N-CSR 1 c29259_ncsr.htm c29259_ncsr 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


FORM N-CSR



CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number 811-5812


CITIFUNDS PREMIUM TRUST-
CITI PREMIUM LIQUID RESERVES
CITI PREMIUM U.S. TREASURY RESERVES

(Exact name of registrant as specified in charter)

125 Broad Street, New York, NY 10004
 (Address of principal executive offices) (Zip code)

Christina T. Sydor, Esq.
Smith Barney Fund Management LLC
300 First Stamford Place
Stamford, CT 06902
 (Name and address of agent for service)

Registrant's telephone number, including area code: (800) 451-2010

Date of fiscal year end:  AUGUST 31
Date of reporting period: AUGUST 31, 2003






ITEM 1.  REPORT TO STOCKHOLDERS.

         The ANNUAL Reports to Stockholders are filed herewith.

 

 

 

CitiSM
Premium
Liquid Reserves
ANNUAL REPORT
AUGUST 31, 2003

 

 

 

 

 

 

 

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
TA B L E   O F   C O N T E N T S
 
 
 
Letter From the Chairman
1
  
 
Manager Overview
2
  
 
Fund Facts
5
  
 
Fund Performance
6
  
 
 
 
Citi Premium Liquid Reserves
 
 
 
Statement of Assets and Liabilities
7
  
 
Statement of Operations
8
  
 
Statements of Changes in Net Assets
9
  
 
Notes to Financial Statements
10
  
 
Financial Highlights
13
  
 
Report of Independent Auditors
14
  
 
Additional Information
15
  
 
 
 
Cash Reserves Portfolio
 
 
 
Portfolio of Investments
21
  
 
Statement of Assets and Liabilities
25
  
 
Statement of Operations
26
  
 
Statements of Changes in Net Assets
27
  
 
Notes to Financial Statements
28
  
 
Financial Highlights
30
  
 
Report of Independent Auditors
31
  
 
Additional Information
32
  
 

L E T T E R   F R O M   T H E   C H A I R M A N

Dear Shareholder,

The philosopher Bertrand Russell famously remarked that, “Change is one thing, progress is another.” You will notice in the following pages that we have begun to implement some changes to your shareholder report, and we will be reflecting other changes in future reports. Our aim is to make meaningful improvements in reporting on the management of your Fund and its performance, not just to enact change for change’s sake. Please bear with us during this transition period.

We know that you have questions about fund managers’ decisions and plans, and we want to be sure that you have easy access to the information you need. Keeping investors informed is, and always will be, one of my top priorities as Chairman of your Fund.

  
   R. JAY GERKEN, CFA
    Chairman, President and
    Chief Executive Officer

We invite you to read this report in full. Please take the opportunity to talk to your financial adviser about this report or any other questions or concerns you have about your Fund and your financial future. As always, thank you for entrusting your assets to us. We look forward to helping you continue to meet your financial goals. Please read on to learn more about your Fund’s performance and the Manager’s strategy.

Sincerely,

R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer

September 4, 2003

 

 

 

 

 

1

M A N A G E R   O V E R V I E W

Performance Review

As of August 31, 2003, the seven-day current yield for CitiSM Premium Liquid Reserves (“Fund”) was 0.72% and its seven-day effective yield, which reflects compounding, was 0.73%. The seven-day effective yield is calculated similarly to the seven-day current yield but, when annualized, the income earned by an investment in the Fund is assumed to be reinvested. The effective yield typically will be slightly higher than the current yield because of the compounding effect of the assumed reinvestment. Please note that your investment is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

  
   KEVIN KENNEDY
   Portfolio Manager

Interest Rates Hit 45-Year Low

Short-term interest rates and yields of money market instruments declined sharply during the Fund’s fiscal year ended August 31 as the Federal Reserve Board and the Bush Administration implemented aggressive measures to stimulate renewed economic growth.

When the Fund’s fiscal year began, the economic outlook appeared mixed. Although consumers continued to spend at a relatively robust pace, U.S. corporations reined in capital spending as the effects of a persistently declining stock market and high-profile accounting scandals took their toll on investor confidence and overall business activity. In addition, rising tensions in the Middle East and elsewhere contributed to generally cautious attitudes among corporate executives. As a result, the U.S. economy expanded sluggishly.

The economy’s struggles prompted the Fed to cut short-term interest rates in early November 2002 by a larger-than-expected 0.5 percentage points, signaling the central bank’s commitment to boosting economic activity. Although the November rate-cut was the first of 2002, it was the twelfth of the aggressive rate-reduction campaign that began in January 2001, and money market yields continued to fall. However, economic growth failed to accelerate meaningfully, despite some encouraging signs toward year-end 2002, including a surge in mortgage refinancings that put cash in consumers’ pockets. Corporations remained cautious as it became clearer early in 2003 that the United States and its allies were likely to go to war in Iraq. In effect, the economy adopted a “wait and see” attitude. Even the Fed indicated at its March 2003 meeting that it could not adequately assess prevailing economic risks because of the geopolitical situation.

After the war in Iraq began in late March, it soon became clear that the military campaign would be successful and Saddam Hussein would be deposed. As major

2

combat operations wound down, consumers and businesses became increasingly optimistic. Improving sentiment was reinforced by legislation enacting federal tax cuts, including a reduction in taxes on capital gains and dividends. For its part, the Fed cut short-term interest rates by another 0.25 percentage points in late June, driving the federal funds ratei to just 1%, its lowest level since the Eisenhower Administration, and money market yields continued to decline.

By the end of August evidence of a sustainable economic improvement emerged. Stronger retail sales, rising domestic consumption and increasing export activity contributed to a relatively robust 3.3% annualized growth rate in GDP (gross domestic product)ii during the second quarter of 2003. However, to forestall potential deflationary forces, the Fed indicated that it was likely to leave rates at prevailing low levels for the foreseeable future.

Adjusting to a New Economic Climate

In this challenging market environment, we maintained a generally cautious investment posture. While interest rates fell during the first ten months of the reporting period, we set the Fund’s weighted average maturity in a range that we considered neutral to slightly longer than average. This strategy enabled us to maintain prevailing rates for as long as we deemed practical, while giving us the flexibility required to respond to changing market conditions. In addition, because the difference in yields, or “yield spread,”iii between shorter- and longer-term money market instruments was narrower than historical norms, it made little sense to us to extend the Fund’s weighted average maturity further. In fact, there were times during the reporting period when longer-term yields were lower than their shorter-term counterparts.

After the Fed reduced short-term interest rates in June, we reduced the Fund’s weighted average maturity to a relatively short position. This strategy reflected our belief that the June rate-cut was probably the last of the current cycle, and it was designed to help us capture higher yields if they became available. Indeed, as of the reporting period’s end, we have begun to see a steeper yield curve,iv which suggests to us that the market may be anticipating higher short-term interest rates. Of course, we intend to continue to adjust our strategies as market conditions change.

3

Thank you for your investment in CitiSM Premium Liquid Reserves. We appreciate that you have entrusted us to manage your money, and we value our relationship with you.

Sincerely,

Kevin Kennedy
Portfolio Manager

September 4, 2003

 

 

 

 

 

 

 

 

The information provided in this letter by the Manager is not intended to be a forecast of future events, a guarantee of future results or investment advice.Views expressed may differ from those of the firm as a whole.

Portfolio holdings and breakdowns are as of August 31, 2003 and are subject to change. Please refer to pages 21 through 24 for a list and percentage breakdown of the Fund’s holdings.

i The federal funds rate is the interest rate that banks with excess reserves at a Federal Reserve dis-
  trict bank charge other banks that need overnight loans. The fed funds rate often points to the
  direction of U.S. interest rates.
ii Gross Domestic Product is a market value of goods and services produced by labor and property in
  a given country.
iii Yield spread is the difference between yields on securities of the same quality but different maturities
  or the difference between yields on securities of the same maturity but different quality.
iv The yield curve is the graphical depiction of the relationship between the yield on bonds of the same
  credit quality but different maturities.

4

F U N D   FA C T S

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
Citi Fund Management Inc. Declared daily, paid monthly
   
Commencement of Operations Benchmarks*
May 3, 1990 • Lipper Taxable Money Market
    Funds Average
   
Net Assets as of 8/31/03 • iMoneyNet, Inc. 1st Tier Taxable
$1,532.0 million    Money Market Funds Average
 
* The Lipper Funds Average and iMoneyNet, Inc. Funds Average reflect the performance (excluding
  sales charges) of mutual funds with similar objectives.
 
  Citi is a service mark of Citicorp.

5

F U N D   P E R F O R M A N C E
Total Returns

One   Five   Ten  
All Periods Ended August 31, 2003 Year   Years*   Years*  
 
Citi Premium Liquid Reserves
1.09%
3.84%
4.45%
  
Lipper Taxable Money Market
 
   Funds Average
0.60%
3.31%
4.03%
  
iMoneyNet, Inc. 1st Tier Taxable Money
 
   Market Funds Average
0.69%
3.43%
4.08%
  
* Average Annual Total Return            
             
7-DayYields            
Annualized Current 0.72%            
Effective 0.73%            

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.

Important Tax Information—For the fiscal year ended August 31, 2003 the Fund paid $0.01076 per share to shareholders from net investment income. For such period, 0.12% of income dividends paid were derived from interest earned from U.S. Government and U.S. Government agency obligations.

Comparison of 7-Day Yields for Citi Premium Liquid Reserves vs. iMoneyNet, Inc. 1st Tier Taxable Money Market Funds Average

As illustrated, Citi Premium Liquid Reserves generally provided a higher annualized seven-day yield to that of the iMoneyNet, Inc. 1st Tier Taxable Money Market Funds Average, as published in iMoneyNet, Inc. Money Market Funds ReportTM, for the one year period.

Note: Although money market funds seek to maintain the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. 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.

6

Citi Premium Liquid Reserves            
S T A T E M E N T   O F  A S S E T S  A N D  L I A B I L I T I E S      
             
August 31, 2003        
 
Assets:      
 
Investment in Cash Reserves Portfolio, at value (Note 1A)  
$
1,532,846,813
  
 
Liabilities:  
 
Dividends payable  
378,300
  
Management fees payable (Note 3)    
257,958
  
Distribution/Service fees payable (Note 4)  
130,376
  
Accrued expenses and other liabilities  
113,770
  
 
   Total liabilities    
880,404
  
 
Net Assets for 1,531,966,409 shares of beneficial interest outstanding
$
1,531,966,409
  
 
Net Assets Consist of:  
 
Par value of shares of capital stock  
15,320
  
Capital in excess of par value  
1,531,951,089
  
 
   Total Net Assets  
$
1,531,966,409
  
 
Net Asset Value, Offering Price and Redemption Price Per Share
$
1.00
  
 
       
 
See notes to financial statements  
 

7

Citi Premium Liquid Reserves          
S T A T E M E N T  O F   O P E R A T I O N S      
           
For the Year Ended August 31, 2003          
Investment Income (Note 1B):            
Income from Cash Reserves Portfolio  
$
23,408,897
Allocated expenses from Cash Reserves Portfolio
(1,591,584
)
     
$
21,817,313
Expenses:    
Management fees (Note 3)  
3,178,107
Distribution/Service fees (Note 4)  
1,589,054
Transfer agent fees    
130,231
Legal fees    
65,373
Shareholder reports    
39,535
Trustees’ fees    
37,097
Blue Sky fees    
30,000
Registration fees    
20,526
Audit fees    
11,665
Custody and fund accounting fees  
9,480
Miscellaneous    
29,362
   Total expenses    
5,140,430
Less: aggregate amount waived by the Manager (Note 3)
(374,482
)
   Net expenses    
4,765,948
Net investment income    
$
17,051,365
     
See notes to financial statements  

8

Citi Premium Liquid Reserves        
S T A T E M E N T   O F   C H A N G E S  I N  N E T   A S S E T S
      
         
   
Year Ended August 31,
     
   
2003
2002
From Investment Activities:                
Net investment income, declared as dividends to                
shareholders (Note 2)    
$
17,051,365
$
28,413,891
  
Transactions in Shares of Beneficial Interest at    
 
Net Asset Value of $1.00 Per Share (Note 5):    
 
Proceeds from sale of shares    
5,367,770,797
4,906,399,175
  
Net asset value of shares issued to shareholders from    
 
reinvestment of dividends    
9,551,660
14,292,039
  
Cost of shares repurchased    
(5,157,988,773
)
(4,911,264,637
 )
Net Increase in Net Assets    
219,333,684
9,426,577
  
Net Assets:    
 
Beginning of year    
1,312,632,725
1,303,206,148
  
End of year    
$
1,531,966,409
$
1,312,632,725
  
See notes to financial statements    
 

9

Citi Premium Liquid Reserves
N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

1. Significant Accounting Policies Citi Premium Liquid Reserves (the “Fund”) is a separate diversified series of CitiFunds Premium Trust (the “Trust”), a Massachu-setts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), 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 Citi Fund Management Inc. (the “Manager”) serves as Investment Manager. The value of such investment reflects the Fund’s proportionate interest (3.9% at August 31, 2003) in the net assets of the Portfolio. Cit-igroup Global Markets Inc. (“CGM”) is the Fund’s Distributor (the “Distributor”).

