SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS April 30, 2000
(Unaudited)
ISSUER SHARES VALUE
----------------------------------------------------------
COMMON STOCKS-- 94.5%
----------------------------------------------------------
CAPITAL GOODS/
PRODUCER MANUFACTURING--8.3%
----------------------------------------------------------
Alliant Techsystems, Inc.* 5,700 $ 396,862
Applied Power, Inc. 13,700 392,162
Aptargroup, Inc. 29,495 840,608
Cleco Corp. 15,100 520,006
Flextronics International 11,370 798,742
Mettler Toledo
International, Inc.* 22,500 776,250
National Instruments
Corp.* 21,000 1,023,750
Newport Corp. 3,700 448,856
Shaw Group Inc.* 23,300 828,606
Verticalnet Inc.* 10,500 567,000
-------------
6,592,842
-------------
COMMERCIAL SERVICES--3.6%
----------------------------------------------------------
Aeroflex Inc.* 11,400 424,650
Akamai Technologies Inc.* 1,489 147,225
Art Technology
Group Inc.* 7,500 455,625
Broadvision Inc.* 15,200 667,850
Clarus Corp.* 4,250 170,797
Cylink Corp.* 21,800 312,012
Source Information
Management Co.* 44,308 653,543
-------------
2,831,702
-------------
CONSUMER SERVICES--6.4%
----------------------------------------------------------
Beringer Wine Estate
Holdings* 9,370 338,491
Callaway Golf Co. 22,600 375,725
Catalina Marketing Corp.* 12,690 1,284,862
Emmis Communications
Corp.* 10,500 446,250
Ethan Allen Interiors, Inc. 12,250 326,922
Hispanic Broadcasting
Corp.* 6,435 650,337
Houghton Mifflin Co. 9,300 386,531
National Information
Consortium, Inc.* 4,988 61,727
PF Changes China
Bistro Inc.* 11,300 395,500
Scholastic Corp.* 6,500 303,469
Westwood One, Inc.* 10,356 366,344
XM Satellite Radio
Holdings Inc.* 6,300 181,519
-------------
5,117,677
-------------
ELECTRONICS/TECHNICAL SERVICES--21.2%
----------------------------------------------------------
Ancor Communications,
Inc.* 10,000 301,875
CTS Corp. 6,100 384,681
C-Cube
Microsystems, Inc.* 17,195 1,104,779
Concentric Network
Corp.* 7,800 339,300
E Piphany Inc.* 3,700 244,431
Emulex Corp.* 10,560 479,160
Intertrust Technologies
Corp.* 4,600 105,800
Iona Technologies Plc.
ADR's* 7,200 409,050
MMC Networks Inc.* 18,700 495,550
Macromedia, Inc.* 18,985 1,651,695
Macrovision Corp.* 9,300 454,537
Methode Electronics Inc. 35,400 1,475,184
Mercury Interactive
Corp.* 26,120 2,350,800
Network Appliance, Inc.* 7,900 584,106
Power One Inc.* 7,200 491,400
Powerwave
Technologies, Inc.* 8,300 1,726,919
Remedy Corp.* 14,000 743,750
Sandisk Corp.* 10,900 998,713
Sawtek Inc.* 10,100 482,906
Semtech Corp.* 12,800 872,800
Silicon Storage
Technology Inc.* 5,000 487,500
Usinternet Working Inc.* 9,250 230,094
WatchGuard
Technologies Inc.* 4,200 202,388
Wink Communications
Inc.* 11,300 223,175
-------------
16,840,593
-------------
ENERGY MINERALS--7.4%
----------------------------------------------------------
Cal Dive
International, Inc.* 26,000 1,293,500
Coflexip ADR's 15,600 791,700
Hanover
Compressor Co.* 14,800 862,100
Precision Drilling Corp.* 25,100 803,200
R & B Falcon Corp.* 103,400 2,145,550
-------------
5,896,050
-------------
FINANCE--5.9%
----------------------------------------------------------
Bisys Group, Inc.* 13,220 827,076
Chittenden Corp. 26,400 701,250
Cullen Frost Bankers, Inc. 32,660 806,294
Peoples Heritage
Financial Group 45,295 591,666
15
<PAGE>
SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) April 30, 2000
(Unaudited)
ISSUER SHARES VALUE
----------------------------------------------------------
FINANCE -- CONT'D
----------------------------------------------------------
S1 Corp.* 4,000 $ 217,250
SEI Investments Co. 6,100 728,188
U.S. Trust Corp. 3,910 601,651
West America
Bancorporation 7,500 187,969
-------------
4,661,344
-------------
HEALTHCARE--9.3%
----------------------------------------------------------
Affymetrix Inc.* 1,600 216,100
Alpharma, Inc. 12,000 463,500
Andrx Corp.* 7,900 404,381
Apria Healthcare
Group, Inc.* 32,500 452,969
Corixa Corp.* 14,000 430,500
Curagen Corp.* 4,200 111,825
Enzon Inc.* 10,700 398,575
Gilead Sciences, Inc.* 10,400 563,550
Genset SA., ADR's* 10,500 299,250
Idec Pharmaceuticals
Corp.* 6,700 428,800
Incyte Pharmaceuticals Inc.* 3,700 284,900
Lifepoint Hospitals Inc.* 18,500 316,813
Medarex Inc.* 3,900 206,700
Medimmune, Inc.* 3,010 481,412
Millennium
Pharmaceuticals* 10,502 833,596
Nanogen Inc.* 4,600 112,412
Pharmacyclics* 6,300 285,862
Shire Pharmaceuticals
Group Plc., ADR's 20,516 825,769
Transkaryotic
Therapies Inc.* 3,000 89,813
Triad Hospitals Inc.* 12,400 213,125
-------------
7,419,852
-------------
INDUSTRIAL SERVICES--0.9%
----------------------------------------------------------
Gentex Corp.* 12,900 416,025
Harmonic, Inc.* 3,600 265,725
-------------
681,750
-------------
RETAIL--3.4%
----------------------------------------------------------
Cost Plus, Inc.* 23,950 731,972
Linens 'n Things, Inc.* 20,310 627,071
O'Reilly Automotive, Inc.* 49,000 661,500
Zale Corp.* 16,900 697,125
-------------
2,717,668
-------------
SEMI-CONDUCTOR--14.9%
----------------------------------------------------------
Alpha Industries Inc.* 14,000 728,000
Amkor Technology, Inc.* 28,100 1,719,369
Anadigics Inc.* 10,100 760,025
Cree Inc.* 1,600 232,800
Cypress Semiconductor
Corp.* 15,000 779,063
Emcore Corp.* 13,086 1,135,210
Micrel, Inc.* 15,000 1,297,500
Microchip Technology * 11,677 724,704
Novellus Systems, Inc.* 13,785 919,287
Transwitch Corp.* 13,900 1,224,069
Triquint Semiconductor
Inc.* 10,800 1,110,375
Varian Inc.* 32,700 1,189,463
-------------
11,819,865
-------------
SOFTWARE--2.6%
----------------------------------------------------------
Active Software* 8,400 338,625
Activision, Inc.* 69,300 433,125
Bindview Dev Corp.* 18,800 151,575
HNC Software* 4,200 207,900
Manugistics Group Inc.* 11,100 475,219
Microstrategy, Inc.* 7,000 181,125
Virata Corp.* 2,000 250,500
-------------
2,038,069
-------------
TECHNOLOGY--2.1%
----------------------------------------------------------
Idex Corp. 15,900 496,875
Nextel Partners Inc.* 8,018 175,895
Western Wireless Corp.* 20,050 996,234
-------------
1,669,004
-------------
TELECOMMUNICATIONS--7.8%
----------------------------------------------------------
ATMI Inc* 8,400 323,400
Covad Communications
Group, Inc.* 13,618 377,900
Digital Lightwave Inc.* 2,800 191,800
Digital Microware Corp.* 22,300 823,706
Dobson Communications
Corp.* 13,000 333,125
Exar Corp.* 7,100 569,220
Exodus
Communications, Inc.* 3,500 309,531
P C Telephone Inc.* 3,400 113,900
Pinnacle Holdings, Inc.* 29,710 1,669,331
