CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- -------------------------------------------------------------------------
ASSET BACKED -- 10.1%
- -------------------------------------------------------------------------
Lincs-Ser,*
5.91% due 4/15/00 $ 100,000 $ 100,000,000
Restructured Asset Securities,*
5.91% due 6/02/00 250,000 250,000,000
Steers,
6.16% due 10/02/00 365,000 365,197,809
Strategic Money Market Trust Receipts,*
6.18% due 3/15/00 240,000 240,000,000
6.15% due 9/13/00 350,000 350,029,338
Strats Trust*,
5.98% due 8/18/00 100,000 100,000,000
--------------
1,405,227,147
--------------
BANK NOTES -- 7.1%
- -------------------------------------------------------------------------
Bank of America,
6.00% due 3/13/00 125,000 125,000,000
6.46% due 11/09/00 100,000 100,000,000
6.48% due 11/20/00 50,000 50,000,000
6.18% due 11/22/00 100,000 95,433,667
FCC National Bank,
5.85% due 3/20/00 164,000 164,000,000
First USA Bank,
5.93% due 8/29/00 100,000 99,981,049
Morgan Guaranty
Trust Co,*
5.90% due 5/10/00 210,000 209,984,252
Nationsbank,
5.39% due 6/01/00 43,000 42,940,801
Westpac Banking Corp,
5.20% due 5/11/00 100,000 99,988,767
-----------
987,328,536
-----------
CERTIFICATES OF DEPOSIT (Domestic) -- 1.5%
- -------------------------------------------------------------------------
Bankers Trust Co.,*
6.01% due 5/15/00 200,000 199,981,963
--------------
CERTIFICATES OF DEPOSIT (Euro) -- 8.5%
- -------------------------------------------------------------------------
Den Danske Bank,
6.06% due 5/04/00 80,000 80,005,382
Dresdner Bank,
5.93% due 8/07/00 50,000 50,001,056
6.02% due 3/06/00 50,000 50,000,062
Landesbank Hessen
Thuringen,
5.19% due 3/01/00 50,000 50,000,000
5.12% due 4/26/00 100,000 99,991,134
Merrill Lynch & Co. Inc.,
5.92% due 3/02/01 $500,000 $ 499,900,000
Morgan Stanley Dean Witter Discover,
5.98% due 11/24/00 350,000 350,000,000
--------------
1,179,897,634
--------------
CERTIFICATES OF DEPOSIT (Yankee) -- 38.5%
- -------------------------------------------------------------------------
Abbey National Treasury Services,*
5.94% due 5/01/00 350,000 349,962,187
Bank Austria,
5.15% due 5/04/00 100,000 99,996,622
5.20% due 5/10/00 35,000 34,995,478
5.95% due 8/21/00 75,000 74,983,021
5.93% due 9/07/00 100,000 99,975,124
6.71% due 2/12/01 135,000 134,951,161
Bank of Montreal,
5.11% due 4/10/00 100,000 99,994,723
Bank of Nova Scotia,
6.71% due 2/05/01 150,000 149,946,826
6.74% due 2/16/01 40,000 40,015,562
Barclays Bank Plc.,
6.69% due 2/20/01 100,000 99,967,614
Bayerische Hypo,
5.16% due 4/03/00 100,000 99,995,648
5.10% due 4/12/00 100,000 99,995,565
Bayerische Landesbank,
5.86% due 9/27/00 94,000 93,966,382
Bayerische Vereinsbank,
5.15% due 3/23/00 100,000 99,997,098
Bear Stearns Cos. Inc.,
6.05% due 2/20/01 250,000 250,000,000
Branch Bank & Trust,
5.98% due 2/16/01 300,000 299,887,620
Commerzbank,
5.22% due 5/10/00 100,000 99,990,772
5.58% due 6/19/00 160,000 159,986,127
5.77% due 7/03/00 120,000 119,984,391
6.67% due 3/01/01 100,000 99,952,547
Deutsche Bank,
5.33% due 3/09/00 50,000 50,000,738
5.88% due 4/26/00* 225,000 224,975,769
5.51% due 6/08/00 96,000 95,990,004
5.71% due 7/10/00 100,000 99,986,250
6.20% due 10/18/00 100,000 99,969,834
6.45% due 1/08/01 100,000 99,959,229
Lloyds Bank,
5.67% due 7/17/00 100,000 99,981,892
Nord Deutsche
Landesbank,
5.16% due 5/17/00 100,000 99,987,813
12
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- -------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (Yankee) -- (cont'd)
