000
--------------
4,153,839,475
--------------
COMMERCIAL PAPER -- 23.3%
- ----------------------------------------------------
Abbey National
North America
5.21% due 3/03/00 170,000 165,473,089
Associates First Capital
Corp.
5.63% due 9/01/99 200,000 200,000,000
Associates Corp. of
North America
5.63% due 9/01/99 100,000 100,000,000
Banco Santander
5.16% due 9/10/99 150,000 149,806,500
BankAmerica Corp.
4.84% due 10/06/99 50,000 49,764,722
Bank of New York
5.65% due 2/11/00 50,000 48,720,903
Caisse D'Amortissement
4.735% due 10/08/99 76,000 75,630,144
Exxon Corp.
5.62% due 9/01/00 200,000 200,000,000
Four Winds Funding Corp.
5.17% due 9/03/99 200,000 199,942,556
General Electric Capital
Corp.
4.75% due 10/04/99 125,000 124,455,729
4.75% due 10/05/99 125,000 124,439,236
5.41% due 2/10/00 190,000 185,374,450
5.41% due 2/11/00 100,000 97,550,472
J. P. Morgan & Co., Inc.
5.59% due 2/07/00 85,000 82,901,421
Morgan Stanley Dean
Witter Disc.
5.59% due 1/27/00* 200,000 200,000,000
5.62% due 2/04/00 440,000 440,000,000
Moriarty Ltd.
5.34% due 10/26/99 200,000 198,368,333
Newport Funding Corp.
5.34% due 10/22/99 139,721 138,664,011
Province de Quebec
4.80% due 12/17/99 30,000 29,572,000
Prudential Funding Corp.
5.63% due 9/01/99 200,000 200,000,000
Riverwoods Funding Corp.
5.34% due 10/26/99 98,146 97,345,292
Santander Financial
5.69% due 2/11/00 75,000 73,069,469
14
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS August 31, 1999
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- ----------------------------------------------------
Sigma Finance Corp.
5.34% due 10/26/99 $100,000 $ 99,184,167
5.26% due 11/02/99 125,000 123,867,639
5.43% due 2/01/00 80,000 78,153,800
---------------
3,482,283,933
---------------
CORPORATE NOTES -- 3.5%
- ----------------------------------------------------
Credit Suisse *
5.54% due 10/07/99 325,000 325,000,000
J. P. Morgan & Co., Inc.*
5.56% due 5/04/00 200,000 200,000,000
---------------
525,000,000
---------------
MEDIUM TERM NOTES -- 5.3%
- ----------------------------------------------------
Credit Suisse *
5.57% due 5/10/00 200,000 200,000,000
Goldman Sachs Group *
5.39% due 1/31/00 335,500 335,500,000
Sigma Finance Corp.
5.125% due 2/09/00 250,000 250,000,000
---------------
785,500,000
---------------
TIME DEPOSITS -- 7.6%
- ----------------------------------------------------
Barclays Bank
5.63% due 9/01/99 143,452 143,452,000
Landesbank Hessen
Thuringen
5.66% due 9/01/99 182,500 182,500,000
Rabobank Nederland
5.63% due 9/01/99 100,000 100,000,000
Societe Generale
5.56% due 9/01/99 160,578 160,578,000
Suntrust
5.63% due 9/01/99 400,000 400,000,000
Svenska Grand Cayman
5.63% due 9/01/99 150,000 150,000,000
---------------
1,136,530,000
---------------
UNITED STATES GOVERNMENT AGENCY -- 2.8%
- ----------------------------------------------------
Federal Home Loan Bank
Consumer Discount
Notes
5.39% due 7/28/00 100,000 95,044,194
Federal Home Loan
Mortgage Discount
Notes
5.21% due 3/09/00 48,062 46,740,429
5.16% due 6/13/00 50,000 47,950,333
5.22% due 6/15/00 135,000 129,362,400
Federal National Mortgage
Association
4.86% due 2/10/00 100,000 99,963,605
---------------
419,060,961
---------------
UNITED STATES TREASURY BILLS -- 0.3%
- ----------------------------------------------------
United States Treasury Bills
4.135% due 10/14/99 25,000 24,876,524
4.175% due 12/09/99 15,000 14,827,781
---------------
39,704,305
---------------
TOTAL INVESTMENTS AT VALUE
/AMORTIZED COST 99.9% 14,909,164,141
OTHER ASSETS,
LESS LIABILITIES 0.1% 20,180,507
---- ---------------
- ----------------------------------------------------
NET ASSETS 100.0% $14,929,344,648
----- ---------------
* Variable interest rate - subject to periodic change.