Powertel, Inc.* 6,600 443,850
Remic Inc.* 24,450 927,572
Research in Motion Ltd.* 3,314 140,845
-------------
6,224,180
-------------
TRANSPORTATION-- 0.7%
----------------------------------------------------------
CH Robinson Worldwide 9,000 450,000
EGL Inc.* 6,462 148,222
-------------
598,222
-------------
16
<PAGE>
SMALL CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS April 30, 2000
(Unaudited)
ISSUER SHARES VALUE
----------------------------------------------------------
TOTAL COMMON STOCK
(Identified Cost
$58,925,105) $75,108,818
-------------
SHORT-TERM OBLIGATIONS AT
AMORTIZED COST -- 5.3%
----------------------------------------------------------
First Union National Bank
Repurchase Agreement
5.84% due 5/01/00
proceeds at maturity
$4,233,059
(collateralized by
$4,720,000 Federal Home
Mortgage Corp. 6.625%
due 1/28/14 valued
at $4,243,765) 4,231,000
-------------
TOTAL INVESTMENTS
(Identified Cost
$63,156,105) 99.8% 79,339,818
OTHER ASSETS,
LESS LIABILITIES 0.2 165,029
----- -------------
NET ASSETS 100.0% $79,504,847
===== =============
ADR's--American Depositary Receipts
*Non income producing securities
See notes to financial statements
17
<PAGE>
SMALL CAP GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2000 (Unaudited)
================================================================================
ASSETS:
Investments at value (Note 1A) (Identified Cost, $58,925,105) $75,108,818
Short-term holdings at value (Note 1A)
(Identified Cost, $4,231,000) 4,231,000
Cash 736
Receivable for investments sold 266,845
Dividends and interest receivable 6,728
--------------------------------------------------------------------------------
Total assets 79,614,127
--------------------------------------------------------------------------------
LIABILITIES:
Payable to affiliates-- Management fees (Note 2) 48,722
Accrued expenses and other liabilities 60,558
--------------------------------------------------------------------------------
Total liabilities 109,280
--------------------------------------------------------------------------------
NET ASSETS $79,504,847
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $79,504,847
================================================================================
See notes to financial statements
18
<PAGE>
SMALL CAP GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME:
Dividend income $ 87,075
Interest income 88,339
--------------------------------------------------------------------------------
$ 175,414
--------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 345,033
Custody and fund accounting fees 23,024
Audit fees 13,940
Legal fees 4,850
Trustees fees 3,252
Other 971
--------------------------------------------------------------------------------
Total expenses 391,070
--------------------------------------------------------------------------------
Net investment loss (215,656)
--------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain from investment transactions $36,921,300
Unrealized depreciation of investments (8,173,761)
--------------------------------------------------------------------------------
Net realized and unrealized gain on investments 28,747,539
--------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $28,531,883
================================================================================
See notes to financial statements
19
<PAGE>
SMALL CAP GROWTH PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 2000 OCTOBER 31,
(Unaudited) 1999
================================================================================
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment loss $ (215,656) $ (799,868)
Net realized gain on investment transactions 36,921,300 16,500,537
Unrealized appreciation (depreciation) of
investments (8,173,761) 18,520,946
--------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 28,531,883 34,221,615
--------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 14,882,323 22,851,267
Value of withdrawals (60,860,677) (154,792,807)
--------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions (45,978,354) (131,941,540)
--------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS: (17,446,471) (97,719,925)
--------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 96,951,318 194,671,243
--------------------------------------------------------------------------------
End of period $ 79,504,847 $ 96,951,318
================================================================================
See notes to financial statements
20
<PAGE>
SMALL CAP GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS JUNE 21, 1995
ENDED YEAR ENDED TEN MONTHS (COMMENCEMENT
APRIL 30, OCTOBER 31, ENDED YEAR ENDED OF OPERATIONS)
2000 ------------------ OCTOBER 31, DECEMBER 31, TO DECEMBER 31,
(Unaudited) 1999 1998 1997 1996 1995
=============================================================================================================
<S> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) $79,505 $96,951 $194,671 $49,598 $47,142 $4,989
Ratio of expenses to average
net assets 0.85%* 0.86% 0.88% 0.85%* 0.61% 0.00%*
Ratio of net investment income
(loss) to average net assets (0.47)%* (0.54)% (0.50)% (0.37)%* 0.15% 1.22%*
Portfolio turnover 49% 104% 51% 108% 89% 41%
Note: If Agents of the Portfolio had not voluntarily waived a portion of their
fees and assumed Portfolio expenses for the periods indicated and had expenses
been limited to that required by certain state securities laws for the period
ended December 31, 1995, the ratios would have been as follows:
RATIOS:
Expenses to average net assets 0.85%* 0.86% 0.88% 1.04%* 1.17% 2.50%*
Net investment loss to average
net assets (0.47)%* (0.54)% (0.50)% (0.56)%* (0.41)% (1.28)%*
=============================================================================================================
</TABLE>
* Annualized
See notes to financial statements
21
<PAGE>
SMALL CAP GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIEs Small Cap Growth Portfolio (the "Portfolio"),
a separate series of The Premium Portfolios (the "Portfolio Trust"), is
registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company which was organized as a
trust under the laws of the State of New York. The Declaration of Trust permits
the Trustees to issue beneficial interests in the Portfolio. The Investment
Manager of the Portfolio is Citibank, N.A., ("Citibank"). Signature Financial
Group (Grand Cayman), Ltd. ("SFG") acts as the Portfolio's Sub-Administrator.