     The preparation of financial statements in accordance with generally accepted accounting principles in the United States of America 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. InvestmentValuation 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 the Manager. 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 when 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 is charged against and reduces 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 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.

10

Citi Premium Liquid Reserves
N O T E S   T O   F I N A N C I A L   S T A T E M E N T S (Continued)

3. Management Fees The management fees are computed at an annual rate of 0.20% of the Fund’s average daily net assets. The management fees paid to the Manager amounted to $3,178,107, of which $374,482 was voluntarily waived for the year ended August 31, 2003. The Trust pays no compensation directly to any Trustee or any officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Fund from the Manager or its affiliates. Certain of the officers and a Trustee of the Trust are officers and a director of the Manager or its affiliates.

4. Distribution/Service Fees The Fund adopted a Service Plan pursuant to Rule l2b-1 under the 1940 Act. The Service Plan allows the Fund to pay a monthly fee not to exceed 0.10% of the average daily net assets. The Service fees paid amounted to $1,589,054 for the year ended August 31, 2003. These fees may be used to make payments to the Distributor and to Service Agents or others as compensation for the sale of Fund shares or for advertising, marketing or other promotional activity, and for preparation, printing and distribution of prospectuses, statements of additional information and reports for recipients other than regulators and existing shareholders. The Fund may also make payments to the Distributor and others for providing personal service or the maintenance of shareholder accounts.

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 (par value $0.00001 per share).

6. Investment Transactions Increases and decreases in the Fund’s investment in the Portfolio aggregated $3,385,601,407 and $3,187,310,057, respectively, for the year ended August 31, 2003.

7. Income Tax Information and Distributions to Shareholders

At August 31, 2003 the tax basis components of distributable earnings were:

 
Undistributed ordinary income
$384,383
  
 
The tax character of distributions paid during the year was:
 
 
Ordinary income
$17,051,365
  
 

8.Trustee Retirement Plan The Trustees of the Fund have adopted a Retirement Plan for all Trustees who are not “interested persons” of the Fund, within the meaning of the 1940 Act. Under the Plan, all Trustees are required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attains age 75 (certain Trustees who had already attained age 75 when the Plan was adopted are required to retire effective December 31, 2003). Trustees may retire under the Plan before attaining the mandatory retirement age. Trustees who have served as Trustee of the Trust or any of the investment companies associated with Citigroup for at least ten years when they retire are eligible to receive the maximum retirement benefit under the Plan. The maximum retirement benefit is an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the calendar year ending on or immediately prior to the applicable Trustee’s retirement. Amounts under the Plan

11

Citi Premium Liquid Reserves
N O T E S   T O   F I N A N C I A L  S T A T E M E N T S (Continued)

may be paid in installments or in a lump sum (discounted to present value). The Fund’s allocable share of the expenses of the Plan for the year ended August 31, 2003 and the related liability at August 31, 2003 was not material.

12

Citi Premium Liquid Reserves                                  
F I N A N C I A L   H I G H L I G H T S          
                           
   
Year Ended August 31,
   
   
2003
2002
2001
2000
1999
                                     
Net Asset Value, beginning of year  
$
1.00000
$
1.00000
$
1.00000
$
1.00000
$
1.00000
  
Net investment income  
0.01076
0.02037
0.05258
0.05653
0.04836
  
Less dividends from net investment  
 
   income  
(0.01076
)
(0.02037
)
(0.05258
)
(0.05653
)
(0.04836
 )
Net Asset Value, end of year  
$
1.00000
$
1.00000
$
1.00000
$
1.00000
$
1.00000
  
                                     
Ratios/Supplemental Data:                                    
Net Assets, end of year                                    
   (000’s omitted)  
$
1,531,966
$
1,312,633
$
1,303,206
$
997,828
$
795,324
  
Ratio of expenses to average  
 
   net assets†  
0.40%
0.40%
0.40%
0.40%
0.40%
  
Ratio of net investment  
 
   income to average net assets†  
1.07%
2.03%
5.17%
5.69%
4.84%
  
Total return  
1.09%
2.06%
5.39%
5.80%
4.94%
  
                                     
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  
$
0.00978
$
0.01831
$
0.04898
$
0.05274
$
0.04457
  
Ratios:  
 
Expenses to average net assets†  
0.50%
0.59%
0.80%
0.79%
0.79%
  
Net investment income to average  
 
   net assets†  
0.97%
1.84%
4.77%
5.30%
4.45%
  
†  Includes the Fund’s share of Cash Reserves Portfolio’s allocated expenses.              
                                     
See notes to financial statements                                    

13

Citi Premium Liquid Reserves
R E P O R T   O F   I N D E P E N D E N T   A U D I TO R S

To the Trustees and the Shareholders of Citi Premium Liquid Reserves:

In our opinion, the accompanying statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Citi Premium Liquid Reserves (the “Fund”), a series of CitiFunds Premium Trust, at August 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of investments at August 31, 2003 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
October 16, 2003

 

 

14

Citi Premium Liquid Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited)

Information about Trustees and Officers The business and affairs of Citi Premium Liquid Reserves (the “Fund”) are managed under the direction of the Fund’s Board of Trustees. Information pertaining to the Trustees and officers of the Fund is set forth below. Each Trustee and officer holds office for his or her lifetime, unless that individual resigns, retires or is otherwise removed. The Statement of Additional Information includes additional information about Fund Trustees and is available, without charge, upon request by calling 1-800-451-2010.

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
NON-INTERESTED                    
TRUSTEES:                    
Elliott J. Berv   Trustee  
Since 2001
   President and Chief Opera-   35   Board
c/o R. Jay Gerken      
  tions Officer, Landmark City       Member,
Citigroup Asset      
  (real estate development)       American
Management      
  (since 2002); Executive Vice       Identity Corp.
399 Park Avenue      
  President and Chief Opera-       (doing
New York, NY 10022      
  tions Officer, DigiGym       business as
Age 60      
  Systems (on-line personal       Morpheus
       
  training systems) (since       Technologies)
       
  2001); Chief Executive       (biometric
       
  Officer, Rocket City       information
       
  Enterprises (internet service       management)
       
  company) (since 2000);       (since 2001;
       
  President, Catalyst (consulting)       consultant
       
  (since 1984).       since 1999);
       
          Director,
       
          Lapoint
       
          Industries
       
          (industrial fil-
       
          ter company)
       
          (since 2002);
       
          Director,
       
          Alzheimer’s
       
          Association
       
          (New England
       
          Chapter)
       
          (since 1998).
Donald M. Carlton   Trustee  
Since 2001
   Consultant, URS Corporation   30   Director,
c/o R. Jay Gerken      
  (engineering) (since 1999);       American
Citigroup Asset      
  former Chief Executive       Electric Power
Management      
  Officer, Radian International       (Electric
399 Park Avenue      
  L.L.C. (engineering) (from       Utility) (since
New York, NY 10022      
  1996 to 1998), Member of       1999);
Age 66      
  Management Committee,       Director,
       
  Signature Science (research       Valero Energy
       
  and development) (since       (petroleum
       
  2000).       refining)
       
          (since 1999);
       
          Director,
       
          National
       
          Instruments
       
          Corp. (tech-
       
          nology) (since
       
          1994).

15

Citi Premium Liquid Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
A. Benton Cocanougher   Trustee  
Since 2001
   Dean Emeritus and Wiley   30   Former Direc-
c/o R. Jay Gerken      
  Professor, Texas A&M       tor, Randall’s
Citigroup Asset      
  University (since 2001);       Food Markets,
Management      
  former Dean and Professor of       Inc. (from
399 Park Avenue      
  Marketing, College and       1990 to 1999);
New York, NY 10022      
  Graduate School of Business       former Direc-
Age 65      
  of Texas A & M University       tor, First
       
  (from 1987 to 2001).       American
       
          Bank
       
          and First
       
          American
       
          Savings Bank
       
          (from 1994 to
       
          1999).
Mark T. Finn   Trustee  
Since 2001
   Adjunct Professor, William &   35   Former Presi-
c/o R. Jay Gerken      
  Mary College (since Septem-       dent and
Citigroup Asset      
  ber 2002); Principal/Member,       Director, Delta
Management      
  Belvan Partners/Balfour       Financial, Inc.
399 Park Avenue      
  Vantage – Manager and       (investment
New York, NY 10022      
  General Partner to       advisory firm)
Age 60      
  the Vantage Hedge Fund, LP       (from 1983 to
       
  (since March 2002); Chair-       1999).
       
  man and Owner, Vantage        
       
  Consulting Group, Inc.        
       
  (investment advisory and        
       
  consulting firm) (since 1988);        
       
  former Vice Chairman and        
       
  Chief Operating Officer,        
       
  Lindner Asset Management        
       
  Company (mutual fund        
       
  company) (from March 1999        
       
  to 2001); former General        
       
  Partner and Shareholder,        
       
  Greenwich Ventures, LLC        
       
  (investment partnership)        
       
  (from 1996 to 2001); former        
       
  President, Secretary, and        
       
  Owner, Phoenix Trading Co.        
       
  (commodity trading advisory        
       
  firm) (from 1997 to 2000).        

16

Citi Premium Liquid Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Stephen Randolph Gross   Trustee  
Since 2001
   Partner, Capital Investment   30   Director,
c/o R. Jay Gerken      
  Advisory Partners (con-       United Telesis,
Citigroup Asset      
  sulting) (since January 2000);       Inc. (telecom-
Management      
  former Managing Director,       munications)
399 Park Avenue      
  Fountainhead Ventures, LLC       (since 1997);
New York, NY 10022      
  (consulting) (from 1998 to       Director,
Age 56      
  2002); Secretary, Carint N.A.       eBank.com,
       
  (manufacturing) (since 1988);       Inc. (since
       
  former Treasurer, Hank Aaron       1997); Direc-
       
  Enterprises (fast food       tor, Andersen
       
  franchise) (from 1985 to       Calhoun, Inc.
       
  2001); Chairman, Gross,       (assisted
       
  Collins & Cress, P.C.       living) (since
       
  (accounting firm) (since       1987); former
       
  1980); Treasurer, Coventry       Director,
       
  Limited, Inc. (since 1985).       Charter Bank,
       
          Inc. (from
       
          1987 to 1997);
       
          former Direc-
       
          tor, Yu Save,
       
          Inc. (internet
       
          company)
       
          (from 1998 to
       
          2000); former
       
          Director, Hot-
       
          palm, Inc.
       
          (wireless
       
          applications)
       
          (from 1998 to
       
          2000); former
       
          Director, Ikon
       
          Ventures, Inc.
       
          (from 1997 to
       
          1998).
Diana R. Harrington   Trustee  
Since 1992
   Professor, Babson College   35   Former
c/o R. Jay Gerken      
  (since 1993).       Trustee, The
Citigroup Asset      
          Highland
Management      
          Family of
399 Park Avenue      
          Funds (invest-
New York, NY 10022      
          ment com-
Age 63      
          pany) (from
       
          March 1997 to
       
          March 1998).
Susan B. Kerley   Trustee  
Since 1992
   Consultant, Strategic   35   Director,
c/o R. Jay Gerken      
  Management Advisors, LLC—       Eclipse Funds
Citigroup Asset      
  Global Research Associates,       (currently
Management      
  Inc. (investment consulting)       supervises 17
399 Park Avenue      
  (since 1990).       investment
New York, NY 10022      
          companies
Age 52      
          in fund com-
       
          plex) (since
       
          1990).

