================================================================================
C I T I F U N D S(SM)
================================================================================
INSTITUTIONAL LIQUID RESERVES C I T I F U N D S
SEMI-ANNUAL REPORT
FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
Letter to Our Shareholders 1
- --------------------------------------------------------------------------------
Portfolio Environment and Outlook 2
- --------------------------------------------------------------------------------
Fund Facts 3
- --------------------------------------------------------------------------------
Fund Performance 4
- --------------------------------------------------------------------------------
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
Statement of Assets and Liabilities 5
- --------------------------------------------------------------------------------
Statement of Operations 6
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 7
- --------------------------------------------------------------------------------
Financial Highlights 8
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Notes to Financial Statements 9
- --------------------------------------------------------------------------------
CASH RESERVES PORTFOLIO
Portfolio of Investments 12
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities 15
- --------------------------------------------------------------------------------
Statement of Operations 16
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 17
- --------------------------------------------------------------------------------
Financial Highlights 18
- --------------------------------------------------------------------------------
Notes to Financial Statements 19
- --------------------------------------------------------------------------------
<PAGE>
LETTER TO OUR SHAREHOLDERS
Dear Shareholder:
Rising interest rates during the reporting period have benefited money market
investors, who earned higher yields while preserving capital. The Federal
Reserve Board (the "Fed") raised interest rates three times in 1999 and most
recently on February 2, 2000, for a total increase of 100 basis points. (A basis
point is .01% or one one-hundredth of a percent.) The Fed's actions were
implemented to forestall a reacceleration of inflation, a potential consequence
of the continued robust growth of the U.S. economy.
In this environment, the CitiFunds' investment adviser, Citibank, N.A.,
continued to manage CitiFunds Institutional Liquid Reserves with the goal of
achieving its investment objective: providing liquidity and as high a level of
current income as is consistent with the preservation of capital.
This report reviews the Fund's investment activities and performance during
the six months ended February 29, 2000, and provides a summary of Citibank's
perspective on and outlook for the money market securities marketplace.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
- ----------------------
Philip W. Coolidge
President
March 15, 2000
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE PAST SIX MONTHS HAVE BEEN GENERALLY REWARDING FOR MANY MONEY MARKET
INVESTORS. Yields on most money market securities ended the six-month reporting
period higher than where they began, reflecting the general trend of higher
short-term interest rates in a period of rising interest rates.
The economic conditions that led to higher rates during the reporting period
included strong U.S. economic growth, low inflation, robust consumer spending
and rising demand for U.S. exports. Even concerns regarding potential
Y2K-related problems did not cause the rate of economic growth to moderate
significantly.
As a result of these influences, many investors became concerned that
unsustainable economic growth might cause long-dormant inflationary pressures to
resurface. In an attempt to forestall a potential reacceleration of inflation,
the Fed raised interest rates three 25-basis point increments during 1999 and
raised rates an additional 25 basis points on February 2, 2000.
THE FUND'S MANAGERS' PRIMARY STRATEGY DURING MOST OF THE SIX-MONTH PERIOD WAS
TO ACTIVELY MANAGE THE FUND'S AVERAGE MATURITY according to their outlook
regarding the direction of interest rates and prevailing yields among money
market instruments of different maturities. (Maturity is the date on which the
principal amount of a note, draft, acceptance bond or other debt instrument
becomes due and payable.) When the six-month reporting period began, the
managers maintained the Fund's neutral average maturity, striking a balance
between the need for flexibility during a period of rising interest rates while
purchasing securities they believed to be of compelling values. Toward the end
of 1999, the Fund's average maturity was reduced in order to enhance liquidity
and keep assets available for higher-yielding securities as they became
available.
Beginning in the middle of January 2000, the Fund's managers began to
gradually extend the Fund's average maturity to take advantage of
higher-yielding opportunities among money market instruments with moderately
longer maturities. As of February 29, 2000, the Fund's average maturity was 85
days.
ADDITIONALLY, THE MANAGERS ACTIVELY MANAGED THE MIX OF MONEY MARKET
INSTRUMENTS WITHIN THE PORTFOLIO. As interest rates rose, commercial paper and
bank certificates of deposit represented the most attractive values, in the
managers' opinion. For example, toward year-end 1999, the managers shifted
assets to high quality, U.S. dollar-denominated CDs issued by foreign banks
(known as Yankee CDs) in order to capture higher yields. On the other hand, the
managers generally avoided U.S. Treasury bills, which offered relatively low
yields throughout the six-month period.
Looking forward, the Fund's managers believe that investors are expecting
more rate hikes from the Fed, and that future INCREASES HAVE ALREADY BEEN
INCORPORATED IN THE YIELDS OF MONEY MARKET SECURITIES. ACCORDINGLY, THE FUND'S
MANAGERS BELIEVE THAT OVER THE LONGER TERM, INTEREST RATES MAY BEGIN TO DECLINE
IF THE U.S. ECONOMY BEGINS TO SHOW EVIDENCE THAT IT IS MODERATING. Therefore,
the managers are carefully looking for opportunities to take advantage of
changes in interest rates, including possibly extending the Fund's average
maturity further to lock in higher yields when deemed appropriate.
2
<PAGE>
FUND FACTS
FUND OBJECTIVE
To provide its shareholders with liquidity and as high a level of current income
as is consistent with the preservation of capital.
INVESTMENT ADVISER DIVIDENDS
CASH RESERVES PORTFOLIO Declared daily, paid monthly
Citibank, N.A.
COMMENCEMENT OF OPERATIONS BENCHMARK*
October 2, 1992 o Lipper Taxable Institutional Money
Market Funds Average
NET ASSETS AS OF 2/29/00 o IBCFinancial Data Institutional
$5,619.3 million Taxable Money Market Funds Average
* The Lipper Funds Average and IBC Funds Average reflect the performance
(excluding sales charges) of mutual funds with similar objectives.
3
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
SINCE
OCTOBER 2,
ALL PERIODS ENDED FEBRUARY 29, 2000 SIX ONE FIVE 1992
(UNAUDITED) MONTHS** YEAR YEARS* INCEPTION*
================================================================================
CitiFunds Institutional
Liquid Reserves 2.78% 5.36% 5.61% 5.03%
Lipper Taxable Institutional
Money Market Funds Average 2.66% 5.07% 5.34% 4.72%+
IBC Financial Data Institutional
Taxable Money Market Funds Average 2.66% 5.11% 5.33% 4.77%+
* Average Annual Total Return
** Not Annualized
+ From 9/30/92
7-DAY YIELDS
Annualized Current 5.76%
Effective 5.92%
The ANNUALIZED CURRENT 7-DAY YIELD reflects the amount of income generated by
the investment during that seven-day period and assumes that the income is
generated each week over a 365 day period. The yield is shown as a percentage of
the investment.
The EFFECTIVE 7-DAY YIELD is calculated similarly, but when annualized the
income earned by the investment during that seven-day period is assumed to be
reinvested. The effective yield is slightly higher than the current yield
because of the compounding effect of this assumed reinvestment.
Note: A money market fund's yield more closely reflects the current earnings of
the fund than does the total return.
COMPARISON OF 7-DAY YIELDS FOR CITIFUNDS INSTITUTIONAL LIQUID RESERVES
VS. IBC FINANCIAL DATA INSTITUTIONAL TAXABLE MONEY MARKET FUNDS AVERAGE
As illustrated, CitiFunds Institutional Liquid Reserves generally provided a
higher annualized seven-day yield to that of a comparable IBC Financial Data
Money Market Funds Average, as published in IBC Money Fund ReportTM, for the one
year period.
[Table below represents chart in its printed piece]
IBC Financial Data
CitiFunds Institutional Taxable
Institutional Money Market Funds
Liquid Reserves Average
3/2/99 4.9 4.65
4.86 4.62
4.87 4.63
4.86 4.61
4.89 4.63
4.89 4.64
4.84 4.59
4.83 4.58
4.81 4.57
4.88 4.61
4.81 4.55
4.85 4.57
5/25/99 4.82 4.55
4.85 4.59
4.8 4.55
4.84 4.56
4.84 4.56
4.89 4.62
5.06 4.69
5 4.69
5.04 4.73
5.06 4.75
5.09 4.77
5.04 4.76
5.07 4.8
5.06 4.82
8/31/99 5.24 4.92
5.25 4.93
5.25 4.95
5.29 4.98
5.27 5.01
5.32 5.04
5.29 5.04
5.32 5.07
5.33 5.09
5.42 5.14
5.42 5.14
5.45 5.19
5.54 5.26
11/30/99 5.64 5.33
5.61 5.34
5.62 5.4
5.63 5.46
5.6 5.49
5.52 5.36
5.63 5.48
5.62 5.47
5.6 5.42
5.62 5.44
5.65 5.46
5.71 5.5
5.73 5.51
2/29/00 5.76 5.53
Note: Mutual Fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency. Yields and total returns
will fluctuate and past performance is no guarantee of future results. Total
return figures include reinvestment of dividends. Returns and yields reflect
certain voluntary fee waivers. If the waivers were not in place, the Fund's
returns and yields would have been lower.
4
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investment in Cash Reserves Portfolio, at value (Note 1A) $5,624,952,416
- --------------------------------------------------------------------------------
LIABILITIES:
Dividends payable 4,728,723
Payable for shares of beneficial interest repurchased 615,047
Accrued expenses and other liabilities 320,208
- --------------------------------------------------------------------------------
Total liabilities 5,663,978
- --------------------------------------------------------------------------------
NET ASSETS for 5,619,288,438 shares
of beneficial interest outstanding $5,619,288,438
================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $5,619,288,438
================================================================================
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $1.00
================================================================================
See notes to financial statements
5
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1B):
Income from Cash Reserves Portfolio $167,727,373
Allocated expenses from Cash Reserves Portfolio (2,946,078)
- --------------------------------------------------------------------------------
$164,781,295
EXPENSES:
Administrative fees (Note 3A) 10,338,032
Shareholder Servicing Agents' fees (Note 3B) 2,953,723
Distribution fees (Note 4) 2,953,723
Trustees' fees 18,642
Legal fees 15,166
Registration fees 14,707
Custody and fund accounting fees 10,208
Shareholder reports 6,802
Audit fees 6,300
Transfer agent fees 5,000
Miscellaneous 24,070
- --------------------------------------------------------------------------------
Total expenses 16,346,373
Less aggregate amounts waived or assumed
by Administrator, Shareholder Servicing Agents,
and Distributor (Notes 3A, 3B, and 4) (14,218,878)
- --------------------------------------------------------------------------------
Net expenses 2,127,495
- --------------------------------------------------------------------------------
Net investment income $162,653,800
================================================================================
See notes to financial statements
6
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
================================================================================
FROM INVESTMENT ACTIVITIES:
Net investment income, declared as
dividends to shareholders (Note 2) $ 162,653,800 $ 234,143,780
================================================================================
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST AT NET ASSET VALUE OF
$1.00 PER SHARE (Note 5):
Proceeds from sale of shares 43,921,573,660 64,269,922,643
Net asset value of shares issued
to shareholders from reinvestment
of dividends 115,674,561 182,380,096
Cost of shares repurchased (44,212,559,219) (62,038,204,029)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (175,310,998) 2,414,098,710
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 5,794,599,436 3,380,500,726
- --------------------------------------------------------------------------------
End of period $ 5,619,288,438 $ 5,794,599,436
================================================================================
See notes to financial statements
7
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2000 -----------------------------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning
of period $ 1.00000 $ 1.00000 $ 1.00000 $ 1.00000 $ 1.00000 $ 1.00000
Net investment income 0.02747 0.05041 0.05548 0.05459 0.05521 0.05698
Less dividends from net
investment income (0.02747) (0.05041) (0.05548) (0.05459) (0.05521) (0.05698)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, end of period $ 1.00000 $ 1.00000 $ 1.00000 $ 1.00000 $ 1.00000 $ 1.00000
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) $5,619,288 $5,794,599 $3,380,501 $1,967,491 $1,257,134 $1,480,097
Ratio of expenses to average
net assets+ 0.17%* 0.19% 0.20% 0.18% 0.20% 0.17%
Ratio of net investment income
to average net assets+ 5.51%* 5.04% 5.57% 5.52% 5.52% 5.70%
Total return 2.78%** 5.16% 5.69% 5.60% 5.66% 5.85%
Note: If agents of the Fund and agents of Cash Reserves Portfolio had not waived
all or a portion of their fees during the period indicated, the net investment
income per share and the ratios would have been as follows:
Net investment income
per share $ 0.02429 $ 0.04557 $ 0.04948 $ 0.04844 $ 0.04921 $ 0.05050
RATIOS:
Expenses to average net assets+ 0.78%* 0.79% 0.79% 0.80% 0.80% 0.84%
Net investment income to
average net assets+ 4.90%* 4.44% 4.98% 4.90% 4.92% 5.03%
===================================================================================================================================
</TABLE>
+ Includes the Fund's share of Cash Reserves Portfolio's allocated expenses
* Annualized
** Not Annualized
See notes to financial statements
8
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES CitiFunds Institutional Liquid Reserves (the
"Fund") is a separate diversified series of CitiFunds Institutional Trust (the
"Trust"), a Massachusetts business trust. The Trust is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company. The Fund invests all of its investable assets in Cash Reserves
Portfolio (the "Portfolio"), a management investment company for which Citibank,
N.A. ("Citibank") serves as investment adviser. The value of such investment
reflects the Fund's proportionate interest (40.5% at February 29, 2000) in the
net assets of the Portfolio. CFBDS, Inc. ("CFBDS") acts as the Trust's
Administrator and Distributor. Citibank also serves as Sub-Administrator and
makes shares available to customers as Shareholder Servicing Agent.
The preparation of financial statements in accordance with U.S. 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 financial statements of the Portfolio, including the portfolio of
investments, are contained elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The significant accounting policies consistently followed by the Fund are as
follows:
A. INVESTMENT VALUATION Valuation of securities by the Portfolio is discussed
in Note 1A of the Portfolio's Notes to Financial Statements, which are included
elsewhere in this report.
B. INVESTMENT INCOME The Fund earns income, net of Portfolio expenses, daily
based on its investment in the Portfolio.
C. FEDERAL TAXES The Fund's policy is to comply with the provisions of the
Internal Revenue Code available to regulated investment companies and to
distribute to shareholders all of its taxable income. Accordingly, no provision
for federal income or excise tax is necessary.
D. EXPENSES The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more Funds in the series are allocated in proportion to
the average net assets of each fund, except where allocations of direct expenses
to each fund can otherwise be made fairly. Expenses directly attributable to a
fund are charged to that fund. The Fund's share of the Portfolio's expenses are
charged against and reduce the amount of the Fund's investment in the Portfolio.
2. DIVIDENDS The net income of the Fund is determined once daily, as of 3:00
p.m. Eastern Standard Time, and all of the net income of the Fund so determined
is declared as a dividend to shareholders of record at the time of such
determination. Dividends are distributed in the form of additional shares of the
Fund or, at the election of the shareholder, in cash (subject to the policies of
the shareholder's Shareholder Servicing Agent) on or prior to the last business
day of the month.
9
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
3. ADMINISTRATIVE SERVICES PLAN The Trust has adopted an Administrative Services
Plan which provides that the Trust, on behalf of each Fund, may obtain the
services of an Administrator, one or more Shareholder Servicing Agents, and
other Servicing Agents and may enter into agreements providing for the payment
of fees for such services. Under the Trust's Administrative Services Plan, the
aggregate of the fees paid to the Administrator from the Fund under such Plan
and of the fees paid to the Shareholder Servicing Agents from the Fund may not
exceed 0.45% of the Fund's average daily net assets on an annualized basis for
the Fund's then-current fiscal year. For the six months ended February 29, 2000,
management agreed to voluntarily limit Fund expenses to 0.20, inclusive of
Portfolio allocated expenses.
A. ADMINISTRATIVE FEES Under the terms of an Administrative Services
Agreement, CFBDS is entitled to an administrative fee from the Fund, as
compensation for overall administrative services and general office facilities,
which is accrued daily and paid monthly at an annual rate of 0.35% of the Fund's
average daily net assets. The Administrative fees amounted to $10,338,032 of
which $8,311,432 was voluntarily waived for the six months ended February 29,
2000. Citibank acts as Sub-Administrator and performs certain duties and
receives compensation from CFBDS from time to time as agreed to by CFBDS and
Citibank. Citibank is a wholly-owned subsidiary of Citigroup Inc.
The Fund pays no compensation directly to any Trustee or to any officer who
is affiliated with the Administrator, all of whom receive remuneration for their
services to the Fund from the Administrator or its affiliates. Certain of the
officers and a Trustee of the Fund are officers and a director of the
Administrator or its affiliates.
