<PAGE>
U.S. Treasury Reserves Portfolio
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PORTFOLIO OF INVESTMENTS August 31, 1996
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--94.9%
U.S. TREASURY BILLS--70.0%
due 9/12/1996 .............................. $ 23,765 $ 23,699,716
due 9/17/1996 .............................. 165,000 164,666,110
due 9/19/1996 .............................. 89,600 89,373,455
due 10/03/1996 ............................. 132,354 131,733,133
due 10/10/1996 ............................. 21,055 20,939,485
due 10/24/1996 ............................. 17,345 17,213,108
due 11/07/1996 ............................. 21,275 21,075,836
due 11/29/1996 ............................. 40,903 40,387,304
due 1/09/1997 .............................. 20,000 19,658,389
due 2/06/1997 .............................. 9,065 8,853,740
------------
537,600,276
------------
U.S. TREASURY NOTES--24.9%
6.50% due 9/30/1996 ........................ 76,100 76,178,859
4.375% due 11/15/1996 ...................... 75,000 74,858,402
6.875% due 2/28/1997 ....................... 25,000 25,177,631
6.50% due 5/15/1997 ........................ 15,000 15,083,836
------------
191,298,728
------------
TOTAL INVESTMENTS AT AMORTIZED COST .. 94.9% 728,899,004
OTHER ASSETS, LESS LIABILITIES ....... 5.1 38,904,782
---- ------------
NET ASSETS ........................... 100.0% $767,803,786
===== ============
See notes to financial statements
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U.S. Treasury Reserves Portfolio
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STATEMENT OF ASSETS AND LIABILITIES August 31, 1996
ASSETS:
Investments, at amortized cost and value (Note 1A) ............ $728,899,004
Cash .......................................................... 1,434
Interest receivable ........................................... 4,206,120
Receivable for investments sold ............................... 199,476,641
------------
Total assets .............................................. 932,583,199
------------
LIABILITIES:
Payable for investments purchased ............................. 164,666,110
Payable to affiliate--Investment Advisory fees (Note 2A) ...... 39,761
Accrued expenses and other liabilities ........................ 73,542
------------
Total liabilities ........................................... 164,779,413
------------
Net Assets .................................................... $767,803,786
============
REPRESENTED BY:
Paid-in capital for beneficial interests ...................... $767,803,786
============
U.S. Treasury Reserves Portfolio
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STATEMENT OF OPERATIONS
For the Year Ended August 31, 1996
INTEREST INCOME (Note 1B) .......................... $38,914,155
EXPENSES:
Investment advisory fees (Note 2A) ................. $1,101,345
Administrative fees (Note 2B) ...................... 367,115
Custodian fees ..................................... 261,872
Auditing fees ...................................... 20,950
Legal fees ......................................... 14,495
Trustee fees ....................................... 8,029
Miscellaneous ...................................... 55,178
----------
Total expenses 1,828,984
Less aggregate amount waived by Investment
Adviser and Administrator (Notes 2A and 2B) ... (1,094,516)
Less fees paid indirectly (Note 1D) ............. (287)
----------
Net expenses .................................... 734,181
-----------
Net investment income ........................... $38,179,974
===========
See notes to financial statements
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U.S. Treasury Reserves Portfolio
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STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED AUGUST 31,
-------------------------------
1996 1995
------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income ....................... $ 38,179,974 $ 41,029,101
-------------- --------------
CAPITAL TRANSACTIONS:
Proceeds from contributions ................. 1,474,479,600 2,996,270,146
Value of withdrawals ........................ (1,577,114,165) (2,931,609,982)
-------------- --------------
Net (decrease)increase in net assets
from capital transactions ................. 102,634,565) 64,660,164
-------------- --------------
NET (DECREASE) INCREASE IN NET ASSETS ....... (64,454,591) 105,689,265
NET ASSETS:
Beginning of period ......................... 832,258,377 726,569,112
-------------- --------------
End of period ............................... $ 767,803,786 $ 832,258,377
============== ==============
<TABLE>
<CAPTION>
U.S. Treasury Reserves Portfolio
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FINANCIAL HIGHLIGHTS
MARCH 1, 1991
EIGHT MONTHS YEAR (COMMENCEMENT
YEAR ENDED AUGUST 31, ENDED ENDED OF OPERATIONS) TO
--------------------------- AUGUST 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994 1993 1992 1991
------ ------ ------ ------------- ------------ ----------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) ................ $767,804 $832,258 $726,569 $521,818 $590,769 $675,332
Ratio of expenses to average net
assets ......................... 0.10% 0.10% 0.12% 0.20%+ 0.24% 0.19%+
Ratio of net investment income to
average net assets ............. 5.20% 5.36% 3.43% 2.96%+ 3.59% 5.26%+
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% 0.25% 0.26% 0.25%+ 0.25% 0.25%+
Net investment income to average
net assets ..................... 5.05% 5.21% 3.30% 2.91%+ 3.58% 5.19%+
+Annualized.
See notes to financial statements
</TABLE>
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U.S. Treasury Reserves Portfolio
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NOTES TO FINANCIAL STATEMENTS
(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 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
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. FEES PAID INDIRECTLY--The Fund's custodian bank calculates its fees based on
the Fund's average daily net assets. The fee is 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 Fund.
This amount is shown as a reduction of expenses on the Statement of Operations.
E. 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 $1,101,345,
of which $727,401 was voluntarily waived for the year ended August 31, 1996. 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 fees amounted to $367,115, all of which was voluntarily
waived for the year ended August 31, 1996. 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
$7,404,161,342 and $7,590,078,712, respectively, for the year ended August 31,
1996.
(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. 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, 1996,
the commitment fee allocated to the Portfolio was $2,995. Since the line of
credit was established, there have been no borrowings.
<PAGE>
U.S. Treasury Reserves Portfolio
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INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES AND INVESTORS OF U.S. TREASURY RESERVES PORTFOLIO:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments of U.S. Treasury Reserves Portfolio (a
New York Trust) as of August 31, 1996, the related statement of operations for
the year then ended, the statement of changes in net assets for the years ended
August 31, 1996 and 1995 and the financial highlights for each of the years in
the three-year period ended August 31, 1996, the eight months ended August 31,
1993, the year ended December 31, 1992 and the period from March 1, 1991
(Commencement of Operations) to December 31, 1991. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on the financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned as of
August 31, 1996, by correspondence with the Custodian and brokers; where replies
were not received from brokers, we performed other auditing procedures. 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 provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of U.S. Treasury
Reserves Portfolio at August 31, 1996, the results of its operations, the
changes in its net assets, and its financial highlights for the respective
stated periods in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
October 4, 1996