17

Citi Premium Liquid Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Alan G. Merten   Trustee  
Since 2001
   President, George Mason   30   Director,
c/o R. Jay Gerken      
  University (since 1996).       Comshare,
Citigroup Asset      
          Inc.
Management      
          (information
399 Park Avenue      
          technology)
New York, NY 10022      
          (since 1985);
Age 61      
          former
       
          Director, Indus
       
          (information
       
          technology)
       
          (from 1995 to
       
          1999).
C. Oscar Morong, Jr.   Trustee  
Since 1991
   Managing Director, Morong   35   Former Direc-
c/o R. Jay Gerken      
  Capital Management       tor, Indonesia
Citigroup Asset      
  (since 1993).       Fund
Management      
          (closed-end
399 Park Avenue      
          fund) (from
New York, NY 10022      
          1990 to 1999);
Age 68      
          Trustee, Mor-
       
          gan Stanley
       
          Institutional
       
          Fund
       
          (currently
       
          supervises 75
       
          investment
       
          companies)
       
          (since 1993).
R. Richardson Pettit   Trustee  
Since 2001
   Professor of Finance,   30   None
c/o R. Jay Gerken      
  University of Houston        
Citigroup Asset      
  (from 1977 to 2002);        
Management      
  Independent Consultant        
399 Park Avenue      
  (since 1984).        
New York, NY 10022      
           
Age 61      
           

18

Citi Premium Liquid Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Walter E. Robb, III   Trustee  
Since 2001
   President, Benchmark   35   Director, John
c/o R. Jay Gerken      
  Consulting Group, Inc.       Boyle & Co.,
Citigroup Asset      
  (service company) (since       Inc. (textiles)
   Management      
  1991); Sole Proprietor, Robb       (since 1999);
399 Park Avenue      
  Associates (financial       Director,
New York, NY 10022      
  consulting) (since 1978);       Harbor
Age 77      
  Co-owner, Kedron Design       Sweets, Inc.
       
  (gifts) (since 1978); former       (candy) (since
       
  President and Treasurer,       1990);
       
  Benchmark Advisors, Inc.       Director, W.A.
       
  (corporate financial       Wilde
       
  consulting) (from 1989 to       Co. (direct
       
  2000).       media market-
       
          ing) (since
       
          1982); Direc-
       
          tor, Alpha
       
          Grainger Man-
       
          ufacturing,
       
          Inc. (electron-
       
          ics) (since
       
          1983); former
       
          Trustee, MFS
       
          Family of
       
          Funds (invest-
       
          ment
       
          company)
       
          (from 1985 to
       
          2001); Har-
       
          vard Club of
       
          Boston (Audit
       
          Committee)
       
          (since 2001).
INTERESTED      
           
TRUSTEE:      
           
R. Jay Gerken*   Chairman,  
Since 2002
   President since 2002;   Chairman   N/A
Citigroup Asset   President  
  Managing Director, CGM   of the    
Management   and Chief  
  (since 1996); Chairman,   Board,    
399 Park Avenue   Executive  
  President and Chief Executive   Trustee or    
New York, NY 10022   Officer  
  Officer of Smith Barney Fund   Director    
Age 52      
  Management LLC (“SBFM”),   of 219    
       
  Travelers Investment Adviser,        
       
  Inc. (“TIA”) and Citi Fund        
       
  Management Inc. (“CFM”).        
OFFICERS:      
           
Lewis E. Daidone   Senior  
Since 2000
   Managing Director, CGM   N/A   N/A
125 Broad Street   Vice  
  (since 1990); former Chief        
New York, NY 10004   President  
  Financial Officer and        
Age 46   and Chief  
  Treasurer of certain mutual        
    Adminis-  
  funds associated with        
    trative  
  Citigroup Inc.; Director and        
    Officer  
  Senior Vice President of        
       
  SBFM and TIA; Director        
       
  of CFM.        

19

Citi Premium Liquid Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Frances M. Guggino   Controller  
Since 2002
   Vice President, Citigroup   N/A   N/A
125 Broad Street      
  Asset Management        
New York, NY 10004      
  (since 1991).        
Age 46      
           
Robert I. Frenkel   Secretary  
Since 2000
   Managing Director and   N/A   N/A
CAM   Chief  
Since 2003
   General Counsel, Global        
300 First Stamford Place   Legal       Mutual Funds for Citigroup        
Stamford, CT 06902   Officer       Asset Management (since        
Age 48           1994)        
* Mr. Gerken is an “interested person” of the Fund as defined in the 1940 Act because he is an
  officer of certain affiliates of the Manager.

20

Cash Reserves Portfolio    
P O R T F O L I O   O F  I N V E S T M E N T S
August 31, 2003
     
  Principal  
  Amount  
Issuer (000’s omitted)
Value
       
Asset Backed — 9.7%      
K2 USA LLC,*        
   1.07% due 04/07/04
$
140,000
$
139,991,691
   1.08% due 04/26/04
156,500
156,484,776
   1.07% due 05/18/04
75,000
74,989,636
Links Finance Corp.,*
   1.09% due 10/15/03
250,000
249,996,986
   1.08% due 03/15/04
200,000
199,988,299
   1.06% due 06/16/04
100,000
99,976,311
   1.07% due 07/15/04
400,000
399,930,492
Premier Asset Coll
   Entity Ltd.,*
   1.08% due 02/17/04
100,000
99,985,991
   1.08% due 04/26/04
100,000
99,993,515
   1.08% due 05/17/04
125,000
124,991,202
Sigma Finance Corp.,*
   1.07% due 01/05/04
150,000
149,994,750
   1.08% due 02/10/04
100,000
99,993,342
   1.07% due 04/05/04
500,000
499,970,192
   1.08% due 04/28/04
100,000
99,990,164
   1.08% due 04/30/04
250,000
249,975,205
   1.07% due 07/15/04
373,000
372,918,980
   1.07% due 08/17/04
250,000
249,939,566
Stanfield Victoria
   Finance Ltd.,*
   1.07% due 05/04/04
100,000
99,993,333
   1.08% due 06/01/04
100,000
99,988,892
   1.07% due 06/15/04
100,000
99,988,164
Whistlejacket
   Capital Ltd.,*
   1.09% due 02/17/04
90,000
89,995,878
   1.07% due 06/28/04
50,000
49,991,821
 
 
3,809,069,186
 
 
Certificates of Deposit
(Domestic) — 1.0%
Wells Fargo Bank,
   1.05% due 09/02/03
320,000
319,999,996
   1.06% due 10/03/03
89,000
88,999,985
 
 
408,999,981
 
 
Certificates of Deposit (Euro) — 11.6%
Barclays Bank,
   1.26% due 09/03/03
153,000
153,000,167
Barclays Bank London
   1.05% due 09/17/03
500,000
500,000,000
Credit Suisse London,
   1.09% due 12/22/03
250,000
250,000,000
HBOS,
   1.22% due 09/08/03
458,000
458,000,000
HBOS London,
   1.05% due 12/30/03
500,000
500,016,580
San Paulo Euro CD,
   1.05% due 12/24/03
175,000
175,000,000

  Principal  
  Amount  
Issuer (000’s omitted)
Value
Unicredito Italiano        
   1.06% due 10/07/03
$
750,000
$
750,000,000
   1.05% due 10/20/03
500,000
500,000,000
Westdeutsche
   Landesbank,
   1.07% due 10/07/03
1,300,000
1,300,006,482
 
 
4,586,023,229
       
         
Certificates of Deposit (Yankee) — 8.9%
Banco Bilbao,        
   1.08% due 12/26/03  
200,000
200,000,000
Bayerische Landesbank,  
   1.24% due 09/08/03  
172,000
172,000,000
   1.22% due 11/03/03  
100,000
100,006,958
BNP Paribas,  
   1.18% due 11/17/03  
350,000
350,000,000
Canadian Imperial  
   Bank,  
   1.25% due 10/22/03  
100,000
99,999,988
   1.04% due 10/28/03  
250,000
250,000,000
   1.06% due 03/11/04*  
200,000
199,985,490
Credit Agricole,  
   1.06% due 10/10/03  
250,000
250,000,000
Credit Lyonnais,  
   1.09% due 12/08/03  
400,000
400,010,849
Danske Bank,  
   1.04% due 09/29/03  
220,000
220,000,000
   1.04% due 09/30/03  
248,500
248,500,000
Royal Bank  
   Scotland PLC.,  
   1.06% due 10/10/03  
150,000
150,000,000
Toronto Dominion  
   Bank,  
   1.24% due 09/08/03  
100,000
100,000,000
   1.21% due 11/10/03  
200,000
200,003,803
   1.08% due 12/30/03  
91,000
91,005,984
Westdeutsche  
   Landesbank,  
   1.04% due 12/10/03  
388,000
388,000,000
   1.04% due 12/15/03  
100,000
100,000,000
   
   
3,519,513,072
   
   
Commercial Paper — 26.3%
Amstel Funding Corp.,  
   1.27% due 10/24/03  
219,000
218,590,531
   1.19% due 10/28/03  
100,081
99,892,431
   1.10% due 11/17/03  
100,000
99,764,722
   1.06% due 12/17/03  
182,316
181,741,603
   1.06% due 12/29/03  
321,193
320,067,575
Aquinas Funding LLC,  
   1.21% due 10/06/03  
100,000
99,882,361
Atlantis One Funding  
   Corp.,  
   1.05% due 10/28/03  
185,000
184,692,438

21

Cash Reserves Portfolio      
P O R T F O L I O   O F  I N V E S T M E N T S (Continued)
August 31, 2003
     
  Principal  
  Amount  
Issuer (000’s omitted)
Value
Commercial Paper — (cont’d)    
Atomium Funding Corp.,        
   1.07% due 09/09/03
$
70,738
$
70,721,180
   1.06% due 09/10/03
100,193
100,166,449
   1.05% due 10/09/03
95,652
95,545,986
   1.10% due 10/28/03
112,613
112,416,866
   1.09% due 11/06/03
128,873
128,615,462
   1.10% due 11/18/03
114,362
114,089,437
   1.06% due 11/21/03
125,000
124,701,875
Beethoven Funding
   Corp.,
   1.10% due 09/19/03
99,453
99,398,301
Clipper Receivables,
   1.24% due 09/05/03
100,000
99,986,222
   1.08% due 09/09/03
100,000
99,976,000
Compass
   Securitization,*
   1.063% due 09/05/03
150,000
149,999,860
   1.063% due 09/08/03
200,000
199,999,614
Credit Lyonnais,
   1.08% due 12/04/03
130,000
129,633,400
Danske Bank,
   1.04% due 12/16/03
100,000
99,693,778
Galleon Capital Corp.,
   1.24% due 09/05/03
100,000
99,986,222
GE Capital Corp.,
   1.21% due 09/05/03
100,000
99,986,556
   0.94% due 09/16/03
75,000
74,970,625
   1.20% due 09/24/03
200,000
199,846,667
Giro Funding U.S.
   Corp.,
   1.05% due 09/29/03
100,000
99,918,333
Goldman Sachs,
   1.05% due 11/26/03
353,500
352,613,304
Grampian Funding Ltd.,
   1.10% due 12/02/03
100,615
100,332,160
   1.09% due 12/12/03
210,000
209,351,450
   1.08% due 12/15/03
350,500
349,395,925
HBOS Treasury
   Services PLC.,
   1.09% due 12/29/03
150,000
149,462,021
KBC Financial Products,
   1.27 due 09/03/03
100,000
99,992,944
Mica Funding LLC,
   0.97% due 09/18/03
249,191
249,076,858
   1.06% due 09/19/03
50,131
50,104,431
   1.10% due 10/10/03
185,000
184,779,542
   1.07% due 10/21/03
250,000
249,628,472
   1.09% due 11/10/03
140,500
140,202,218
   1.10% due 11/21/03
150,000
149,628,750
Moat Funding LLC,
   1.25% due 09/05/03
100,000
99,986,111
   1.05% due 10/02/03
65,000
64,941,229
   1.05% due 10/03/03
100,000
99,906,667
   1.27% due 10/09/03
100,000
99,865,944
   1.20% due 11/19/03
200,000
199,473,333
   1.04% due 12/17/03
100,000
99,690,889