B. SHAREHOLDER SERVICING AGENTS FEES The Trust, on behalf of the Fund, has
entered into shareholder servicing agreements with each Shareholder Servicing
Agent pursuant to which that Shareholder Servicing Agent acts as an agent for
its customers and provides other related services. For their services, each
Shareholder Servicing Agent receives fees from the Fund, which may be paid
periodically, which may not exceed, on an annualized basis, an amount equal to
0.10% of the average daily net assets of the Fund represented by shares owned
during the period for which payment has been made by investors for whom such
Shareholder Servicing Agent maintains a servicing relationship. The Shareholder
Servicing Agents fees amounted to $2,953,723, all of which was voluntarily
waived for the six months ended February 29, 2000.
10
<PAGE>
CITIFUNDS INSTITUTIONAL LIQUID RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
4. DISTRIBUTION FEES The Trust has adopted a Plan of Distribution pursuant to
Rule 12b-1 under the Investment Company Act of 1940, as amended, in which the
Fund reimburses the Distributor for expenses incurred or anticipated in
connection with the sale of shares of the Fund, at an annual rate not to exceed
0.10% of the Fund's average daily net assets of the Fund. The Distribution fees
amounted to $2,953,723, all of which was voluntarily waived for the six months
ended February 29, 2000. The Distributor voluntarily agreed to assume all
distribution expenses through February 29, 2000.
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial
interest ($0.00001 par value).
6. INVESTMENT TRANSACTIONS Increases and decreases in the Fund's investment in
the Portfolio aggregated $13,368,300,164 and $13,709,027,988, respectively, for
the six months ended February 29, 2000.
11
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
ASSET BACKED -- 10.1%
- --------------------------------------------------------------------------------
Lincs-Ser,*
5.91% due 4/15/00 $100,000 $ 100,000,000
Restructured Asset Securities,*
5.91%due 6/02/00 250,000 250,000,000
Steers,
6.16% due 10/02/00 365,000 365,197,809
Strategic Money Market Trust Receipts,*
6.18% due 3/15/00 240,000 240,000,000
6.15% due 9/13/00 350,000 350,029,338
Strats Trust*,
5.98% due 8/18/00 100,000 100,000,000
---------------
1,405,227,147
---------------
BANK NOTES -- 7.1%
- --------------------------------------------------------------------------------
Bank of America,
6.00% due 3/13/00 125,000 125,000,000
6.46% due 11/09/00 100,000 100,000,000
6.48% due 11/20/00 50,000 50,000,000
6.18% due 11/22/00 100,000 95,433,667
FCC National Bank,
5.85% due 3/20/00 164,000 164,000,000
First USA Bank,
5.93% due 8/29/00 100,000 99,981,049
Morgan Guaranty Trust Co,*
5.90% due 5/10/00 210,000 209,984,252
Nationsbank,
5.39% due 6/01/00 43,000 42,940,801
Westpac Banking Corp,
5.20% due 5/11/00 100,000 99,988,767
---------------
987,328,536
---------------
CERTIFICATES OF DEPOSIT (DOMESTIC) -- 1.5%
- --------------------------------------------------------------------------------
Bankers Trust Co.,*
6.01% due 5/15/00 200,000 199,981,963
---------------
CERTIFICATES OF DEPOSIT (EURO) -- 8.5%
- --------------------------------------------------------------------------------
Den Danske Bank,
6.06% due 5/04/00 80,000 80,005,382
Dresdner Bank,
5.93% due 8/07/00 50,000 50,001,056
6.02% due 3/06/00 50,000 50,000,062
Landesbank Hessen Thuringen,
5.19% due 3/01/00 50,000 50,000,000
5.12% due 4/26/00 100,000 99,991,134
Merrill Lynch & Co. Inc.,
5.92% due 3/02/01 500,000 499,900,000
Morgan Stanley Dean Witter Discover,
5.98% due 11/24/00 350,000 350,000,000
---------------
1,179,897,634
---------------
CERTIFICATES OF DEPOSIT (YANKEE) -- 38.5%
- --------------------------------------------------------------------------------
Abbey National Treasury Services,*
5.94% due 5/01/00 350,000 349,962,187
Bank Austria,
5.15% due 5/04/00 100,000 99,996,622
5.20% due 5/10/00 35,000 34,995,478
5.95% due 8/21/00 75,000 74,983,021
5.93% due 9/07/00 100,000 99,975,124
6.71% due 2/12/01 135,000 134,951,161
Bank of Montreal,
5.11% due 4/10/00 100,000 99,994,723
Bank of Nova Scotia,
6.71% due 2/05/01 150,000 149,946,826
6.74% due 2/16/01 40,000 40,015,562
Barclays Bank Plc.,
6.69% due 2/20/01 100,000 99,967,614
Bayerische Hypo,
5.16% due 4/03/00 100,000 99,995,648
5.10% due 4/12/00 100,000 99,995,565
Bayerische Landesbank,
5.86% due 9/27/00 94,000 93,966,382
Bayerische Vereinsbank,
5.15% due 3/23/00 100,000 99,997,098
Bear Stearns Cos. Inc.,
6.05% due 2/20/01 250,000 250,000,000
Branch Bank & Trust,
5.98% due 2/16/01 300,000 299,887,620
Commerzbank,
5.22% due 5/10/00 100,000 99,990,772
5.58% due 6/19/00 160,000 159,986,127
5.77% due 7/03/00 120,000 119,984,391
6.67% due 3/01/01 100,000 99,952,547
Deutsche Bank,
5.33% due 3/09/00 50,000 50,000,738
5.88% due 4/26/00* 225,000 224,975,769
5.51% due 6/08/00 96,000 95,990,004
5.71% due 7/10/00 100,000 99,986,250
6.20% due 10/18/00 100,000 99,969,834
6.45% due 1/08/01 100,000 99,959,229
Lloyds Bank,
5.67% due 7/17/00 100,000 99,981,892
Nord Deutsche Landesbank,
5.16% due 5/17/00 100,000 99,987,813
12
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (YANKEE) -- (CONT'D)
- --------------------------------------------------------------------------------
Rabobank Nederland,
5.08% due 4/12/00 $100,000 $ 99,994,456
5.52% due 6/07/00 62,000 61,933,420
6.02% due 6/30/00 71,000 70,987,238
6.13% due 10/31/00 50,000 47,924,306
6.47% due 1/18/01 100,000 99,957,928
6.52% due 1/25/01 140,000 139,939,851
6.64% due 3/02/01 95,000 94,954,899
Societe Generale,
6.56% due 1/16/01 108,000 107,954,895
Svenska Handelsbanken,
5.28% due 3/03/00 120,000 120,000,488
5.23% due 5/10/00 100,000 99,992,618
5.59% due 6/19/00 50,000 49,995,665
Toronto Dominion,
5.15% due 4/27/00 100,000 99,992,481
6.71% due 2/07/01 90,000 89,979,907
UBS AG Stamford,
5.29% due 5/19/00 260,000 259,626,107
5.29% due 5/22/00 85,000 84,990,821
5.34% due 5/24/00 50,000 49,994,380
5.60% due 6/26/00 25,000 24,996,159
5.76% due 7/05/00 50,000 49,975,102
5.93% due 10/02/00 50,000 49,865,478
6.24% due 12/06/00 50,000 49,972,593
6.23% due 12/07/00 120,000 119,942,776
---------------
5,352,367,565
---------------
COMMERCIAL PAPER -- 26.5%
- --------------------------------------------------------------------------------
ABN-Amro Bank,
5.95% due 8/07/00 50,000 48,686,042
6.03% due 10/10/00 100,000 96,264,750
Abbey National North America,
5.21% due 3/03/00 170,000 169,950,794
Alpine Securitization Corp.,
5.80% due 3/10/00 94,072 93,935,596
Aspen Funding Corp.,
5.93% due 3/01/00 250,000 250,000,000
Barton Capital Corp.,
5.90% due 4/07/00 36,449 36,227,977
Bear Stearns Cos. Inc.,
5.79% due 3/24/00 250,000 249,075,208
5.79% due 5/12/00 150,000 148,263,000
British Telecommunications Plc.,
6.18% due 11/17/00 100,000 95,519,500
Cregem North America Inc.,
5.73% due 5/22/00 125,000 123,368,542
5.99% due 10/10/00 100,000 96,289,528
Den Danske Bank,
5.92% due 7/06/00 160,000 156,658,489
6.03% due 10/10/00 50,000 48,132,375
Exxon Asset Mgmt.,
5.88% due 3/01/00 70,000 70,000,000
Exxon Corp.,
5.90% due 3/01/00 100,000 100,000,000
Four Winds Funding Corp.,
5.79% due 3/10/00 100,000 99,855,250
General Electric Capital Corp.,
5.95% due 3/17/00 200,000 199,471,111
5.75% due 4/20/00 50,000 49,600,694
General Electric Capital Services Inc.,
5.75% due 4/20/00 100,000 99,201,389
Greyhawk Capital Corp.,
5.85% due 4/06/00 130,000 129,239,500
5.85% due 4/10/00 100,000 99,350,000
International Nederland,
6.18% due 11/17/00 100,000 95,519,500
Johnson & Johnson,
5.82% due 6/30/00 43,380 42,531,415
5.80% due 7/05/00 50,000 48,985,000
5.80% due 7/25/00 25,000 24,411,944
5.77% due 7/26/00 50,000 48,821,958
Kittyhawk Funding,
5.79% due 3/09/00 105,611 105,475,114
Morgan Stanley Dean Witter Discover,
5.90% due 3/01/00 300,000 300,000,000
Moriarty Ltd.,
5.87% due 4/10/00 150,000 149,021,666
Pooled Accounts Receivable Capital Corp.
5.80% due 3/10/00 42,042 41,981,039
Sigma Finance Corp.,
6.22% due 3/15/00 200,000 199,998,460
5.75% due 5/17/00 50,000 49,385,069
5.75% due 5/22/00 21,000 20,724,958
5.75% due 5/30/00 30,000 29,568,750
6.20% due 11/21/00 75,000 71,579,844
---------------
3,687,094,462
---------------
CORPORATE NOTES -- 1.4%
- --------------------------------------------------------------------------------
J. P. Morgan & Co., Inc.
5.92% due 5/04/00 200,000 200,000,000
---------------
MEDIUM TERM NOTES -- 2.7%
- --------------------------------------------------------------------------------
Abbey National Treasury Services,
6.19% due 10/18/00 100,000 99,963,800
Credit Suisse,
6.01% due 5/10/00 200,000 200,000,000
Household Financial Corp.,
6.15% due 9/14/00 74,000 73,976,102
---------------
373,939,902
---------------
13
<PAGE>
CASH RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 4.2%
- --------------------------------------------------------------------------------
BankAmerica,
5.81% due 3/01/00 $300,000 $ 300,000,000
Barclays Bank Plc.,
5.81% due 3/01/00 285,155 285,155,000
---------------
585,155,000
---------------
UNITED STATES GOVERNMENT AGENCY -- 2.7%
- --------------------------------------------------------------------------------
Federal Home Loan Bank,
5.97% due 12/01/00 100,000 99,892,555
Federal Home Loan Bank Consumer Discount Notes,
5.39% due 7/28/00 50,000 48,884,569
Federal Home Loan Mortgage Discount Notes,
5.21% due 3/09/00 48,062 48,006,355
5.16% due 6/13/00 50,000 49,254,667
5.22% due 6/15/00 135,000 132,925,050
---------------
378,963,196
---------------
UNITED STATES TREASURY BILLS -- 2.3%
- --------------------------------------------------------------------------------
United States Treasury Bills,
5.21% due 11/09/00 50,000 48,169,264
5.28% due 11/09/00 50,000 48,144,667
5.40% due 11/09/00 50,000 48,102,500
5.56% due 11/09/00 100,000 96,310,416
5.62% due 11/09/00 85,000 81,826,519
---------------
322,553,366
---------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 105.5% $14,672,508,771
OTHER ASSETS,
LESS LIABILITIES (5.5) (770,572,308)
----- ---------------
NET ASSETS 100.0% $13,901,936,463
===== ===============
* Variable interest rate -- subject to periodic change.
See notes to financial statements
14
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investments at value (Note 1A) $14,672,508,771
Cash 938
Interest receivable 175,364,534
- --------------------------------------------------------------------------------
Total assets 14,847,874,243
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 944,854,899
Payable to affiliate--Investment Advisory fee (Note 2A) 864,921
Accrued expenses and other liabilities 217,960
- --------------------------------------------------------------------------------
Total liabilities 945,937,780
- --------------------------------------------------------------------------------
NET ASSETS $13,901,936,463
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $13,901,936,463
================================================================================
See notes to financial statements
15
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
INTEREST INCOME (Note 1B): $437,190,840
EXPENSES:
Investment Advisory fees (Note 2A) $ 11,526,046
Administrative fees (Note 2B) 3,842,015
Custody and fund accounting fees 1,767,061
Trustees' fees 31,814
Audit fees 21,000
Legal fees 19,982
Other 28,152
- --------------------------------------------------------------------------------
Total expenses 17,236,070
Less aggregate amounts waived by Investment Adviser
and Administrator (Notes 2A, and 2B) (9,549,938)
Less fees paid indirectly (Note 1E) (421)
- --------------------------------------------------------------------------------
Net expenses 7,685,711
- --------------------------------------------------------------------------------
Net investment income $429,505,129
================================================================================
See notes to financial statements
16
<PAGE>
CASH RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
================================================================================
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 429,505,129 $ 628,439,104
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 27,245,381,664 47,581,662,450
Value of withdrawals (28,702,294,978) (42,086,666,522)
- --------------------------------------------------------------------------------
Net increase (decrease) in net
assets from capital transactions (1,456,913,314) 5,494,995,928
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (1,027,408,185) 6,123,435,032
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 14,929,344,648 8,805,909,616
- --------------------------------------------------------------------------------
End of period $ 13,901,936,463 $ 14,929,344,648
================================================================================
See notes to financial statements
17
<PAGE>
CASH RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2000 ------------------------------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets (000's omitted) $13,901,936 $14,929,345 $8,805,910 $7,657,400 $4,442,187 $4,765,406
Ratio of expenses to average
net assets 0.10%* 0.10% 0.10% 0.10% 0.10% 0.10%
Ratio of net investment income
to average net assets 5.57%* 5.13% 5.65% 5.57% 5.64% 5.88%
Note: If 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 0.22%* 0.22% 0.22% 0.23% 0.23% 0.23%
Net investment income to
average net assets 5.45%* 5.01% 5.53% 5.44% 5.50% 5.75%
====================================================================================================================================
</TABLE>
* Annualized
See notes to financial statements
18
<PAGE>
CASH RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES Cash Reserves Portfolio (the "Portfolio") is
registered under the U.S. 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. Signature
Financial Group (Grand Cayman), Ltd. ("SFG") acts as the Portfolio's
Administrator and Citibank, N.A. ("Citibank") acts as the Investment Adviser.
Citibank is a wholly-owned subsidiary of Citigroup Inc.
The preparation of financial statements in accordance with United States of
America 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 U.S. 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) 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. The Portfolio bears all costs of its operations
other than expenses specifically assumed by Citibank and SFG.
C. U.S. FEDERAL INCOME TAXES The Portfolio is considered a partnership under
the U.S. Internal Revenue Code. Accordingly, no provision for federal income
taxes is necessary.
D. REPURCHASE AGREEMENT It is the policy of the Portfolio to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry System or to have segregated within the custodian bank's
vault, all securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the Portfolio to
monitor, on a daily basis, the market value of the repurchase agreement's
underlying investments to ensure the existence of a proper level of collateral.
E. OTHER Purchases, maturities and sales of money market instruments are
accounted for on the date of the transaction.
19
<PAGE>
CASH RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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 $11,526,046
of which $5,707,922 was voluntarily waived for the six months ended February 29,
2000. The investment advisory fees are 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, are computed at
the annual rate of 0.05% of the Portfolio's average daily net assets. The
Administrative fees amounted to $3,842,015, all of which were voluntarily waived
for the six months ended February 29, 2000. The Portfolio pays no compensation
directly to any Trustee or to 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 money market
instruments aggregated $175,256,041,856 and $175,492,697,226, respectively, for
the six months ended February 29, 2000.
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 six months
ended February 29, 2000, the commitment fee allocated to the Portfolio was
$22,033. Since the line of credit was established, there have been no
borrowings.
20
<PAGE>
TRUSTEES AND OFFICERS
Philip W. Coolidge*, President
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
SECRETARY
Linda T. Gibson*
TREASURER
Linwood Downs*
*AFFILIATED PERSON OF ADMINISTRATOR AND DISTRIBUTOR
INVESTMENT ADVISER
(OF CASH RESERVES PORTFOLIO)
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
ADMINISTRATOR AND DISTRIBUTOR
CFBDS, Inc.
