<PAGE>
U.S. Treasury Reserves Portfolio
PORTFOLIO OF INVESTMENTS February 29, 1996 (unaudited))
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS--99.9%
U.S. TREASURY BILLS
due 3/07/1996.................................... $186,145 $ 185,995,829
due 3/14/1996.................................... 51,025 50,927,981
due 3/28/1996.................................... 75,000 74,725,500
due 4/04/1996.................................... 72,880 72,539,313
due 4/11/1996.................................... 51,255 50,961,959
due 4/18/1996.................................... 9,265 9,203,542
due 5/09/1996.................................... 2,615 2,590,917
due 5/16/1996.................................... 25,000 24,747,722
due 5/30/1996.................................... 145,240 143,493,141
due 7/25/1996.................................... 50,000 49,038,833
due 1/09/1997.................................... 20,000 19,174,878
-------------
683,399,615
-------------
U.S. TREASURY NOTES
6.125% due 7/31/1996............................. 25,000 25,116,873
-------------
TOTAL INVESTMENTS AT AMORTIZED COST......... 99.9% 708,516,488
OTHER ASSETS, LESS LIABILITIES.............. 0.1 32,499
----- -------------
Net Assets.................................. 100.0% $ 708,548,987
===== =============
See notes to financial statements
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U.S. Treasury Reserves Portfolio
STATEMENT OF ASSETS AND LIABILITIES February 29, 1996 (unaudited)
ASSETS:
Investments, at amortized cost and value (Note 1A).............. $708,516,488
Cash............................................................ 4,375
Interest receivable............................................. 126,202
------------
Total assets.................................................. 708,647,065
------------
LIABILITIES:
Payable to affiliate--investment advisory fee (Note 2A)......... 86,807
Accrued expenses and other liabilities.......................... 11,271
------------
Total liabilities............................................. 98,078
------------
Net Assets...................................................... $708,548,987
============
REPRESENTED BY:
Paid-in capital for beneficial interests........................ $708,548,987
============
U.S. Treasury Reserves Portfolio
STATEMENT OF OPERATIONS
For the Six Months Ended February 29, 1996 (unaudited)
Interest income (Note 1B).............................. $19,875,314
Expenses:
Investment advisory fees (Note 2A)..................... $ 544,103
Administrative fees (Note 2B).......................... 181,368
Custodian fees......................................... 133,028
Auditing fees.......................................... 10,100
Legal fees............................................. 7,053
Trustee fees........................................... 2,867
Amortization of organization expenses (Note 1D)........ 1,210
Miscellaneous.......................................... 23,615
---------
Total expenses...................................... 903,344
Less aggregate amount waived by Investment Adviser
and Administrator (Notes 2A and 2B)............... (540,589)
Less fees paid indirectly (Note 1E)................. (19)
---------
Net expenses........................................ 362,736
-----------
Net investment income............................... $19,512,578
===========
See notes to financial statements
<PAGE>
U.S. Treasury Reserves Portfolio
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 1996 YEAR ENDED
(UNAUDITED) AUGUST 31, 1995
-------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income........................... $ 19,512,578 $ 41,029,101
------------ ---------------
CAPITAL TRANSACTIONS:
Proceeds from contributions..................... 706,731,782 2,996,270,146
Value of withdrawals............................ (849,953,750) (2,931,609,982)
------------ ---------------
Net (decrease)increase in net assets
from capital transactions................ (143,221,968) 64,660,164
------------ ---------------
NET (DECREASE) INCREASE IN NET ASSETS........... (123,709,390) 105,689,265
NET ASSETS:
Beginning of period............................. 832,258,377 726,569,112
------------ ---------------
End of period................................... $708,548,987 $ 832,258,377
============ ===============
U.S. Treasury Reserves Portfolio
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARCH 1, 1991
SIX MONTHS ENDED YEAR ENDED AUGUST 31, (COMMENCEMENT
FEBRUARY 29, 1996 -------------------- EIGHT MONTHS ENDED YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) 1995 1994 AUGUST 31, 1993 DECEMBER 31, 1992 DECEMBER 31, 1991
----------------- -------- -------- ------------------ ----------------- -----------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted)........ $708,549 $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.. 5.38%+ 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..... 5.23%+ 5.21% 3.30% 2.91%+ 3.58% 5.19%+
+Annualized.
See notes to financial statements
</TABLE>
<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 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. 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. 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 expense 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 $544,103,
of which $359,221 was voluntarily waived for the six months ended February 29,
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 fee amounted to $181,368, all of which was voluntarily waived
for the six months ended February 29, 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
$3,295,588,021 and $3,484,681,350, respectively, for the six months ended
February 29, 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. 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 29, 1996, the
commitment fee allocated to the Portfolio was $2,046. Since the line of credit
was established, there have been no borrowings.
