Merrimac Cash Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
=============================================================================================================================
<S> <C> <C> <C> <C>
Variable Rate Notes* - 36.9%
Barclays Bank PLC New York .................................. 5.64% 01/03/00 $10,000,000 $ 9,997,879
Bear Stearns Companies, Inc. ................................ 5.28-5.75% 01/03/00 27,000,000 27,000,000
Bear Stearns Companies, Inc. ................................ 6.33% 01/10/00 15,000,000 15,000,000
CIC Group ................................................... 5.82% 01/03/00 35,000,000 34,996,000
Citigroup, Inc. ............................................. 6.11% 02/15/00 5,000,000 5,000,100
Comerica Bank ............................................... 5.66% 01/03/00 5,000,000 4,993,358
Comerica Bank ............................................... 6.53% 01/25/00 15,000,000 14,997,116
Countrywide Home Loans ...................................... 6.22% 02/25/00 10,100,000 10,100,986
Countrywide Home Loans ...................................... 6.62% 03/08/00 15,000,000 15,013,165
First Union Corporation ..................................... 5.87% 01/03/00 34,000,000 34,010,190
Goldman Sachs Group ......................................... 5.79% 01/03/00 10,000,000 10,000,000
Goldman Sachs Group ......................................... 6.27% 01/13/00 8,000,000 7,999,942
GTE Corporation ............................................. 6.16% 03/13/00 25,000,000 24,992,754
Heller Financial, Inc. ...................................... 5.90% 01/03/00 35,000,000 34,988,943
Jackson National Life Insurance Company Funding Agreement *** 6.21% 01/03/00 40,000,000 40,000,000
Morgan Stanley, Dean Witter & Co. ........................... 6.49% 03/01/00 4,000,000 4,002,298
PaineWebber Group, Inc. ..................................... 6.64% 01/12/00 20,000,000 20,000,000
Prudential Funding .......................................... 6.24% 01/24/00 10,000,000 9,997,479
Sigma Finance, Inc. ......................................... 5.78% 01/03/00 25,000,000 25,000,000
Strategic Money Market Trust ................................ 6.27% 03/15/00 11,500,000 11,500,000
Textron Financial Corporation ............................... 5.92% 01/03/00 40,000,000 40,000,000
---------------
399,590,210
---------------
Commercial Paper - 27.2%
Aetna Services .............................................. 5.91% 03/06/00 25,000,000 24,733,230
Block Financial Corporation ................................. 6.17-6.20% 01/31/00 15,000,000 14,922,624
Block Financial Corporation ................................. 6.15% 02/22/00 15,000,000 14,866,750
Computer Sciences Corporation ............................... 6.50% 02/11/00 24,000,000 23,822,333
Fairway Finance Corporation ................................. 5.84% 03/09/00 20,000,000 19,779,377
Invensys PLC ................................................ 5.65% 02/07/00 25,000,000 24,854,826
Lehman Brothers Holdings .................................... 5.58% 02/14/00 25,000,000 24,829,500
Lehman Brothers Holdings .................................... 5.75% 03/27/00 20,000,000 19,725,277
Mass College of Pharmacy and Allied Health Sciences ......... 5.85% 05/09/00 8,911,000 8,724,203
Omnicom Finance, Inc. ....................................... 6.43% 01/21/00 30,000,000 29,892,833
Swiss Re Financial Products ................................. 5.80% 02/18/00 38,000,000 37,706,133
Swiss Re Financial Products ................................. 5.80% 03/01/00 10,302,000 10,202,414
Vodafone AirTouch Plc. ...................................... 5.85% 02/07/00 40,000,000 39,759,500
---------------
293,819,000
---------------
Corporate Debt - 17.0%
Allergan, Inc. .............................................. 5.93% 04/03/00 12,500,000 12,502,181
AT&T Capital Corporation .................................... 5.16% 01/21/00 7,500,000 7,505,610
BankBoston Corporation ...................................... 6.11% 08/11/00 5,310,000 5,318,232
Bear Stearns Companies, Inc. ................................ 5.52% 06/20/00 3,000,000 3,014,200
Chrysler Financial .......................................... 6.49% 01/26/01 6,800,000 6,758,190
Countrywide Credit Industries, Inc. ......................... 6.36% 10/23/00 6,000,000 6,002,864
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Cash Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
=============================================================================================================================