21 Milk Street, 5th Floor, Boston, MA 02109
(617) 423-1679
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
AUDITORS
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
LEGAL COUNSEL
Bingham Dana LLP
150 Federal Street, Boston, MA 02110
<PAGE>
THE CITIFUNDS FAMILY
LARGE CAP STOCKS
CitiFunds Growth & Income Portfolio
CitiFunds Large Cap Growth Portfolio
SMALL CAP STOCKS
CitiFunds Small Cap Growth Portfolio
CitiFunds Small Cap Value Portfolio
INTERNATIONAL STOCKS
CitiFunds International Growth & Income Portfolio
CitiFunds International Growth Portfolio
GROWTH WITH INCOME
CitiFunds Balanced Portfolio
BONDS
CitiFunds Short-Term U.S. Government Income Portfolio
CitiFunds Intermediate Income Portfolio
CitiFunds National Tax Free Income Portfolio
CitiFunds New York Tax Free Income Portfolio
CitiFunds California Tax Free Income Portfolio
MONEY MARKETS
CitiFunds Cash Reserves
CitiFunds U.S. Treasury Reserves
CitiFunds Tax Free Reserves
CitiFunds New York Tax Free Reserves
CitiFunds California Tax Free Reserves
CitiFunds Connecticut Tax Free Reserves
PREMIUM MONEY MARKETS
CitiFunds Premium Liquid Reserves
CitiFunds Premium U.S. Treasury Reserves
INSTITUTIONAL MONEY MARKETS
CitiFunds Institutional Liquid Reserves
CitiFunds Institutional U.S. Treasury Reserves
CitiFunds Institutional TaxFree Reserves
CitiFunds Institutional Cash Reserves
This report is prepared for the information of shareholders of CitiFunds
Institutional Liquid Reserves. It is authorized for distribution to prospective
investors only when preceded or accompanied by an effective prospectus of
CitiFunds Institutional Liquid Reserves.
For more information about any of the CitiFunds listed above, ask for a
prospectus (except for CitiFunds Institutional Liquid Reserves, which preceded
or accompanies this report) containing more complete information, including all
sales charges (if any), fees and expenses. Please read the prospectus carefully
before you invest or send money.
Although each money market fund seeks to maintain the value of your investment
at $1.00 per share, it is possible to lose money by investing in the funds.
Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency.
CitiFunds are made available by CFBDS, Inc. as distributor. For more information
contact your Service Agent or call 1-800-625-4554.
(C)2000 Citicorp [RECYCLE LOGO] Printed on recycled paper CFS/INS.LI/200
<PAGE>
CITIFUNDS(SM) [LOGO]
INSTITUTIONAL
U.S. TREASURY
RESERVES
SEMI-ANNUAL REPORT
FEBRUARY 29, 2000 CITIFUNDS
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
Letter to Our Shareholders 1
- --------------------------------------------------------------------------------
Portfolio Environment and Outlook 2
- --------------------------------------------------------------------------------
Fund Facts 3
- --------------------------------------------------------------------------------
Fund Performance 4
- --------------------------------------------------------------------------------
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
Statement of Assets and Liabilities 5
- --------------------------------------------------------------------------------
Statement of Operations 6
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 7
- --------------------------------------------------------------------------------
Financial Highlights 8
- --------------------------------------------------------------------------------
Notes to Financial Statements 9
- --------------------------------------------------------------------------------
U.S. TREASURY RESERVES PORTFOLIO
Portfolio of Investments 12
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities 13
- --------------------------------------------------------------------------------
Statement of Operations 13
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 14
- --------------------------------------------------------------------------------
Financial Highlights 14
- --------------------------------------------------------------------------------
Notes to Financial Statements 15
- --------------------------------------------------------------------------------
<PAGE>
LETTER TO OUR SHAREHOLDERS
Dear Shareholder:
Rising interest rates during the reporting period have benefited money market
investors, who earned higher yields while preserving capital. The Federal
Reserve Board (the "Fed") raised interest rates three times in 1999 and most
recently on February 2, 2000 for a total increase of 100 basis points. (A basis
point is .01% or one one-hundredth of a percent.) The Fed's actions were
implemented to forestall a reacceleration of inflation, a potential consequence
of the continued growth of the U.S. economy.
In this environment, the CitiFunds' investment adviser, Citibank, N.A.,
continued to manage CitiFunds Institutional U.S. Treasury Reserves with the goal
of achieving its investment objective: providing liquidity and as high a level
of current income from U.S. government obligations as is consistent with the
preservation of capital.
This report reviews the Fund's investment activities and performance during
the six months ended February 29, 2000, and provides a summary of Citibank's
perspective on and outlook for the money market securities marketplace.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
- -----------------------
Philip W. Coolidge
President
March 15, 2000
1
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE PAST SIX MONTHS HAVE BEEN GENERALLY REWARDING FOR MANY INVESTORS IN
SHORT-TERM U.S. TREASURY SECURITIES. Yields on such investments ended the
six-month reporting period higher than where they began, reflecting the general
trend of higher short-term interest rates in a period of rising interest rates.
While rising interest rates negatively affected the prices of long-term bonds,
price declines were much more modest among short-term securities such as those
in which the Portfolio invests.
The positive economic conditions that led to higher interest rates during the
reporting period included strong U.S. economic growth, low inflation, robust
consumer spending and rising demand for U.S. exports. As a result of these
factors, many investors became concerned that unsustainable U.S. economic growth
might cause inflationary pressures to resurface. As previously noted, in an
attempt to forestall a potential reacceleration of inflation, the Fed raised
interest rates in three 25-basis point increments during 1999 and raised them an
additional 25 basis points on February 2, 2000.
DESPITE THE POSITIVE EFFECTS OF HIGHER INTEREST RATES, THE U.S. TREASURY
MARKET'S RETURNS WERE CONSTRAINED BY ITS OWN MARKET-SPECIFIC INFLUENCES, MOST
NOTABLY CHANGES IN THE BALANCE BETWEEN SUPPLY AND DEMAND. Issuance of short-term
U.S. Treasury securities generally fell during the reporting period, as the
strong U.S. economy enabled the federal government to post a budget surplus,
reducing the government's need to borrow.
At the same time, demand was strong from foreign and domestic investors
seeking a relatively safe place for money awaiting reinvestment in longer-term
securities. Because of this imbalance between supply and demand, yields on U.S.
Treasury securities tended to rise less than yields of other short-term
instruments.
THE PORTFOLIO MANAGERS' STRATEGY DURING THE SIX-MONTH PERIOD WAS TO MAINTAIN
A RELATIVELY SHORT AVERAGE MATURITY, which was designed to enhance liquidity and
keep assets available for higher-yielding securities as they became available.
As of February 29, 2000, the Portfolio's average maturity was 52 days. (Maturity
is the date on which the principal amount of a note, draft, acceptance bond or
other debt instrument becomes due and payable.) The portfolio's policy is to
maintain a maximum average maturity of not more than 60 days in order to
maintain its AAA/Aaa ratings by both Standard & Poor's and Moody's Investors
Service Inc. (Standard & Poor's Corporation and Moody's Investor Service Inc.
are two major credit reporting and bond-rating agencies.)
In addition, THE MANAGERS ACTIVELY MANAGED THE MIX OF MATURITIES WITHIN THE
FUND'S PORTFOLIO. Because of year-end and Y2K-related concerns, many investors
gravitated to U.S. Treasury securities maturing during the first quarter of
2000. The Fund's managers avoided these maturities because of their low yields.
Instead, short-term securities were emphasized as the end of 1999 approached,
and the investment team purchased short-term Cash Management Bills issued by the
U.S. Treasury to ensure market liquidity during the transition from 1999 to
2000. Y2K-related market disruptions have not materialized. However, the
managers took advantage of this temporary opportunity to capture higher yield
potential for the Fund's portfolio.
2
<PAGE>
Looking forward, the Fund's managers expect interest rates to remain near or
slightly above current levels if the Fed continues to move toward a more
restrictive monetary policy. However, MANAGEMENT BELIEVES THAT OVER THE LONG
TERM, INTEREST RATES MAY BEGIN TO DECLINE IF THE ECONOMY BEGINS TO SHOW EVIDENCE
THAT IT IS MODERATING. Accordingly, the managers are carefully searching for
opportunities to take advantage of changes in the direction of interest rates,
including possibly extending the Fund's average maturity within its conservative
parameters to lock in higher yields in the near term.
FUND FACTS
FUND OBJECTIVE
To provide liquidity and as high a level of current income from U.S. government
obligations as is consistent with the preservation of capital.
INVESTMENT ADVISER, DIVIDENDS
U.S. TREASURY RESERVES PORTFOLIO Declared daily, paid monthly
Citibank, N.A.
COMMENCEMENT OF OPERATIONS BENCHMARK*
October 2, 1992 o Lipper S&P AAA rated Taxable
Institutional U.S. Treasury
NET ASSETS AS OF 2/29/00 Money Market Funds Average
$601.2 million o IBC Financial Data Instiutional
100% U.S. Treasury
Rated Money Market Funds Average
* The Lipper Funds Average and IBC Funds Average reflect the performance
(excluding sales charges) of mutual funds with similar objectives.
3
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE
ALL PERIODS ENDED FEBRUARY 29, 2000 SIX ONE FIVE OCTOBER 2, 1992
(Unaudited) MONTHS** YEAR YEARS* INCEPTION*
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CitiFunds Institutional U.S. Treasury Reserves 2.42% 4.69% 5.04% 4.55%
Lipper S&P AAA rated Taxable Institutional
U.S. Treasury Money Market Funds Average 2.53% 4.78% 5.13% 4.56%+
IBC Financial Data Institutional 100%
U.S. Treasury Rated Money Market
Funds Average 2.38% 4.58% 4.98% 4.45%+
</TABLE>
* Average Annual Total Return
** Not Annualized
+ From 9/30/92
7-DAY YIELDS
Annualized Current 5.25%
Effective 5.39%
The ANNUALIZED CURRENT 7-Day Yield reflects the amount of income generated by
the investment during the seven day period and assumes that the income is
generated each week over a 365 day period. The yield is shown as a percentage of
the investment.
The EFFECTIVE 7-DAY YIELD is calculated similarly, but when annualized the
income earned by the investment during the seven day period is assumed to be
reinvested. The effective yield is slightly higher than the current yield
because of the compounding effect of this assumed reinvestment.
Note: A money market fund's yield more closely reflects the current earnings of
the fund than does the total return.
Note: Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency. Yields and total returns
will fluctuate and past performance is no guarantee of future results. Total
return figures include reinvestment of dividends. Returns and yields reflect
certain voluntary fee waivers. If the waivers were not in place, the Fund's
returns and yields would have been lower.
4
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investment in U.S. Treasury Reserves Portfolio, at value (Note 1) $601,551,022
- --------------------------------------------------------------------------------
LIABILITIES:
Dividends payable 234,409
Accrued expenses and other liabilities 86,669
- --------------------------------------------------------------------------------
Total liabilities 321,078
- --------------------------------------------------------------------------------
NET ASSETS for 601,229,944 shares of
beneficial interest outstanding $601,229,944
================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $601,229,944
================================================================================
NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE $1.00
================================================================================
See notes to financial statements
5
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1A):
Income from U.S. Treasury Reserves Portfolio $15,165,847
Allocated expenses from
U.S. Treasury Reserves Portfolio (298,878)
- --------------------------------------------------------------------------------
$14,866,969
EXPENSES:
Administrative fees (Note 3A) 1,042,733
Shareholder Servicing Agents' fees (Note 3B) 297,924
Distribution fees (Note 4) 297,924
Legal fees 16,100
Audit fees 10,792
Custody and fund accounting fees 9,705
Registration fees 8,525
Shareholder reports 6,518
Transfer agent fees 6,000
Trustees' fees 3,629
Miscellaneous 13,698
- --------------------------------------------------------------------------------
Total expenses 1,713,548
Less aggregate amounts waived by Administrator,
Shareholder Servicing Agent and Distributor
(Notes 3A, 3B and 4) (1,265,174)
- --------------------------------------------------------------------------------
Net expenses 448,374
- --------------------------------------------------------------------------------
Net investment income $14,418,595
================================================================================
See notes to financial statements
6
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
================================================================================
FROM INVESTMENT ACTIVITIES:
Net investment income, declared as dividends
to shareholders (Note 2): $ 14,418,595 $ 12,928,883
================================================================================
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST AT
NET ASSET VALUE OF $1.00 PER SHARE (Note 5):
Proceeds from sale of shares $911,301,617 $1,598,993,736
Net asset value of shares issued to shareholders
from reinvestment of dividends 13,046,726 11,328,224
Cost of shares repurchased (928,482,889) (1,269,093,377)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (4,134,546) 341,228,583
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 605,364,490 264,135,907
- --------------------------------------------------------------------------------
End of period $601,229,944 $ 605,364,490
================================================================================
See notes to financial statements
7
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2000 ---------------------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
===============================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning
of period $1.00000 $1.00000 $1.00000 $1.00000 $1.00000 $1.00000
Net investment income 0.02395 0.04395 0.05001 0.04994 0.05051 0.05200
Less dividends from net
investment income (0.02395) (0.04395) (0.05001) (0.04994) (0.05051) (0.05200)
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, end of period $1.00000 $1.00000 $1.00000 $1.00000 $1.00000 $1.00000
===============================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $601,230 $605,364 $264,136 $306,350 $213,395 $120,731
Ratio of expenses to
average net assets+ 0.25%* 0.25% 0.25% 0.25% 0.25% 0.25%
Ratio of net investment income
to average net assets+ 4.83%* 4.40% 5.00% 5.01% 5.03% 5.23%
Total return 2.42%** 4.48% 5.12% 5.11% 5.17% 5.33%
Note: If Agents of the Fund and agents of U.S. Treasury Reserves Portfolio had
not waived all or a portion of their fees during the periods indicated, the net
investment income per share and the ratios would have been as follows:
Net investment income per share $0.02117 $0.03806 $0.04431 $0.04416 $0.04428 $0.04593
RATIOS:
Expenses to average net assets +0.81%* 0.84% 0.82% 0.83% 0.87% 0.85%
Net investment income to
average net assets+ 4.27%* 3.81% 4.43% 4.43% 4.41% 4.62%
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
+ Includes the Fund's share of U.S. Treasury Reserves Portfolio's allocated
expenses.
* Annualized
** Not Annualized
See notes to financial statements
8
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES CitiFunds Institutional U.S. Treasury
Reserves (the "Fund") is a diversified separate series of CitiFunds
Institutional Trust (the "Trust"), a Massachusetts business trust. The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. The Fund invests all of its investable assets in
U.S. Treasury Reserves Portfolio (the "Portfolio"), an open-end, diversified
management investment company for which Citibank, N.A. ("Citibank") serves as
Investment Adviser. The value of such investment reflects the Fund's
proportionate interest (49.2% at February 29, 2000) in the net assets of the
Portfolio. CFBDS, Inc. ("CFBDS"), acts as the Trust's Administrator and
Distributor. Citibank also serves as Sub-Administrator and makes shares
available to customers through various Shareholder Servicing Agents. Citibank is
a wholly-owned subsidiary of Citigroup Inc.
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 Fund are in
conformity with generally accepted accounting principles and are as follows:
A. INVESTMENT INCOME The Fund earns income, net of Portfolio expenses, daily
on its investment in the Portfolio.
B. FEDERAL TAXES The Fund's policy is to comply with the provisions of the
Internal Revenue Code available to regulated investment companies and to
distribute to shareholders all of its taxable income. Accordingly, no provision
for federal income or excise tax is necessary.
C. EXPENSES The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more Funds in a series are allocated in proportion to the
average net assets of each Fund, except where allocations of direct expenses to
each Fund can otherwise be made fairly. Expenses directly attributable to a Fund
are charged to that Fund.
D. OTHER All the net investment income of the Portfolio is allocated pro
rata, based on respective ownership interests, among the Fund and other
investors in the Portfolio at the time of such determination.
2. DIVIDENDS The net income of the Fund is determined once daily, as of 12:00
noon Eastern Standard Time, and all of the net income of the Fund so determined
is declared as a dividend to shareholders of record at the time of such
determination. Dividends are distributed in the form of additional shares of the
Fund or, at the election of the shareholder, in cash (subject to the policies of
the shareholder's Shareholder Servicing Agent) on or prior to the last business
day of the month.
9
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
3. ADMINISTRATIVE SERVICES PLAN The Trust has adopted an Administrative Services
Plan which provides that the Trust, on behalf of each Fund, may obtain the
services of an Administrator, one or more Shareholder Servicing Agents, and
other Servicing Agents and may enter into agreements providing for the payment
of fees for such services. Under the Trust's Administrative Services Plan, the
aggregate of the fee paid to the Administrator from the Fund and of the fees
paid to the Shareholder Servicing Agents from the Fund under such plan may not
exceed 0.45% of the Fund's average daily net assets on an annualized basis for
the Fund's then-current fiscal year. For the six months ended February 29, 2000,
management agreed to voluntarily limit Fund expenses to 0.25%.
A. ADMINISTRATIVE FEES Under the terms of an Administrative Services
Agreement, CFBDS is entitled to an administrative fee from the Fund, as
compensation for overall administrative services and general office facilities,
which is accrued daily and paid monthly at the annual rate of 0.35% of the
Fund's average daily net assets. The Administrative fees amounted to $1,042,733,
of which $669,326 was contractually waived for the six months ended February 29,
2000. The contractual fee waivers of 0.20% terminate on December 31, 2000.
Citibank acts as Sub-Administrator and performs such duties and receives such
compensation from CFBDS as from time to time is agreed to by CFBDS and Citibank.