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 significant accounting policies consistently followed by the Portfolio
are as follows:
A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted securities or listed securities for which last sale prices are not
available are valued at last quoted bid prices. Debt securities (other than
short-term obligations maturing in sixty days or less), are valued on the basis
of valuations furnished by pricing services approved by the Board of Trustees
which take into account appropriate factors such as institutional-size trading
in similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, and other market data, without exclusive reliance on quoted prices or
exchange or over-the-counter prices. Short-term obligations, maturing in sixty
days or less, are valued at amortized cost, which constitutes fair value as
determined by the Trustees. Securities, if any, for which there are no such
valuations or quotations are valued at fair value as determined in good faith by
or under guidelines established by the Trustees.
B. INCOME Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for U.S. federal income tax purposes. Dividend income is recorded
on the ex-dividend date.
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. EXPENSES The Portfolio bears all costs of its operations other than
expenses specifically assumed by Citibank and SFG. Expenses incurred by the
Portfolio Trust with respect to any two or more portfolios or series are
allocated in proportion to the average net assets of each portfolio, except when
allocations of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that portfolio.
22
<PAGE>
SMALL CAP GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
E. REPURCHASE AGREEMENTS 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 agreements.
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.
F. OTHER Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
2. MANAGEMENT FEES Citibank is responsible for overall management of the
Portfolio's business affairs, and has a separate Management Agreement with the
Portfolio. Citibank also provides certain administrative services to the
Portfolio. These administrative services include providing general office
facilities and supervising the overall administration of the Portfolio. SFG acts
as Sub- Administrator and performs certain duties and receives compensation from
Citibank as from time to time are agreed to by Citibank and SFG. Citibank is a
wholly-owned subsidiary of Citigroup Inc.
The management fees paid to Citibank, amounted to $345,033 for the six months
ended April 30, 2000. The management fees are computed at the annual rate of
0.75% of the Portfolio's average daily net assets.
3. PURCHASES AND SALES OF INVESTMENTs Purchases and sales of investments, other
than short-term obligations, aggregated $42,330,245 and $90,424,924,
respectively, for the six months ended April 30, 2000.
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at April 30, 2000, as
computed on a federal income tax basis, are as follows:
Aggregate cost $63,156,105
================================================================================
Gross unrealized appreciation $24,080,619
Gross unrealized depreciation (7,896,906)
--------------------------------------------------------------------------------
Net unrealized appreciation $16,183,713
================================================================================
23
<PAGE>
SMALL CAP GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
5. LINE OF CREDIT The Portfolio, along with various other Portfolios in the
CitiFunds family, entered into an ongoing agreement with a bank which allows the
Portfolios collectively to borrow up to $75 million for temporary or emergency
purposes. Interest on the borrowings, if any, is charged to the specific
portfolio 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 April 30,
2000, the commitment fee allocated to the Portfolio was $136. Since the line of
credit was established, there have been no borrowings.
24
<PAGE>
LARGE CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS April 30, 2000
(Unaudited)
ISSUER SHARES VALUE
=============================================================-
COMMON STOCKS--92.8%
-------------------------------------------------------------
CAPITAL GOODS/PRODUCER
MANUFACTURER -- 1.4%
-------------------------------------------------------------
American Power
Conversion Corp.* 50,000 $ 1,765,625
Tyco International Ltd. 164,000 7,533,750
-------------
9,299,375
-------------
COMPUTER SOFTWARE--11.5%
-------------------------------------------------------------
America Online Inc.* 236,000 14,115,750
Microsoft Corp.* 446,600 31,150,350
National Instruments
Corp.* 38,000 1,852,500
Oracle Corp.* 307,000 24,540,812
Yahoo Inc.* 26,000 3,386,500
-------------
75,045,912
-------------
COMPUTER & TELECOMMUNICATIONS
EQUIPMENT--23.0%
-------------------------------------------------------------
Cisco Systems Inc.* 672,900 46,650,895
EMC Corp.* 121,100 16,825,331
International Business
Machines Corp. 256,600 28,642,975
Lexmark International
Group Inc.* 23,000 2,714,000
Network Appliance Inc.* 53,000 3,918,688
Nortel Networks Corp. 156,000 17,667,000
Qualcomm Inc.* 88,000 9,542,500
SCI Systems Inc.* 36,000 1,917,000
Sun Microsystems Inc.* 198,000 18,203,625
Tellabs Inc.* 63,000 3,453,188
-------------
149,535,202
-------------
COMMERCIAL SERVICES--3.5%
-------------------------------------------------------------
Automatic Data
Processing Inc. 71,000 3,820,688
Concord Inc.* 84,000 1,879,500
Illinois Tool Works Inc. 54,000 3,459,375
Interpublic Group of
Companies Inc. 59,600 2,443,600
PayChex Inc. 32,000 1,684,000
Time Warner Inc. 106,000 9,533,375
-------------
22,820,538
-------------
COMMUNICATION SERVICES--3.1%
-------------------------------------------------------------
SBC Communications 337,000 14,764,812
Sprint Corp.* 94,000 5,170,000
-------------
19,934,812
-------------
CONGLOMERATES--8.2%
-------------------------------------------------------------
General Dynamics Corp. 37,000 2,164,500
General Electric Co. 327,400 51,483,650
-------------
53,648,150
-------------
CONSUMER NON-DURABLES--1.1%
-------------------------------------------------------------
Pepsico Inc. 188,000 6,897,250
-------------
CONSUMER SERVICES--0.4%
-------------------------------------------------------------
Harley Davidson Inc. 62,000 2,468,375
-------------
FINANCE--7.0%
-------------------------------------------------------------
American Express Co. 59,000 8,853,687
Bank of New York 142,100 5,834,981
Charles Schwab Corp. 81,000 3,604,500
Federal Home Loan
Mortgage Corp. 64,000 2,964,250
Federal National
Mortgage Association 99,000 6,040,267
Marsh & McLennan
Company Inc. 20,000 1,971,250
MBNA Corp. 136,000 3,612,500
Morgan Stanley
Dean Witter & Co. 98,000 7,521,500
