<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 28, 1998
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- ---------------------------------------------------
U.S. TREASURY BILLS -- 80.4%
- ---------------------------------------------------
United States
Treasury Bills due
3/05/98 $ 51,040 $ 51,018,901
United States
Treasury Bills due
3/12/98 79,625 79,514,410
United States
Treasury Bills due
3/26/98 137,833 137,375,348
United States
Treasury Bills due
4/02/98 75,302 74,968,372
United States
Treasury Bills due
4/16/98 85,000 84,442,797
United States
Treasury Bills due
4/23/98 126,8215 125,851,341
United States
Treasury Bills due
6/25/98 22,240 21,876,698
United States
Treasury Bills due
7/23/98 35,037 34,338,383
United States
Treasury Bills due
9/17/98 37,386 36,348,798
------------
645,735,048
------------
U.S. TREASURY NOTES -- 26.6%
- ----------------------------------------------------
United States
Treasury
Notes, 5.13%
due 3/31/98 $ 40,000 $ 39,993,251
United States
Treasury
Notes, 6.13%
due 3/31/98 35,000 35,019,824
United States
Treasury
Notes, 6.13%
due 5/15/98 32,810 32,861,148
United States
Treasury
Notes, 6.25%
due 6/30/98 105,000 105,320,339
-------------
213,194,562
-------------
TOTAL INVESTMENTS,
AT AMORTIZED
COST 107.0% 858,929,610
OTHER ASSETS, LESS
LIABILITIES (7.0) (56,191,402)
-------------------------
NET ASSETS 100.0% $802,738,208
-------------------------
See notes to financial statements
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1998 (Unaudited)
- ------------------------------------------------------------------------------
ASSETS:
Investments, at amortized cost (Note 1A) $858,929,610
Cash 2,650
Receivable for investment sold 24,895,417
Interest receivable 3,462,594
- -----------------------------------------------------------------------------
Total assets 887,290,271
- -----------------------------------------------------------------------------
LIABILITIES:
Payable for investment purchased 84,442,797
Payable to affiliate -- Investment Advisory fees (Note 2A) 96,956
Accrued expenses and other liabilities 12,310
- -----------------------------------------------------------------------------
Total liabilities 84,552,063
- -----------------------------------------------------------------------------
NET ASSETS $802,738,208
- -----------------------------------------------------------------------------
REPRESENTED BY:
Paid-in capital for beneficial interests $802,738,208
- -----------------------------------------------------------------------------
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1998 (Unaudited)
- -------------------------------------------------------------------------------
INVESTMENT INCOME (Note 1B) $23,097,277
EXPENSES:
Investment Advisory fees (Note 2A) $ 655,060
Administrative fees (Note 2B) 218,353
Custodian fees 110,241
Auditing fees 11,000
Trustee fees 6,498
Legal fees 7,012
Miscellaneous 25,344
- -------------------------------------------------------------------------------
Total expenses 1,033,508
Less aggregate amounts waived by Investment Adviser and
Administrator (Notes 2A and 2B) (594,547)
Less fees paid indirectly (Note 1D) (416)
- -------------------------------------------------------------------------------
Net expenses 438,545
- -------------------------------------------------------------------------------
Net investment income $22,658,732
- -------------------------------------------------------------------------------
See notes to financial statements
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 28,
1998 YEAR ENDED
(Unaudited) AUGUST 31, 1997
- -----------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 22,658,732 $ 43,903,935
- -----------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 827,794,709 1,742,310,476
Value of withdrawals (955,625,429) (1,646,108,001)
- -----------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital transactions (127,830,720) 96,202,475
- -----------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (105,171,988) 140,106,410
- -----------------------------------------------------------------------------
NET ASSETS:
Beginning of period 907,910,196 767,803,786
- -----------------------------------------------------------------------------
End of period $802,738,208 $ 907,910,196
- -----------------------------------------------------------------------------
U.S. TREASURY RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS EIGHT
ENDED MONTHS
FEBRUARY 28, YEAR ENDED AUGUST 31, ENDED YEAR ENDED
1998 -------------------------------------- AUGUST 31, DECEMBER 31,
(Unaudited) 1997 1996 1995 1994 1993 1992
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL
DATA:
Net Assets, end of
period (000's
omitted) $802,738 $907,910 $767,804 $832,258 $726,569 $521,818 $590,769
Ratio of expenses to
average net assets 0.10%+ 0.10% 0.10% 0.10% 0.12% 0.20%+ 0.24%
Ratio of net
investment income
to average net
assets 5.16%+ 5.15% 5.20% 5.36% 3.43% 2.96%+ 3.59%
Note: If the agents of the Portfolio had not voluntarily waived a portion of their fees for the
periods indicated and the expenses were not reduced for fees paid indirectly for the years after
August 31, 1995, the ratios would have been as follows:
RATIOS:
Expenses to average
net assets 0.24%+ 0.24% 0.25% 0.25% 0.26% 0.25%+ 0.25%
Net investment
income to average
net assets 5.02%+ 5.01% 5.05% 5.21% 3.30% 2.91%+ 3.58%
- -------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized
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
Investment Adviser of the Portfolio is Citibank N.A. ('Citibank'). Signature
Financial Group (Grand Cayman), Ltd. ('SFG') acts as the Portfolio's
Administrator.
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.
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. Investment Income and Expenses Investment 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 Portfolio's custodian bank calculates its fees
based on the Portfolio'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 Portfolio. 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 $655,060,
of which $376,194 was voluntarily waived for the six months ended February 28,
1998. 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 $218,353, all of which was
voluntarily waived for the six months ended February 28, 1998. 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 $4,195,145,141 and $4,255,621,845, respectively, for the
six months ended February 28, 1998.
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 $60
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, 1998, the commitment fee allocated to the Portfolio was
$1,664. Since the line of credit was established, there have been no borrowings.