The Fund pays no compensation directly to any Trustee or to any officer who is
affiliated with the Administrator, all of whom receive remuneration for their
services to the Fund from the Administrator or its affiliates. Certain of the
officers and a Trustee of the Fund are officers and a director of the
Administrator or its affiliates.
B. SHAREHOLDER SERVICING AGENT FEES The Trust, on behalf of the Fund, has
entered into shareholder servicing agreements with each Shareholder Servicing
Agent pursuant to which the Shareholder Servicing Agent acts as an agent for its
customers and provides other related services. For their services, each
Shareholder Servicing Agent receives fees from the Fund, which may be paid
periodically, but may not exceed, on an annualized basis, an amount equal to
0.10% of the average daily net assets of the Fund represented by shares owned
during the period for which payment is being made by investors for whom such
Shareholder Servicing Agent maintains a servicing relationship. The Shareholder
Servicing Agent fees amounted to $297,924, all of which were contractually
waived for the six months ended February 29, 2000. The contractual fee waivers
terminate on December 31, 2000.
4. DISTRIBUTION FEES The Trust has adopted a Plan of Distribution pursuant to
Rule 12b-1 under the Investment Company Act of 1940, as amended, in which the
Fund reimburses the Distributor for expenses incurred or anticipated in
connection with the sale of shares of the Fund, limited to an annual rate of
0.10% of the average daily net assets of the Fund. The Distribution fees
amounted to $297,924, all of which was contractually waived for the six months
ended February 29, 2000. The contractual fee waivers terminate on December 31,
2000. The Distributor has contractually agreed to assume all distribution
expenses through February 29, 2000.
10
<PAGE>
CITIFUNDS INSTITUTIONAL U.S. TREASURY RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional shares of beneficial
interest ($0.00001 par value).
6. INVESTMENT TRANSACTIONS Increases and decreases in the Fund's investment in
the Portfolio aggregated $1,090,238,899 and $1,109,181,763, respectively, for
the six months ended February 29, 2000.
11
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
U.S. TREASURY BILLS--99.9%
- --------------------------------------------------------------------------------
United States Treasury Bill,
due 3/23/00 $177,730 $ 177,151,078
United States Treasury Bill,
due 3/30/00 236,017 235,029,871
United States Treasury Bill,
due 4/06/00 165,047 164,177,781
United States Treasury Bill,
due 4/13/00 150,000 149,060,122
United States Treasury Bill,
due 4/27/00 20,437 20,252,575
United States Treasury Bill,
due 5/11/00 25,000 24,728,819
United States Treasury Bill,
due 5/15/00 50,000 50,053,406
United States Treasury Bill,
due 5/18/00 307,213 303,551,493
United States Treasury Bill,
due 5/25/00 100,000 98,669,514
--------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 99.9% $1,222,674,659
OTHER ASSETS,
LESS LIABILITIES 0.1 866,321
------ --------------
NET ASSETS 100.0% $1,223,540,980
====== ==============
See notes to financial statements
12
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investments, at amortized cost (Note 1A) $1,222,674,659
Cash 795
Interest receivable 936,985
- --------------------------------------------------------------------------------
Total assets 1,223,612,439
- --------------------------------------------------------------------------------
LIABILITIES:
Payable to affiliate - Investment advisory fees (Note 2A) 24,659
Accrued expenses and other liabilities 46,800
- --------------------------------------------------------------------------------
Total liabilities 71,459
- --------------------------------------------------------------------------------
NET ASSETS $1,223,540,980
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $1,223,540,980
================================================================================
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1B) $30,465,756
EXPENSES:
Investment Advisory fees (Note 2A) $ 899,841
Administrative fees (Note 2B) 299,947
Custody and fund accounting fees 147,100
Legal fees 31,960
Audit fees 11,300
Trustees' fees 7,469
Miscellaneous 22,808
- --------------------------------------------------------------------------------
Total expenses 1,420,425
Less aggregate amounts waived by
Investment Adviser and Administrator
(Notes 2A and 2B) (820,411)
Less fees paid indirectly (Note 1D) (10)
- --------------------------------------------------------------------------------
Net expenses 600,004
- --------------------------------------------------------------------------------
Net investment income $29,865,752
================================================================================
See notes to financial statements
13
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
================================================================================
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income $ 29,865,752 $ 40,398,488
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 2,663,317,942 3,426,724,559
Value of withdrawals (2,658,269,225) (3,190,341,131)
- --------------------------------------------------------------------------------
Net increase in net assets
from capital transactions 5,048,7172 36,383,428
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 34,914,469 276,781,916
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 1,188,626,511 911,844,595
- --------------------------------------------------------------------------------
End of period $ 1,223,540,980 $ 1,188,626,511
================================================================================
U.S. TREASURY RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2000 ------------------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
==========================================================================================================
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) $1,223,541 $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% 0.10%
Ratio of net investment income
to average net assets 4.96%* 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 0.24%* 0.23% 0.23% 0.24% 0.25% 0.25%
Net investment income to
average net assets 4.82%* 4.42% 5.01% 5.01% 5.05% 5.21%
==========================================================================================================
</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.
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 $899,841 of
which $520,464 was voluntarily waived for the six months ended February 29,
2000. The investment advisory fee is computed at an annual rate of 0.15% of the
Portfolio's average daily net assets.
15
<PAGE>
U.S. TREASURY RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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 $299,947, all of which was
contractually waived for the six months ended February 29, 2000. The contractual
fee waivers terminate on December 31, 2000. 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 $5,191,970,429 and $5,156,117,240, respectively, for the
six months ended February 29, 2000.
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 six months
ended February 29, 2000, the commitment fee allocated to the Portfolio was
$1,815. Since the line of credit was established, there have been no borrowings.
16
<PAGE>
TRUSTEES AND OFFICERS
Philip W. Coolidge*, President
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
SECRETARY
Linda T. Gibson*
TREASURER
Linwood Downs*
*AFFILIATED PERSON OF ADMINISTRATOR AND DISTRIBUTOR
INVESTMENT ADVISER
(OF U.S. TREASURY RESERVES PORTFOLIO)
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
ADMINISTRATOR AND DISTRIBUTOR
CFBDS, Inc.
21 Milk Street, 5th Floor, Boston, MA 02109
(617) 423-1679
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
AUDITORS
Deloitte & Touche LLP
200 Berkeley Street, Boston, MA 02116
LEGAL COUNSEL
Bingham Dana LLP
150 Federal Street, Boston, MA 02110
<PAGE>
THE CITIFUNDS FAMILY
LARGE CAP STOCKS
CitiFunds Growth & Income Portfolio
CitiFunds Large Cap Growth Portfolio
SMALL CAP STOCKS
CitiFunds Small Cap Growth Portfolio
CitiFunds Small Cap Value Portfolio
INTERNATIONAL STOCKS
CitiFunds International Growth & Income Portfolio
CitiFunds International Growth Portfolio
GROWTH WITH INCOME
CitiFunds Balanced Portfolio
BONDS
CitiFunds Short-Term U.S. Government Income Portfolio
CitiFunds Intermediate Income Portfolio
CitiFunds National Tax Free Income Portfolio
CitiFunds New York Tax Free Income Portfolio
CitiFunds California Tax Free Income Portfolio
MONEY MARKETS
CitiFunds Cash Reserves
CitiFunds U.S. Treasury Reserves
CitiFunds Tax Free Reserves
CitiFunds New York Tax Free Reserves
CitiFunds California Tax Free Reserves
CitiFunds Connecticut Tax Free Reserves
PREMIUM MONEY MARKETS
CitiFunds Premium Liquid Reserves
CitiFunds Premium U.S. Treasury Reserves
INSTITUTIONAL MONEY MARKETS
CitiFunds Institutional Liquid Reserves
CitiFunds Institutional U.S. Treasury Reserves
CitiFunds Institutional TaxFree Reserves
CitiFunds Institutional Cash Reserves
This report is prepared for the information of shareholders of CitiFunds
Institutional U.S. Treasury Reserves. It is authorized for distribution to
prospective investors only when preceded or accompanied by an effective
prospectus of CitiFunds Institutional U.S. Treasury Reserves.
For more information about any of the CitiFunds listed above, ask for a
prospectus (except for CitiFunds Institutional U.S. Treasury Reserves, which
preceded or accompanies this report) containing more complete information,
including all sales charges (if any), fees and expenses. Please read the
prospectus carefully before you invest or send money.
Although each money market fund seeks to maintain the value of your investment
at $1.00 per share, it is possible to lose money by investing in the funds.
Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency.
CitiFunds are made available by CFBDS, Inc. as distributor. For more information
contact your Service Agent or call 1-800-625-4554.
(C)2000 Citicorp [Logo] Printed on recycled paper CFS/INS.US/200
<PAGE>
================================================================================
C I T I F U N D S(SM)
================================================================================
INSTITUTIONAL TAX FREE RESERVES C I T I F U N D S
SEMI-ANNUAL REPORT
FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
Letter to Our Shareholders 1
- --------------------------------------------------------------------------------
Portfolio Environment and Outlook 2
- --------------------------------------------------------------------------------
Fund Facts 3
- --------------------------------------------------------------------------------
Fund Performance 4
- --------------------------------------------------------------------------------
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
Statement of Assets and Liabilities 5
- --------------------------------------------------------------------------------
Statement of Operations 6
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 7
- --------------------------------------------------------------------------------
Financial Highlights 8
- --------------------------------------------------------------------------------
Notes to Financial Statements 9
- --------------------------------------------------------------------------------
TAX FREE RESERVES PORTFOLIO
Portfolio of Investments 12
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities 20
- --------------------------------------------------------------------------------
Statement of Operations 20
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets 21
- --------------------------------------------------------------------------------
Financial Highlights 21
- --------------------------------------------------------------------------------
Notes to Financial Statements 22
- --------------------------------------------------------------------------------
<PAGE>
LETTER TO OUR SHAREHOLDERS
Dear Shareholder:
Rising interest rates during the reporting period have benefited tax-exempt
money market investors, who earned higher yields while preserving capital. The
Federal Reserve Board (the "Fed") raised interest rates three times in 1999 and
most recently on February 2, 2000 for a total increase of 100 basis points. (A
basis point is .01% or one one-hundredth of a percent.) The Fed's actions were
implemented to forestall a reacceleration of inflation, a potential consequence
of the continued robust growth of the U.S. economy.
In this environment, the CitiFunds' investment adviser, Citibank, N.A.,
continued to manage CitiFunds Institutional Tax Free Reserves with the goal of
achieving its investment objective: providing high levels of current income that
are exempt from federal income taxes, preservation of capital and liquidity.
This report reviews the Fund's investment activities and performance during
the six months ended February 29, 2000, and provides a summary of Citibank's
perspective on and outlook for the tax-exempt money market securities
marketplace.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
------------------
President
March 15, 2000
1
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE PAST SIX MONTHS HAVE BEEN GENERALLY REWARDING FOR MANY MONEY MARKET
INVESTORS. Yields on tax-exempt money market securities ended the six-month
reporting period higher than where they began, reflecting the general trend of
short-term interest rates in a period of rising interest rates.
The economic conditions that led to higher rates during the reporting period
included strong U.S. economic growth, low inflation, robust consumer spending
and rising demand for U.S. exports. As a result of these factors, many investors
became concerned that unsustainable economic growth might cause inflationary
pressures to resurface. In an attempt to forestall a potential reacceleration of
inflation, the Fed raised interest rates in three 25-basis point increments
during 1999 and raised them an additional 25 basis points on February 2, 2000.
DESPITE THE POSITIVE EFFECTS OF HIGHER INTEREST RATES, HOWEVER, THE
TAX-EXEMPT MONEY MARKET'S RETURNS WERE CONSTRAINED BY ADVERSE CHANGES IN THE
BALANCE BETWEEN SUPPLY AND DEMAND. Issuance of short-term municipal securities
generally fell during the reporting period because the strong U.S. economy
enabled many states and municipalities to improve their fiscal operations,
reducing their need to borrow in order to cover short-term deficits. At the same
time, demand rose from individuals seeking competitive tax-exempt yields.
Because of this imbalance between supply and demand, tax-exempt money market
yields tended to rise less than the yields of taxable money market instruments.
THE FUND'S MANAGERS' STRATEGY DURING THE SIX-MONTH PERIOD WAS TO MAINTAIN A
RELATIVELY SHORT AVERAGE MATURITY, which was designed to enhance liquidity and
keep assets available for higher yielding securities as they became available.
As of February 29, 2000, the Fund's average maturity was 33 days. (Maturity is
the date on which the principal amount of a note, draft, acceptance bond or
other debt instrument becomes due and payable.)
IN ADDITION, THE MANAGERS ACTIVELY MANAGED THE MIX OF MONEY MARKET
INSTRUMENTS WITHIN THE FUND'S PORTFOLIO DURING THE REPORTING PERIOD. A relative
shortage of municipal notes made it more difficult to find high-yielding
opportunities in high-quality, highly liquid instruments. Instead, opportunities
were located primarily in Variable Rate Demand Notes (VRDNs), which are
short-term instruments that are securitized and issued by investment banks..
At the end of 1999, daily and weekly VRDNs comprised about 69% of the Fund's
portfolio. This highly liquid asset mix was designed to protect the Fund from
potential Y2K-related problems that have not surfaced. By the end of the
reporting period, VRDNs comprised approximately 67% of the Fund's portfolio,
with the remainder allocated among municipal notes and tax-exempt commercial
paper.
Looking forward, the Fund's managers expect interest rates to remain near or
slightly above current levels if the Fed continues to move toward a more
restrictive monetary policy. However, THE MANAGERS BELIEVE THAT OVER THE LONGER
TERM, INTEREST RATES MAY BEGIN TO DECLINE IF THE ECONOMY BEGINS TO SHOW EVIDENCE
THAT IT IS MODERATING. Accordingly, the managers are carefully looking for
opportunities to take advantage of changes in interest rates, including possibly
extending the Fund's average maturity to lock in higher yields in the near term.
2
<PAGE>
FUND FACTS
FUND OBJECTIVE
Provide high levels of current income which is exempt from federal income
taxes*, preservation of capital and liquidity.
INVESTMENT ADVISER DIVIDENDS
TAX FREE RESERVES PORTFOLIO Declared daily, paid monthly
Citibank, N.A.
COMMENCEMENT OF OPERATIONS CAPITAL GAINS
May 21, 1997 Distributed annually, if any
NET ASSETS AS OF 2/29/00 BENCHMARKS**
$133.0 million o Lipper Institutional Tax Exempt
Money Market Funds Average
o IBC Financial Data Institutional
Tax Free Money Market Funds Average
* A portion of the income may be subject to the Federal Alternative Minimum Tax
(AMT). Consult your personal tax adviser.
** The Lipper Funds Average and IBC Funds Average reflect the performance
(excluding sales charges) of mutual funds with similar objectives.
3
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
SINCE
ALL PERIODS ENDED FEBRUARY 29, 2000 SIX ONE MAY 21, 1997
(Unaudited) MONTHS** YEAR INCEPTION*
================================================================================
CitiFunds Institutional Tax Free Reserves 1.69% 3.22% 3.33%
Lipper Institutional Tax Exempt
Money Market Funds Average 1.59% 3.06% 3.15%+
IBC Financial Data Institutional Tax Free
Money Market Funds Average 1.60% 3.07% 3.16%+
* Average Annual Total Return
** Not Annualized
+ From 5/31/97
7-DAY YIELDS
Annualized Current 3.63%
Effective 3.69%
The ANNUALIZED CURRENT 7-DAY YIELD reflects the amount of income generated by
the investment during that seven day period and assumes that the income is
generated each week over a 365 day period. The yield is shown as a percentage of
the investment.
The EFFECTIVE 7-DAY YIELD is calculated similarly, but when annualized the
income earned by the investment during that seven day period is assumed to be
reinvested. The effective yield is slightly higher than the current yield
because of the compounding effect of this assumed reinvestment.
Note: A money market fund's yield more closely reflects the current earnings of
the fund than does the total return.
COMPARISON OF 7-DAY YIELDS FOR CITIFUNDS INSTITUTIONAL TAX FREE RESERVES VS. IBC
FINANCIAL DATA INSTITUTIONAL TAX FREE MONEY MARKET FUNDS AVERAGE
As illustrated, CitiFunds Institutional Tax Free Reserves provided a similar
annualized seven-day yield to that of a comparable IBC Financial Data Money
Market Funds Average, as published in IBC Financial Data Money Fund ReportTM,
for the one year period.
[Table below represents chart in printed piece]
IBC Financial
CitiFunds Institutional
Institutional General
Tax Free Tax Free
Reserves Funds Avg.