  Principal  
  Amount  
Issuer (000’s omitted)
Value
Nestle Capital Corp.,        
   1.18% due 09/03/03
$
100,000
$
99,993,444
   1.18% due 09/04/03
100,000
99,990,167
Nordeutsche
   Landesbank,
   1.07% due 12/08/03
100,000
99,708,722
Pennine Funding,
   1.25% due 09/02/03
141,500
141,495,087
Perry Global Funding,
   1.04% due 10/09/03
199,366
199,147,140
Prudential PLC.,
   1.20% due 10/10/03
100,000
99,870,000
Regency Markets LLC,
   1.09% due 09/19/03
210,882
210,767,069
Santander,
   1.10% due 12/24/03
190,000
189,341,175
Scaldis,
   1.06% due 09/15/03
678,743
678,463,207
   1.10% due 11/20/03
115,000
114,718,888
Silver Tower US
   Funding LLC,
   1.09% due 09/08/03
524,000
523,888,940
   1.12% due 09/17/03
282,000
281,859,626
   1.07% due 09/26/03
250,000
249,814,236
Surrey Funding Corp.,
   1.06% due 09/17/03
120,000
119,943,467
United Parcel Services,
   1.19% due 09/03/03
100,000
99,993,389
Victory Receivable
   Corp.,
   1.06% due 09/11/03
142,903
142,860,923
   1.10% due 09/15/03
132,100
132,043,491
   1.11% due 09/16/03
133,700
133,638,164
   1.11% due 10/21/03
111,277
111,105,448
   1.06% due 10/31/03
149,794
149,529,364
   1.10% due 11/12/03
141,216
140,905,325
 
 
10,371,794,014
 
   
 
Corporate Notes — 15.1%
Brahms Funding Corp.,
   1.13% due 09/04/03
300,000
299,971,750
   1.12% due 09/09/03
615,350
615,196,846
   1.12% due 09/10/03
199,000
198,944,280
   1.12% due 09/16/03
175,351
175,269,170
   1.13% due 09/25/03
113,161
113,075,752
   1.15% due 09/26/03
101,905
101,823,618
   1.15% due 10/14/03
80,437
80,326,511
Fenway Funding,
   1.15% due 09/12/03
193,493
193,425,009
   1.15% due 09/18/03
148,697
148,616,249
   1.15% due 09/19/03
73,325
73,282,838
   1.15% due 09/29/03
123,034
122,923,953
   1.15% due 10/03/03
247,500
247,247,000
   1.15% due 10/10/03
175,986
175,766,751
   1.15% due 10/24/03
245,000
244,585,201

22

Cash Reserves Portfolio      
P O R T F O L I O   O F  I N V E S T M E N T S (Continued)
August 31, 2003
       
  Principal  
  Amount  
Issuer (000’s omitted)
Value
Corporate Notes — (cont’d)    
Foxboro Funding Ltd.,        
   1.13% due 09/12/03
$
149,251
$
149,199,467
   1.15% due 10/15/03
136,856
136,663,641
   1.16% due 11/07/03
80,880
80,705,389
Harwood Funding
   Corp.,
   1.09% due 09/04/03
100,000
99,990,917
   1.10% due 09/18/03
311,961
311,798,954
   1.13% due 09/18/03
117,843
117,780,118
Mittens,
   1.13% due 09/02/03
100,000
99,996,861
   1.04% due 09/03/03
100,000
99,994,222
   1.05% due 09/03/03
100,000
99,994,167
   1.08% due 09/15/03
100,000
99,958,000
   1.13% due 09/15/03
150,000
149,934,083
   1.14% due 09/15/03
218,100
218,003,309
   1.13% due 09/24/03
100,000
99,927,806
   1.10% due 10/09/03
200,000
199,767,778
   1.13% due 10/14/03
99,000
98,866,377
   1.10% due 10/15/03
150,000
149,798,333
   1.11% due 10/15/03
48,400
48,334,337
   1.15% due 11/05/03
200,000
199,584,722
   1.15% due 11/06/03
175,000
174,631,042
Motown,
   1.06% due 10/24/03
107,000
106,833,021
Park Granada LLC,
   1.07% due 09/09/03
122,250
122,220,932
   1.08% due 09/09/03
35,000
34,991,600
   1.10% due 11/07/03
273,815
273,254,440
 
 
5,962,684,444
 
 
Master Notes — 2.8%
Morgan Stanley,
   1.33% due 09/02/03
850,000
850,000,000
Merrill Lynch,
   1.28% due 09/02/03
265,000
265,000,000
 
 
1,115,000,000
 
 
Medium Term Notes — 8.1%    
Blue Heron Funding,*
   1.14% due 10/17/03
500,000
500,000,000
   1.14% due 12/19/03
175,000
175,000,000
   1.14% due 02/25/04
105,000
105,000,000
   1.14% due 03/19/04
200,000
200,000,000
   1.14% due 05/19/04
438,750
438,750,000
   1.14% due 05/28/04
180,000
180,000,000
Credit Suisse
   First Boston,*
   1.12% due 03/08/04
450,000
450,000,000
General Electric
   Capital Corp.,*
   1.19% due 07/09/07
500,000
500,000,000
   1.14% due 10/17/07
350,000
350,000,000

  Principal  
  Amount  
Issuer (000’s omitted)
Value
Merrill Lynch & Co.        
   Inc.,*        
   1.24% due 01/09/04
$
300,000
$
299,988,612
 
 
3,198,738,612
 
 
Promissory Note — 3.5%
Goldman Sachs,
1.22% due 02/24/04
1,400,000
1,400,000,000
 
 
Time Deposits — 4.2%
Chase Manhattan
   Bank Nassau,
   1.00% due 09/02/03
300,000
300,000,000
Credit Suisse
   First Boston,
   1.05% due 10/01/03
800,000
800,000,000
Keybank National
   Grand Cayman,
   1.00% due 09/02/03
288,337
288,337,000
National City Bank
   Grand Cayman,
   1.00% due 09/02/03
250,000
250,000,000
 
 
1,638,337,000
 
 
United States
Government Agency — 8.7%
Federal Home Loan
   Mortgage
   Association,
   1.00% due 10/30/03
100,000
99,836,111
Federal Home Loan
   Mortgage
   Association,
   1.00% due 10/31/03
200,000
199,666,667
Federal Home Loan
   Mortgage
   Association,
   1.08% due 11/21/03
500,000
498,785,000
Federal Home Loan
   Mortgage
   Association,
   1.08% due 12/09/03
89,250
88,984,928
Federal Home Loan
   Mortgage
   Association,
   1.08% due 12/15/03
388,643
387,418,775
Federal Home Loan
   Mortgage
   Association,
   1.04% due 12/19/03
285,000
284,102,567
Federal Home Loan
   Mortgage
   Association,
   1.08% due 12/19/03
200,000
199,346,000

23

Cash Reserves Portfolio      
P O R T F O L I O   O F  I N V E S T M E N T S (Continued)
August 31, 2003
     
  Principal
 
  Amount    
Issuer (000’s omitted)  
Value
United States          
Government Agency — (cont’d)  
Federal Home Loan          
   Mortgage          
   Association,          
   1.04% due 12/22/03
$
500,000
  
$
498,382,222
Federal Home Loan
 
   Mortgage
 
   Association,
 
   1.10% due 12/22/03
550,000
  
548,117,778
Federal National
 
   Mortgage
 
   Association,
 
   1.08% due 12/16/03
150,000
  
149,525,208
Federal National
 
   Mortgage
 
   Association,*
 
   1.01% due 01/28/05
228,000
  
227,903,310
Federal National
 
   Mortgage
 
   Association,*
 
   1.05% due 02/18/05
235,130
  
235,060,798
 
 
 
 
3,417,129,364
 
 
Total Investments,
 
   at Amortized Cost
99.9
 %
39,427,288,902
Other Assets,
 
      Less Liabilities
0.1
  
19,804,938
 
 
 
 
Net Assets
100.0
 %
$
39,447,093,840
   
   
 
 
* Variable interest rates—subject to periodic
   change.          
           
See notes to financial statements      

24

Cash Reserves Portfolio          
S T A T E M E N T  O F  A S S E T S  A N D  L I A B I L I T I E S    
           
August 31, 2003            
 
Assets:            
Investments at value (Note 1A)    
$
39,427,288,902
  
Cash      
512
  
Interest receivable      
24,256,632
  
 
   Total assets      
39,451,546,046
  
 
Liabilities:      
 
Management fees payable (Note 2)  
3,113,186
  
Accrued expenses and other liabilities  
1,339,020
  
 
   Total liabilities      
4,452,206
  
 
Net Assets      
$
39,447,093,840
  
 
Represented by:      
 
Paid-in capital for beneficial interests  
$
39,447,093,840
  
 
       
 
See notes to financial statements    
 

25

Cash Reserves Portfolio            
S T A T E M E N T  O F   O P E R A T I O N S      
           
For the Year Ended August 31, 2003          
Interest Income (Note 1B):  
$
663,606,463
     
Expenses:    
Management fees (Note 2)  
$
66,705,349
Custody and fund accounting fees  
8,555,695
Trustees’ fees    
692,498
Legal fees    
253,408
Audit fees    
40,415
Other    
31,171
   Total expenses    
76,278,536
Less: aggregate amounts waived by the Manager (Note 2)
(31,802,902
)
Less: fees paid indirectly (Note 1F)  
(473
)
   Net expenses    
44,475,161
Net investment income    
$
619,131,302
     
See notes to financial statements  

26

Cash Reserves Portfolio                
S T A T E M E N T S  O F  C H A N G E S  I N  N E T  A S S E T S  
               
     
Year Ended August 31,
     
     
2003
2002
Increase (Decrease) in Net Assets              
   from Operations:                  
Net investment income    
$
619,131,302
$
1,026,102,717
Capital Transactions:    
Proceeds from contributions    
95,248,125,837
96,678,280,874
Value of withdrawals    
(101,427,035,864
)
(84,770,853,952
)
Net increase (decrease) in net assets from
   capital transactions    
(6,178,910,027
 )
11,907,426,922
Net Increase (Decrease) in Net Assets
(5,559,778,725
 )
12,933,529,639
Net Assets:    
Beginning of year    
45,006,872,565
  
32,073,342,926
End of year    
$
39,447,093,840
  
$
45,006,872,565
     
See notes to financial statements  

27

Cash Reserves Portfolio
N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

1. Significant Accounting Policies Cash Reserves Portfolio (the “Portfolio”) is registered under the U.S. Investment Company Act of 1940, as amended (the “1940 Act”), 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. Citi Fund Management Inc. (the “Manager”) acts as the Investment Manager.

     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, in accordance with Rule 2a-7 under the 1940 Act. 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 its compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.

     B. Interest Income and Expenses Interest 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. The Portfolio bears all costs of its operations other than expenses specifically assumed by the Administrator.

     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 agreement investments. Additionally, procedures have been established to monitor, on a daily basis, the market value of the repurchase agreements’ 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.

     F. 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.

28

Cash Reserves Portfolio
N O T E S   T O   F I N A N C I A L   S T A T E M E N T S (Continued)

2. Management Fees The Manager is responsible for overall management of the Portfolio’s business affairs, and has a Management Agreement with the Portfolio. The Manager or an affiliate also provides certain administrative services to the Portfolio. These administrative services include providing general office facilities and supervising the overall administration of the Portfolio.

     The management fees paid to the Manager are accrued daily and payable monthly. The management fee is computed at an annual rate of 0.15% of the Funds’ average daily net assets. The management fee amounted to $66,705,349 of which $31,802,902 was voluntarily waived for the year ended August 31, 2003. The Portfolio pays no compensation directly to any Trustee or any officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Portfolio from the Manager or its affiliates. Certain of the officers and a Trustee of the Portfolio are officers and a director of the Manager or its affiliates.

3. Investment Transactions Purchases, maturities and sales of money market instruments aggregated $708,198,861,551 and $714,004,635,617, respectively, for the year ended August 31, 2003.

