<PAGE>
U.S. Treasury Reserves Portfolio
PORTFOLIO OF INVESTMENTS February 28, 1995 (unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- - ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 99.9%
U.S. TREASURY BILLS -- 95.2%
due 3/2/1995............................... $180,850 $180,825,290
due 3/16/1995.............................. 21,760 21,714,159
due 4/6/1995............................... 56,490 56,177,658
due 4/13/1995.............................. 41,140 40,858,247
due 4/20/1995.............................. 215,175 213,484,262
due 5/4/1995............................... 10,000 9,911,556
due 5/25/1995.............................. 75,000 73,969,965
due 6/29/1995.............................. 54,865 53,848,390
due 7/27/1995.............................. 10,000 9,786,633
due 8/24/1995.............................. 20,000 19,481,289
due 9/21/1995.............................. 10,000 9,684,367
due 10/19/1995............................. 15,000 14,362,000
------------
704,103,816
------------
U.S. TREASURY NOTES -- 4.7%
3.875% due 3/31/95......................... 35,000 34,961,130
------------
TOTAL INVESTMENTS, AT AMORTIZED COST .......... 99.9% 739,064,946
OTHER ASSETS, LESS LIABILITIES ................ 0.1 475,121
---- ------------
NET ASSETS .................................... 100.0% $739,540,067
====== ============
See notes to financial statements
<PAGE>
U.S. Treasury Reserves Portfolio
STATEMENT OF ASSETS AND LIABILITIES February 28, 1995 (unaudited)
ASSETS:
Investments, at amortized cost and value (Note 1A).............. $739,064,946
Cash............................................................ 2,948
Interest receivable............................................. 566,346
Deferred organization expenses (Note 1D)........................ 3,381
------------
Total assets.................................................. 739,637,621
------------
LIABILITIES:
Payable to affiliate-- investment advisory fee (Note 2A)........ 33,516
Accrued expenses and other liabilities.......................... 64,038
------------
Total liabilities............................................. 97,554
------------
NET ASSETS...................................................... $739,540,067
============
REPRESENTED BY:
Paid-in capital for beneficial interests........................ $739,540,067
============
U.S. Treasury Reserves Portfolio
STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1995 (unaudited)
INTEREST INCOME (Note 1B)................... $18,481,799
EXPENSES:
Investment Advisory fees (Note 2A).......... $ 546,414
Administrative fees (Note 2B)............... 182,138
Custodian fees.............................. 122,196
Auditing fees............................... 10,300
Trustee fees................................ 8,228
Legal fees.................................. 5,774
Amortization of organization expenses
(Note 1D)................................. 2,136
Miscellaneous............................... 37,269
---------
Total expenses............................ 914,455
Less aggregate amount waived by Investment
Adviser and Administrator
(Notes 2A and 2B)....................... (550,179)
---------
Net expenses.............................. 364,276
-----------
Net investment income..................... $18,117,523
===========
See notes to financial statements
<PAGE>
U.S. Treasury Reserves Portfolio
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
FEBRUARY 28, 1995 YEAR ENDED
(UNAUDITED) AUGUST 31, 1994
---------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income..................................................... $ 18,117,523 $ 19,484,825
--------------- ---------------
CAPITAL TRANSACTIONS:
Proceeds from contributions............................................... 1,572,839,123 1,195,331,966
Value of withdrawals...................................................... (1,577,985,691) (1,010,065,239)
--------------- ---------------
Net increase (decrease) in net assets from capital transactions......... (5,146,568) 185,266,727
--------------- ---------------
NET INCREASE IN NET ASSETS................................................ 12,970,955 204,751,552
NET ASSETS:
Beginning of period....................................................... 726,569,112 521,817,560
--------------- ---------------
End of period............................................................. $ 739,540,067 $ 726,569,112
=============== =============
</TABLE>
U.S. Treasury Reserves Portfolio
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARCH 1, 1991
SIX MONTHS ENDED EIGHT MONTHS ENDED (COMMENCEMENT
FEBRUARY 28, 1995 YEAR ENDED AUGUST 31, 1993 YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) AUGUST 31, 1994 (NOTE 1E) DECEMBER 31, 1992 DECEMBER 31, 1991
---------------- --------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted)............ $739,540 $726,569 $521,818 $590,769 $675,332
Ratio of expenses to average
net assets................ 0.10%<F1> 0.12% 0.20%<F1> 0.24% 0.19%<F1>
Ratio of net investment
income to average net
assets.................... 4.97%<F1> 3.43% 2.96%<F1> 3.59% 5.26%<F1>
Note: If the 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. 0.25%<F1> 0.26% 0.25%<F1> 0.25% 0.25%<F1>
Net investment income to
average net assets........... 4.82%<F1> 3.30% 2.91%<F1> 3.58% 5.19%<F1>
<FN>
<F1>Annualized.
</TABLE>
See notes to financial statements
<PAGE>
U.S. Treasury Reserves Portfolio
NOTES TO FINANCIAL STATEMENTS (unaudited)
(1) SIGNIFICANT ACCOUNTING POLICIES
U.S. Treasury Reserves Portfolio (the "Portfolio") is registered under the
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. The Landmark Funds Broker-Dealer
Services, Inc. ("LFBDS") acts as the Portfolio's Administrator and Citibank,
N.A. ("Citibank") acts as the Investment Adviser.
The significant accounting policies consistently followed by the Portfolio are
in conformity with generally accepted accounting principles and 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 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),
adjusted for amortization of premium, 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.
C. FEDERAL INCOME TAXES -- The Portfolio's policy is to comply with the
applicable provisions of the Internal Revenue Code. Accordingly, no provision
for federal income taxes is necessary.
D. DEFERRED ORGANIZATION EXPENSES -- Expenses incurred by the Portfolio in
connection with its organization have been deferred and are being amortized on a
straight-line basis not to exceed five years.
E. CHANGE IN FISCAL YEAR END -- On April 15, 1993, the Portfolio changed its
fiscal year end from December 31 to August 31.
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 FEES -- The investment advisory fees paid to Citibank, as
compensation for overall investment management services, amounted to $546,414,
of which $368,041 was voluntarily waived for the six months ended February 28,
1995. The investment advisory fee is 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, is accrued daily
and paid monthly at the annual rate of 0.05% of the Portfolio's average daily
net assets. The administrative fee amounted to $182,138, all of which was
voluntarily waived for the six months ended February 28, 1995. The Portfolio
pays no compensation directly to any Trustee or 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 U.S. Treasury obligations, aggregated
$5,658,588,112 and $5,656,248,846, respectively, for the six months ended
February 28, 1995.
(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. In
addition, the $15 million committed portion of 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, 1995, the
commitment fee allocated to the Portfolio was $2,891. Since the line of credit
was established, there have been no borrowings.