3/2/99 2.84 2.67
2.72 2.56
2.86 2.71
2.91 2.75
2.89 2.72
2.84 2.69
2.72 2.51
2.89 2.77
3.12 3.02
3.31 3.29
3.27 3.19
3.17 3.1
3.08 2.98
6/1/99 3.01 2.93
2.89 2.75
2.96 2.81
3.07 2.93
3.22 3.18
3.14 3.02
2.79 2.55
2.84 2.66
2.95 2.79
2.96 2.81
2.87 2.7
2.96 2.83
3.01 2.84
8/31/99 3.05 2.88
3.01 2.84
3.03 2.86
3.21 3.04
3.44 3.25
3.42 3.26
3.14 2.98
3.17 3.01
3.19 3.03
3.24 3.09
3.22 3.04
3.35 3.21
3.47 3.34
11/30/99 3.53 3.4
3.35 3.22
3.18 3.05
3.5 3.34
4.05 3.85
4.48 4.3
3.25 3.11
2.99 2.86
3.11 2.94
3.21 3.03
3.09 2.91
3.36 3.17
3.57 3.36
2/29/00 3.63 3.46
Note: Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency. Yields and total returns
will fluctuate and past performance is no guarantee of future results. Total
return figures include reinvestment of dividends. Returns and yields reflect
certain voluntary fee waivers. If the waivers were not in place, the Fund's
returns and yields would have been lower.
4
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investment in Tax Free Reserves Portfolio, at value (Note 1) $133,275,672
- --------------------------------------------------------------------------------
LIABILITIES:
Dividends payable 222,638
Accrued expenses and other liabilities 51,481
- --------------------------------------------------------------------------------
Total liabilities 274,119
- --------------------------------------------------------------------------------
NET ASSETS for 132,995,028 shares of beneficial
interest outstanding $133,001,553
================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $132,995,028
Accumulated net realized gain 6,525
- --------------------------------------------------------------------------------
Total $133,001,553
================================================================================
NET ASSET VALUE, OFFERING PRICE, AND REDEMPTION PRICE PER SHARE $1.00
================================================================================
See notes to financial statements
5
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1A):
Income from Tax Free Reserves Portfolio $ 2,178,825
Allocated expenses from Tax Free
Reserves Portfolio (91,147)
- --------------------------------------------------------------------------------
$ 2,087,678
EXPENSES:
Administrative fees (Note 3A) 212,524
Shareholder Servicing Agents' fees (Note 3B) 60,721
Distribution fees (Note 4) 60,721
Legal fees 16,550
Shareholder reports 9,587
Audit fees 9,500
Custody and fund accounting fees 9,418
Transfer agent fees 5,000
Trustees' fees 2,288
Miscellaneous 1,598
- --------------------------------------------------------------------------------
Total expenses 387,907
Less aggregate amounts waived by Administrator,
Shareholder Servicing Agents, and Distributor
(Notes 3A, 3B and 4) (326,588)
- --------------------------------------------------------------------------------
Net expenses 61,319
- --------------------------------------------------------------------------------
Net investment income 2,026,359
NET REALIZED LOSS ON INVESTMENTS FROM
TAX FREE RESERVES PORTFOLIO (1,905)
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 2,024,454
================================================================================
See notes to financial statements
6
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
================================================================================
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income $ 2,026,359 $ 6,430,629
Net realized gain (loss) on investments (1,905) 5,181
- --------------------------------------------------------------------------------
Net increase in net assets from operations 2,024,454 6,435,810
- --------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income (2,026,359) (6,430,629)
- --------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST AT NET ASSET VALUE OF
$1.00 PER SHARE (Note 5):
Proceeds from sale of shares 331,731,773 849,251,536
Net asset value of shares issued
to shareholders from reinvestment
of dividends 478,038 1,824,220
Cost of shares repurchased (364,931,871) (892,666,594)
- --------------------------------------------------------------------------------
Net decrease in net assets from
transactions in shares of
beneficial interest (32,722,060) (41,590,838)
- --------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS (32,723,965) (41,585,657)
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 165,725,518 207,311,175
- --------------------------------------------------------------------------------
End of period $ 133,001,553 $ 165,725,518
================================================================================
See notes to financial statements
7
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED MAY 21, 1997
SIX MONTHS ENDED AUGUST 31, (COMMENCEMENT
FEBRUARY 29, 2000 --------------------- OF OPERATIONS) TO
(Unaudited) 1999 1998 AUGUST 31, 1997
=========================================================================================================
<S> <C> <C> <C> <C>
Net Asset Value,
beginning of period $1.00000 $1.00000 $1.00000 $1.00000
Net investment income 0.016474 0.03026 0.03440 0.00984
Less dividends from
net investment income (0.016474) (0.03026) (0.03440) (0.00984)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, end of period $1.00000 $1.00000 $1.00000 $1.00000
=========================================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's omitted) $133,002 $165,726 $207,311 $ 60,048
Ratio of expenses to average
net assets+ 0.25%* 0.25% 0.25% 0.25%*
Ratio of net investment income
to average net assets+ 3.34%* 3.02% 3.43% 3.47%*
Total return 1.69%** 3.07% 3.49% 0.99%**
Note: If agents of the Fund and agents of Tax Free Reserves Portfolio had not
waived all or a portion of their fees and the Administrator had not voluntarily
assumed expenses during the periods indicated, the net investment income per
share and the ratios would have been as follows:
Net investment income per share $0.01317 $0.02395 $0.02718 $0.00729
RATIOS:
Expenses to average net assets+ 0.92%* 0.88% 0.97% 1.15%*
Net investment income to
average net assets+ 2.67%* 2.39% 2.71% 2.57%*
=========================================================================================================
</TABLE>
+ Includes the Fund's share of Tax Free Reserves Portfolio's allocated expenses
* Annualized
** Not Annualized
See notes to financial statements
8
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES CitiFunds Institutional Tax Free Reserves
(the "Fund") is a separate non-diversified series of CitiFunds Institutional
Trust (the "Trust"), a Massachusetts business trust. The Trust is registered
under the Investment Company Act of 1940, as amended, as an open-end management
investment company. The Fund invests all of its investable assets in Tax Free
Reserves Portfolio (the "Portfolio"), a management investment company for which
Citibank, N.A. ("Citibank") serves as Investment Adviser. The value of such
investment reflects the Fund's proportionate interest (approximately 19.9% at
February 29, 2000) in the net assets of the Portfolio. CFBDS, Inc. ("CFBDS"),
acts as the Fund's Administrator and Distributor. Citibank also serves as
Sub-Administrator and makes Fund shares available to customers as Shareholder
Servicing Agent. Citibank is a wholly-owned subsidiary of Citigroup Inc.
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 financial statements of the Portfolio, including the portfolio of
investments, are contained elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The significant accounting policies consistently followed by the Fund are in
conformity with generally accepted accounting principles and are as follows:
A. INVESTMENT INCOME The Fund earns income, net of Portfolio expenses, daily
on its investment in the Portfolio.
B. FEDERAL TAXES The Fund's policy is to comply with the provisions of the
Internal Revenue Code available to regulated investment companies and to
distribute to shareholders all of its net investment income. Accordingly, no
provision for federal income or excise tax is necessary. Dividends paid by the
Fund from net interest received on tax-exempt money market instruments are not
includable by shareholders as gross income for federal income tax purposes
because the Fund intends to meet certain requirements of the Internal Revenue
Code applicable to regulated investment companies which will enable the Fund to
pay exempt-interest dividends. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be considered a tax
preference item to shareholders.
C. EXPENSES The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more Funds in a series are allocated in proportion to the
average net assets of each fund, except where allocations of direct expenses to
each fund can otherwise be made fairly. Expenses directly attributable to a fund
are charged to that Fund.
2. DIVIDENDS The net income of the Fund is determined once daily, as of 12:00
noon Eastern Standard Time, and all of the net income of the Fund so determined
is declared as a dividend to shareholders of record at the time of such
determination. Dividends are distributed in the form of additional shares of the
Fund or, at the election of the
9
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
shareholder, in cash (subject to the policies of the shareholder's Shareholder
Servicing Agent) on or prior to the last business day of the month.
3. ADMINISTRATIVE SERVICES PLAN The Fund has adopted an Administrative Services
Plan which provides that the Trust, on behalf of each Fund, may obtain the
services of an Administrator, one or more Shareholder Servicing Agents, and
other Servicing Agents, and may enter into agreements providing for the payment
of fees for such services. Under the Trust's Administrative Services Plan, the
aggregate of the fee paid to the Administrator from the Fund and the fees paid
to the Shareholder Servicing Agents from the Fund may not exceed 0.45% of the
Fund's average daily net assets on an annualized basis for the Fund's
then-current fiscal year. For the six months ended February 29, 2000, management
agreed to voluntarily limit Fund expenses to 0.25%.
A. ADMINISTRATIVE FEES Under the terms of an Administrative Services
Agreement, CFBDS is entitled to an administrative fee, as compensation for
overall administrative services and general office facilities, which is computed
at the annual rate of 0.35% of the Fund's average daily net assets.
Administrative fees amounted to $212,524, of which $205,146 was contractually
waived for the six months ended February 29, 2000. The contractual fee waiver of
0.25% terminates on December 31, 2000. Citibank acts as Sub-Administrator and
performs such duties and receives such compensation from CFBDS as from time to
time is agreed to by CFBDS and Citibank. The Fund 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 Fund from the Administrator
or its affiliates. Certain of the officers and a Trustee of the Fund are
officers and a director of the Administrator or its affiliates.
B. SHAREHOLDER SERVICING AGENT FEES The Trust, on behalf of the Fund, has
entered into shareholder servicing agreements with each Shareholder Servicing
Agent pursuant to which that Shareholder Servicing Agent acts as an agent for
its customers and provides other related services. For their services, each
Shareholder Servicing Agent receives a fee from the Fund, which may be paid
periodically, but may not exceed, on an annualized basis, an amount equal to
0.10% of the average daily net assets of the Fund represented by shares owned
during the period for which payment is being made by investors for whom such
Shareholder Servicing Agent maintains a servicing relationship. The Shareholder
Servicing Agent fees amounted to $60,721 all of which was contractually waived
for the six months ended February 29, 2000. The contractual fee waiver
terminates on December 31, 2000.
4. DISTRIBUTION FEE The Trust has adopted a Plan of Distribution pursuant to
Rule 12b-1 under the Investment Company Act of 1940, as amended, in which the
Fund reimburses the Distributor for expenses incurred or anticipated in
connection with the sale of shares of the Fund, at an annual rate not to exceed
0.10% of the Fund's average daily net assets of the Fund. The distribution fees
amounted to $60,721, all of which was contractually waived for the six months
ended February 29, 2000. The contractual fee waiver terminates on December 31,
2000.
10
<PAGE>
CITIFUNDS INSTITUTIONAL TAX FREE RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional Shares of Beneficial
Interest (without par value).
6. INVESTMENT TRANSACTIONS Increases and decreases in the Fund's investment in
the Portfolio aggregated $452,488,095 and $487,379,417, respectively, for the
six months ended February 29, 2000.
11
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
TAX-EXEMPT COMMERCIAL PAPER -- 3.9%
- --------------------------------------------------------------------------------
Minnesota Water Pollution Control Revenue,
4.50% due 3/01/00 $ 1,000 $ 1,000,000
Phenix City, Alabama, Environmental Revenue, AMT,
3.80% due 4/06/00 7,000 7,000,000
Seattle, Washington,
4.50% due 3/01/00 1,500 1,500,000
Sullivan Pollution Control Revenue, Indiana,
3.80% due 4/13/00 5,000 5,000,000
Sunshine State, Florida, Government Finance,
3.75% due 3/07/00 4,000 4,000,000
Sunshine State, Florida, Government Finance,
3.50% due 3/08/00 7,465 7,465,000
------------
25,965,000
------------
GENERAL OBLIGATION BONDS
AND NOTES -- 3.5%
- --------------------------------------------------------------------------------
Baltimore County, Maryland,
3.09% due 4/01/00 2,380 2,433,824
Delaware State,
6.13% due 4/01/00 1,465 1,468,716
Georgia State,
4.38% due 7/01/00 3,190 3,193,754
Houston, Texas,
3.50% due 3/09/00 5,000 5,000,000
Ohio State Building Authority,
4.50% due 5/15/00 1,000 1,002,596
South Carolina State,
5.75% due 3/01/01 1,000 1,015,713
Virginia State,
5.00% due 6/01/00 2,000 2,006,477
Washington State,
5.00% due 1/01/01 6,315 6,386,601
Wisconsin State,
5.00% due 5/01/00 250 250,670
Wisconsin State,
5.75% due 5/01/00 600 602,364
------------
23,360,715
------------
ANNUAL AND SEMI-ANNUAL TENDER REVENUE
BONDS AND NOTES (PUTS) -- 22.9%
- --------------------------------------------------------------------------------
Aiken County, South Carolina, School District,
5.00% due 4/01/00 1,900 1,902,821
Anderson County, South Carolina, School District,
6.00% due 5/01/00 355 356,558
Anchorage, Alaska, Telephone Utility Revenue,
4.25% due 12/01/00 2,000 2,005,081
Arizona Educational Loan Marketing,
6.70% due 3/01/00 1,000 1,000,000
Arizona Educational Loan Marketing,
6.90% due 3/01/00 500 500,000
Austin, Texas, Utility System Revenue,
10.75% due 5/15/00 2,250 2,283,963
Baltimore, Maryland, Water Utility Revenue,
6.50% due 7/01/00 5,000 5,039,201
Camden County, Georgia, School District,
4.75% due 4/01/00 1,000 1,001,255
Charlotte, North Carolina,
4.90% due 6/01/00 975 978,942
Chicago, Illinois,
4.00% due 10/26/00 1,000 1,000,000
Clark County, Kentucky, Pollution Control Revenue,
3.70% due 4/15/00 2,110 2,110,000
Clark County, Nevada,
5.10% due 7/01/00 1,000 1,003,248
Clark County, Nevada, School District,
5.50% due 6/15/00 2,000 2,013,000
Cobb County, Georgia, School District,
4.38% due 12/29/00 5,000 5,016,271
Collin County, Texas,
4.15% due 3/01/00 2,725 2,725,000
Custer County, Indiana, Pollution Control Revenue,
3.70% due 4/01/00 4,000 4,000,000
Everett, Massachusetts,
6.00% due 12/15/00 1,130 1,145,825
Grand Prairie, Texas,
6.90% due 2/15/01 355 363,225
Illinois State Development Finance Authority Revenue,
3.75% due 3/08/00 5,000 5,000,000
Illinois State Sales Tax Revenue,
5.75% due 6/15/00 125 125,808
Indianapolis, Indiana,
4.50% due 7/10/00 2,600 2,605,463
12
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Jefferson County, Kentucky, Capital Projections,
5.40% due 4/01/00 $ 670 $ 671,160
Jefferson Parish, Louisiana,
Home Mortgage Authority Revenue,
3.65% due 6/01/00 2,000 2,000,000
Jordan, Utah, School District,
5.00% due 6/15/00 3,130 3,141,234
