U.S. TREASURY RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS August 31, 1999
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- ---------------------------------------------------
U.S. TREASURY BILLS--99.8%
- ---------------------------------------------------
United States Treasury Bill,
due 9/09/99 $100,271 $ 100,170,432
United States Treasury Bill,
due 9/15/99 62,671 62,544,593
United States Treasury Bill,
due 9/23/99 55,000 54,845,908
United States Treasury Bill,
due 9/30/99 260,917 259,960,007
United States Treasury Bill,
due 10/07/99 174,198 173,418,481
United States Treasury Bill,
due 10/14/99 81,549 81,106,899
United States Treasury Bill,
due 10/28/99 138,008 137,001,768
United States Treasury Bill,
due 11/18/99 76,191 75,417,789
United States Treasury Bill,
due 1/06/00 82,187 80,845,023
United States Treasury Bill,
due 1/27/00 164,768 161,510,570
--------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 99.8% 1,186,821,470
OTHER ASSETS,
LESS LIABILITIES 0.2 1,805,041
--------------
NET ASSETS 100.0% $1,188,626,511
--------------
See notes to financial statements
11
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AUGUST 31, 1999
- --------------------------------------------------------------------------------------------
<S> <C>
ASSETS:
Investments, at amortized cost (Note 1A) $1,186,821,470
Cash 1,153,532
Receivable for investments sold 49,861,889
- --------------------------------------------------------------------------------------------
Total assets 1,237,836,891
- --------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 49,072,323
Payable to affiliate - Investment advisory fees (Note 2A) 79,609
Accrued expenses and other liabilities 58,448
- --------------------------------------------------------------------------------------------
Total liabilities 49,210,380
- --------------------------------------------------------------------------------------------
NET ASSETS $1,188,626,511
- --------------------------------------------------------------------------------------------
REPRESENTED BY:
Paid-in capital for beneficial interests $1,188,626,511
- --------------------------------------------------------------------------------------------
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1999
- --------------------------------------------------------------------------------------------
INVESTMENT INCOME (Note 1B) $41,286,380
EXPENSES:
Investment Advisory fees (Note 2A) $1,331,983
Administrative fees (Note 2B) 443,994
Custody and fund accounting fees 200,205
Audit fees 19,200
Trustees' fees 12,721
Legal fees 9,710
Miscellaneous 31,445
- --------------------------------------------------------------------------------------------
Total expenses 2,049,258
Less aggregate amounts waived by Investment Adviser
and Administrator (Notes 2A and 2B) (1,161,259)
Less fees paid indirectly (Note 1D) (107)
- --------------------------------------------------------------------------------------------
Net expenses 887,892
- --------------------------------------------------------------------------------------------
Net investment income $40,398,488
- --------------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
12
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31,
---------------------
1999 1998
- --------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income $ 40,398,488 $ 44,213,443
- --------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 3,426,724,559 1,935,301,975
Value of withdrawals (3,190,341,131) (1,975,581,019)
- --------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital transactions 236,383,428 (40,279,044)
- --------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 276,781,916 3,934,399
- --------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 911,844,595 907,910,196
- --------------------------------------------------------------------------------------------
End of period $1,188,626,511 $ 911,844,595
- --------------------------------------------------------------------------------------------
</TABLE>
U.S. TREASURY RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED AUGUST 31
------------------------------------------------
1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) $1,188,627 $911,845 $907,910 $767,804 $832,258
Ratio of expenses to
average net assets 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of net investment income
to average net assets 4.55% 5.14% 5.15% 5.20% 5.36%
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%
Net investment income to
average net assets 4.42% 5.01% 5.01% 5.05% 5.21%
- --------------------------------------------------------------------------------------------
See notes to financial statements
</TABLE>
13
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
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.
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 Citicorp, which in turn 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 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 $1,331,983
of which $717,265 was voluntarily waived for the year ended August 31, 1999. The
investment advisory fee is computed at an annual rate of 0.15% of the
Portfolio's average daily net assets.
14
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
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 $443,994, all of which was
voluntarily waived for the year ended August 31, 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 $6,789,307,983 and $6,546,755,122, respectively, for the
year ended August 31, 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 $75
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, 1999, the commitment fee allocated to the Portfolio was $2,305. Since
the line of credit was established, there have been no borrowings.
15
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
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, 1999, the related statement of operations for
the year then ended, the statement of changes in net assets for the years ended
August 31, 1999 and 1998, and the financial highlights for each of the years in
the five-year period ended August 31, 1999. These financial statements and
financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.
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, 1999, 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, 1999, 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, 1999
16