<S> <C> <C> <C> <C>
E.I. du Pont de Nemours and Company ......................... 6.09% 08/29/00 $ 5,000,000 $ 5,017,102
Fleet Mortgage Group ........................................ 5.37% 05/11/00 5,000,000 5,015,351
Ford Motor Company .......................................... 6.49% 01/24/01 5,000,000 4,964,831
Ford Motor Company .......................................... 6.42% 01/25/01 5,000,000 4,965,450
General Motors Acceptance Corporation ....................... 6.02% 04/06/00 3,000,000 2,998,694
General Motors Acceptance Corporation ....................... 6.16% 05/24/00 9,700,000 9,718,333
Goldman Sachs Group ......................................... 5.17% 02/07/00 20,000,000 20,000,000
International Lease Finance Corporation ..................... 6.02% 02/01/00 4,000,000 4,000,059
Key Bank NA ................................................. 5.17% 03/24/00 10,000,000 9,999,018
Landesbank Baden-Wuerttemberg ............................... 6.29% 08/08/00 10,770,000 10,798,543
Lehman Brothers Holdings .................................... 6.60% 10/10/00 5,000,000 5,010,611
Pacific Telesis Group ....................................... 5.79% 05/01/00 4,169,000 4,153,362
PaineWebber Group, Inc. ..................................... 5.58% 03/01/00 15,730,000 15,764,729
PaineWebber Group, Inc. ..................................... 6.03% 05/30/00 3,000,000 3,000,653
PaineWebber Group, Inc. ..................................... 6.50% 08/09/00 5,050,000 5,073,958
Prudential Funding .......................................... 5.27% 04/20/00 10,000,000 10,019,266
Sears, Roebuck & Co. ........................................ 5.75% 07/17/00 5,000,000 5,013,149
Sigma Finance, Inc. ......................................... 5.24% 03/01/00 10,000,000 10,000,000
Volkswagen AG ............................................... 5.77% 07/13/00 7,000,000 6,996,310
---------------
183,610,696
---------------
Certificates of Deposit - 13.1%
Abbey National Treasury Services Plc.** ..................... 5.80% 01/31/00 25,000,000 25,009,435
Bank of Austria** ........................................... 5.75% 02/14/00 10,000,000 10,001,688
Commerzbank AG .............................................. 5.19% 02/25/00 10,000,000 9,999,566
Deutsche Bank NY** .......................................... 5.74% 03/10/00 10,000,000 10,000,826
European American Bank ...................................... 5.31% 05/12/00 10,000,000 9,998,957
Merita Bank PLC ............................................. 5.20% 02/07/00 20,000,000 20,000,000
National Bank of Canada NY .................................. 6.17% 11/22/00 22,000,000 21,986,878
Wilmington Trust Company .................................... 6.08% 10/02/00 35,000,000 34,979,841
---------------
141,977,191
---------------
Variable Rate Municipal Obligations* - 2.6%
Illinois Student Assistance Commission ...................... 6.50% 01/05/00 20,000,000 20,000,000
Memphis Center City Revenue Financing ....................... 7.75% 01/06/00 8,000,000 8,000,000
---------------
28,000,000
---------------
Municipal Obligations - 2.2%
Los Angeles County Metropolitan Transportation Authority .... 6.33% 02/09/00 9,500,000 9,498,995
Richmond County Development Authority, Georgia .............. 5.65% 06/01/00 14,000,000 13,990,356
---------------
23,489,351
---------------
Asset Backed Securities - 1.1%
Case Equipment Loan Trust 99-B A1 ........................... 5.67% 09/15/00 3,146,814 3,146,814
Copelco Capital Funding Corporation ......................... 5.94% 10/18/00 7,477,919 7,477,920
Fidelity Equipment Lease Trust .............................. 5.16% 05/16/00 1,514,163 1,514,163
---------------
12,138,897
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Cash Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
=============================================================================================================================
<S> <C> <C> <C> <C>
Time Deposits - 4.5%
State Street Bank & Trust Company ........................... 4.50% 01/03/00 $49,000,000 $ 49,000,000
---------------
TOTAL INVESTMENTS, at amortized cost - 104.6% 1,131,625,345
Other Assets and Liabilities (net) - (4.6%) (50,132,036)
---------------
TOTAL NET ASSETS - 100.0% $1,081,493,309
===============
</TABLE>
Notes to the Schedule of Investments:
* Variable rate securities - maturity dates on these securities reflect the
next interest rate reset date or, when applicable, the final maturity date.