Kentucky State Turnpike Authority
Economical Development,
7.25% due 5/15/00 145 148,290
Knoxville, Tennesee,
5.00% due 5/01/00 1,000 1,002,845
Lancaster, Pennsylvania, School District,
4.00% due 5/15/00 1,300 1,301,736
Madison, Wisconsin,
4.00% due 5/01/00 2,050 2,052,493
Maricopa County, Arizona, School District,
6.00% due 7/01/00 1,600 1,609,953
Mercer County, North Dakota,
Solid Waste Disposal Authority, AMT,
3.95% due 6/01/00 3,400 3,400,000
Michigan State Strategic Limited Obligation,
9.40% due 5/15/00 10,500 10,821,923
Milwaukee, Wisconsin, Metropolitan Sewer District,
4.25% due 10/01/00 1,510 1,511,234
Murray County, Utah, Hospital Revenue,
4.50% due 5/15/00 500 501,149
New Hampshire State,
4.50% due 10/01/00 2,000 2,005,070
New Mexico State Severance Tax,
5.00% due 7/01/00 110 110,249
North Carolina State,
4.50% due 4/01/00 3,000 3,003,625
Ohio Housing Finance Agency Mortgage Revenue, AMT,
4.05% due 9/01/00 3,000 3,000,000
Oklahoma State Water Resource Board
State Loan Revenue,
3.60% due 3/01/00 9,005 9,005,000
Oklahoma State Water Resource Board
State Loan Revenue,
3.60% due 9/01/00 8,500 8,500,000
Oregon State Housing and Community Services
Development, AMT,
3.20% due 4/13/00 2,810 2,810,000
Panhandle Plains, Texas, Higher Education Loan,
4.80% due 9/01/00 845 845,000
Phoenix, Arizona,
5.90% due 7/01/00 3,830 3,853,264
<PAGE>
Rhode Island State, Health and Educational Revenue,
8.38% due 4/01/00 1,000 1,024,213
San Antonio, Texas, Water Revenue,
5.90% due 5/15/00 1,300 1,306,754
Stevens Point, Wisconsin,
3.50% due 5/01/00 300 300,097
Tallahassee, Florida, Municipal Electric Revenue,
10.10% due 4/01/00 4,150 4,296,454
Tennesee State School Board Authority,
5.00% due 5/01/00 1,700 1,704,044
Texas State,
7.13% due 4/01/00 1,000 1,022,827
Vermont Housing Finance Agency, AMT,
3.15% due 4/28/00 4,255 4,255,000
Virginia State,
6.00% due 7/01/00 3,000 3,021,893
Washington State,
6.10% due 6/01/00 750 755,225
Washington State,
5.00% due 7/01/00 2,250 2,255,768
Washington State Public Power Supply,
7.75% due 7/01/00 3,130 3,230,889
Washington State Single Family Mortgage,
5.00% due 3/01/00 16,615 16,615,000
York County, South Carolina,
Pollution Control Revenue,
3.30% due 3/15/00 10,000 10,000,000
------------
153,258,050
------------
REVENUE, TAX, BOND AND TAX
REVENUE ANTICIPATION NOTES -- 3.1%
- --------------------------------------------------------------------------------
Arapahoe County, Colorado, TAN's,
4.25% due 6/30/00 3,000 3,005,122
13
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
De Kalb County, Georgia, TAN's,
4.25% due 12/28/00 $10,000 $ 10,021,458
West Jordan, Utah, TRAN's,
4.00% due 6/30/00 7,350 7,364,083
------------
20,390,663
------------
VARIABLE RATE DEMAND NOTES* -- 67.1%
- --------------------------------------------------------------------------------
ABN-Amro Munitops Certificates Trust,
due 4/05/06 5,000 5,000,000
ABN-Amro Munitops Certificates Trust, AMT,
due 7/05/06 9,000 9,000,000
Adams County, Colorado,
Industrial Development Revenue,
due 12/01/15 2,000 2,000,000
Alabama State Public School & College,
due 11/01/13 1,595 1,595,000
Alaska State Housing Finance Corp., AMT,
due 6/01/07 5,795 5,795,000
Alexandria, Virginia,
Industrial Development Authority,
due 7/01/26 1,200 1,200,000
Allegheny County, Pennsylvania,
Industrial Development Authority Revenue,
due 7/01/27 970 970,000
Arapahoe County, Colorado, Revenue Authority,
due 7/01/07 1,775 1,775,000
Ascension, Louisiana, Revenue, AMT,
due 12/01/27 2,000 2,000,000
Ashe County, North Carolina,
Industrial Facilities and Pollution,
due 7/01/10 2,100 2,100,000
Atlanta, Metropolitan Rapid Transit Tax,
due 7/01/20 5,000 5,000,000
Beloit, Kansas, Industrial Development
Authority, AMT,
due 12/01/16 1,100 1,100,000
Beaver County, Pennsylvania,
Pollution Control Revenue,
due 12/01/20 1,500 1,500,000
Bexar County, Texas, Housing Finance Authority,
due 9/15/26 1,900 1,900,000
Brazos River, Texas, Utility Authority,
due 4/01/30 300 300,000
Brooks County, Georgia, Development
Authority Revenue,
due 3/01/18 2,000 2,000,000
Carrollton, Georgia, Payroll Development Authority,
due 3/01/15 1,650 1,650,000
Carthage, Missouri, Industrial Development
Authority Revenue,
due 4/01/07 2,000 2,000,000
Carthage, Missouri, Industrial Development
Authority Revenue, AMT,
due 9/01/30 2,000 2,000,000
Castle Pines, Colorado, North Metropolitan District,
due 12/01/28 5,195 5,195,000
Cherokee County, South Carolina,
Industrial Revenue, AMT,
due 8/01/19 200 200,000
Chesterfield County, Virginia,
Industrial Development,
due 2/01/03 1,400 1,400,000
Chicago, Illinois, Board of Education,
due 6/01/21 3,000 3,000,000
Chicago, Illinois, O'Hare International
Airport Revenue,
due 7/01/10 500 500,000
Chicago, Illinois, Public Building Community Revenue,
due 12/01/17 5,000 5,000,000
Clarksville, Tennessee, Public Building Authority,
due 10/01/25 765 765,000
Clarksville, Tennessee, Public Building Authority,
due 6/01/29 1,700 1,700,000
Clipper Tax Exempt Trust, AMT,
due 3/01/15 765 765,000
Clipper Tax Exempt Trust, AMT,
due 3/01/16 7,120 7,120,000
14
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Coastal Bend, Texas, Health Facilities
Development,
due 8/15/28 $ 1,000 $ 1,000,000
Cohasset, Minnesota, Revenue,
due 6/01/20 1,200 1,200,000
Colorado Health Facilities Authority Revenue,
due 6/01/21 9,935 9,935,000
Colorado Springs Utility Revenue,
due 11/15/28 12,500 12,500,000
Columbus, Georgia, Housing Authority Revenue,
due 11/01/17 750 750,000
Connecticut State,
due 5/15/14 1,200 1,200,000
Connecticut State, Health & Educational Facilities,
due 7/01/27 1,500 1,500,000
Connecticut State, Housing Finance Authority,
due 5/15/18 3,645 3,645,000
Davidson County, North Carolina,
Industrial Facilities,
due 7/01/20 2,140 2,140,000
De Kalb County, Georgia,
Industrial Development Revenue,
due 8/01/01 1,500 1,500,000
De Kalb County, Georgia,
Industrial Development Revenue,
due 2/01/18 1,100 1,100,000
De Kalb County, Georgia,
Multifamily Housing Revenue,
due 6/15/25 2,400 2,400,000
Denver, Colorado, City and County
Airport Revenue,
due 12/01/20 2,000 2,000,000
Detroit, Michigan, Economic Development Corp. ,
due 5/01/09 3,000 3,000,000
Director State, Nevada,
Department of Business, AMT,
due 8/01/20 865 865,000
District of Columbia, Revenue,
due 10/01/15 500 500,000
East Baton Rouge, Louisiana,
Pollution Control Revenue,
due 6/01/11 1,400 1,400,000
Emmaus, Pennsylvannia, General Authority Revenue,
due 3/01/24 4,100 4,100,000
Facilities Municipal Trust,
due 12/15/14 8,315 8,315,000
Fayetteville, Arkansas, Industrial Development , AMT,
due 12/01/04 1,100 1,100,000
Fayetteville, Arkansas, Public Facilities Board,
due 9/01/27 3,000 3,000,000
Floyd County, Georgia, Development Authority,
due 9/01/26 1,080 1,080,000
Forsyth County, Georgia,
Industrial Development Revenue,
due 1/01/07 2,000 2,000,000
Fort Wayne Indiana, Hospital Authority Revenue,
due 1/01/16 3,000 3,000,000
Fulton County, Georgia, Development
Authority Revenue,
due 12/01/12 2,000 2,000,000
Fulton County, Georgia, Development
Authority Revenue,
due 2/01/18 2,000 2,000,000
Fulton County, Georgia, Industrial
Development Authority, AMT,
due 6/01/27 3,900 3,900,000
Gila County, Arizona, Industrial
Development Authority,
due 11/01/25 1,655 1,655,000
Gordon County, Georgia, Industrial
Development Authority Revenue,
due 8/01/17 1,000 1,000,000
Gulf Breeze, Florida, Revenue,
due 3/31/21 1,485 1,485,000
Gwinett County, Georgia, Industrial
Development Revenue,
due 3/01/17 385 385,000
Harris County, Texas,
due 8/01/15 2,800 2,800,000
15
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Harris County, Texas, Industrial
Development Corp., AMT,
due 2/01/23 $ 2,800 $ 2,800,000
Hawkins County, Tennessee, Industrial
Development Board,
due 10/01/27 1,450 1,450,000
Hays, Texas, Mental Health
Development Facilities,
due 11/15/14 1,000 1,000,000
Heard County, Georgia, Pollution
Development Revenue,
due 9/01/26 1,800 1,800,000
Henderson, Nevada, Health Care
Facilities Revenue,
due 7/01/20 700 700,000
Henrico County, Virginia, Industrial
Development Authority,
due 8/01/23 180 180,000
Illinois Educational Facilities
Authority Revenue,
due 12/01/25 700 700,000
Illinois Health Facilities
Authority Revenue,
due 11/01/20 1,675 1,675,000
Illinois Health Facilities
Authority Revenue,
due 12/01/15 3,300 3,300,000
Jackson County, Mississippi,
Industrial Development Revenue,
due 12/01/15 2,650 2,650,000
Jackson County, Mississippi,
Pollution Control Revenue,
due 12/01/16 1,500 1,500,000
Jacksonville, Florida,
Health Facilities Revenue,
due 12/01/23 1,400 1,400,000
Jefferson Parish, Louisiana,
Home Mortgage,
due 12/01/26 1,690 1,690,000
Kansas City, Missouri, Industrial
Development Authority,
due 4/01/27 2,400 2,400,000
Kansas State Finance Authority Revenue,
due 11/15/28 1,000 1,000,000
Kenton County, Kentucky, Board Revenue, AMT,
due 3/01/15 1,800 1,800,000
Knox County, Tennessee, Health Educational
Hospital Facilities,
due 12/01/27 8,000 8,000,000
Knox County, Tennessee, Industrial Development
Board Revenue, AMT,
due 10/01/00 500 500,000
Koch Certificates of Trust,
due 12/13/02 5,000 5,000,000
Koch Certificates of Trust,
due 10/06/03 11,000 11,000,000
Lone Star Texas Authority,
due 12/01/14 400 400,000
Long Island Power Authority,
due 4/01/25 4,200 4,200,000
Long Island Power Authority,
due 5/01/33 1,500 1,500,000
Louisa County, Virginia, Industrial
Development Authority,
due 1/01/20 680 680,000
Macon Trust Pooled Receipts,
due 3/03/07 24,090 24,090,000
Madison, Wisconsin, Community
Development Authority,
due 6/01/22 1,070 1,070,000
Marshfield, Wisconsin, Industrial
Development Revenue,
due 12/01/14 2,500 2,500,000
Maryland State,
due 8/01/12 2,115 2,115,000
Maryland State Community Development,
due 4/01/25 1,410 1,410,000
Mason County, Kentucky, Pollution Control,
due 10/15/14 2,800 2,800,000
Massachusetts State Industrial Finance Agency,
due 11/01/25 2,000 2,000,000
Massachusetts State Water Pollution
Control Revenue,
due 8/01/23 3,600 3,600,000
Mecklenburg County, North Carolina,
Industrial Facilities,
due 9/01/14 2,000 2,000,000
16
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Metropolitan Pier & Exposition
Authority, Illinois,
due 12/15/19 $ 1,330 $ 1,330,000
Metropolitan Pier & Exposition
Authority, Illinois,
due 6/15/21 165 165,000
Metropolitan Pier & Exposition
Authority, Illinois,
due 6/15/28 5,125 5,125,000
Nashville, Tennessee Metropolitan
Government, Industrial,
due 12/01/18 1,000 1,000,000
Minneapolis St. Paul,
due 8/15/25 700 700,000
Missouri State Health and Educational
Facilities Revenue,
due 7/01/18 3,700 3,700,000
Missouri State Health and Educational
Facilities Revenue,
due 6/01/26 1,100 1,100,000
Missouri State Housing and Development
Common Mortgage,
due 3/01/30 4,000 4,000,000
Mobile, Alabama, Airport Authority Revenue,
due 10/01/02 2,000 2,000,000
Mobile, Alabama, Airport Authority Revenue,
due 10/01/14 9,975 9,975,000
Moorhead, Minnesota, Solid Waste Disposal, AMT,
due 4/01/12 3,000 3,000,000
Montgomery County, Tennessee,
Public Building Authority,
due 9/01/29 1,400 1,400,000
Multi-State Municipal Securities
Trust Certificates,
due 3/01/01 9,140 9,140,000
Multi-State Municipal Securities
Trust Certificates,
due 12/01/03 8,380 8,380,000
Multi-State Municipal Securities
Trust Certificates,
due 2/25/07 5,000 5,000,000
Nash County, North Carolina,
due 12/01/14 1,000 1,000,000
New Hampshire Higher Educational and Health,
due 6/01/23 1,300 1,300,000
New Hanover County, North Carolina,
due 3/01/14 2,250 2,250,000
New Hanover County, North Carolina,
due 3/01/15 2,250 2,250,000
New Hanover County, North Carolina,
due 3/01/16 2,250 2,250,000
New York State Housing Finance Agency
Revenue, AMT,
due 11/01/32 2,600 2,600,000
New York State Thruway Authority Revenue,
due 1/01/27 2,105 2,105,000
North Carolina Educational Facilities,
due 9/01/26 200 200,000
Ohio State Air Quality Development Authority,
due 5/01/26 1,755 1,755,000
Oklahoma Finance Authority Revenue,
due 1/01/30 4,000 4,000,000
Orange County, Florida, Industrial
Development Authority,
due 1/01/11 375 375,000
Oregon State Health Educational Housing Revenue,
due 1/01/31 2,700 2,700,000
Orlando, Florida, Special Assessment Revenue,
due 10/01/21 3,200 3,200,000
Peoria, Illinois, Health Care Facilities Revenue,
due 5/01/17 1,190 1,190,000
Person County, North Carolina,
Pollution Control Authority,
due 11/01/19 3,000 3,000,000
Piedmont, South Carolina,
Municipal Power Agency,
due 1/01/22 1,000 1,000,000
Piedmont, South Carolina,
Municipal Power Agency,
due 1/01/25 5,189 5,189,000
17
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Pinal County, Arizona, Pollution Control Revenue,
due 12/01/11 $ 2,500 $ 2,500,000
Pitney Bowes Credit Corp. Leasetops,
due 11/13/02 1,355 1,354,576
Pitney Bowes Credit Corp. Leasetops,
due 3/16/05 4,840 4,840,021
Port Arthur, Texas, Navigation District,
due 10/01/24 600 600,000
Puerto Rico Public Finance Corp.,
due 6/01/12 300 300,000
Puerto Rico Commonwealth,
due 7/01/20 1,200 1,200,000
Puttable Floating Option Tax Receipts,
due 10/11/30 595 595,000
Puttable Floating Option Tax Receipts, AMT,
due 12/05/30 6,980 6,980,000
Red Bay, Alabama, Industrial Development
Board Revenue,
due 11/01/10 3,400 3,400,000
Rhode Island Health and Educational Building,
due 12/01/29 1,000 1,000,000
Rhode Island State Industrial Facilities Corp.,
due 5/01/05 1,500 1,500,000
Rhode Island State Industrial Facilities Corp.,
due 11/01/05 3,180 3,180,000
Roswell, Georgia, Multifamily Housing Authority,
due 8/01/27 2,500 2,500,000
Saint Charles Parish, Louisiana,
Pollution Control Revenue,
due 3/01/24 7,500 7,500,000
Savannah, Illinois, Industrial Development Revenue,
due 6/01/04 600 600,000
Seattle, Washington, Municipal Lighting &
Power Revenue,
due 11/01/18 900 900,000
Seattle, Washington, Municipal Lighting &
Power Revenue,
due 10/01/23 7,000 7,000,000
Sevier County, Tennessee,
Public Building Authority,
due 6/01/17 3,105 3,105,000
Sevier County, Tennessee,
Public Building Authority,
due 6/01/18 10,000 10,000,000
Sevier County, Tennessee,
Public Building Authority,
due 6/01/19 10,000 10,000,000
Southeastern Oklahoma Industrial
Development Authority,
due 6/01/16 3,400 3,400,000
<PAGE>
Syracuse Industrial Economic
Development Revenue,
due 12/01/05 585 585,000
Tarrant County, Texas,
Health Facilities Development,
due 11/15/26 945 945,000
Texas State Department of Housing
and Community,
due 3/01/17 1,995 1,995,000
Tipton, Indiana, Economic Development Revenue,
due 7/01/22 1,025 1,025,000
Traill County, North Dakota,
Industrial Development, AMT,
due 12/01/11 1,000 1,000,000
Traill County, North Dakota,
Industrial Development, AMT,
due 12/11/11 1,000 1,000,000
Utah State Board of Regents,
due 11/01/25 900 900,000
Valdez, Alaska, Marine Terminal Revenue,
due 8/01/25 4,000 4,000,000
Valdez, Alaska, Marine Terminal Revenue,
due 10/01/25 2,000 2,000,000
Valdez, Alaska, Marine Terminal Revenue,
due 12/01/33 800 800,000
Valley, California, Health & Hospital
System Revenue,
due 5/15/25 1,600 1,600,000
Vermont Industrial Development Authority
Revenue, AMT,
due 12/01/11 700 700,000
18
<PAGE>
TAX FREE RESERVES PORTFOLIO
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
Volusia County, Florida,
Health Facilities Authority,
due 11/01/15 $ 990 $ 990,000
Walton County, Georgia,
Industrial Building Authority,
due 10/01/17 700 700,000
Washington State Health Care
Facilities Revenue,
due 10/01/05 1,600 1,600,000
Washington State Health Care
Facilities Revenue,
due 1/01/23 200 200,000
Washington State Housing
Finance Authority,
due 12/01/29 1,775 1,775,000
Watertown, South Dakota,
Industrial Development Revenue,
due 8/01/14 1,195 1,195,000
Winchester, Kentucky,
Industrial Building, AMT,
due 10/01/18 2,400 2,400,000
------------
448,138,597
------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 100.5% $671,113,025
OTHER ASSETS,
LESS LIABILITIES (0.5) (3,123,587)
----- ------------
NET ASSETS 100.0% $667,989,438
===== ============
AMT-Subject to Alternative Minimum Tax
* Variable rate demand notes have a demand feature under which the fund could
tender them back to the issuer on no more than 7 days notice.
