U.S. TREASURY RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 28, 1999
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
U.S. TREASURY BILLS--103.1%
- --------------------------------------------------------------------------------
United States Treasury Bill,
due 3/11/99 $149,755 $149,577,235
United States Treasury Bill,
due 3/18/99 51,522 51,416,418
United States Treasury Bill,
due 3/25/99 84,528 84,279,066
United States Treasury Bill,
due 4/01/99 18,667 18,597,076
United States Treasury Bill,
due 4/22/99 88,315 87,723,223
United States Treasury Bill,
due 5/06/99 42,000 41,661,173
United States Treasury Bill,
due 5/13/99 119,454 118,405,894
United States Treasury Bill,
due 5/20/99 75,536 74,785,797
United States Treasury Bill,
due 6/03/99 142,544 140,920,948
United States Treasury Bill,
due 6/10/99 45,850 45,298,052
United States Treasury Bill,
due 7/01/99 16,898 16,653,478
------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 103.1% 829,318,360
OTHER ASSETS,
LESS LIABILITIES (3.1) (24,829,938)
----- ------------
NET ASSETS 100.0% $804,488,422
===== ============
See notes to financial statements
12
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 1999 (Unaudited)
================================================================================
ASSETS:
Investments, at amortized cost (Note 1A) $829,318,360
Cash 751
Receivable for investment sold 24,932,500
- --------------------------------------------------------------------------------
Total assets 854,251,611
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for investment purchased 49,658,931
Payable to affiliate - Investment advisory fees (Note 2A) 46,242
Accrued expenses and other liabilities 58,016
- --------------------------------------------------------------------------------
Total liabilities 49,763,189
- --------------------------------------------------------------------------------
NET ASSETS $804,488,422
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $804,488,422
================================================================================
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1999 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1b) $20,941,343
EXPENSES:
Investment Advisory fees (Note 2A) $670,137
Administrative fees (Note 2B) 223,379
Custody and fund accounting fees 111,083
Audit fees 9,000
Trustees' fees 8,440
Legal fees 4,121
Miscellaneous 20,379
- --------------------------------------------------------------------------------
Total expenses 1,046,539
Less aggregate amounts waived by Investment Adviser
and Administrator (Notes 2A and 2B) (599,846)
Less fees paid indirectly (Note 1D) (37)
- --------------------------------------------------------------------------------
Net expenses 446,656
- --------------------------------------------------------------------------------
Net investment income $20,494,687
================================================================================
See notes to financial statements
13
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 28, 1999 YEAR ENDED
(Unaudited) AUGUST 31, 1998
================================================================================
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income $ 20,494,687 $ 44,213,443
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 1,890,689,964 1,935,301,975
Value of withdrawals (2,018,540,824) (1,975,581,019)
- --------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions (127,850,860) (40,279,044)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (107,356,173) 3,934,399
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 911,844,595 907,910,196
- --------------------------------------------------------------------------------
End of period $ 804,488,422 $ 911,844,595
================================================================================
U.S. TREASURY RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
FEBRUARY 28, YEAR ENDED AUGUST 31
1999 -------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994
=============================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
<S> <C> <C> <C> <C> <C> <C>
(000's omitted) $804,488 $911,845 $907,910 $767,804 $832,258 $726,569
Ratio of expenses to
average net assets 0.10%+ 0.10% 0.10% 0.10% 0.10% 0.12%
Ratio of net investment income
to average net assets 4.59%+ 5.14% 5.15% 5.20% 5.36% 3.43%
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 0.23%+ 0.23% 0.24% 0.25% 0.25% 0.26%
Net investment income to
average net assets 4.46%+ 5.01% 5.01% 5.05% 5.21% 3.30%
=============================================================================================================
</TABLE>
+Annualized
See notes to financial statements
14
<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.
CFBDS, Inc ("CFBDS"), acts as the Portfolio's Administrator. Citibank N.A.
("Citibank") acts as the Investment Adviser. Citibank is a wholly-owned
subsidiary of Citigroup Inc. Citigroup Inc. was formed as a result of the merger
of Citicorp and Travelers Group, Inc.
which was completed on October 8, 1998.
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 $670,137,
of which $376,467 was voluntarily waived for the six months ended February 28,
1999.
15
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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 $223,379, all of which was
voluntarily waived for the six months ended February 28, 1999. 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 $3,364,633,995 and $3,459,888,089, respectively, for the
six months ended February 28, 1999.
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, 1999, the commitment fee allocated to the Portfolio was
$1,248. Since the line of credit was established, there have been no borrowings.
16