4.Trustee Retirement Plan The Trustees of the Fund have adopted a Retirement Plan for all Trustees who are not “interested persons” of the Fund, within the meaning of the 1940 Act. Under the Plan, all Trustees are required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attains age 75 (certain Trustees who had already attained age 75 when the Plan was adopted are required to retire effective December 31, 2003). Trustees may retire under the Plan before attaining the mandatory retirement age. Trustees who have served as Trustee of the Trust or any of the investment companies associated with Citigroup for at least ten years when they retire are eligible to receive the maximum retirement benefit under the Plan. The maximum retirement benefit is an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the calendar year ending on or immediately prior to the applicable Trustee’s retirement. Amounts under the Plan may be paid in installments or in a lump sum (discounted to present value). The Fund’s allocable share of the expenses of the Plan for the year ended August 31, 2003 and the related liability at August 31, 2003 was not material.

29

Cash Reserves Portfolio                              
F I N A N C I A L  H I G H L I G H T S                          
                               
                               
   
Year Ended August 31,
   
   
2003
2002
2001
2000
1999
   
                                 
Ratios/Supplemental Data:                              
Net assets (000’s omitted)
$
39,447,094
$
45,006,873
$
32,073,343
$
14,392,341
$
14,929,345
  
Ratio of expenses to  
 
   average net assets  
0.10%
0.10%
0.10%
0.10%
0.10%
  
Ratio of net investment  
 
    income to average net assets
1.39%
2.29%
5.27%
5.93%
5.13%
  
Total return  
1.49%
2.36%
N/A
N/A
N/A
  
Note: If agents of the Portfolio had not voluntarily waived a portion of their fees for the years indicated,
the ratios would have been as follows:                              
Ratios:                                
Expenses to average net assets  
0.17%
0.19%
0.22%
0.22%
0.22%
  
Net investment income    
 
   to average net assets    
1.32%
2.20%
5.15%
5.81%
5.01%
  
                                 
See notes to financial statements                              

30

Cash Reserves Portfolio
R E P O R T   O F   I N D E P E N D E N T   A U D I TO R S

To the Trustees and Investors of
Cash Reserves Portfolio:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Cash Reserves Portfolio (the “Portfolio”) at August 31, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2003 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
October 16, 2003

31

Cash Reserves Portfolio
A D D I T I O N A L   I N F O R M A T I O N (Unaudited)

     Information about the Trustees and Officers of the Portfolio can be found on pages 15 through 20 of this report.

 

 

32

Trustees
Elliott J. Berv
Donald M. Carlton
A. Benton Cocanougher
Mark T. Finn
R. Jay Gerken, CFA, Chairman*
Stephen Randolph Gross
Diana R. Harrington
Susan B. Kerley
Alan G. Merten
C. Oscar Morong, Jr.
R. Richardson Pettit
Walter E. Robb, III
 
Officers
R. Jay Gerken, CFA*
President and
Chief Executive Officer
 
Lewis E. Daidone*
Senior Vice President
and Chief Administrative Officer
 
Frances M. Guggino*
Controller
 
Robert I. Frenkel*
Secretary and Chief Legal Officer
 
*Affiliated Person of Investment Manager
 
Investment Manager
(of Cash Reserves Portfolio)
Citi Fund Management Inc.
100 First Stamford Place
Stamford, CT 06902
 
Distributor
Citigroup Global Markets Inc.
 
Transfer Agent
Citicorp Trust Bank, fsb.
125 Broad Street, 11th Floor
New York, New York 10004
 
Sub-Transfer Agent and Custodian
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
 
Independent Auditors
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
 
Legal Counsel
Bingham McCutchen LLP
150 Federal Street
Boston, MA 02110

 

 

 

 

 

 

 

 

This report is prepared for the information of shareholders of Citi Premium Liquid Reserves. It is
authorized for distribution to prospective investors only when preceded or accompanied by an
effective prospectus of Citi Premium Liquid Reserves.

©2003 Citicorp
Citigroup Global Markets Inc.
  
 
CFA/PLR/803
  
 
03-5435
  

 

 

 

CitiSM
Premium
U.S. Treasury
Reserves
ANNUAL REPORT
AUGUST 31, 2003

 

 

 

 

 

 

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

 

T A B L E   O F   C O N T E N T S    
     
Letter From the Chairman
1
  
 
Manager Overview
2
  
 
Fund Facts
4
  
 
Fund Performance
5
  
 
   
Citi Premium U.S. Treasury Reserves
    
   
Statement of Assets and Liabilities
 6  
 
Statement of Operations
 7  
 
Statements of Changes in Net Assets
 8  
 
Notes to Financial Statements
 9  
 
Financial Highlights
 11  
 
Independent Auditors’ Report
 12  
 
Additional Information
 13  
 
   
U.S. Treasury Reserves Portfolio
    
   
Portfolio of Investments
 19  
 
Statement of Assets and Liabilities
 20  
 
Statement of Operations
 21  
 
Statements of Changes in Net Assets
 22  
 
Notes to Financial Statements
 23  
 
Financial Highlights
 25  
 
Independent Auditors’ Report
 26  
 
Additional Information
 27  
 

 

L E T T E R   F R O M   T H E   C H A I R M A N

Dear Shareholder,

The philosopher Bertrand Russell famously remarked that, “Change is one thing, progress is another.” You will notice in the following pages that we have begun to implement some changes to your shareholder report, and we will be reflecting other changes in future reports. Our aim is to make meaningful improvements in reporting on the management of your Fund and its performance, not just to enact change for change’s sake. Please bear with us during this transition period.

We know that you have questions about fund managers’ decisions and plans, and we want to be sure that you have easy access to the information you need. Keeping investors informed is, and always will be, one of my top priorities as Chairman of your Fund.

  
   R. JAY GERKEN, CFA
   Chairman, President and
   Chief Executive Officer

We invite you to read this report in full. Please take the opportunity to talk to your financial adviser about this report or any other questions or concerns you have about your Fund and your financial future. As always, thank you for entrusting your assets to us. We look forward to helping you continue to meet your financial goals. Please read on to learn more about your Fund’s performance and the Manager’s strategy.

Sincerely,

R. Jay Gerken, CFA
Chairman, President and Chief Executive Officer

September 4, 2003

 

 

 

 

 

1

 

M A N A G E R   O V E R V I E W

Performance Review

As of August 31, 2003, the seven-day current yield for CitiSM Premium U.S. Treasury Reserves (“Fund”) was 0.51% and its seven-day effective yield, which reflects compounding, was also 0.51%. These numbers are the same due to the effects of rounding. The seven-day effective yield is calculated similarly to the seven-day current yield but, when annualized, the income earned by an investment in the Fund is assumed to be reinvested. The effective yield typically will be slightly higher than the current yield because of the compounding effect of the assumed reinvestment. Please note that your investment is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

Interest Rates Hit 45-Year Low

Short-term interest rates and yields of U.S. Treasury billsi declined sharply during the Fund’s fiscal year ended August 31 as the Federal Reserve Board and the Bush Administration implemented aggressive measures to stimulate renewed economic growth.

When the year began, the economic outlook appeared mixed. Although consumers continued to spend at a relatively robust pace, U.S. corporations reined in capital spending as the effects of a persistently declining stock market and high-profile accounting scandals took their toll on investor confidence and overall business activity. In addition, rising tensions in the Middle East and elsewhere contributed to generally cautious attitudes among corporate executives. As a result, the U.S. economy expanded, but sluggishly.

The economy’s struggles prompted the Fed to cut short-term interest rates in early November 2002 by a larger-than-expected 0.5 percentage points, signaling the central bank’s commitment to boosting economic activity. Although the November rate cut was the first of 2002, it was the twelfth of the aggressive rate-reduction campaign that began in January 2001, and U.S. Treasury bill yields continued to fall. However, economic growth failed to accelerate meaningfully, despite some encouraging signs toward year-end 2002, including a surge in mortgage refinancings that put cash in consumers’ pockets. Corporations remained cautious as it became clearer early in 2003 that the United States and its allies were likely to go to war in Iraq. In effect, the economy adopted a “wait and see” attitude. Even the Fed indicated at its March 2003 meeting that it could not adequately assess prevailing economic risks because of the geopolitical situation.

After the war began in late March, it soon became clear that the military campaign would be successful and Saddam Hussein would be deposed. As major combat operations wound down, consumers and businesses became increasingly optimistic. Improving sentiment was reinforced by legislation enacting federal tax cuts, including a reduction in taxes on capital gains and dividends. For its part, the Fed cut short-term interest rates by another 0.25 percentage points in late June, driving the federal funds rateii to just 1%, its lowest level since the Eisenhower Administration, and yields of U.S. Treasury bills continued to fall. However, because the federal budget deficit is widening, the U.S. Treasury is issuing a greater volume of securities, including Treasury bills, to fund its operations.

2

 

By the end of August evidence of a sustainable economic improvement emerged. Stronger retail sales, rising domestic consumption and increasing export activity contributed to a relatively robust 3.3% annualized growth rate in GDP (gross domestic product)iii during the second quarter of 2003. However, to forestall potential deflationary forces, the Fed indicated that it was likely to leave short-term interest rates at prevailing low levels for the foreseeable future.

Anticipating a New Economic Climate

In this challenging market environment, we maintained a generally cautious investment posture. While interest rates fell during the first ten months of the reporting period, we set the Fund’s weighted average maturity in a range that we considered neutral to slightly longer than average. This strategy enabled us to maintain prevailing rates for as long as we deemed practical, while giving us the flexibility required to respond to changing market conditions. In addition, the Fund’s holdings generally were concentrated in shorter maturities because there was little incentive to extend out on the yield curve. In fact, there were times during the reporting period when longer-term yields on U.S. Treasury bills were lower than their shorter-term counterparts.

As of the end of August, we have begun to see evidence that the market may be anticipating higher short-term interest rates. While we do not expect the Fed to raise their target for the fed funds rate anytime soon, we are prepared to adjust our strategies as market conditions change.

Thank you for your investment in CitiSM Premium U.S. Treasury Reserves. We appreciate that you have entrusted us to manage your money, and we value our relationship with you.

Sincerely,

Denise Guetta
Portfolio Manager

September 5, 2003

 

The information provided in this letter by the Manager is not intended to be a forecast of future events, a guarantee of future results or investment advice.Views expressed may differ from those of the firm as a whole.

Portfolio holdings and breakdowns are as of August 31, 2003 and are subject to change. Please refer to page 19 for a list and percentage breakdown of the Fund’s holdings.

i
U.S.Treasury bills are backed by the full faith and credit of the United States government and offer
  return of principal value if held to maturity.Treasury bills have maturities of one year or less and prior
  to maturity will fluctuate with market conditions and interest rate changes.
ii The federal funds rate is the interest rate that banks with excess reserves at a Federal Reserve dis-
  trict bank charge other banks that need overnight loans.The fed funds rate often points to the direc-
  tion of U.S. interest rates.
iii Gross Domestic Product is a market value of goods and services produced by labor and property in
  a given country.

3

 

F U N D  F A C T S

Fund Objective
To provide its shareholders with liquidity and as high a level of current income from U.S. government obligations as is consistent with the preservation of capital.

Investment Manager
Dividends
Citi Fund Management Inc. Declared daily, paid monthly
     
Commencement of Operations Benchmark*
March 1, 1991 • Lipper S&P AAA rated U.S.
    Treasury Money Market
    Funds Average
     
Net Assets as of 8/31/03 • iMoneyNet, Inc.
$372.8 million   100% U.S. Treasury Rated Money
    Market Funds Average
   
* The Lipper Funds Average and iMoneyNet, Inc. Funds Average reflect the performance (exclud-
  ing sales charges) of mutual funds with similar objectives.
   
  Citi is a service mark of Citicorp.

4

 

F U N D   P E R F O R M A N C E
Total Returns

  One Five Ten
All Periods Ended August 31, 2003
 Year Years* Years*
             
Citi Premium U.S.Treasury Reserves 0.85 % 3.36 % 3.98 %
Lipper S&P AAA rated U.S.Treasury Money Market            
   Funds Average 0.58 % 3.18 % 3.89 %
iMoneyNet, Inc. 100% U.S.Treasury Rated Money            
   Market Funds Average 0.65 % 3.21 % 3.85 %
             
*Average Annual Total Return            
             
             
7-DayYields            
Annualized Current 0.51%            
Effective 0.51%            

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 that seven-day period is assumed to be reinvested. The effective yield may be 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.