See notes to financial statements
19
<PAGE>
TAX FREE RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
ASSETS:
Investments, at amortized cost and value (Note 1A) $671,113,025
Cash 576,629
Interest receivable 5,282,133
- --------------------------------------------------------------------------------
Total assets 676,971,787
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 8,865,675
Payable to affiliate - Investment advisory fees (Note 2A) 101,589
Accrued expenses and other liabilities 15,085
- --------------------------------------------------------------------------------
Total liabilities 8,982,349
- --------------------------------------------------------------------------------
NET ASSETS $667,989,438
================================================================================
REPRESENTED BY:
Capital paid-in for beneficial interests $667,989,438
================================================================================
TAX FREE RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
INTEREST INCOME (Note 1B): $11,086,865
EXPENSES
Investment Advisory fees (Note 2A) $ 615,240
Administrative fees (Note 2B) 153,810
Custody and fund accounting fees 87,099
Legal fees 16,051
Audit fees 11,300
Trustees' fees 6,029
Miscellaneous 955
- --------------------------------------------------------------------------------
Total expenses 890,484
Less aggregate amounts waived by
Investment Adviser and Administrator
(Notes 2A and 2B) (415,946)
Less fees paid indirectly (Note 1D) (13,203)
- --------------------------------------------------------------------------------
Net expenses 461,335
- --------------------------------------------------------------------------------
Net investment income 10,625,530
NET REALIZED LOSS ON INVESTMENTS (9,853)
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $10,615,677
================================================================================
See notes to financial statements
20
<PAGE>
TAX FREE RESERVES PORTFOLIO
STATEMENT OF CHANGESINNETASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
================================================================================
INCREASE (DECREASE) IN
NET ASSETS FROM OPERATIONS:
Net investment income $ 10,625,530 $ 22,768,275
Net realized gain (loss) on investments (9,853) 16,677
- --------------------------------------------------------------------------------
Increase in net assets from operations 10,615,677 22,784,952
- --------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 1,188,175,398 3,367,197,193
Value of withdrawals (1,187,921,956) (3,456,720,231)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital transactions 253,442 (89,523,038)
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS 10,869,119 (66,738,086)
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 657,120,319 723,858,405
- --------------------------------------------------------------------------------
End of period $ 667,989,438 $ 657,120,319
================================================================================
TAX FREE RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2000 --------------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
======================================================================================================
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) $667,989 $657,120 $723,858 $483,630 $372,171 $394,222
Ratio of expenses to
average net assets 0.15%* 0.15% 0.15% 0.19% 0.30% 0.32%
Ratio of net investment income
to average net assets 3.45%* 3.11% 3.53% 3.46% 3.31% 3.55%
Note: If Agents of the Portfolio had not voluntarily waived a portion of their
fees during 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 0.29%* 0.29% 0.29% 0.31% 0.32% 0.32%
Net investment income
to average net assets 3.31%* 2.98% 3.39% 3.35% 3.29% 3.55%
======================================================================================================
</TABLE>
* Annualized.
See notes to financial statements
21
<PAGE>
TAX FREE RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES Tax Free Reserves Portfolio (the "Portfolio")
is registered under the Investment Company Act of 1940, as amended, as a
no-load, nondiversified, 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.
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.
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 FEE AND ADMINISTRATIVE FEE
A. INVESTMENT ADVISORY FEE The investment advisory fee paid to Citibank, as
compensation for overall investment management services, amounted to $615,240,
of which $262,136 was voluntarily waived for the six months ended February 29,
2000. The investment advisory fee is computed at the annual rate of 0.20% of the
Portfolio's average daily net assets.
B. ADMINISTRATIVE FEE Under the terms of an Administrative Services
Agreement, the administrative fee payable to the Administrator, as compensation
for overall administrative services and general office facilities, is computed
at the annual rate of 0.05% of the Portfolio's average daily net assets and
amounted to $153,810, all of which was voluntarily waived for the six months
ended February 29, 2000. The Port-
22
<PAGE>
TAX FREE RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
folio 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, and maturities and sales of money market
instruments, exclusive of securities purchased subject to repurchase agreements,
aggregated $1,251,850,907 and $1,245,096,446, respectively, for the six months
ended February 29, 2000.
4. FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost of investment
securities owned at February 29, 2000, for federal income tax purposes, amounted
to $671,113,025.
5. 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 six months
ended February 29, 2000, the commitment fee allocated to the Portfolio was $814.
Since the line of credit was established, there have been no borrowings.
23
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK.
<PAGE>
TRUSTEES AND OFFICERS
Philip W. Coolidge*, President
Rilley C. Gilley
Diana R. Harrington
Susan B. Kerley
SECRETARY
Linda T. Gibson*
TREASURER
Linwood Downs*
*AFFILIATED PERSON OF ADMINISTRATOR AND DISTRIBUTOR
INVESTMENT ADVISER
(OF TAX FREE RESERVES PORTFOLIO)
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
ADMINISTRATOR AND DISTRIBUTOR
CFBDS, Inc.
21 Milk Street, 5th Floor, Boston, MA 02109
(617) 423-1679
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
AUDITORS
Deloitte & Touche LLP
200 Berkeley Street, Boston, MA 02116
LEGAL COUNSEL
Bingham Dana LLP
150 Federal Street, Boston, MA 02110
<PAGE>
THE CITIFUNDS FAMILY
LARGE CAP STOCKS
CitiFunds Growth & Income Portfolio
CitiFunds Large Cap Growth Portfolio
SMALL CAP STOCKS
CitiFunds Small Cap Growth Portfolio
CitiFunds Small Cap Value Portfolio
INTERNATIONAL STOCKS
CitiFunds International Growth & Income Portfolio
CitiFunds International Growth Portfolio
GROWTH WITH INCOME
CitiFunds Balanced Portfolio
BONDS
CitiFunds Short-Term U.S. Government Income Portfolio
CitiFunds Intermediate Income Portfolio
CitiFunds National Tax Free Income Portfolio
CitiFunds New York Tax Free Income Portfolio
CitiFunds California Tax Free Income Portfolio
MONEY MARKETS
CitiFunds Cash Reserves
CitiFunds U.S. Treasury Reserves
CitiFunds Tax Free Reserves
CitiFunds New York Tax Free Reserves
CitiFunds California Tax Free Reserves
CitiFunds Connecticut Tax Free Reserves
PREMIUM MONEY MARKETS
CitiFunds Premium Liquid Reserves
CitiFunds Premium U.S. Treasury Reserves
INSTITUTIONAL MONEY MARKETS
CitiFunds Institutional Liquid Reserves
CitiFunds Institutional U.S. Treasury Reserves
CitiFunds Institutional Tax Free Reserves
CitiFunds Institutional Cash Reserves
This report is prepared for the information of shareholders of CitiFunds
Institutional Tax Free Reserves. It is authorized for distribution to
prospective investors only when preceded or accompanied by an effective
prospectus of CitiFunds Institutional Tax Free Reserves.
For more information about any of the CitiFunds listed above, ask for a
prospectus (except for CitiFunds Institutional Tax Free Reserves, which preceded
or accompanies this report) containing more complete information, including all
sales charges (if any), fees and expenses. Please read the prospectus carefully
before you invest or send money.
Although each money market fund seeks to maintain the value of your investment
at $1.00 per share, it is possible to lose money by investing in the funds.
Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency.
CitiFunds are made available by CFBDS, Inc. as distributor. For more information
contact your Service Agent or call 1-800-625-4554.
(C)2000 Citicorp [RECYCLE LOGO] Printed on recycled paper CFS/INS.TF/200
<PAGE>
================================================================================
C I T I F U N D S(SM)
================================================================================
INSTITUTIONAL CASH RESERVES C I T I F U N D S
SEMI-ANNUAL REPORT
FEBRUARY 29, 2000
- --------------------------------------------------------------------------------
INVESTMENT PRODUCTS: NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
CITIFUNDS INSTITUTIONAL CASH RESERVES
Letter to Our Shareholders 1
................................................................................
Portfolio Environment and Outlook 2
................................................................................
Fund Facts 3
................................................................................
Fund Performance 4
................................................................................
Portfolio of Investments 5
................................................................................
Statement of Assets and Liabilities 6
................................................................................
Statement of Operations 6
................................................................................
Statement of Changes in Net Assets 7
................................................................................
Financial Highlights 8
................................................................................
Notes to Financial Statements 10
................................................................................
<PAGE>
LETTER TO OUR SHAREHOLDERS
Dear Shareholder:
Rising interest rates during the reporting period have benefited money market
investors, who earned higher yields while preserving capital. The Federal
Reserve Board (the "Fed") raised interest rates three times in 1999 and most
recently on February 2, 2000 for a total increase of 100 basis points. (A basis
point is .01% or one one-hundredth of a percent.) The Fed's actions were
implemented to forestall a reacceleration of inflation, a potential consequence
of the continued robust growth of the U.S. economy.
In this environment, the CitiFunds' investment adviser, Citibank, N.A.,
continued to manage CitiFunds Institutional Cash Reserves with the goal of
achieving its investment objective: providing liquidity and as high a level of
current income as is consistent with the preservation of capital.
This report reviews the Fund's investment activities and performance during
the six months ended February 29, 2000, and provides a summary of Citibank's
perspective on and outlook for the money market securities marketplace.
Thank you for your continued confidence and participation.
Sincerely,
/s/ Philip W. Coolidge
- ----------------------
Philip W. Coolidge
President
March 15, 2000
1
<PAGE>
PORTFOLIO ENVIRONMENT AND OUTLOOK
THE PAST SIX MONTHS HAVE BEEN GENERALLY REWARDING FOR MANY MONEY MARKET
INVESTORS. Yields on most money market securities ended the six-month reporting
period higher than where they began, reflecting the general trend of short-term
interest rates in a period of rising interest rates.
The economic conditions that led to higher interest rates during the
reporting period included strong U.S. economic growth, low inflation, robust
consumer spending and rising demand for U.S. exports. As a result of these
factors, many investors became concerned that unsustainable economic growth
might cause inflationary pressures to resurface. As previously noted, in an
attempt to forestall a potential reacceleration of inflation, the Fed raised
interest rates in three 25-basis point increments during 1999 and raised them an
additional 25 basis points on February 2, 2000.
THE FUND'S MANAGERS' STRATEGY DURING THE SIX-MONTH PERIOD WAS TO MANAGE THE
FUND'S AVERAGE MATURITY OPPORTUNISTICALLY, extending and reducing the Fund's
sensitivity to changing interest rates. For example, immediately before the
Federal Reserve Board's Open Market Committee meetings in November and February,
the managers extended the Fund's average maturity to take advantage of a steeper
yield curve. (The yield curve is the graphic depiction of the relationship
between the yield on bonds of the same credit quality but different maturities.)
The managers also extended maturities just prior to the date change from 1999 to
2000, when higher yielding securities were temporarily available. As of February
29, 2000, the Fund's average maturity was 17 days.
In addition, THE MANAGERS ACTIVELY MANAGED THE MIX OF MONEY MARKET
INSTRUMENTS WITHIN THE FUND'S PORTFOLIO. In the managers' opinion, as interest
rates rose, asset-backed commercial paper and bank certificates of deposit
represented the most attractive values. For example, toward the end of 1999, the
Fund's assets were shifted to high quality, U.S. dollar-denominated CDs issued
by foreign banks (known as Yankee CDs) in order to capture higher yields. The
Fund's managers also found occasional opportunities in U.S. government agency
securities selling at a discount to face value. On the other hand, U.S. Treasury
bills, which offered relatively low yields throughout the six-month period, were
avoided.
Looking forward, the Fund's managers expect interest rates to remain near or
slightly above current levels if the Fed continues to move toward a more
restrictive monetary policy. However, THE MANAGERS BELIEVE THAT OVER THE LONG
TERM, INTEREST RATES MAY BEGIN TO DECLINE IF THE ECONOMY BEGINS TO SHOW EVIDENCE
THAT IT IS MODERATING. Accordingly, the managers are watching carefully for
opportunities to take advantage of changes in interest rates, including possibly
extending the Fund's average maturity to lock in higher yields over the near
term.
2
<PAGE>
FUND FACTS
FUND OBJECTIVE
To provide its shareholders with liquidity and as high a level of current income
as is consistent with the preservation of capital.
INVESTMENT MANAGER DIVIDENDS
Citibank, N.A. Declared daily, paid monthly
COMMENCEMENT OF OPERATIONS CAPITAL GAINS
October 17, 1997 Class L shares Distributed annually, if any
October 6, 1999 Class S shares
NET ASSETS AS OF 2/29/00 BENCHMARKS*
Class L shares $519.7 million o Lipper S&P
Class S shares $11.3 million o Institutional Money Market Funds
Average
o IBC Financial Data S&P AAA-
rated Institutional Taxable Money
Market Funds Average
* The Lipper Funds Average and IBC Funds Average reflect the performance
(excluding sales charges) of mutual funds with similar objectives.
3
<PAGE>
FUND PERFORMANCE
TOTAL RETURNS
Since
FOR THE PERIOD ENDED FEBRUARY 29, 2000 SIX ONE 10/17/97
(unaudited) MONTHS** YEAR (INCEPTION)*
================================================================================
CitiFunds Institutional Cash Reserves (Class L) 2.75% 5.24% 5.35%
CitiFunds Institutional Cash Reserves (Class S) 2.60% -- --
Lipper S&P AAA-rated Institutional
Money Market Funds Average 2.69% 5.15% 5.25%+
IBC Financial Data S&P AAA-rated
Institutional Taxable Money Market Funds Average 2.68% 5.15% 5.25%+
* Average Total Return
** Not Annualized
+ From 10/31/97
7-DAY YIELDS
Annualized Current5.65%
Effective 5.81%
The ANNUALIZED CURRENT 7-DAY YIELD reflects the amount of income generated by
the investment during that seven-day period and assumes that the income is
generated each week over a 365 day period. The yield is shown as a percentage of
the investment.
The EFFECTIVE 7-DAY YIELD is calculated similarly, but when annualized the
income earned by the investment during that seven-day period is assumed to be
reinvested. The effective yield is slightly higher than the current yield
because of the compounding effect of this assumed reinvestment.
Note: A money market fund's yield more closely reflects the current earnings of
the fund than does the total return.
COMPARISON OF 7-DAY YIELDS FOR CITIFUNDS INSTITUTIONAL CASH RESERVES VS. IBC
FINANCIAL DATA S&P AAA-RATED INSTITUTIONAL TAXABLE MONEY MARKET FUNDS AVERAGE
CitiFunds InstIBC Financial S&P
3/2/99 4.75 4.67
3/9/99 4.72 4.64
3/16/99 4.72 4.64
3/23/99 4.72 4.61
3/30/99 4.73 4.65
4/6/99 4.75 4.67
4/13/99 4.7 4.6
4/20/99 4.67 4.6
4/27/99 4.65 4.58
5/4/99 4.68 4.63
5/11/99 4.64 4.55
5/18/99 4.71 4.59
5/25/99 4.73 4.56
6/1/99 4.58 4.61
6/8/99 4.67 4.55
6/15/99 4.68 4.58
6/22/99 4.72 4.58
6/29/99 4.77 4.65
7/6/99 4.88 4.72
7/13/99 4.86 4.72
7/20/99 4.88 4.75
7/27/99 4.89 4.78
8/3/99 4.91 4.8
8/10/99 4.92 4.79
8/17/99 4.95 4.83
8/24/99 4.95 4.84
8/31/99 5.07 4.96
9/7/99 5.08 4.97
9/14/99 5.09 4.99
9/21/99 5.13 5.01
9/28/99 5.17 5.04
10/5/99 5.22 5.08
10/12/99 5.23 5.07
10/19/99 5.27 5.09
10/26/99 5.27 5.1
11/2/99 5.38 5.16
11/9/99 5.36 5.15
11/16/99 5.36 5.21
11/23/99 5.41 5.28
11/30/99 5.51 5.36
12/7/99 5.57 5.37
12/14/99 5.56 5.43
12/21/99 5.61 5.5
12/28/99 5.64 5.52
1/4/00 5.51 5.39
1/11/00 5.71 5.52
1/18/00 5.7 5.5
1/25/00 5.67 5.44
2/1/00 5.71 5.47
2/8/00 5.67 5.48
2/15/00 5.68 5.52
2/22/00 5.69 5.53
2/29/00 5.65 5.56
As illustrated, CitiFunds Institutional Cash Reserves generally provided a
higher annualized seven-day yield to that of a comparable IBC Financial Data
Money Market Funds Average, as published in IBC Money Fund Report(TM), for the
one-year period.