Northern Trust Corp. 77,000 4,937,625
-------------
45,340,560
-------------
HEALTHCARE--13.0%
-------------------------------------------------------------
Abbott Labs 174,000 6,688,125
Amgen Inc.* 131,000 7,336,000
Biogen Inc.* 34,000 1,999,625
Cardinal Health Inc. 41,000 2,257,562
Eli Lilly & Co. 84,600 6,540,638
Johnson & Johnson 169,700 14,000,250
Medtronic Inc. 170,000 9,162,796
Pfizer Inc. 440,000 18,535,000
Schering-Plough Corp. 182,200 7,344,938
Warner Lambert Co. 92,681 10,548,256
-------------
84,413,190
-------------
RETAIL--8.6%
-------------------------------------------------------------
Bed Bath & Beyond Inc.* 58,100 2,131,544
GAP Inc. 126,000 4,630,500
Home Depot 228,500 12,810,281
Kohl's Corp.* 92,000 4,416,000
Lowes Company Inc. 57,000 2,821,500
WalGreen Co. 129,000 3,628,125
Wal-Mart Stores Inc. 466,200 25,815,825
-------------
56,253,775
-------------
15
<PAGE>
LARGE CAP GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) April 30, 2000
(Unaudited)
ISSUER SHARES VALUE
=============================================================-
SEMI-CONDUCTORS--12.0%
-------------------------------------------------------------
Applied Materials Inc. * 89,500 $ 9,112,219
Dallas Semiconductor
Corp. 40,000 1,717,500
Intel Corp. 343,600 43,572,775
Linear Technologies Corp. 52,000 2,970,500
Micrel Inc.* 14,000 1,211,000
Qlogic Corp.* 21,000 2,106,562
Texas Instruments Inc. 93,000 15,147,375
Xilinx Inc.* 33,500 2,453,875
-------------
78,291,806
-------------
TOTAL COMMON STOCKS
(Identified Cost
$464,169,453) 603,948,945
-------------
SHORT-TERM OBLIGATIONS
AT AMORTIZED COST--4.2%
-------------------------------------------------------------
First Union National Bank
Repurchase Agreement
5.84% due 05/01/00
proceeds at maturity
$27,260,260
(collateralized by
$9,500,000 Federal Home
Loan Mortgage 6.75% due
2/15/02 valued at
$9,583,125; $10,000,000
Freddie Mac 6.44% due
8/21/01, valued at
$9,948,260 and
$8,110,000 Federal
National Mortgage 5.72%
due 1/09/01, value at
$8,191,000) $ 27,247,000
-------------
TOTAL INVESTMENTS
(Identified Cost
$491,416,453) 97.0% 631,195,945
OTHER ASSETS,
LESS LIABILITIES 3.0 19,674,234
----- -------------
NET ASSETS 100.0% $650,870,179
===== =============
* Non-income producing security
See notes to financial statements
16
<PAGE>
LARGE CAP GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2000 (Unaudited)
================================================================================
ASSETS:
Investments at value (Note 1A) (Identified Cost, $491,416,453) $631,195,945
Cash 473
Receivable for investments sold 39,955,808
Dividends and interest receivable 331,732
--------------------------------------------------------------------------------
Total assets 671,483,958
--------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 19,870,564
Payable to affiliates-- Management fees (Note 2) 324,991
Accrued expenses and other liabilities 418,224
--------------------------------------------------------------------------------
Total liabilities 20,613,779
--------------------------------------------------------------------------------
Net Assets $650,870,179
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $650,870,179
================================================================================
See notes to financial statements
17
<PAGE>
LARGE CAP GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividend income $ 2,170,088
Interest income 360,756
--------------------------------------------------------------------------------
Total investment income $ 2,530,844
--------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 2,072,328
Custody and fund accounting fees 54,402
Legal fees 17,002
Audit fees 13,945
Trustees fees 11,230
Other 6,846
--------------------------------------------------------------------------------
Total expenses 2,175,753
--------------------------------------------------------------------------------
Net investment income 355,091
--------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain from investment transactions 49,909,264
Unrealized appreciation of investments 5,797,574
--------------------------------------------------------------------------------
Net realized and unrealized gain on investments 55,706,838
--------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $56,061,929
================================================================================
See notes to financial statements
18
<PAGE>
LARGE CAP GROWTH PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2000 OCTOBER 31,
(Unaudited) 1999
================================================================================
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 355,091 $ 286,398
Net realized gain on investment transactions 49,909,264 130,508,299
Unrealized appreciation of investments 5,797,574 16,171,002
--------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 56,061,929 146,965,699
--------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions 82,321,931 301,816,661
Value of withdrawals (190,813,892) (356,386,616)
--------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions (108,491,961) (54,569,955)
--------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS: (52,430,032) 92,395,744
--------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 703,300,211 610,904,467
--------------------------------------------------------------------------------
End of period $650,870,179 $703,300,211
================================================================================
See notes to financial statements
19
<PAGE>
LARGE CAP GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TEN MONTHS MAY 1, 1994
SIX MONTHS YEAR ENDED ENDED YEAR ENDED (COMMENCEMENT
ENDED OCTOBER 31, OCTOBER 31, DECEMBER 31, OF OPERATIONS)
APRIL 30, 2000 --------------- 1997 ---------------- TO DECEMBER 31,
(Unaudited) 1999 1998 (Note 1F) 1996 1995 1994
================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets,
end of period
(000's omitted) $650,870 $703,300 $610,904 $324,913 $288,562 $246,158 $186,685
Ratio of expenses
to average
net assets 0.63%* 0.67% 0.71% 0.60%* 0.60% 0.60% 0.60%*
Ratio of net
investment income
to average
net assets 0.10%* 0.04% 0.23% 0.62%* 1.10% 1.73% 1.81%*
Portfolio turnover 49% 108% 53% 103% 90% 67% 35%
================================================================================================================
</TABLE>
* Annualized
See notes to financial statements
20
<PAGE>
LARGE CAP GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES Large Cap Growth Portfolio (the "Portfolio"),
a separate series of The Premium Portfolios (the "Trust"), is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Declaration of Trust permits the Trustees to issue
beneficial interests in the Portfolio. The Investment Manager of the Portfolio
is Citibank, N.A. ("Citibank"). Signature Financial Group (Grand Cayman), Ltd.