Yield to maturity for these securities is determined on the date of the
most recent interest rate change.
** Forward commitment
*** Illiquid security
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Treasury Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
========================================================================================================
<S> <C> <C> <C> <C>
Treasury Bills - 50.7%
U.S. Treasury Bill ....................... 4.92-5.22% 01/13/00 $39,000,000 $ 38,933,201
U.S. Treasury Bill ....................... 4.99-5.20% 01/20/00 52,000,000 51,858,239
-------------
90,791,440
-------------
Other Treasury Obligations - 41.8%
U.S. Treasury Bond ....................... 5.09% 01/31/00 11,000,000 11,022,847
U.S. Treasury Bond Strips - Principal Only 5.08-5.31% 02/15/00 11,000,000 10,931,176
U.S. Treasury Note ....................... 5.10-5.21% 01/15/00 18,000,000 18,007,797
U.S. Treasury Note ....................... 5.13-5.27% 02/15/00 30,000,000 30,069,610
U.S. Treasury Note Strips - Interest Only 5.24% 02/15/00 5,000,000 4,968,275
-------------
74,999,705
-------------
Shares
Mutual Funds - 6.6% ------
AIM Treasury Money Market Fund .......................................... 2,509,835 2,509,835
Dreyfus Treasury Prime Cash Fund ........................................ 6,619,250 6,619,250
Goldman Sachs Liquid Assets Treasury Obligations Fund ................... 2,729,352 2,729,352
-------------
11,858,437
-------------
TOTAL INVESTMENTS, at amortized cost - 99.1% 177,649,582
Other Assets and Liabilities (net) - 0.9% 1,679,341
-------------
TOTAL NET ASSETS - 100.0% $179,328,923
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Treasury Plus Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
==============================================================================================================
<S> <C> <C> <C> <C>
Treasury Bill - 19.4%
U.S. Treasury Bill ............................ 4.75-5.47% 01/13/00 $55,000,000 $ 54,906,750
--------------
Other Treasury Obligations - 8.1%
U.S. Treasury Bond Strips - Principal Only .... 4.82% 02/15/00 15,000,000 14,907,630
U.S. Treasury Note Strips - Interest Only ..... 5.30% 02/15/00 8,000,000 7,948,528
--------------
22,856,158
--------------
Shares
Mutual Funds - 4.2% ------
AIM Treasury Money Market Fund ............................................... 2,000,000 2,000,000
Goldman Sachs Liquid Assets Treasury Obligations Fund ........................ 10,000,000 10,000,000
--------------
12,000,000
--------------
Par Value
---------
Repurchase Agreements - 68.3%
Bear Stearns Repurchase Agreement, dated 12/31/99,
due 1/03/00, with a maturity value of $55,005,032 and an
effective yield of 3.00% , collateralized by U.S. Government
Agency Obligations with rates ranging from 5.25% to 7.10%
and maturities ranging from 4/25/02 to 3/03/09, with an
aggregate market value of $56,105,133. $55,000,000 55,000,000
Lehman Brothers Repurchase Agreement, dated 12/31/99,
due 1/03/00, with a maturity value of $40,001,457 and an
effective yield of 3.00% , collateralized by U.S. Treasury
Obligations with rates ranging from 6.75% to 8.75% and maturities
ranging from 5/15/20 to 5/15/26, with an aggregate market
value of $40,787,160. 40,000,000 40,000,000
Lehman Brothers Repurchase Agreement, dated 12/31/99,
due 1/03/00, with a maturity value of $15,000,094 and an
effective yield of 3.00% , collateralized by a U.S. Government
Agency Obligation with a rate of 5.75% and a maturity
of 1/27/00, with an aggregate market value
of $15,300,096. 15,000,000 15,000,000
Merrill Lynch Repurchase Agreement, dated 12/31/99,
due 1/03/00, with a maturity value of $53,129,448 and an
effective yield of 3.00% , collateralized by U.S. Treasury
Obligations with rates ranging from 6.12% to 10.38% and
maturities ranging from 11/15/12 to 11/15/27, with an
aggregate market value of $54,192,036. 53,127,765 53,127,765
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Treasury Plus Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
==============================================================================================================
<S> <C> <C> <C> <C>
Repurchase Agreements, continued
Morgan Stanley Repurchase Agreement, dated 12/31/99,
due 1/03/00, with a maturity value of $30,006,250
and an effective yield of 4.75%, collateralized by a U.S.
