<PAGE> PAGE 1
000 B000000 12/31/97
000 C000000 1026598
000 D000000 N
000 E000000 NF
000 F000000 Y
000 G000000 N
000 H000000 N
000 I000000 3.0.a
000 J000000 A
001 A000000 MERRIMAC MASTER PORTFOLIO
001 B000000 811-07941
001 C000000 8099492001
002 A000000 CARDINAL AVENUE P.O. BOX 501
002 B000000 GEORGE TOWN
002 E010000 CAYMAN ISLANDS
002 E020000 BWI
003 000000 N
004 000000 N
005 000000 N
006 000000 N
007 A000000 Y
007 B000000 2
007 C010100 1
007 C020100 MERRIMAC CASH PORTFOLIO
007 C030100 N
007 C010200 2
007 C020200 MERRIMAC TREASURY PORTFOLIO
007 C030200 N
007 C010300 3
007 C010400 4
007 C010500 5
007 C010600 6
007 C010700 7
007 C010800 8
007 C010900 9
007 C011000 10
010 A00AA01 INVESTORS FUND SERVICES (IRELAND) LIMITED
010 C01AA01 DUBLIN
010 C05AA01 IRELAND
012 A00AA01 IBT FUND SERVICES (CANADA) INC.
012 B00AA01 85-n/a
012 C01AA01 TORONTO, CANADA
012 C02AA01 CA
012 C03AA01 00000
013 A00AA01 ERNST & YOUNG
013 B01AA01 GEORGETOWN
013 B05AA01 CAYMAN ISLANDS
013 B06AA01 BWI
015 A00AA01 INVESTORS BANK & TRUST COMPANY
015 B00AA01 C
015 C01AA01 BOSTON
<PAGE> PAGE 2
015 C02AA01 MA
015 C03AA01 02116
015 E01AA01 X
018 00AA00 Y
019 A00AA00 Y
019 B00AA00 4
019 C00AA00 MERRIMACIB
020 C000001 0
020 C000002 0
020 C000003 0
020 C000004 0
020 C000005 0
020 C000006 0
020 C000007 0
020 C000008 0
020 C000009 0
020 C000010 0
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022 B000001 13-5108880
022 C000001 5840275
022 D000001 54769
022 A000002 PRUDENTIAL SECURITIES
022 B000002 22-2347336
022 C000002 4519664
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022 C000004 2962887
022 D000004 1295
022 A000005 LEHMAN BROTHERS
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022 B000006 13-2655998
022 C000006 1449940
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022 A000007 MERRILL LYNCH, PIERCE, FENNER & SMITH
022 B000007 13-5674085
022 C000007 1008904
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022 A000008 FIRST BOSTON
022 B000008 13-5659485
022 C000008 700472
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<PAGE> PAGE 3
022 B000009 13-3224016
022 C000009 584041
022 D000009 5551
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039 00AA00 N
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<PAGE> PAGE 4
042 H00AA00 0
043 00AA00 0
044 00AA00 0
045 00AA00 Y
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048 K02AA00 0.000
054 A00AA00 Y
054 B00AA00 Y
054 C00AA00 Y
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054 E00AA00 N
054 F00AA00 N
054 G00AA00 N
054 H00AA00 Y
054 I00AA00 N
054 J00AA00 Y
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054 L00AA00 Y
054 M00AA00 N
054 N00AA00 N
054 O00AA00 Y
055 A00AA00 N
055 B00AA00 N
056 00AA00 N
057 00AA00 N
058 A00AA00 N
058 B00AA00 N
058 C00AA00 N
<PAGE> PAGE 5
058 D00AA00 N
058 E00AA00 N
059 00AA00 Y
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060 B00AA00 Y
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066 A00AA00 N
067 00AA00 N
068 A00AA00 N
068 B00AA00 N
069 00AA00 N
077 A000000 Y
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083 A00AA00 N
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084 A00AA00 N
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008 A000101 INVESTORS BANK & TRUST COMPANY
008 B000101 A
008 C000101 801-n/a
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008 D020101 MA
008 D030101 02116
008 A000102 THE BANK OF NEW YORK
008 B000102 S
008 C000102 801-n/a
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008 D020102 NY
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028 A010100 254213
<PAGE> PAGE 6
028 A020100 0
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049 000100 N
050 000100 N
051 000100 N
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062 D000100 7.2
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062 F000100 19.9
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062 J000100 8.5
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<PAGE> PAGE 7
062 Q000100 0.0
062 R000100 0.0
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063 B000100 0.0
064 A000100 Y
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070 A010100 Y
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070 B020100 N
070 C010100 N
070 C020100 N
070 D010100 N
070 D020100 N
070 E010100 N
070 E020100 N
070 F010100 N
070 F020100 N
070 G010100 N
070 G020100 N
070 H010100 N
070 H020100 N
070 I010100 N
070 I020100 N
070 J010100 Y
070 J020100 Y
070 K010100 N
070 K020100 N
070 L010100 Y
070 L020100 Y
070 M010100 N
070 M020100 N
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070 O010100 Y
070 O020100 N
070 P010100 N
070 P020100 N
070 Q010100 N
070 Q020100 N
070 R010100 N
070 R020100 N
071 A000100 0
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<PAGE> PAGE 8
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074 B000100 100000
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<PAGE> PAGE 9
074 R030100 0
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008 A000201 INVESTORS BANK & TRUST COMPANY
008 B000201 A
008 C000201 801-n/a
008 D010201 BOSTON
008 D020201 MA
008 D030201 02116
008 A000202 AELTUS INVESTMENT MGMT
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028 A010200 7967
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<PAGE> PAGE 10
028 G010200 146078
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049 000200 N
050 000200 N
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062 A000200 Y
062 B000200 76.7
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064 A000200 N
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070 D020200 N
070 E010200 N
070 E020200 N
070 F010200 N
070 F020200 N
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070 G020200 N
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070 H020200 N
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<PAGE> PAGE 11
070 J020200 N
070 K010200 N
070 K020200 N
