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 811-05813 CASH RESERVES PORTFOLIO (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 Report to Stockholders is filed herewith.
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 AT 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: | |||||||||||||
$ | 39,447,094 | $ | 45,006,873 | $32,073,343 | $14,392,341 | $14,929,345 | |||||||
Net assets (000’s omitted) | |||||||||||||
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 AT 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
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. CONTROLS 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 2002SIGNATURES 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. CASH RESERVES PORTFOLIO By: /s/ R. Jay Gerken R. Jay Gerken Chief Executive Officer of CASH RESERVES PORTFOLIO Date: OCTOBER 16, 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 CASH RESERVES PORTFOLIO Date: OCTOBER 16, 2003 By: /s/ LEWIS E. DAIDONE Chief Administrative Officer of CASH RESERVES PORTFOLIO Date: OCTOBER 16, 2003