- -------------------------------------------------------------------------
Rabobank Nederland,
5.08% due 4/12/00 $100,000 $ 99,994,456
5.52% due 6/07/00 62,000 61,933,420
6.02% due 6/30/00 71,000 70,987,238
6.13% due 10/31/00 50,000 47,924,306
6.47% due 1/18/01 100,000 99,957,928
6.52% due 1/25/01 140,000 139,939,851
6.64% due 3/02/01 95,000 94,954,899
Societe Generale,
6.56% due 1/16/01 108,000 107,954,895
Svenska Handelsbanken,
5.28% due 3/03/00 120,000 120,000,488
5.23% due 5/10/00 100,000 99,992,618
5.59% due 6/19/00 50,000 49,995,665
Toronto Dominion,
5.15% due 4/27/00 100,000 99,992,481
6.71% due 2/07/01 90,000 89,979,907
UBS AG Stamford,
5.29% due 5/19/00 260,000 259,626,107
5.29% due 5/22/00 85,000 84,990,821
5.34% due 5/24/00 50,000 49,994,380
5.60% due 6/26/00 25,000 24,996,159
5.76% due 7/05/00 50,000 49,975,102
5.93% due 10/02/00 50,000 49,865,478
6.24% due 12/06/00 50,000 49,972,593
6.23% due 12/07/00 120,000 119,942,776
---------------
5,352,367,565
---------------
COMMERCIAL PAPER -- 26.5%
- -------------------------------------------------------------------------
ABN-Amro Bank,
5.95% due 8/07/00 50,000 48,686,042
6.03% due 10/10/00 100,000 96,264,750
Abbey National North America,
5.21% due 3/03/00 170,000 169,950,794
Alpine Securitization Corp.,
5.80% due 3/10/00 94,072 93,935,596
Aspen Funding Corp.,
5.93% due 3/01/00 250,000 250,000,000
Barton Capital Corp.,
5.90% due 4/07/00 36,449 36,227,977
Bear Stearns Cos. Inc.,
5.79% due 3/24/00 250,000 249,075,208
5.79% due 5/12/00 150,000 148,263,000
British Telecommunications
Plc.,
6.18% due 11/17/00 100,000 95,519,500
Cregem North America Inc.,
5.73% due 5/22/00 125,000 123,368,542
5.99% due 10/10/00 100,000 96,289,528
Den Danske Bank,
5.92% due 7/06/00 160,000 156,658,489
6.03% due 10/10/00 50,000 48,132,375
Exxon Asset Mgmt.,
5.88% due 3/01/00 70,000 70,000,000
Exxon Corp.,
5.90% due 3/01/00 100,000 100,000,000
Four Winds Funding Corp.,
5.79% due 3/10/00 100,000 99,855,250
General Electric Capital
Corp.,
5.95% due 3/17/00 200,000 199,471,111
5.75% due 4/20/00 50,000 49,600,694
General Electric Capital
Services Inc.,
5.75% due 4/20/00 100,000 99,201,389
Greyhawk Capital Corp.,
5.85% due 4/06/00 130,000 129,239,500
5.85% due 4/10/00 100,000 99,350,000
International Nederland,
6.18% due 11/17/00 100,000 95,519,500
Johnson & Johnson,
5.82% due 6/30/00 43,380 42,531,415
5.80% due 7/05/00 50,000 48,985,000
5.80% due 7/25/00 25,000 24,411,944
5.77% due 7/26/00 50,000 48,821,958
Kittyhawk Funding,
5.79% due 3/09/00 105,611 105,475,114
Morgan Stanley Dean
Witter Discover,
5.90% due 3/01/00 300,000 300,000,000
Moriarty Ltd.,
5.87% due 4/10/00 150,000 149,021,666
Pooled Accounts Receivable
Capital Corp.,
5.80% due 3/10/00 42,042 41,981,039
Sigma Finance Corp.,
6.22% due 3/15/00 200,000 199,998,460
5.75% due 5/17/00 50,000 49,385,069
5.75% due 5/22/00 21,000 20,724,958
5.75% due 5/30/00 30,000 29,568,750
6.20% due 11/21/00 75,000 71,579,844
---------------
3,687,094,462
---------------
CORPORATE NOTES -- 1.4%
- -------------------------------------------------------------------------
J. P. Morgan & Co., Inc.
5.92% due 5/04/00 200,000 200,000,000
---------------
MEDIUM TERM NOTES -- 2.7%
- -------------------------------------------------------------------------
Abbey National Treasury
Services,
6.19% due 10/18/00 100,000 99,963,800
Credit Suisse,
6.01% due 5/10/00 200,000 200,000,000
Household Financial Corp.,
6.15% due 9/14/00 74,000 73,976,102
---------------
373,939,902
---------------
13
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- -------------------------------------------------------------------------
TIME DEPOSITS -- 4.2%
- -------------------------------------------------------------------------
BankAmerica,
5.81% due 3/01/00 $300,000 $ 300,000,000
Barclays Bank Plc.,
5.81% due 3/01/00 285,155 285,155,000
---------------
585,155,000
---------------
UNITED STATES GOVERNMENT AGENCY -- 2.7%
- -------------------------------------------------------------------------
Federal Home Loan Bank,
5.97% due 12/01/00 100,000 99,892,555
Federal Home Loan Bank
Consumer Discount
Notes,
5.39% due 7/28/00 50,000 48,884,569
Federal Home Loan
Mortgage Discount
Notes,
5.21% due 3/09/00 48,062 48,006,355
5.16% due 6/13/00 50,000 49,254,667
5.22% due 6/15/00 135,000 132,925,050
---------------
378,963,196
---------------
UNITED STATES TREASURY BILLS -- 2.3%
- -------------------------------------------------------------------------
United States Treasury Bills,
5.21% due 11/09/00 50,000 48,169,264
5.28% due 11/09/00 50,000 48,144,667
5.40% due 11/09/00 50,000 48,102,500
5.56% due 11/09/00 100,000 96,310,416
5.62% due 11/09/00 85,000 81,826,519
---------------
322,553,366
---------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 105.5% $14,672,508,771
OTHER ASSETS,
LESS LIABILITIES (5.5) (770,572,308)
----- ---------------
NET ASSETS 100.0% $13,901,936,463
===== ===============