070 L010200 N
070 L020200 N
070 M010200 N
070 M020200 N
070 N010200 Y
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070 Q020200 N
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070 R020200 N
071 A000200 0
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<PAGE> PAGE 12
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SIGNATURE PAUL JASINSKI
TITLE TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information
extracted from The Merrimac Cash Portfolio
form N-SAR for the period ended December 31, 1997
and is qualified in its entirety by reference to
such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 1
<NAME> Merrimac Cash Portfolio
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 1,378,256,894
<INVESTMENTS-AT-VALUE> 1,378,256,894
<RECEIVABLES> 6,694,481
<ASSETS-OTHER> 981
<OTHER-ITEMS-ASSETS> 44,678
<TOTAL-ASSETS> 1,384,997,034
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 149,441
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,384,847,593
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
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<OVERDISTRIBUTION-GAINS> 0
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<NET-ASSETS> 1,384,847,593
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 77,144,989
<OTHER-INCOME> 0
<EXPENSES-NET> 2,161,045
<NET-INVESTMENT-INCOME> 74,983,944
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 74,983,944
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 74,983,944
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,314,064
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,542,513
<AVERAGE-NET-ASSETS> 1,361,359,387
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<AVG-DEBT-PER-SHARE> 0
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information
extracted from The Merrimac Treasury Portfolio
form N-SAR for the period ended December 31, 1997
and is qualified in its entirety by reference to
such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 2
<NAME> Merrimac Treasury Portfolio
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1997
<PERIOD-END> DEC-31-1997
<INVESTMENTS-AT-COST> 73,298,656
<INVESTMENTS-AT-VALUE> 73,298,656
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<TOTAL-LIABILITIES> 41,632
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<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
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<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
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<OTHER-INCOME> 0
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<NET-INVESTMENT-INCOME> 2,361,756
<REALIZED-GAINS-CURRENT> (2,590)
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<NET-CHANGE-FROM-OPS> 2,359,166
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<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
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<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 2,359,166
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
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<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 134,300
<AVERAGE-NET-ASSETS> 62,158,039
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Report of Ernst & Young, Independent Auditors
To the Board of Trustees of
The Merrimac Master Portfolio
In planning and performing our audit of the financial statements of the Merrimac
Cash Portfolio and the Merrimac Treasury Portfolio, two of the series comprising
the Merrimac Master Portfolio (collectively the "Master Portfolio") for the
period ended December 31, 1997, we considered its internal control, including
control activities for safeguarding securities, in order to determine our
auditing procedures for the purpose of expressing our opinion on the financial
statements and to comply with the requirements of Form N-SAR, and not to provide
assurance on the internal control.
The management of the Master Portfolio is responsible for establishing and
maintaining internal control. In fulfilling this responsibility, estimates and
judgments by management are required to assess the expected benefits and related
costs of controls. Generally, controls that are relevant to an audit pertain to
the entity's objective of preparing financial statements for external purposes
that are fairly presented in conformity with accounting principles generally
accepted in the United States of America. Those controls include the
safeguarding of assets against unauthorized acquisition, use or disposition.
Because of inherent limitations in internal control, errors or fraud may occur
and not be detected. Also, projection of any evaluation of internal control to
future periods is subject to the risk that it may become inadequate because of
changes in conditions or that the effectiveness of the design and operation may
deteriorate.
Our consideration of internal control would not necessarily disclose all matters
in internal control that might be material weaknesses under standards
established by the American Institute of Certified Public Accountants. A
material weakness is a condition in which the design or operation of one or more
of specific internal control components does not reduce to a relatively low
level the risk that errors or fraud in amounts that would be material in
relation to the financial statements being audited may occur and not be detected
within a timely period by employees in the normal course of performing their
assigned functions. However, we noted no matters involving internal control and
its operation, including controls for safeguarding securities, that we consider
to be material weaknesses as defined above at December 31, 1997.
This report is intended solely for the information and use of the board of
trustees and management of the Master Portfolio and the Securities and Exchange
Commission.
Cayman Islands, BWI
February 13, 1998