Note: Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency. Yields and total returns
will fluctuate and past performance is no guarantee of future results. Total
return figures include reinvestment of dividends. Returns and yields reflect
certain voluntary fee waivers. If the waivers were not in place, the Fund's
returns and yields would have been lower.
4
<PAGE>
CitiFunds Institutional Cash Reserves
PORTFOLIO OF INVESTMENTS February 29, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (DOMESTIC)-- 2.8%
- --------------------------------------------------------------------------------
Harris Trust & Savings Bank,
5.80% due 3/20/00 $15,000 $15,000,000
--------------
CERTIFICATES OF DEPOSIT (YANKEE)-- 9.4%
- --------------------------------------------------------------------------------
Bank Austria
Aktiengesellsschaft,
6.01% due 5/08/00 10,000 10,000,167
Bayerische Vereinsbank,
5.15% due 3/23/00 10,000 9,994,374
Canadian Imperial,
5.80% due 3/20/00 15,000 15,000,000
Societe Generale,
6.00% due 3/03/00 15,000 15,000,000
--------------
49,994,541
--------------
COMMERCIAL PAPER-- 29.4%
- --------------------------------------------------------------------------------
Aig Funding,
5.74% due 3/13/00 22,000 21,957,907
Allianz of America Finance,
5.82% due 3/15/00 12,000 11,972,840
American Express CR Corp,
5.77% due 3/13/00 12,000 11,976,920
British Telecommunications
PLC,
5.83% due 4/20/00 12,000 11,902,833
Four Winds Funding Corp.,
5.80% due 3/31/00 15,000 14,927,500
Merrill, Lynch & Co.,
5.82% due 3/30/00 22,000 21,992,887
Motorola Credit Corp.,
5.60% due 3/31/00 15,000 14,930,000
Pooled Accounts Rec Cap Corp.,
5.88% due 4/14/00 10,000 9,928,133
Prudential Funding Corp.,
5.87% due 5/31/00 10,000 9,851,619
St. Michael Finance LTD,
5.90% due 5/15/00 10,000 9,877,083
Wal Mart Stores Inc.,
5.75% due 3/07/00 17,000 16,983,710
--------------
156,301,432
--------------
FLOATING RATE NOTES-- 8.5%
- --------------------------------------------------------------------------------
Bear Stearns Companies Inc.,
6.14% due 4/10/00 15,000 15,000,000
Goldman Sachs Group Inc.,
6.10% due 8/07/00 10,000 10,000,000
Steers,
6.16% due 10/02/00 10,000 10,000,000
Strategic Money Market Fund,
6.07% due 1/25/01 $10,000 $ 10,000,000
--------------
45,000,000
--------------
REPURCHASE AGREEMENT-- 18.8%
- --------------------------------------------------------------------------------
State Street Bank and Trust
Repurchase Agreement
5.78% due 3/01/00
proceeds at maturity
$100,016,056
(collateralized by
$80,000,000 Federal
Home Loan Bank Notes
6.35% due 2/02/01 and
$20,000,000 Federal
Home Loan Mortgage
Corp., 5.96% due
3/30/02; valued
at $100,961,490) 100,000 100,000,000
--------------
TIME DEPOSITS-- 31.2%
- --------------------------------------------------------------------------------
Banque Nationale de Paris,
5.81% due 3/01/00 23,000 23,000,000
Bayerische Landesbank Cayman,
5.69% due 3/01/00 26,000 26,000,000
Chase Bank,
5.75% due 3/01/00 26,000 26,000,000
First Union National Bank,
5.75% due 3/01/00 26,000 26,000,000
National Bank of Canada,
5.75% due 3/01/00 26,000 26,000,000
State Street Cayman Islands,
5.75% due 3/01/00 12,391 12,391,000
Wachovia Bank & Trust,
5.75% due 3/01/00 26,000 26,000,000
--------------
165,391,000
--------------
TOTAL INVESTMENTS,
AT AMORTIZED COST 100.1% $531,686,973
OTHER ASSETS,
LESS LIABILITIES (0.1) (647,828)
----- --------------
NET ASSETS 100.0% $531,039,145
===== ==============
See notes to financial statements
5
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000 (Unaudited)
================================================================================
ASSETS:
Investments, at amortized cost (Note 1A) $531,686,973
Cash 671
Interest receivable 1,212,182
- --------------------------------------------------------------------------------
Total assets 532,899,826
- --------------------------------------------------------------------------------
LIABILITIES:
Dividends payable 1,721,303
Payable to affiliate - Management fees (Note 3) 36,792
Accrued expenses and other liabilities 102,586
- --------------------------------------------------------------------------------
Total liabilities 1,860,681
- --------------------------------------------------------------------------------
NET ASSETS $531,039,145
================================================================================
NET ASSETS CONSIST OF:
Paid-in capital $531,039,145
================================================================================
CLASS L SHARES:
Net Asset Value, Offering Price and Redemption Price Per Share
($519,722,695/519,722,695 shares outstanding) $1.00
================================================================================
CLASS S SHARES:
Net Asset Value, Offering Price and Redemption Price Per Share
($11,316,450/11,316,450 shares outstanding) $1.00
================================================================================
CITIFUNDS INSTITUTIONAL CASH RESERVES
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (Unaudited)
================================================================================
Investment Income (Note 1B) $10,269,547
EXPENSES:
Management fees (Note 3) $ 354,144
Distribution fees Class L (Note 4) 175,247
Distribution fees Class S (Note 4) 4,590
Custody and fund accounting fees 68,149
Registration fees 39,491
Transfer agent fees 38,015
Audit fees 18,800
Legal fees 16,698
Shareholder reports 10,057
Trustees' fees 2,984
Miscellaneous 15,528
- --------------------------------------------------------------------------------
Total expenses 743,703
Less aggregate amounts waived by the
Manager and Distributor
(Notes 3 and 4) (291,658)
- --------------------------------------------------------------------------------
Net expenses 452,045
- --------------------------------------------------------------------------------
Net investment income $9,817,502
================================================================================
See notes to financial statements
6
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(Unaudited) AUGUST 31, 1999
================================================================================
Increase (Decrease) in Net Assets From Operations:
Net investment income, declared as dividends to
shareholders (Note 2) $ 9,817,502 $ 14,341,228
================================================================================
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST AT
NET ASSET VALUE OF $1.00 PER SHARE (Note 5):
CLASS L
Proceeds from sale of shares 1,927,463,249 2,452,254,402
Net asset value of shares issued to shareholders
from reinvestment of dividends -- 817
Cost of shares repurchased (1,796,679,235) (2,308,836,048)
- --------------------------------------------------------------------------------
Total Class L 130,784,014 143,419,171
- --------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST AT
NET ASSET VALUE OF $1.00 PER SHARE (Note 5):
CLASS S*
Proceeds from sale of shares 20,489,255 --
Net asset value of shares issued to shareholders
from reinvestment of dividends 86,654 --
Cost of shares repurchased (9,259,459) --
- --------------------------------------------------------------------------------
Total Class S 11,316,450 --
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 142,100,464 143,419,171
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 388,938,681 245,519,510
- --------------------------------------------------------------------------------
End of period $ 531,039,145 $ 388,938,681
================================================================================
* October 6, 1999 (Commencement of Operations) to February 29, 2000
See notes to financial statements
7
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
FINANCIAL HIGHLIGHTS
Class L
----------------------------------------------------
FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 17, 1997+
FEBRUARY 29, 2000 YEAR ENDED TO
(Unaudited) AUGUST 31, 1999 AUGUST 31, 1998
- --------------------------------------------------------------------------------
Net Asset Value, beginning
of period $ 1.00000 $ 1.00000 $1.00000
Net investment income 0.02718 0.04930 0.04736
Less dividends from net
investment income (0.02718) (0.04930) (0.04736)
- --------------------------------------------------------------------------------
Net Asset Value, end of period $ 1.00000 $ 1.00000 $1.00000
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) $519,723 $388,939 $245,520
Ratio of expenses to average
net assets 0.25%* 0.25% 0.25%*
Ratio of net investment income to
average net assets 5.50%* 4.97% 5.47%*
Total return 2.75%** 5.04% 4.84%**
Note: If agents of the Fund had not voluntarily waived all or a portion of their
fees from the Fund for the periods indicated and the expenses were not reduced
for the fees paid indirectly, the ratios and net investment income per share
would have been as follows:
Net investment income per share $0.02639 $0.04791 $0.04571
RATIOS:
Expenses to average net assets 0.41%* 0.40% 0.44%*
Net investment income to
average net assets 5.34%* 4.83% 5.28%*
================================================================================
See notes to financial statements
8
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
FINANCIAL HIGHLIGHTS
CLASS S
---------------------------------
FOR THE PERIOD OCTOBER 6, 1999+
TO FEBRUARY 29, 2000
(Unaudited)
================================================================================
Net Asset Value, beginning of period $1.00000
Net investment income 0.02167
Less dividends from net investment income (0.02167)
- --------------------------------------------------------------------------------
Net Asset Value, end of period $1.00000
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (000's omitted) $ 11,316
Ratio of expenses to average net assets+ 0.40%*
Ratio of net investment income to average net assets+ 5.35%*
Total return 2.60%**
Note: If agents of the Fund had not waived all or a portion of their fees during
the periods indicated, the net investment income per share and the ratios would
have been as follows:
Net investment income per share 0.02036
RATIOS:
Expenses to average net assets+ 0.56%*
Net investment income to average net assets+ 5.19%*
================================================================================
+ Commencement of Operations
* Annualized
** Not Annualized
See notes to financial statements
9
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES CitiFunds Institutional Cash Reserves (the
"Fund") is a separate non-diversified series of CitiFunds Institutional Trust
(the "Trust"), which is organized as a Massachusetts business trust and is
registered under the Investment Company Act of 1940, as amended, as an open-end,
management investment company. The Investment Manager of the Fund is Citibank,
N.A. ("Citibank"). CFBDS, Inc. ("CFBDS"), acts as the Fund's Sub-Administrator
and Distributor. Citibank is a wholly-owned subsidiary of Citigroup Inc.
The Fund offers Class L and Class S shares. The Fund commenced its public
offering of Class S shares on October 6, 1999. Each class has different
eligibility requirements and its own combination of charges and fees. Expenses
of the Fund are borne pro-rata by the holders of each class of shares, except
that each class bears expenses unique to that class (including the Rule 12b-1
service and distribution fees applicable to such class), and votes as a class
only with respect to its own Rule 12b-1 plan. Shares of each class would receive
their pro-rata share of the assets of the Fund, if the Fund were liquidated.
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 Fund 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 Fund security at its cost and thereafter assuming
a constant amortization to maturity of any discount or premium. The Fund's use
of amortized cost is subject to the Fund'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) on the
investments of the Fund, accrued ratably to the date of maturity, plus or minus
net realized gain or loss, if any, on investments. Expenses of the Fund are
accrued daily.
C. Federal Taxes The Fund's policy is to comply with the provisions of the
Internal Revenue Code available to regulated investment companies and to
distribute to shareholders all of its net investment income. Accordingly, no
provision for federal income or excise tax is necessary.
D. Expenses The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and CFBDS. Expenses incurred by the Trust with
respect to any two or more Funds in a series are allocated in proportion to the
average net assets of each fund, except when allocations of direct expenses to
each fund can otherwise be made fairly. Expenses directly attributable to a fund
are charged to that fund.
E. Repurchase Agreements It is the policy of the Fund to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry
10
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
NOTES TO FINANCIAL STATEMENTS (Unaudited)
System or to have segregated within the custodian bank's vault, all securities
held as collateral in support of repurchase agreement investments. Additionally,
procedures have been established by the Fund to monitor, on a daily basis, the
market value of the repurchase agreement's underlying investments to ensure the
existence of a proper level of collateral.
F. Other Purchases, and maturities and sales of money market instruments are
accounted for on the date of the transaction.
2. DIVIDENDS The net income of the Fund is determined once daily, as of 5:00 pm
Eastern Standard Time, and all of the net income of the Fund so determined is
declared as a dividend to shareholders of record at the time of such
determination. Dividends are distributed in the form of additional shares of the
Fund or, at the election of the shareholder, in cash on or prior to the last
business day of the month.
3. MANAGEMENT FEES Citibank is responsible for overall management of the Fund's
business affairs, and has a Management Agreement with the Fund. Citibank also
provides certain administrative services to the Fund. These administrative
services include providing general office facilities and supervising the overall
administration of the Fund. CFBDS acts as Sub-Administrator and performs such
duties and receives such compensation from Citibank as from time to time is
agreed to by Citibank and CFBDS.
The management fees paid to Citibank, as compensation for overall investment
management services amounted to $354,144, of which $203,259 was voluntarily
waived for the six months ended February 29, 2000. The management fees are
computed at an annual rate of 0.20% of the Fund's average daily net assets.
4. DISTRIBUTION FEES The Fund has adopted a Service Plan per Class L and Class S
pursuant to Rule 12b-1 under the Investment Company Act of 1940, as amended, in
which the Fund pays fees for distribution, sales, marketing and shareholder
services at an annual rate not to exceed 0.10% and 0.25% of the Fund's Class L
and Class S average daily net assets respectively. The Distribution fee amounted
to $175,247 of which $88,399 was voluntarily waived for Class L, and $4,590 for
Class S for the six months ended February 29, 2000.
5. SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees
to issue an unlimited number of full and fractional Shares of Beneficial
Interest (without par value).
6. INVESTMENT TRANSACTIONS Purchases, and maturities and sales of money market
instruments aggregated $6,797,723,701 and $6,670,732,657, respectively, for the
six months ended February 29, 2000.
7. FEDERAL INCOME TAX BASIS OF INVESTMENT SECURITIES The cost of investment
securities owned at February 29, 2000, for federal income tax purposes, amounted
to $531,686,973.
11
<PAGE>
CITIFUNDS INSTITUTIONAL CASH RESERVES
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
8. LINE OF CREDIT The Fund, 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 six months
ended February 29, 2000, the commitment fee allocated to the Fund was $437.
Since the line of credit was established, there have been no borrowings.
12
<PAGE>
TRUSTEES AND OFFICERS
Philip W. Coolidge*, President
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
SECRETARY
Linda T. Gibson*
TREASURER
Linwood Downs*
*AFFILIATED PERSON OF ADMINISTRATOR AND DISTRIBUTOR
INVESTMENT ADVISER
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
DISTRIBUTOR
CFBDS, Inc.
21 Milk Street, 5th Floor, Boston, MA 02109
(617) 423-1679
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
AUDITORS
Deloitte & Touche LLP
200 Berkeley Street, Boston, MA 02116
LEGAL COUNSEL
Bingham Dana LLP
150 Federal Street, Boston, MA 02110
<PAGE>
THE CITIFUNDS FAMILY
LARGE CAP STOCKS
CitiFunds Growth & Income Portfolio
CitiFunds Large Cap Growth Portfolio
SMALL CAP STOCKS
CitiFunds Small Cap Growth Portfolio
CitiFunds Small Cap Value Portfolio
INTERNATIONAL STOCKS
CitiFunds International Growth & Income Portfolio
CitiFunds International Growth Portfolio
GROWTH WITH INCOME
CitiFunds Balanced Portfolio
BONDS
CitiFunds Short-Term U.S. Government Income Portfolio
CitiFunds Intermediate Income Portfolio
CitiFunds National Tax Free Income Portfolio
CitiFunds New York Tax Free Income Portfolio
CitiFunds California Tax Free Income Portfolio
MONEY MARKETS
CitiFunds Cash Reserves
CitiFunds U.S. Treasury Reserves
CitiFunds Tax Free Reserves
CitiFunds New York Tax Free Reserves
CitiFunds California Tax Free Reserves
CitiFunds Connecticut Tax Free Reserves
PREMIUM MONEY MARKETS
CitiFunds Premium Liquid Reserves
CitiFunds Premium U.S. Treasury Reserves
INSTITUTIONAL MONEY MARKETS
CitiFunds Institutional Liquid Reserves
CitiFunds Institutional U.S. Treasury Reserves
CitiFunds Institutional Tax Free Reserves
CitiFunds Institutional Cash Reserves
This report is prepared for the information of shareholders of CitiFunds
Institutional Cash Reserves. It is authorized for distribution to prospective
investors only when preceded or accompanied by an effective prospectus of
CitiFunds Institutional Cash Reserves.
For more information about any of the CitiFunds listed above, ask for a
prospectus (except for CitiFunds Institutional Cash Reserves, which preceded or
accompanies this report) containing more complete information, including all
sales charges (if any), fees and expenses. Please read the prospectus carefully
before you invest or send money.
Although each money market fund seeks to maintain the value of your investment
at $1.00 per share, it is possible to lose money by investing in the funds.
Mutual fund shares are not guaranteed or insured by the Federal Deposit
Insurance Corporation or any other government agency.
CitiFunds are made available by CFBDS, Inc. as distributor. For more information
contact your Service Agent or call 1-800-625-4554.
(c)2000 Citicorp [logo] Printed on recycled paper CFS/INS.CR/200