Important Tax Information—For the fiscal year ended August 31, 2003 the Fund paid $0.00848 per share to shareholders from net investment income. For such period, 100% of income dividends paid were derived from interest earned from U.S. Treasury Bills, Notes and Bonds.

Comparison of 7-Day Yields for Citi Premium U.S. Treasury Reserves vs. iMoneyNet, Inc. 100% U.S. Treasury Rated Money Market Funds Average

As illustrated, Citi Premium U.S. Treasury Reserves generally provided an annualized seven-day yield comparable to the iMoneyNet, Inc. 100% U.S. Treasury Rated Money Market Funds Average, as published in iMoneyNet, Inc. Money Fund Report™, for the one-year period.

Note: Although money market funds seek to maintain the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. 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.

5

 

Citi Premium U.S. Treasury Reserves            
S T A T E M E N T  O F  A S S E T S   A N D  L I A B I L I T I E S      
               
August 31, 2003            
 
Assets:                
Investment in U.S.Treasury Reserves Portfolio, at value (Note 1) $ 373,176,593  
 
Liabilities:            
Dividends payable     88,884  
Management fees payable (Note 3)       77,823  
Distribution/Service fees payable (Note 4)       38,912  
Accrued expenses and other liabilities       148,204  
 
   Total liabilities       353,823  
 
Net Assets for 372,822,706 shares of beneficial interest outstanding $ 372,822,770  
 
Net Assets Consist of:        
Paid-in capital $ 372,822,706  
Accumulated net gain on investments         64  
 
   Total       $ 372,822,770  
 
Net Asset Value, Offering Price and Redemption Price Per Share   $ 1.00  
 
                 
See notes to financial statements              

6

 

Citi Premium U.S. Treasury Reserves            
S T A T E M E N T  O F   O P E R A T I O N S        
             
For The Year Ended August 31, 2003            
 
                 
Investment Income (Note 1A):            
Income from U.S.Treasury Reserves Portfolio
$
7,135,170
 
Allocated expenses from U.S.Treasury Reserves Portfolio
(531,397
)
 
 
     
$
6,603,773
  
Expenses:  
 
Management fees (Note 3)  
1,064,444
 
Distribution/Service fees (Note 4)  
532,222
 
Legal fees  
88,637
 
Transfer agent fees  
53,120
 
Shareholder reports  
41,268
 
Blue sky fees  
34,759
 
Audit fees  
21,384
 
Custody and fund accounting fees  
10,383
 
Trustees’ fees  
6,835
 
Miscellaneous    
10,254
 
 
   Total expenses    
1,863,306
  
 
Net investment income  
4,740,467
  
Net Realized Gain on Investments from U.S.Treasury Reserves Portfolio
106,350
  
 
Net Increase in Net Assets Resulting from Operations
$
4,846,817
  
 
     
 
See notes to financial statements  
 

7

 

Citi Premium U.S. Treasury Reserves    
S TA T E M E N T S   O F   C H A N G E S  I N  N E T   A S S E T S
  
Year Ended August 31,
 
2003
2002
Increase in Net Assets from Operations:            
Net investment income
$
4,740,467
  
$
 8,059,603  
Net realized gain on investments
106,350
     —  
Net increase in net assets from operations
4,846,817
     8,059,603  
From Investment Activities:
       
Declared as dividends to shareholders (Note 2):
(4,846,753
 )   (8,059,603 )
Transactions in Shares of Beneficial Interest at
       
Net Asset Value of $1.00 Per Share (Note 5):
       
Proceeds from sale of shares
2,714,513,499
     2,298,464,517  
Net asset value of shares issued to shareholders
       
from reinvestment of dividends
3,053,119
     4,334,876  
Cost of shares repurchased
(3,068,852,406
 )   (1,999,448,005 )
Net increase (decrease) in net assets resulting from
       
transactions in shares of beneficial interest
(351,285,788
 )   303,351,388  
Net Increase (Decrease) in Net Assets
(351,285,724
 )   303,351,388  
Net Assets:
       
Beginning of year
724,108,494
     420,757,106  
End of year
$
372,822,770
  
$
 724,108,494  
             
See notes to financial statements            

8

 

Citi Premium U.S. Treasury Reserves
N O T E S   T O   F I N A N C I A L  S T A T E M E N T S

1. Significant Accounting Policies Citi Premium U.S. Treasury Reserves (the “Fund”) is a diversified separate series of CitiFunds Premium Trust (the “Trust”), a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), 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 Citi Fund Management Inc. (the “Manager”) serves as Investment Manager. The value of such investment reflects the Fund’s proportionate interest (25.6% at August 31, 2003) in the net assets of the Portfolio. Citigroup Global Markets Inc. is the Fund’s Distributor.

     The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America 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 Income The Fund earns income, net of Portfolio expenses, daily on its investment in the Portfolio.

     B. FederalTaxes 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 the Manager. 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 2:00 p.m. Eastern 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.

3. Management Fees The management fees are computed at an annual rate of 0.20% of the Fund’s average daily net assets. The management fees paid to the Manager amounted to $1,064,444 for the year ended August 31, 2003. The Trust pays no compensation directly to any Trustee or any officer who is affiliated with the Manager, all of

9

 

Citi Premium U.S. Treasury Reserves
N O T E S   TO   F I N A N C I A L   S T A T E M E N T S (Continued)

whom receive remuneration for their services to the Fund from the Manager or its affiliates. Certain of the officers and a Trustee of the Trust are officers and a director of the Manager or its affiliates.

4. Distribution/Service Fees The Fund adopted a Service Plan pursuant to Rule 12b-1 under the 1940 Act. The Service Plan allows the Fund to pay monthly fees at an annual rate not to exceed 0.10% of the average daily net assets. The Service fees paid amounted to $532,222 for the year ended August 31, 2003. These fees may be used to make payments to the Distributor and to Service Agents or others as compensation for the sale of Fund shares or for advertising, marketing or other promotional activity, and for preparation, printing and distribution of prospectuses, statements of additional information and reports for recipients other than regulators and existing shareholders. The Fund may also make payments to the Distributor and others for providing personal service or the maintenance of shareholder accounts.

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 (par value $0.00001 per share).

6. Investment Transactions Increases and decreases in the Fund’s investment in the Portfolio aggregated $2,106,287,853 and $2,464,732,537, respectively, for the year ended August 31, 2003.

7. Income Tax Information and Distributions to Shareholders

At August 31, 2003 the tax basis components of distributable earnings were:

 
Undistributed ordinary income
$
90,066
  
 
The tax character of distributions paid during the year was:
   
 
Ordinary income
$
 4,846,753  
 

8.Trustee Retirement Plan The Trustees of the Fund have adopted a Retirement Plan for all Trustees who are not “interested persons” of the Fund, within the meaning of the 1940 Act. Under the Plan, all Trustees are required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attains age 75 (certain Trustees who had already attained age 75 when the Plan was adopted are required to retire effective December 31, 2003). Trustees may retire under the Plan before attaining the mandatory retirement age. Trustees who have served as Trustee of the Trust or any of the investment companies associated with Citigroup for at least ten years when they retire are eligible to receive the maximum retirement benefit under the Plan. The maximum retirement benefit is an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the calendar year ending on or immediately prior to the applicable Trustee’s retirement. Amounts under the Plan may be paid in installments or in a lump sum (discounted to present value). The Fund’s allocable share of the expenses of the Plan for the year ended August 31, 2003 and the related liability at August 31, 2003 was not material.

10

 

Citi Premium U.S. Treasury Reserves                          
F I N A N C I A L   H I G H L I G H T S              
                     
 
Year Ended August 31,
 
 
2003
2002
2001
2000
1999
                               
Net Asset Value, beginning of year $ 1.00000   $ 1.00000   $ 1.00000   $ 1.00000   $ 1.00000  
Net investment income   0.00848     0.01689     0.04778     0.05049     0.04195  
Less dividends from net investment                              
      income   (0.00848 )   (0.01689 )   (0.04778 )   (0.05049 )   (0.04195 )
Net Asset Value, end of year $ 1.00000   $ 1.00000   $ 1.00000   $ 1.00000   $ 1.00000  
                               
Ratios/Supplemental Data:                              
Net assets, end of year                              
      (000's omitted) $ 372,823   $ 724,108   $ 420,757   $ 340,433   $ 237,520  
Ratio of expenses to average                              
      net assets†   0.45 %   0.45 %   0.45 %   0.45 %   0.45 %
Ratio of net investment income to                              
      average net assets†   0.91 %   1.67 %   4.76 %   5.12 %   4.21 %
Total return   0.85 %   1.70 %   4.88 %   5.17 %   4.28 %
                               
Note: If Agents of the Fund and agents of U.S.Treasury Reserves Portfolio had not waived all or a por-  
tion of their fees during the years indicated, the net investment income per share and the ratios would  
have been as follows:                              
                               
Net investment income per share $ 0.00732   $ 0.01564   $ 0.04438   $ 0.04678   $ 0.03836  
Ratios:                              
Expenses to average net assets†   0.53 %   0.64 %   0.84 %   0.83 %   0.81 %
Net investment income to average                              
      net assets†   0.83 %   1.49 %   4.37 %   4.74 %   3.85 %
                               
†  Includes the Fund’s share of U.S.Treasury Reserves Portfolio’s allocated expenses.        
                               
See notes to financial statements                              

11

 

Citi Premium U.S. Treasury Reserves
I N D E P E N D E N T   A U D I TO R S ’   R E P O R T

To the Trustees and Shareholders of
Citi Premium U.S. Treasury Reserves:

     We have audited the accompanying statement of assets and liabilities of Citi Premium U.S. Treasury Reserves of CitiFunds Premium Trust (the “Trust”) (a Massachusetts business trust) as of August 31, 2003, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the three year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the years in the two year period ended August 31, 2000 were audited by other auditors whose report thereon, dated October 4, 2000, expressed an unqualified opinion on the financial highlights.

     We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

     In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Citi Premium U.S. Treasury Reserves of CitiFunds Premium Trust as of August 31, 2003, and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the three year period then ended, in conformity with accounting principles generally accepted in the United States of America.

New York, New York
October 13, 2003

 

 

12

 

Citi Premium U.S. Treasury Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited)

Information about Trustees and Officers The business and affairs of the Citi Premium U.S. Treasury Reserves (the “Fund”) are managed under the direction of the Fund’s Board of Trustees. Information pertaining to the Trustees and officers of the Fund is set forth below. Each Trustee and officer holds office for his or her lifetime, unless that individual resigns, retires or is otherwise removed. The Statement of Additional Information includes additional information about Fund Trustees and is available, without charge, upon request by calling 1-800-451-2010.

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age
   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
NON-INTERESTED                    
TRUSTEES:                    
Elliott J. Berv   Trustee  
Since 2001
   President and Chief Operations  
35
   Board
c/o R. Jay Gerken      
  Officer, Landmark City (real       Member,
Citigroup Asset      
  estate development) (since       American
Management      
  2002); Executive Vice       Identity Corp.
399 Park Avenue      
  President and Chief Operations       (doing
New York, NY 10022      
  Officer, DigiGym Systems       business as
Age 60      
  (on-line personal training       Morpheus
       
  systems) (since 2001); Chief       Technologies)
       
  Executive Officer, Rocket City       (biometric
       
  Enterprises (internet service       information
       
  company) (since 2000);       management)
       
  President, Catalyst (consulting)       (since 2001;
       
  (since 1984).       consultant
       
          since 1999);
       
          Director,
       
          Lapoint
       
          Industries
       
          (industrial fil-
       
          ter company)
       
          (since 2002);
       
          Director,
       
          Alzheimer’s
       
          Association
       
          (New England
       
          Chapter)
       
          (since 1998).
Donald M. Carlton   Trustee  
Since 2001
   Consultant, URS Corporation  
30
   Director,
c/o R. Jay Gerken      
  (engineering) (since 1999);       American
Citigroup Asset      
  former Chief Executive Officer,       Electric Power
Management      
  Radian International L.L.C.       (Electric
399 Park Avenue      
  (engineering) (from 1996 to       Utility) (since
New York, NY 10022      
  1998), Member of Management      
1999);
Age 66      
  Committee, Signature Science       Director,
       
  (research and development)       Valero Energy
       
  (since 2000).       (petroleum
       
          refining)
       
          (since 1999);
                    Director,
                    National
                    Instruments
                    Corp. (tech-
                    nology) (since
                   
1994).

