<PAGE>
U.S. Treasury Reserves Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS February 28, 1997 (unaudited)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS--103.7%
U.S. TREASURY BILLS--64.3%
due 3/06/1997 ................................... $ 9,844 $ 9,879,996
due 3/27/1997 ................................... 125,000 124,588,417
due 4/03/1997 ................................... 75,070 74,751,582
due 4/10/1997 ................................... 170,046 169,150,361
due 4/17/1997 ................................... 200,000 198,711,562
------------
$577,081,918
------------
U.S. TREASURY NOTES--37.8%
6.625%, due 3/31/1997 ........................... 45,000 45,047,766
6.875%, due 3/31/1997 ........................... 10,000 10,012,527
8.50%, due 4/15/1997 ............................ 15,000 15,047,050
6.50%, due 4/30/1997 ............................ 50,000 50,095,703
6.875%, due 4/30/1997 ........................... 17,000 17,043,101
5.875%, due 5/15/1997 ........................... 96,500 96,739,231
6.50%, due 5/15/1997 ............................ 105,175 105,411,429
------------
339,396,807
------------
U.S. TREASURY STRIP NOTES--1.6%
5.26%, due 5/15/1997 ............................ 15,000 14,843,745
------------
TOTAL INVESTMENTS AT AMORTIZED COST ........ 103.7% 931,322,470
OTHER ASSETS, LESS LIABILITIES ............. (3.7) (33,532,980)
----- ------------
NET ASSETS ................................. 100.0% $897,789,490
===== ============
</TABLE>
See notes to financial statements
<PAGE>
U.S. Treasury Reserves Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES February 28, 1997 (unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at amortized cost and value (Note 1A) ........................................... $ 931,322,470
Cash ......................................................................................... 4,465
Interest receivable .......................................................................... 6,015,312
Receivable for investments sold .............................................................. 210,468,131
--------------
Total assets ................................................................................ 1,147,810,378
--------------
LIABILITIES:
Payable for investments purchased ............................................................ 249,911,548
Payable to affiliate -- Investment Advisory fees (Note 2A) ................................... 38,331
Accrued expenses and other liabilities ....................................................... 71,009
--------------
Total liabilities ........................................................................... 250,020,888
--------------
NET ASSETS ................................................................................... $ 897,789,490
==============
REPRESENTED BY:
Paid-in capital for beneficial interests ..................................................... $ 897,789,490
==============
</TABLE>
U.S. Treasury Reserves Portfolio
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STATEMENT OF OPERATIONS
For the Six Months Ended February 28, 1997 (unaudited)
<TABLE>
<S> <C> <C>
INTEREST INCOME (Note 1B) ................................................. $21,682,907
EXPENSES:
Investment advisory fees (Note 2A) ........................................ $ 617,849
Administrative fees (Note 2B) ............................................. 205,950
Custodian fees ............................................................ 136,460
Auditing fees ............................................................. 10,300
Trustee fees .............................................................. 5,335
Legal fees ................................................................ 3,236
Miscellaneous ............................................................. 17,665
---------
Total expenses ........................................................... 996,795
Less aggregate amount waived by Investment Adviser and
Administrator (Notes 2A and 2B) ........................................ (579,839)
Less fees paid indirectly (Note 1D) ...................................... (331)
---------
Net expenses ............................................................. 416,625
-----------
Net investment income .................................................... $21,266,282
===========
</TABLE>
See notes to financial statements
<PAGE>
U.S. Treasury Reserves Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
FEBRUARY 28, 1997 YEAR ENDED
(UNAUDITED) AUGUST 31, 1996
----------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income .......................................... $ 21,266,282 $ 38,179,974
------------- --------------
CAPITAL TRANSACTIONS:
Proceeds from contributions .................................... 845,961,495 1,474,479,600
Value of withdrawals ........................................... (737,242,073) (1,577,114,165)
------------- --------------
Net increase (decrease) in net assets from capital transactions 108,719,422 (102,634,565)
------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS .......................... 129,985,704 (64,454,591)
NET ASSETS:
Beginning of period ............................................ 767,803,786 832,258,377
------------- --------------
End of period .................................................. $ 897,789,490 $ 767,803,786
============= ==============
</TABLE>
U.S. Treasury Reserves Portfolio
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS EIGHT YEAR MARCH 1, 1991
ENDED MONTHS ENDED (COMMENCEMENT OF
FEBRUARY 28, YEAR ENDED AUGUST 31, ENDED DECEM- OPERATIONS) TO
1997 -------------------------------- AUGUST 31, BER 31, DECEMBER 31,
(UNAUDITED) 1996 1995 1994 1993 1992 1991
----------- -------- -------- -------- -------- -------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (000's omitted) $897,789 $767,804 $832,258 $726,569 $521,818 $590,769 $675,332
Ratio of expenses to average net assets 0.10%+ 0.10% 0.10% 0.12% 0.20%+ 0.24% 0.19%+
Ratio of net investment income to average
net assets ............................... 5.16%+ 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 ............ 0.24%+ 0.25% 0.25% 0.26% 0.25%+ 0.25% 0.25%+
Net investment income to average net assets 5.02%+ 5.05% 5.21% 3.30% 2.91%+ 3.58% 5.19%+
+ 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 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 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 ADIVSORY FEES AND ADMINISTRATIVE FEES
A. INVESTMENT ADVISORY FEE -- The investment advisory fees paid to Citibank, as
compensation for overall investment management services, amounted to $617,849,
of which $373,889 was voluntarily waived for the six months ended February 28,
1997. 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 $205,950, all of which was
voluntarily waived for the six months ended February 28, 1997. 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
$7,395,594,715 and $7,199,851,720, respectively, for the six months ended
February 28, 1997.
(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 six months ended February
28, 1997, the commitment fee allocated to the Portfolio was $2,074. Since the
line of credit was established, there have been no borrowings.