("SFG") acts as the Portfolio's Sub-Administrator.
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 significant accounting policies consistently followed by the Portfolio
are as follows:
A. INVESTMENT SECURITY VALUATIONS Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted securities or listed securities for which last sale prices are not
available are valued at last quoted bid prices. Debt securities (other than
short-term obligations maturing in sixty days or less), are valued on the basis
of valuations furnished by pricing services approved by the Board of Trustees
which take into account appropriate factors such as institutional-size trading
in similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, and other market data, without exclusive reliance on quoted prices or
exchange or over-the-counter prices. Short-term obligations, maturing in sixty
days or less, are valued at amortized cost, which constitutes fair value as
determined by the Trustees. Securities, if any, for which there are no such
valuations or quotations are valued at fair value as determined in good faith by
or under guidelines established by the Trustees.
B. INCOME Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for U.S. federal income tax purposes. Dividend income is recorded
on the ex-dividend date.
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 AGREEMENTS 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 agreements.
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.
21
<PAGE>
LARGE CAP GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
E. EXPENSES The Portfolio bears all costs of its operations other than
expenses specifically assumed by Citibank and SFG. Expenses incurred by the
Portfolio Trust with respect to any two or more portfolios or series are
allocated in proportion to the average net assets of each portfolio, except when
allocations of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that portfolio.
F. CHANGE IN FISCAL YEAR END During the fiscal year 1997, the Portfolio
changed its fiscal year end from December 31 to October 31.
G. OTHER Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
2. MANAGEMENT FEES Citibank is responsible for overall management of the
Portfolio's business affairs, and has a separate Management Agreement with the
Portfolio. Citibank also provides certain administrative services to the
Portfolio. These administrative services include providing general office
facilities and supervising the overall administration of the Portfolio. SFG acts
as Sub-Administrator and performs certain duties and receives compensation from
Citibank as from time to time are agreed to by Citibank and SFG. Citibank is a
wholly-owned subsidiary of Citigroup Inc.
The management fees paid to Citibank amounted to $2,072,328 for the six
months ended April 30, 2000. Management fees are computed at the annual rate of
0.60% of the Portfolio's average daily net assets.
The Trust pays no compensation directly to any Trustee or any other officer
who is affiliated with the Sub-Administrator, all of whom receive remuneration
for their services to the Trust from the Sub-Administrator or its affiliates.
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other
than short-term obligations, aggregated $326,425,959 and $464,288,210,
respectively, for the six months ended April 30, 2000.
4. FEDERAL INCOME TAX BASIS OF INVESTMENTS The cost and unrealized appreciation
(depreciation) in value of the investment securities owned at April 30, 2000, as
computed on a federal income tax basis, are as follows:
Aggregate cost $491,416,453
================================================================================
Gross unrealized appreciation $159,480,900
Gross unrealized depreciation (19,701,408)
--------------------------------------------------------------------------------
Net unrealized appreciation $139,779,492
================================================================================
22
<PAGE>
LARGE CAP GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
5. LINE OF CREDIT The Portfolio, along with various other Portfolios in the
CitiFunds Family, entered into an ongoing agreement with a bank which allows the
Portfolios collectively to borrow up to $75 million for temporary or emergency
purposes. Interest on the borrowings, if any, is charged to the specific
portfolio 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 April 30,
2000, the commitment fee allocated to the Portfolio was $1,049. Since the line
of credit was established, there have been no borrowings.
23
<PAGE>
U.S. FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS April 30, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
--------------------------------------------------------------------------------
FIXED INCOME -- 107.3%
--------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 26.4%
--------------------------------------------------------------------------------
Aames Mortgage Trust
6.59% due 6/15/24 $3,389 $3,364,803
Aircraft Financial Trust
8.00% due 5/15/24 5,000 4,573,700
Amresco Residential
Securities
6.245% due 4/25/22 2,973 2,948,849
Asset Securitization Corp.,
Series 95
7.384% due 8/13/29 3,500 3,419,395
Asset Securitization Corp.,
Series 97
6.50% due 2/14/41 2,291 2,248,724
First Union, Lehman
Brothers
6.479% due 3/18/04 3,188 3,120,112
GE Capital Mortgage
Services, Inc.
5.905% due 10/25/13 2,000 1,969,220
7.00% due 10/25/23 1,979 1,857,711
GMAC Commercial
Mortgage Inc.
6.42% due 8/15/08 1,110 1,021,766
6.83% due 12/15/03 3,037 3,023,232
7.724% due 12/15/09 4,500 4,496,096
Green Tree Financial Corp.
6.71% due 8/15/29 3,850 3,573,378
8.05% due 10/15/27 5,000 4,915,600
8.41% due 12/01/30 3,000 2,843,430
IMC Home Equity Loan
Trust
6.16% due 5/20/14 1,441 1,433,937
JP Morgan Commercial
Mortgage Financial Corp.
6.373% due 1/15/30 1,927 1,871,484
Merrill Lynch Mortgage Co.
6.95% due 6/18/29 1,558 1,534,566
Morgan Stanley Capital
Investment Inc.
6.44% due 11/15/02 3,262 3,204,888
Nissan Auto Receivables
Grantor
6.15% due 2/15/03 733 727,402
Nomura Asset
Securitization Corp.
8.15% due 3/04/20 3,000 3,029,340
------------
55,177,633
------------
FOREIGN CORPORATIONS -- 5.4%
--------------------------------------------------------------
Merita Bank PLC
6.50% due 4/01/09 2,415 2,178,378
Pemex Financial Ltd.