See notes to financial statements
15
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AUGUST 31, 1999
- -------------------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments at value (Note 1A) $14,909,164,141
Cash 1,804
Interest receivable 121,674,021
- -------------------------------------------------------------------------------------------
Total assets 15,030,839,966
- -------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 99,946,907
Payable to affiliate--Investment Advisory fee (Note 2A) 1,113,656
Accrued expenses and other liabilities 434,755
- -------------------------------------------------------------------------------------------
Total liabilities 101,495,318
- -------------------------------------------------------------------------------------------
NET ASSETS $14,929,344,648
- -------------------------------------------------------------------------------------------
REPRESENTED BY:
Paid-in capital for beneficial interests $14,929,344,648
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CASH RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1999
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INTEREST INCOME (Note 1B): $640,703,011
EXPENSES:
Investment Advisory fees (Note 2A) $ 18,380,593
Administrative fees (Note 2B) 6,126,864
Custody and fund accounting fees 2,505,470
Legal fees 70,203
Trustees' fees 67,304
Audit fees 45,100
Other 153,571
- -------------------------------------------------------------------------------------------
Total expenses 27,349,105
Less aggregate amounts waived by Investment Adviser
and Administrator (Notes 2A, and 2B) (15,085,181)
Less fees paid indirectly (Note 1E) (17)
- -------------------------------------------------------------------------------------------
Net expenses 12,263,907
- -------------------------------------------------------------------------------------------
Net investment income $628,439,104
- -------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
16
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
---------------------------------
1999 1998
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 628,439,104 $ 504,627,904
- -----------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 47,581,662,450 30,335,511,897
Value of withdrawals (42,086,666,522) (29,691,630,125)
- -----------------------------------------------------------------------------------------------------------
Net increase in net assets from
capital transactions 5,494,995,928 643,881,772
- -----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 6,123,435,032 1,148,509,676
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 8,805,909,616 7,657,399,940
- -----------------------------------------------------------------------------------------------------------
End of period $14,929,344,648 $ 8,805,909,616
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CASH RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
YEAR ENDED AUGUST 31,
--------------------------------------------------------------
1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000's omitted) $14,929,345 $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 5.13% 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 5.01% 5.53% 5.44% 5.50% 5.75%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
17
<PAGE>
CASH RESERVES PORTFOLIO
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.
Citibank is a wholly-owned subsidiary of Citicorp, which in turn 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 AGREEMENT 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 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
18
<PAGE>
CASH RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
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 $18,380,593
of which $8,958,317 was voluntarily waived for the year ended August 31 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 $6,126,864, all of which were voluntarily waived
for the year ended August 31, 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 $317,241,778,448 and $311,116,822,640, respectively, for
the year ended August 31, 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 $75
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, 1999, the commitment fee allocated to the Portfolio was $32,324.
Since the line of credit was established, there have been no borrowings.
19
<PAGE>
CASH RESERVES PORTFOLIO
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, 1999 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 of these financial statements in accordance with
generally accepted auditing standards. Those standards require that we plan and
perform the 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, 1999 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, 1999, 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.
PricewaterhouseCoopers LLP
Chartered Accountants
Toronto, Ontario
October 6, 1999
20