* Variable interest rate -- subject to periodic change.
See notes to financial statements
14
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
February 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investments at value (Note 1A) $14,672,508,771
Cash 938
Interest receivable 175,364,534
- --------------------------------------------------------------------------------
Total assets 14,847,874,243
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 944,854,899
Payable to affiliate--Investment Advisory fee (Note 2A) 864,921
Accrued expenses and other liabilities 217,960
- --------------------------------------------------------------------------------
Total liabilities 945,937,780
- --------------------------------------------------------------------------------
NET ASSETS $13,901,936,463
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $13,901,936,463
================================================================================
See notes to financial statements
15
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
- ------------------------------------------------------------------------------
INTEREST INCOME (Note 1B): $437,190,840
EXPENSES:
Investment Advisory fees (Note 2A) $ 11,526,046
Administrative fees (Note 2B) 3,842,015
Custody and fund accounting fees 1,767,061
Trustees' fees 31,814
Audit fees 21,000
Legal fees 19,982
Other 28,152
- ------------------------------------------------------------------------------
Total expenses 17,236,070
Less aggregate amounts waived by
Investment Adviser and Administrator
(Notes 2A, and 2B) (9,549,938)
Less fees paid indirectly (Note 1E) (421)
- ------------------------------------------------------------------------------
Net expenses 7,685,711
- ------------------------------------------------------------------------------
Net investment income $429,505,129
==============================================================================
See notes to financial statements
16
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
CASH RESERVES PORTFOLIO
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
===============================================================================
INCREASE (Decrease) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 429,505,129 $ 628,439,104
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 27,245,381,664 47,581,662,450
Value of withdrawals (28,702,294,978) (42,086,666,522)
- -------------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital transactions (1,456,913,314) 5,494,995,928
- -------------------------------------------------------------------------------
NET INCREASE (Decrease) IN NET ASSETS (1,027,408,185) 6,123,435,032
- -------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 14,929,344,648 8,805,909,616
- -------------------------------------------------------------------------------
End of period $ 13,901,936,463 $14,929,344,648
===============================================================================
See notes to financial statements
17
<PAGE>
CASH RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2000 -----------------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
============================================================================================================
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000's omitted) $13,901,936 $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% 0.10%
Ratio of net investment income
to average net assets 5.57%* 5.13% 5.65% 5.57% 5.64% 5.88%
<FN>
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:
</FN>
RATIOS:
Expenses to average net
assets 0.22%* 0.22% 0.22% 0.23% 0.23% 0.23%
Net investment income to
average net assets 5.45%* 5.01% 5.53% 5.44% 5.50% 5.75%
============================================================================================================
</TABLE>
* Annualized
See notes to financial statements
18
<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.
The preparation of financial statements in accordance with United States of
America 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. Other Purchases, maturities and sales of money market instruments are
accounted for on the date of the transaction.
19
<PAGE>
CASH RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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 $11,526,046
of which $5,707,922 was voluntarily waived for the six months ended February 29,
2000. 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 $3,842,015, all of which were voluntarily waived
for the six months ended February 29, 2000. 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 $175,256,041,856 and $175,492,697,226, respectively, for
the six months ended February 29, 2000.
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 six months
ended February 29, 2000, the commitment fee allocated to the Portfolio was
$22,033. Since the line of credit was established, there have been no
borrowings.
20