13

 

Citi Premium U.S. Treasury Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board  
            Principal   Portfolios In   Memberships  
    Position(s)   Length   Occupation(s)   Fund Complex   Held by  
    Held with   of Time   During Past   Overseen by   Trustee During  
Name, Address and Age
  Fund   Served   Five Years   Trustee   Past Five Years  
 
 
 
 
 
 
A. Benton Cocanougher   Trustee  
Since 2001
   Dean Emeritus and Wiley  
30
   Former Direc-  
c/o R. Jay Gerken      
  Professor, Texas A&M  
  tor, Randall’s  
Citigroup Asset      
  University (since 2001);  
  Food Markets,  
Management      
  former Dean and Professor of  
  Inc. (from  
399 Park Avenue      
  Marketing, College and  
 
1990 to 1999);
  
New York, NY 10022      
  Graduate School of Business  
  former Direc-  
Age 65      
  of Texas A & M University  
  tor, First  
       
  (from 1987 to 2001).  
  American  
       
     
  Bank  
       
     
  and First  
       
     
  American  
       
     
  Savings Bank  
       
     
  (from 1994 to  
       
     
 
1999).
  
Mark T. Finn   Trustee  
Since 2001
   Adjunct Professor, William &  
35
   Former Presi-  
c/o R. Jay Gerken      
  Mary College (since Septem-  
  dent and  
Citigroup Asset      
  ber 2002); Principal/Member,  
  Director, Delta  
Management      
  Belvan Partners/Balfour  
  Financial, Inc.  
399 Park Avenue      
  Vantage – Manager and  
  (investment  
New York, NY 10022      
  General Partner to  
  advisory firm)  
Age 60      
  the Vantage Hedge Fund, LP  
  (from 1983 to  
       
  (since March 2002); Chair-  
 
1999).
  
       
  man and Owner, Vantage          
       
  Consulting Group, Inc.          
       
  (investment advisory and          
       
  consulting firm) (since 1988);          
       
  former Vice Chairman and          
       
  Chief Operating Officer,          
       
  Lindner Asset Management          
       
  Company (mutual fund          
       
  company) (from March 1999          
       
  to 2001); former General          
       
  Partner and Shareholder,          
       
  Greenwich Ventures, LLC          
       
  (investment partnership)          
       
  (from 1996 to 2001); former          
       
  President, Secretary, and          
       
  Owner, Phoenix Trading Co.          
       
  (commodity trading advisory          
       
  firm) (from 1997 to 2000).          

14

 

Citi Premium U.S. Treasury Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age
   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Stephen Randolph Gross   Trustee  
Since 2001
   Partner, Capital Investment  
30
   Director,
c/o R. Jay Gerken      
  Advisory Partners (consulting)  
  United Telesis,
Citigroup Asset      
  (since January 2000);  
  Inc. (telecom-
Management      
  former Managing Director,  
  munications)
399 Park Avenue      
  Fountainhead Ventures, LLC  
  (since 1997);
New York, NY 10022      
  (consulting) (from 1998 to  
  Director,
Age 56      
  2002); Secretary, Carint N.A.  
  eBank.com,
       
  (manufacturing) (since 1988);  
  Inc. (since
       
  former Treasurer, Hank Aaron  
  1997); Direc-
       
  Enterprises (fast food franchise)  
  tor, Andersen
       
  (from 1985 to 2001);  
  Calhoun, Inc.
       
  Chairman, Gross, Collins &  
  (assisted
       
  Cress, P.C. (accounting firm)  
  living) (since
       
  (since 1980); Treasurer,  
  1987); former
       
  Coventry Limited, Inc.  
  Director,
       
  (since 1985).  
  Charter Bank,
       
     
  Inc. (from
       
     
  1987 to 1997);
       
     
  former Direc-
       
     
  tor, Yu Save,
       
     
  Inc. (internet
       
     
  company)
       
     
  (from 1998 to
       
     
  2000); former
       
     
  Director,
       
     
  Hotpalm, Inc.
       
     
  (wireless
       
     
  applications)
       
     
  (from 1998 to
       
     
  2000); former
       
     
  Director, Ikon
       
     
  Ventures, Inc.
       
     
  (from 1997 to
       
     
  1998).
Diana R. Harrington   Trustee  
Since 1992
   Professor, Babson College  
35
   Former
c/o R. Jay Gerken      
  (since 1993).  
  Trustee, The
Citigroup Asset      
     
  Highland
Management      
     
  Family of
399 Park Avenue      
     
  Funds (invest-
New York, NY 10022      
     
  ment com-
Age 63      
     
  pany) (from
       
     
  March 1997 to
       
     
  March 1998).
Susan B. Kerley   Trustee  
Since 1992
   Consultant, Strategic  
35
   Director,
c/o R. Jay Gerken      
  Management Advisors, LLC–       Eclipse Funds
Citigroup Asset      
  Global Research Associates, Inc.       (currently
Management      
  (investment consulting)       supervises 17
399 Park Avenue      
  (since 1990).       investment
New York, NY 10022      
          companies
Age 52                   in fund com-
                    plex) (since
                    1990).

15

 

Citi Premium U.S. Treasury Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age
  Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Alan G. Merten   Trustee  
Since 2001
   President, George Mason  
30
   Director,
c/o R. Jay Gerken      
  University (since 1996).  
  Comshare,
Citigroup Asset      
     
  Inc.
Management      
     
  (information
399 Park Avenue      
     
  technology)
New York, NY 10022      
     
  (since 1985);
Age 61      
     
  former
       
     
  Director,
       
     
  Indus (infor-
       
     
  mation tech-
       
     
  nology) (from
       
     
  1995 to 1999).
C. Oscar Morong, Jr.   Trustee  
Since 1991
   Managing Director, Morong  
35
   Former Direc-
c/o R. Jay Gerken      
  Capital Management  
  tor, Indonesia
Citigroup Asset      
  (since 1993).  
  Fund
Management      
     
  (closed-end
399 Park Avenue      
     
  fund) (from
New York, NY 10022      
     
 
1990 to 1999);
Age 68      
     
  Trustee,
       
     
  Morgan
       
     
  Stanley
       
     
  Institutional
       
     
  Fund
       
     
  (currently
       
     
  supervises 75
       
     
  investment
       
     
  companies)
       
     
  (since 1993).
R. Richardson Pettit   Trustee  
Since 2001
   Professor of Finance,  
30
   None
c/o R. Jay Gerken      
  University of Houston  
   
Citigroup Asset      
  (from 1977 to 2002);  
   
Management      
  Independent Consultant        
399 Park Avenue      
  (since 1984).        
New York, NY 10022      
           
Age 61      
           

16

 

Citi Premium U.S. Treasury Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board  
            Principal   Portfolios In   Memberships  
    Position(s)   Length   Occupation(s)   Fund Complex   Held by  
    Held with   of Time   During Past   Overseen by   Trustee During  
Name, Address and Age
   Fund   Served   Five Years   Trustee   Past Five Years  
 
 
 
 
 
 
Walter E. Robb, III   Trustee  
Since 2001
   President, Benchmark   35   Director, John  
c/o R. Jay Gerken      
  Consulting Group, Inc. (service       Boyle & Co.,  
Citigroup Asset      
  company) (since 1991); Sole       Inc. (textiles)  
   Management      
  Proprietor, Robb Associates       (since 1999);  
399 Park Avenue      
  (financial consulting) (since       Director,  
New York, NY 10022      
  1978); Co-owner, Kedron       Harbor  
Age 77      
  Design (gifts) (since 1978);       Sweets, Inc.  
       
  former President and Treasurer,       (candy) (since  
       
  Benchmark Advisors, Inc.      
1990);
  
       
  (corporate financial consulting)       Director, W.A.  
       
  (from 1989 to 2000).       Wilde  
       
          Co. (direct  
       
          media market-  
       
          ing) (since  
       
         
1982);
  
       
          Director,  
       
          Alpha  
       
          Grainger  
       
          Manufacturing,  
       
          Inc. (electron-  
       
          ics) (since  
       
          1983); former  
       
          Trustee, MFS  
       
          Family of  
       
          Funds (invest-  
       
          ment compa-  
       
          ny) (from  
       
         
1985 to 2001);
  
       
          Harvard Club  
       
          of Boston  
       
          (Audit  
       
          Committee)  
       
          (since 2001).  
INTERESTED      
             
TRUSTEE:      
             
R. Jay Gerken*   Chairman,  
Since 2002
   President since 2002;   Chairman   N/A  
Citigroup Asset   President  
  Managing Director, CGM   of the      
Management   and Chief  
  (since 1996); Chairman,   Board,      
399 Park Avenue   Executive  
  President and Chief Executive   Trustee or      
New York, NY 10022   Officer  
  Officer of Smith Barney Fund   Director      
Age 52      
  Management LLC (“SBFM”),   of 219      
       
  Travelers Investment Advisers,          
       
  Inc. (“TIA”) and Citi Fund          
       
  Management Inc. (“CFM”).          
OFFICERS:      
             
Lewis E. Daidone   Senior  
Since 2000
   Managing Director, CGM   N/A   N/A  
125 Broad Street   Vice  
  (since 1990); former Chief          
New York, NY 10004   President  
  Financial Officer and Treasurer          
Age 46   and Chief  
  of certain mutual funds          
    Adminis-  
  associated with Citigroup Inc.;          
    trative  
  Director and Senior Vice          
    Officer  
  President of SBFM and TIA;          
       
  Director of CFM.          

17

 

Citi Premium U.S. Treasury Reserves
A D D I T I O N A L   I N F O R M A T I O N (Unaudited) (Continued)

                Number of   Other Board
            Principal   Portfolios In   Memberships
    Position(s)   Length   Occupation(s)   Fund Complex   Held by
    Held with   of Time   During Past   Overseen by   Trustee During
Name, Address and Age
   Fund   Served   Five Years   Trustee   Past Five Years
 
 
 
 
 
Frances M. Guggino   Controller  
Since 2002
   Vice President, Citigroup   N/A   N/A
125 Broad Street      
  Asset Management        
New York, NY 10004      
  (since 1991).        
Age 46      
           
Robert I. Frenkel   Secretary  
Since 2000
   Managing Director and   N/A   N/A
CAM   Chief  
Since 2003
   General Counsel, Global        
300 First Stamford Place   Legal  
  Mutual Funds for Citigroup        
Stamford, CT 06902   Officer  
  Asset Management (since        
Age 48           1994)        
* Mr. Gerken is an “interested person” of the Fund as defined in the 1940 Act because he is an
  officer of certain affiliates of the Manager.

