MERRIMAC MASTER PORTFOLIO
40-17F2, 2000-03-08
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                       UNITED STATES
              SECURITIES AND EXCHANGE COMMISSION
                    Washington, D.C.  20549

                         FORM N-17f-2

      Certificate of Accounting of Securities and Similar
                 Investments in the Custody of
                Management Investment Companies

           Pursuant to rule 17f-2 (17 CFR 270.17f-2)

1. Investment Company Act File Number:          Date examination completed:

   811-07941                                    February 11, 2000

2. State identification Number:
        AL      AK      AZ      AR      CA      CO
        CT      DE      DC      FL      GA      HI
        ID      IL      IN      IA      KS      KY
        LA      ME      MD      MA      MI      MN
        MS      MO      MT      NE      NV      NH
        NJ      NM      NY      NC      ND      OH
        OK      OR      PA      RI      SC      SD
        TN      TX      UT      VT      VA      WA
        WV      WI      WY      PUERTO RICO
        Other (specify):

3. Exact name of investment company as specified in registration statement:
   Merrimac Master Portfolio

4. Address of principal executive office (number, street, city, state, zip
   code):
   P. O. Box 501, Cardinal Avenue, George Town, Grand Cayman, Cayman Islands,
   BWI

INSTRUCTIONS

This Form must be completed by investment companies that have custody of
securities or similar investments.

Investment Company

1. All items must be completed by the investment company.

2. Give this Form to the independent public accountant who, in compliance with
   Rule 17f-2 under the Act and applicable state law, examines securities and
   similar investments in the custody of the investment company.

Accountant

3. Submit this Form to the Securities and Exchange Commission and appropriate
   state securities administrators when filing the certificate of accounting
   required by Rule 17f-2 under the Act and applicable state law. File the
   original and one copy with the Securities and Exchange Commission's
   principal office in Washington, D.C., one copy with the regional office for
   the region in which the investment company's principal business operations
   are conducted, and one copy with the appropriate state administrator(s), if
   applicable.

         THIS FORM MUST BE GIVEN TO YOUR INDEPENDENT PUBLIC ACCOUNTANT

<PAGE>


Management Statement Regarding Compliance with
Certain Provisions of the Investment Company Act of 1940
- --------------------------------------------------------




We, as members of management of the Merrimac Cash Portfolio, the Merrimac
Treasury Portfolio, the Merrimac Treasury Plus Portfolio, and the Merrimac U.S.
Government Portfolio, the four series comprising the Merrimac Master Portfolio
(collectively, the "Merrimac Master Portfolio"), are responsible for complying
with the requirements of subsections (b) and (c) of rule 17f-2, "Custody of
Investments by Registered Management Investment Companies," of the Investment
Company Act of 1940. We are also responsible for establishing and maintaining
effective internal control over compliance with those requirements. We have
performed an evaluation of the Merrimac Master Portfolio's compliance with the
requirements of subsection (b) and (c) of Rule 17f-2 as of December 3, 1999.

Based on this evaluation, we assert that the Merrimac Master Portfolio was in
compliance with the requirements of subsections (b) and (c) of Rule 17f-2 of
the Investment Company Act of 1940 as of December 3,1999, and for the period
from July 23, 1999, through December 3, 1999, with respect to securities and
similar investments reflected in the investment accounts of the Merrimac Master
Portfolio.




                                        By:/S/Paul Jasinski
                                           --------------------------
                                           Paul Jasinski
                                           President, Chief Financial
                                           Officer, and Treasurer




                                           /S/Susan C. Mosher
                                           --------------------------
                                           Susan C. Mosher
                                           Secretary


<PAGE>



             REPORT OF ERNST & YOUNG LLP, INDEPENDENT ACCOUNTANTS


To the Board of Directors of
Merrimac Master Portfolio



We have examined management's  assertion,  included in the accompanying "Report
of Management on Compliance  with Rules 17f-1 and -2 of the Investment  Company
Act of 1940, that the Merrimac Cash Portfolio, the Merrimac Treasury Portfolio,
the  Merrimac  Treasury  Plus  Portfolio  and  the  Merrimac  U.S.   Government
Portfolio,   the  four  series   comprising  the  Merrimac   Master   Portfolio
(collectively the "Merrimac Master  Portfolio")  complied with the requirements
of subsections (b) and (c) of Rule 17f-2 of the Investment  Company Act of 1940
("the  Act") as of  December  3, 1999 with  respect to  securities  and similar
investments  reflected  in  the  investment  accounts  of the  Merrimac  Master
Portfolio.  Management  is  responsible  for the  Merrimac  Master  Portfolio's
compliance with those requirements. Our responsibility is to express an opinion
on the Merrimac Master Portfolio's compliance based on our examination.

Our examination was made in accordance with attestation  standards  established
by the American  Institute of Certified  Public  Accountants  and  accordingly,
included  examining,  on a test  basis,  evidence  about  the  Merrimac  Master
Portfolio's  compliance  with  those  requirements  and  performing  such other
procedures as we considered necessary in the circumstances.  Included among our
procedures  were the following tests performed as of December 3, 1999, and with
respect to agreement of security and similar  investments  purchases and sales,
for the  period  from  July 23,  1999 (the  date of last  examination)  through
December 3, 1999.

o Confirmation of all securities and similar  investments  held by institutions
  in book entry form at the Depository Trust  Corporation and the Federal
  Reserve Bank of Boston;

o  Reconciliation  of  confirmation  results  as to  all  such  securities  and
   investments  to the books and  records of the  Merrimac  Master  Portfolio
   and Investors Bank & Trust Company;  o  Confirmation  of all repurchase
   agreements with  brokers/banks  and agreement of underlying  collateral with
   the Investors Bank & Trust Company's records; and

o Agreement of 5 security  and/or  investment  purchases and 5 security  and/or
  investment  sales or maturities  since our last  examination from the books
  and records of the Merrimac Master Portfolio to broker confirmations.

<PAGE>

We believe that our  examination  provides a reasonable  basis for our opinion.
Our examination  does not provide a legal  determination on the Merrimac Master
Portfolio's compliance with specified requirements.

In our  opinion,  the  Merrimac  Master  Portfolio  complied,  in all  material
respects, with the requirements of subsections (b) and (c) of Rule 17f-2 of the
Investment  Company  Act of  1940  as of  December  3,  1999  with  respect  to
securities and similar investments  reflected in the investment accounts of the
Merrimac Master Portfolio.

This  report is  intended  solely for the  information  and use of the board of
directors and  management of the Merrimac  Master  Portfolio and the Securities
and  Exchange  Commission  and is not  intended to be and should not be used by
anyone other than these specified parties.



                                                ERNST & YOUNG LLP


February 11, 2000



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