9.03% due 2/15/11 2,175 2,215,651
Quebec Province CDA
7.50% due 9/15/29 2,235 2,185,495
Telefonica de Argentina
9.125% due 5/07/08 2,360 2,242,000
YPF Sociedad Anonima
7.25% due 3/15/03 2,425 2,338,859
------------
11,160,383
------------
DOMESTIC CORPORATIONS -- 19.4%
--------------------------------------------------------------------------------
Abitibi Consolidated Inc.
8.50% due 8/01/29 2,660 2,444,088
Ahold Financial U.S.A. Inc.
6.875% due 5/01/29 1,785 1,497,419
BB&T Corp.
6.375% due 6/30/05 2,280 2,129,018
Conseco Inc.
6.40% due 6/15/01 660 468,600
Dayton Hudson Corp.
6.65% due 8/01/28 2,200 1,845,514
Delta Airlines Inc.
8.30% due 12/15/29 3,000 2,683,110
Donaldson, Lufkin & Jenrette
5.875% due 4/01/02 1,885 1,818,064
Dynegy Inc.
7.45% due 7/15/06 2,095 2,001,988
Ford Motor Co.
7.375% due 10/28/09 2,315 2,237,725
Knight Ridder Inc.
6.875% due 3/15/29 2,355 2,043,601
Lehman Brothers
Holdings, Inc.
7.75% due 1/15/05 2,090 2,091,296
Lockheed Martin Corp.
7.95% due 12/01/05 2,175 2,130,543
MCI Communications Corp.
6.50% due 4/15/10 2,300 2,093,943
Morgan Stanley Dean
Witter & Co.
5.625% due 1/20/04 2,350 2,203,477
National Rural Utilities
6.20% due 2/01/08 2,040 1,864,417
Osprey Trust Inc.
8.31% due 1/15/03 2,220 2,201,352
Popular North America, Inc.
6.875% due 6/15/01 2,195 2,171,630
Raytheon Co.
7.90% due 3/01/03 2,255 2,216,124
St. Paul Cos Inc.
7.875% due 4/15/05 2,150 2,104,506
Saks Inc.
8.25% due 11/15/08 2,415 2,179,538
------------
40,425,953
------------
15
<PAGE>
U.S. FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued) April 30, 2000
(Unaudited)
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
--------------------------------------------------------------------------------
MORTGAGE OBLIGATIONS -- 38.2%
--------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 10.0%
--------------------------------------------------------------------------------
Asset Backed
Securitization Corp.,
6.64% due 12/25/27 $ 2,500 $2,267,975
CMC Securitization Corp.,
Series 97
7.00% due 10/25/27 541 536,739
CWMBS Inc., Series 98
6.50% due 7/25/13 2,122 1,961,823
Chase Mortgage Financial
Trust
6.50% due 9/25/13 1,970 1,818,946
Chase Mortgage Financial
Trust
7.25% due 2/25/30 2,500 2,361,675
Credit Suisse First Boston
Mortgage
7.29% due 9/15/09 3,900 3,788,099
Federal Home Loan
Mortgage Corp.
6.00% due 1/15/24 1,000 921,250
6.25% due 6/15/24 3,440 3,245,330
Federal National Mortgage
Association
7.412% due 8/17/21 2,941 2,901,344
Government National
Mortgage Association
7.25% due 10/16/22 848 845,916
Residential Asset
Securitization Trust
7.00% due 2/25/08 272 271,197
------------
20,920,294
------------
MORTGAGE BACKED
SECURITIES/PASSTHROUGHS -- 20.0%
--------------------------------------------------------------------------------
Federal Home Loan
Mortgage Corp.
6.00% due TBA* 1,000 907,188
6.00% due 8/01/00 1,541 1,530,296
7.50% due TBA* 3,700 3,615,011
8.50% due 4/01/01 3 3,401
------------
6,055,896
------------
Federal National
Mortgage Association
5.50% due TBA* 5,000 4,354,688
6.50% due TBA* 7,000 6,531,840
6.50% due 4/01/29 3,818 3,566,195
6.50% due 5/01/29 4,314 4,025,161
7.00% due 6/01/03 168 166,313
7.00% due 7/01/03 273 269,660
7.50% due TBA* 5,700 5,653,716
7.50% due TBA* 11,400 11,154,188
8.00% due 6/01/02 4 4,271
------------
35,726,032
------------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION -- 8.2%
--------------------------------------------------------------------------------
6.50% due TBA* 12,400 11,613,375
7.00% due 2/15/24 3,457 3,337,462
8.00% due TBA 2,000 2,004,375
8.00% due 12/15/07 34 34,145
------------
16,989,357
------------
TOTAL MORTGAGE OBLIGATIONS 79,691,579
------------
YANKEE BONDS -- 3.2%
--------------------------------------------------------------------------------
Corporacion Andina
de Fomento
7.75% due 3/01/04 2,180 2,145,033
Empresa Nacional
7.75% due 7/15/08 1,105 1,026,534
Imperial Tobacco Overseas
7.125% due 4/01/09 2,705 2,363,683
TPSA Financial
7.75% due 12/10/08 1,305 1,245,604
------------
6,780,854
------------
UNITED STATES GOVERNMENT
AND OTHER GOVERNMENT
OBLIGATIONS -- 14.7%
--------------------------------------------------------------------------------
UNITED STATES TREASURY
BONDS -- 7.0%
--------------------------------------------------------------------------------
8.125% due 8/15/19 5,415 6,506,447
3.625% due 4/15/28 4,091 3,921,111
3.875% due 4/15/29 2,580 2,585,851
6.125% due 8/15/29 1,575 1,578,685
------------
14,592,094
------------
UNITED STATES TREASURY
NOTES -- 7.7%
--------------------------------------------------------------------------------
5.50% due 12/31/00 110 109,278
6.50% due 5/31/01 1,150 1,149,275
5.875% due 11/15/04 300 292,077
6.875% due 5/15/06 3,480 3,536,550
6.625% due 5/15/07 4,540 4,569,782
6.50% due 2/15/10 6,260 6,384,198
------------
16,041,160
------------
TOTAL UNITED STATES
GOVERNMENT AND OTHER
GOVERNMENT OBLIGATIONS 30,633,254
------------
16
<PAGE>
U.S. FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS April 30, 2000
(Unaudited)
ISSUER SHARES VALUE
--------------------------------------------------------------------------------
TOTAL FIXED INCOME
(Identified Cost
$231,652,313) $223,869,656
------------
PREFERRED STOCK -- 1.5%
--------------------------------------------------------------------------------
Comed Financing I
(Identified Cost
$3,531,870) 138 3,121,752
------------
SHORT-TERM OBLIGATIONS -- 12.0%
--------------------------------------------------------------------------------
First Union National Bank
Repurchase Agreement
5.84% due 5/01/00
proceeds at maturity
$24,467,902 (collateralized
by $7,250,000 Federal
Home Loan Mortgage
5.88% due 2/10/03,
valued at $7,068,750;
$17,660,000
Federal Home Loan Bank,
6.00% due 11/15/01,
valued at $17,880,750) 24,456,000
PRINCIPAL
AMOUNT
ISSUER (000'S OMITTED) VALUE
--------------------------------------------------------------------------------
United States Treasury Bills
5.725% due 6/22/00 $ 688 $ 682,311
-----------
Total Short-Term Obligations
(Identified Cost
$25,138,311) 25,138,311
-----------
TOTAL INVESTMENTS
(Identified Cost
$260,322,494) 120.8% 252,129,719
OTHER ASSETS,
LESS LIABILITIES (20.8) (43,408,092)
------ ------------
NET ASSETS 100.0% $208,721,627
====== ============
*TBA's are mortgage-backed securities traded under delayed delivery commitments;
settling after April 30, 2000. Although the unit price for the trade has been
established, the principal value has not been finalized. However, the amount of
the commitment will not fluctuate more than 2% from the principal amount.