18

 

U.S. Treasury Reserves Portfolio  
P O R T F O L I O  O F  I N V E S T M E N T S
August 31, 2003
     
  Principal  
  Amount  
Issuer
 (000’s omitted) Value
U.S.Treasury Bills — 100.0%      
United States Treasury Bill:      
   due 9/04/03
$
 184,955   $ 184,941,465
   due 9/11/03   90,027     90,004,865
   due 9/18/03   140,000     139,937,808
   due 9/25/03   130,160     130,075,031
   due 10/02/03   168,321     168,163,794
   due 10/09/03   275,000     274,745,084
   due 10/16/03   40,000     39,941,266
   due 10/23/03   50,000     49,935,722
   due 11/20/03   45,690     45,595,389
   due 11/28/03   50,000     49,880,833
   due 1/02/04   75,000     74,765,958
   due 1/22/04   100,000     99,624,625
   due 1/29/04   36,000     35,855,250
   due 2/05/04   25,000     24,889,882
   due 2/26/04   50,000     49,745,361
         
          1,458,102,333
         
           
Total Investments,          
   at Amortized Cost 100.0 %   1,458,102,333
Other Assets          
   Less Liabilities   0.0     247,042
   
   
Net Assets   100.0 % $ 1,458,349,375
   
   
           
See notes to financial statements      

19

 

U.S. Treasury Reserves Portfolio          
S T A T E M E N T  O F  A S S E T S  A N D  L I A B I L I T I E S    
             
August 31, 2003        
 
Assets:              
Investments, at amortized cost and value (Note 1A)  
$
 1,458,102,333  
Cash           475,715  
 
   Total assets     1,458,578,048  
 
Liabilities:            
Management fees payable (Note 2)       107,300  
Accrued expenses and other liabilities       121,373  
 
   Total liabilities       228,673  
 
Net Assets  
$
 1,458,349,375  
 
         
   
Represented by:  
   
Paid-in capital for beneficial interests    
$
 1,458,349,375  
 
               
               
See notes to financial statements            

20

 

U.S. Treasury Reserves Portfolio            
S T A T E M E N T   O F   O P E R AT I O N S            
             
For the Year Ended August 31, 2003            
 
Interest Income (Note 1B):      
$
 23,414,582  
 
Expenses            
Management fees (Note 2)
$
 2,696,661        
Custody and fund accounting fees   397,888        
Legal fees   67,825        
Trustees’ fees   42,505        
Audit fees   16,015        
Miscellaneous   44,165        
 
    Total expenses   3,265,059        
Less: aggregate amounts waived by the Manager (Note 2)   (1,464,732 )      
Less: fees paid indirectly (Note 1D)   (411 )      
 
    Net expenses         1,799,916  
 
Net investment income         21,614,666  
Net Realized Gain on Investments         345,124  
 
Net Increase in Net Assets Resulting from Operations      
$
 21,959,790  
 
See notes to financial statements            

21

 

U.S. Treasury Reserves Portfolio              
S T A T E M E N T S   O F  C H A N G E S  I N  N E T   A S S E T S  
               
       
Year Ended August 31,
       
       
2003
2002
Increase in Net Assets from Operations:              
Net investment income      
$
 21,614,666   $ 36,456,445  
Net realized gain on investments         345,124     —  
Net increase in net assets from operations     21,959,790     36,456,445  
Capital Transactions:                  
Proceeds from contributions         7,288,135,094     7,437,576,345  
Value of withdrawals         (7,804,910,366 )   (6,908,038,868 )
Net increase (decrease) in net assets from capital transactions   (516,775,272 )   529,537,477  
Net Increase (Decrease) in Net Assets     (494,815,482 )   565,993,922  
Net Assets:                  
Beginning of year         1,953,164,857     1,387,170,935  
End of year      
$
 1,458,349,375   $ 1,953,164,857  
                   
See notes to financial statements                  

22

 

U.S. Treasury Reserves Portfolio
N O T E S   T O   F I N A N C I A L  S T A T E M E N T S

1. Significant Accounting Policies U.S. Treasury Reserves Portfolio (the “Portfolio”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) 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. Citi Fund Management Inc. (the “Manager”) acts as the Investment Manager.

     The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America 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 the 1940 Act.

     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. Management Fees The Manager is responsible for overall management of the Portfolio’s business affairs, and has a Management Agreement with the Portfolio. The Manager or an affiliate also provides certain administrative services to the Portfolio. These administrative services include providing general office facilities and supervising the overall administration of the Portfolio.

     The management fees paid to the Manager are accrued daily and payable monthly. The management fee is computed at the annual rate of 0.15% of the Funds’ average daily net assets. The management fee amounted to $2,696,661 of which $1,464,732 was voluntarily waived for the year ended August 31, 2003. The Portfolio pays no compensation directly to any Trustee or any officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Fund from the Manager or its

23

 

U.S. Treasury Reserves Portfolio
N O T E S   TO   F I N A N C I A L   S T A T E M E N T S (Continued)

affiliates. Certain of the officers and a Trustee of the Portfolio are officers and a director of the Manager or its affiliates.

3. Investment Transactions Purchases, maturities and sales of U.S. Treasury obligations, aggregated $17,986,161,304 and $18,502,718,161, respectively, for the year ended August 31, 2003.

4. Trustee Retirement Plan The Trustees of the Portfolio have adopted a Retirement Plan for all Trustees who are not “interested persons” of the Portfolio, within the meaning of the 1940 Act. Under the Plan, all Trustees are required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attains age 75 (certain Trustees who had already attained age 75 when the Plan was adopted are required to retire effective December 31, 2003). Trustees may retire under the Plan before attaining the mandatory retirement age. Trustees who have served as Trustee of the Trust or any of the investment companies associated with Citigroup for at least ten years when they retire are eligible to receive the maximum retirement benefit under the Plan. The maximum retirement benefit is an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the calendar year ending on or immediately prior to the applicable Trustee’s retirement. Amounts under the Plan may be paid in installments or in a lump sum (discounted to present value). The Portfolio’s allocable share of the expenses of the Plan for the year ended August 31, 2003 and the related liability at August 31, 2003 was not material.

24

 

U.S. Treasury Reserves Portfolio                          
F I N A N C I A L  H I G H L I G H T S                  
                     
 
Year Ended August 31,
 
2003
2002
2001
2000
1999
                               
Ratios/Supplemental Data:                            
Net Assets, end of year                              
   (000’s omitted)
$
 1,458,349   $ 1,953,165  
$
 1,387,171  
$
 1,324,688  
$
 1,188,627  
Ratio of expenses to                              
   average net assets   0.10 %   0.10 %   0.10 %   0.10 %   0.10 %
Ratio of net investment income                            
   to average net assets   1.22 %   2.00 %   5.13 %   5.41 %   4.55 %
                               
Note: If Agents of the Portfolio had not voluntarily waived a portion of their fees during the years indi-  
cated and the expenses were not reduced for fees paid indirectly, the ratios would have been as follows:  
                               
Ratios:                              
Expenses to average net assets 0.18 %   0.20 %   0.23 %   0.23 %   0.23 %
Net investment income to                            
   average net assets   1.14 %   1.90 %   5.00 %   5.28 %   4.42 %
                               
See notes to financial statements                            

25

 

U.S. Treasury Reserves Portfolio
I N D E P E N D E N T   A U D I TO R S ’   R E P O R T

To the Trustees and Investors of
U.S. Treasury Reserves Portfolio:

     We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of U.S. Treasury Reserves Portfolio (a New York Trust) as of August 31, 2003, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the three year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for each of the years in the two year period ended August 31, 2000 were audited by other auditors whose report thereon, dated October 4, 2000, expressed an unqualified opinion on the financial highlights.

     We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2003 by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

     In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of U.S. Treasury Reserves Portfolio as of August 31, 2003 and the results of its operations for the year then ended, the changes in its net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the three year period then ended, in conformity with accounting principles generally accepted in the United States of America.

New York, New York
October 13, 2003

 

26

 

U.S. Treasury Reserves Portfolio

A D D I T I O N A L   I N F O R M A T I O N (Unaudited)

Information about the Trustees and Officers of the Portfolio can be found on pages 13 through 18 of this report.

 

 

27

This page intentionally left blank.

 

Trustees
Elliott J. Berv
Donald M. Carlton
A. Benton Cocanougher
Mark T. Finn
R. Jay Gerken, CFA, Chairman*
Stephen Randolph Gross
Diana R. Harrington
Susan B. Kerley
Alan G. Merten
C. Oscar Morong, Jr.
R. Richardson Pettit
Walter E. Robb, III
 
Officers
R. Jay Gerken, CFA*
President and
Chief Executive Officer
 
Lewis E. Daidone*
Senior Vice President
and Chief Administrative Officer
 
Frances M. Guggino*
Controller
 
Robert I. Frenkel*
Secretary and Chief Legal Officer
 
*Affiliated Person of Investment Manager
 
Investment Manager
(of U.S.Treasury Reserves Portfolio)
Citi Fund Management Inc.
100 First Stamford Place
Stamford, CT 06902
 
Distributor
Citigroup Global Markets Inc.
 
Transfer Agent
Citicorp Trust Bank, fsb.
125 Broad Street, 11th Floor
New York, NY 10004
 
Sub-Transfer Agent and Custodian
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
 
Auditors
KPMG LLP
757 Third Avenue
New York, NY 10017
 
Legal Counsel
Bingham McCutchen LLP
150 Federal Street
Boston, MA 02110

 

 

 

 

 

 

 

 

 

 

This report is prepared for the information of shareholders of Citi Premium U.S. Treasury Reserves.
It is authorized for distribution to prospective investors only when preceded or accompanied by an
effective prospectus of Citi Premium U.S. Treasury Reserves.

©2003 Citicorp
Citigroup Global Markets Inc.
  
 
CFA/PUS/803
  
 
03-5464
   



ITEM 2.  CODE OF ETHICS.

         The registrant has adopted a code of ethics that applies to the
         registrant's principal executive officer, principal financial officer,
         principal accounting officer or controller.

ITEM 3.  AUDIT COMMITTEE FINANCIAL EXPERT.

         The Board of Trustees of the registrant has determined that Mr. Stephen
         Randolph Gross, the Chairman of the Board's Audit Committee, possesses
         the technical attributes identified in Instruction 2(b) of Item 3 to
         Form N-CSR to qualify as an "audit committee financial expert," and has
         designated Mr. Gross as the Audit Committee's financial expert. Mr.
         Gross is an "independent" Trustee pursuant to paragraph (a)(2) of Item
         3 to Form N-CSR.

ITEM 4.  PRINCIPAL ACCOUNTANT FEES AND SERVICES.

         Not applicable.

ITEM 5.  AUDIT COMMITTEE OF LISTED REGISTRANTS.

         Not applicable.

ITEM 6.  [RESERVED]

ITEM 7.  DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
         MANAGEMENT INVESTMENT COMPANIES.

         Not applicable.

ITEM 8.  RESERVED]

ITEM 9.  ONTROLS AND PROCEDURES.

         (a) The registrant's principal executive officer and principal
             financial officer have concluded that the registrant's disclosure
             controls and procedures (as defined in Rule 30a- 3(c) under the
             Investment Company Act of 1940, as amended (the "1940 Act")) are
             effective as of a date within 90 days of the filing date of this
             report that includes the disclosure required by this paragraph,
             based on their evaluation of the disclosure controls and procedures
             required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under
             the Securities Exchange Act of 1934

         (b) There were no changes in the registrant's internal control over
             financial reporting (as defined in Rule 30a-3(d) under the 1940
             Act) that occurred during the registrant's last fiscal half-year
             (the registrant's second fiscal half-year in the case of an annual
             report) that have materially affected, or are likely to materially
             affect the registrant's internal control over financial reporting.

ITEM 10. EXHIBITS.

         (a) (1) Code of Ethics attached hereto.

         (a) (2) Attached hereto.

         Exhibit 99.CERT         Certifications pursuant to section 302 of the
                                 Sarbanes-Oxley Act of 2002

         (b) Furnished.

         Exhibit 99.906CERT      Certifications pursuant to Section 906 of the
                                 Sarbanes-Oxley Act of 2002






SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this Report to be
signed on its behalf by the undersigned, there unto duly authorized.

CITI PREMIUM LIQUID RESERVES


By:      /s/ R. Jay Gerken
         R. Jay Gerken
         Chief Executive Officer of
         CITI PREMIUM LIQUID RESERVES

Date:    OCTOBER 14, 2003

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.


By:      /s/ R. Jay Gerken
         (R. Jay Gerken)
         Chief Executive Officer of
         CITI PREMIUM LIQUID RESERVES

Date:    OCTOBER 14, 2003


By:      /s/ LEWIS E. DAIDONE
         Chief Administrative Officer of
         CITI PREMIUM LIQUID RESERVES

Date:    OCTOBER 14, 2003



SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this Report to be
signed on its behalf by the undersigned, there unto duly authorized.

CITI PREMIUM U.S. TREASURY RESERVES


By:      /s/ R. Jay Gerken
         R. Jay Gerken
         Chief Executive Officer of
         CITI PREMIUM U.S. TREASURY RESERVES

Date:    OCTOBER 14, 2003

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.


By:      /s/ R. Jay Gerken
         (R. Jay Gerken)
         Chief Executive Officer of
         CITI PREMIUM U.S. TREASURY RESERVES

Date:    OCTOBER 14, 2003


By:      /s/ LEWIS E. DAIDONE
         Chief Administrative Officer of
         CITI PREMIUM U.S. TREASURY RESERVES

Date:    OCTOBER 14, 2003