Income on TBA's is not earned until the settlement date.
FUTURES CONTRACTS
--------------------------------------------------------------------------------
Futures contracts which were open at April 30, 2000 are as follows :
AGGREGATE
DESCRIPTION/ NUMBER OF FACE VALUE OF EXPIRATION UNREALIZED
POSITION CONTRACTS CONTRACTS DATE GAIN/(LOSS)
--------------------------------------------------------------------------------
U.S. Long Bond (Sell) (40) $ (4,000,000) June 2000 $(12,500)
U.S. Ten Year Note (Sell) (207) (20,700,000) June 2000 (25,875)
--------
$(38,375)
========
See notes to financial statements
17
<PAGE>
U.S. FIXED INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2000 (Unaudited)
================================================================================
ASSETS:
Investments at value (Note 1A) (Identified Cost, $235,184,183) $226,991,408
Short-term obligations at value (Note 1A)
(Identified Cost, $25,138,311) 25,138,311
Cash 942
Interest receivable 2,226,735
Receivable for investments sold 3,148,672
--------------------------------------------------------------------------------
Total assets 257,506,068
--------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 48,601,679
Payable for daily variations on futures contracts 38,375
Payable to affiliates--Management Fee (Note 2) 53,503
Accrued expenses and other liabilities 90,884
--------------------------------------------------------------------------------
Total liabilities 48,784,441
--------------------------------------------------------------------------------
NET ASSETS $208,721,627
================================================================================
REPRESENTED BY:
Paid-in capital for beneficial interests $208,721,627
================================================================================
U.S. FIXED INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2000 (Unaudited)
================================================================================
INVESTMENT INCOME (Note 1B):
Interest Income $8,629,382
Dividend Income 146,257
--------------------------------------------------------------------------------
$ 8,775,639
--------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2) 435,080
Custody and fund accounting fees 75,603
Audit fees 23,385
Trustees fees 8,406
Legal fees 6,537
Other 1,243
--------------------------------------------------------------------------------
Total expenses 550,254
Less aggregate amount waived by management (Note 2) (52,974)
--------------------------------------------------------------------------------
Net expenses 497,280
--------------------------------------------------------------------------------
Net investment income 8,278,359
--------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Unrealized appreciation of investments and
futures contracts 2,621,249
Net realized gain from futures and
options transactions 549,362
Net realized loss from investment transactions (10,417,359)
--------------------------------------------------------------------------------
Net realized and unrealized loss on investments (7,246,748)
--------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,031,611
================================================================================
See notes to financial statements
18
<PAGE>
U.S. FIXED INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD
SIX MONTHS NOVEMBER 1, 1998
ENDED (COMMENCEMENT OF
APRIL 30, 2000 OPERATIONS) TO
(Unaudited) OCTOBER 31, 1999
================================================================================
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 8,278,359 $11,466,863
Net realized loss from investment and
futures transactions (9,867,997) (5,810,514)
Unrealized appreciation (depreciation)
of investments 2,621,249 (7,440,597)
--------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 1,031,611 (1,784,248)
--------------------------------------------------------------------------------
CAPITAL TRANSACTIONS:
Proceeds from contributions (Note 1) 2,562,211 452,433,828
Value of withdrawals (86,407,793) (159,113,982)
--------------------------------------------------------------------------------
Net increase (decrease) in net assets
from capital transactions (83,845,582) 293,319,846
--------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (82,813,971) 291,535,598
--------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 291,535,598 --
--------------------------------------------------------------------------------
End of period $208,721,627 $291,535,598
================================================================================
U.S. FIXED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
FOR THE PERIOD
SIX MONTHS NOVEMBER 1, 1998
ENDED (COMMENCEMENT OF
APRIL 30, 2000 OPERATIONS) TO
(Unaudited) OCTOBER 31, 1999
================================================================================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) $208,722 $291,536
Ratio of expenses to average net assets 0.40%* 0.40%
Ratio of net investment income to average
net assets 6.66%* 6.04%
Portfolio turnover 1.58% 253%
Note: If Agents of the Portfolio had not voluntarily waived a portion of their
fees and assumed Portfolio expenses for the periods indicated and had expenses
been limited to that required by certain state securities law for the period
ended December 31, 1995, the ratios would have been as follows:
RATIOS:
Expenses to average net assets 0.44%* --
Net investment income to average net assets 6.62%* --
================================================================================
* Annualized
See notes to financial statements
19
<PAGE>
U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES U.S. Fixed Income Portfolio (the
"Portfolio"), a separate series of The Premium Portfolios (the "Portfolio
Trust"), is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end management investment company which was organized as a
trust under the laws of the State of New York. The Portfolio commenced
operations on November 1, 1998. The Declaration of Trust permits the Trustees to
issue beneficial interests in the Portfolio. The Investment Manager of the
Portfolio is Citibank, N.A. ("Citibank"). Signature Financial Group (Grand
Cayman), Ltd. ("SFG") acts as the Administrator.
On November 1, 1998, CitiFunds Intermediate Income Portfolio transferred all
of its investable assets in the amount of $76,788,364 including $1,683,386 of
unrealized appreciation to the Portfolio in exchange for an interest in the
Portfolio. Also, on May 3, 1999, the Intermediate Income Portfolio transferred
all of its investable assets in the amount of $153,278,329 including $1,000,795
of unrealized depreciation to the Portfolio in exchange for an interest in the
Portfolio. Additionally, on August 1, 1999, the Balanced Portfolio transferred a
portion of its investable assets in the amount of $113,810,272 including
$3,978,434 of unrealized depreciation to the Portfolio in exchange for an
interest in the Portfolio. The total investable assets along with current period
contributions are included in the "Proceeds from contributions" on the Statement
of Changes in Net Assets.
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 significant accounting policies consistently followed by the Portfolio
are as follows:
A. Investment Security Valuations Debt securities (other than short-term
obligations maturing in sixty days or less) are valued on the basis of
valuations furnished by pricing services, which take into account appropriate
factors such as institutional-size trading in similar groups of securities,
yield, quality, coupon rate, maturity, type of issue, and other market data,
without exclusive reliance upon quoted prices or exchange or over-the-counter
prices since such valuations are believed to reflect more accurately the fair
value of the securities. Short-term obligations (maturity in sixty days or less)
are valued at amortized cost; which approximates market value. Securities, if
any, for which there are no such valuations or quotations are valued at fair
value as determined in good faith by or under guidelines established by the
Trustees.
B. Income Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for U.S. federal income tax purposes. Gain and loss from principal
paydowns are recorded as ordinary income.
20
<PAGE>
U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
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. Expenses The Portfolio bears all costs of its operations other than
expenses specifically assumed by Citibank and SFG. Expenses incurred by the
Portfolio Trust with respect to any two or more portfolios or series are
allocated in proportion to the average net assets of each portfolio, except when
allocations of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that portfolio.
E. Repurchase Agreements 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 agreements.
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.
F. TBA Purchase Commitments The Portfolio enters into "TBA" (to be announced)
purchase commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the amount of
the commitment will not fluctuate more than 2.0% from the principal amount. The
Portfolio holds, and maintains until the settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price. TBA
purchase commitments may be considered securities in themselves, and involve a
risk of loss if the value of the security to be purchased declines prior to the
settlement date, which risk is in addition to the risk of decline in the value
of the Portfolio's other assets. Unsettled TBApurchase commitments are valued at
the current market value of the underlying securities, generally according to
the procedures described under Note 1A.
Although the Portfolio will generally enter into TBApurchase commitments with
the intention of acquiring securities for its portfolio, the Portfolio may
dispose of a commitment prior to settlement if the Portfolio's Adviser deems it
appropriate to do so.
G. Futures Contracts The Portfolio may engage in futures transactions. The
Portfolio may use futures contracts in order to protect the Portfolio from
fluctuations in interest rates without actually buying or selling debt
securities, or to manage the effective maturity or duration of fixed income
securities in the Portfolio's portfolio in an effort to reduce potential losses
or enhance potential gains. Buying futures contracts tends to increase the
Portfolio's exposure to the underlying instrument. Selling futures contracts
tends to either decrease the Portfolio's exposure to the underlying instrument,
or to hedge other fund investments.
21
<PAGE>
U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
Upon entering into a futures contract, the Portfolio is required to deposit
with the broker an amount of cash or cash equivalents equal to a certain
percentage of the contract amount. This is known as the "initial margin".
Subsequent payments ("variation margin") are made or received by the Portfolio
each day, depending on the daily fluctuation of the value of the contract. The
daily changes in contract value are recorded as unrealized gains or losses and
the Portfolio recognizes a realized gain or loss when the contract is closed.
Futures contracts are valued at the settlement price established by the board of
trade or exchange on which they are traded.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in the value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in the value of the hedged instruments. In addition,
there is the risk the Fund may not be able to enter into a closing transaction
because of an illiquid secondary market. Futures contracts involve, to varying
degrees, risk of loss in excess of the futures variation margin reflected in the
Statement of Assets and Liabilities.
H. Other Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
2. MANAGEMENT FEES Citibank is responsible for overall management of the
Portfolio's business affairs, and has a Management Agreement with the Portfolio.
Citibank also provides certain administrative services to the Portfolio. These
administrative services include providing general office facilities and
supervising the overall administration of the Portfolio. 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. Citibank is a
wholly-owned subsidiary of Citigroup Inc.
The management fees paid to Citibank amounted to $435,080 of which $52,974
was voluntarily waived for the six months ended April 30, 2000. The management
fees are computed at the annual rate of 0.35% of the Portfolio's average daily
net assets. The Trust pays no compensation directly to any Trustee or any other
officer who is affiliated with the Sub-Administrator, all of whom receive
remuneration for their services to the Trust from the Sub-Administrator or its
affiliates.
3. PURCHASES AND SALES OF INVESTMENTS Purchases and sales of investments, other
than short-term obligations, aggregated $444,017,085 and $537,250,502
respectively, for the six months ended April 30, 2000.
22
<PAGE>
U.S. FIXED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
4. FEDERAL INCOME TAX BASIS OF INVESTMENTs The cost and unrealized
appreciation (depreciation) in value of the investment securities owned at April
30, 2000, as computed on a federal income tax basis, are as follows:
Aggregate cost $260,322,494
================================================================================
Gross unrealized appreciation $ 187,812
Gross unrealized depreciation (8,380,587)
--------------------------------------------------------------------------------
Net unrealized depreciation $ (8,192,775)
================================================================================
5. LINE OF CREDIT The Portfolio, along with various other portfolios in the
CitiFunds Family, entered into an ongoing agreement with a bank which allows the
Funds collectively to borrow up to $75 million for temporary or emergency
purposes. Interest on the 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 April 30, 2000,
the commitment fee allocated to the Portfolio was $357. Since the line of credit
was established, there have been no borrowings.
23