Treasury Obligation with a rate of 8.50% and a maturity
of 5/31/02, with an aggregate market value
of $30,627,022. $30,000,000 $ 30,000,000
--------------
193,127,765
--------------
TOTAL INVESTMENTS, at amortized cost - 100.0% 282,890,673
Other Assets and Liabilities (net) - 0.0% (46,075)
--------------
TOTAL NET ASSETS - 100.0% $282,844,598
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac U.S. Government Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to
Security Maturity Maturity Shares Value
======================================================================================================================
<S> <C> <C> <C> <C>
U.S. Government Agency Obligations - 55.4%
Federal Farm Credit Bank ............................... 6.33% 08/16/00 $ 200,000 $ 200,357
Federal Home Loan Bank ................................. 5.52% 02/11/00 1,500,000 1,500,913
Federal Home Loan Bank ................................. 5.60% 03/15/00 2,065,000 2,062,832
Federal Home Loan Bank ................................. 5.61% 03/17/00 2,500,000 2,497,590
Federal Home Loan Bank ................................. 5.64% 03/30/00 1,000,000 998,473
Federal Home Loan Bank ................................. 5.87% 07/14/00 230,000 229,549
Federal Home Loan Mortgage Corporation ................. 5.56% 01/20/00 650,000 648,093
Federal Home Loan Mortgage Corporation ................. 5.54% 02/24/00 340,000 337,174
Federal Home Loan Mortgage Corporation ................. 5.50% 02/25/00 16,500,000 16,361,354
Federal Home Loan Mortgage Corporation ................. 5.23% 05/11/00 650,000 637,629
Federal Home Loan Mortgage Corporation ................. 5.50% 06/13/00 625,000 609,341
Federal Home Loan Mortgage Corporation ................. 5.50% 06/22/00 200,000 194,714
Federal Home Loan Mortgage Corporation ................. 5.55% 08/01/00 100,000 96,717
Federal National Mortgage Association .................. 5.92% 01/12/00 4,000,000 3,999,560
Federal National Mortgage Association .................. 5.51% 01/21/00 1,500,000 1,495,408
Federal National Mortgage Association .................. 5.50% 01/25/00 3,000,000 2,989,000
Federal National Mortgage Association .................. 5.76% 02/17/00 5,000,000 4,962,400
Federal National Mortgage Association .................. 5.76% 03/16/00 5,000,000 4,940,052
Federal National Mortgage Association .................. 5.60% 03/23/00 3,500,000 3,499,465
Federal National Mortgage Association .................. 5.57% 03/27/00 5,740,000 5,740,075
Federal National Mortgage Association .................. 6.00% 04/10/00 100,000 100,819
Federal National Mortgage Association .................. 5.78% 04/20/00 4,500,000 4,498,141
Federal National Mortgage Association .................. 5.93% 05/19/00 200,000 199,372
Federal National Mortgage Association .................. 5.95% 06/12/00 200,000 199,742
Federal National Mortgage Association .................. 5.60% 06/19/00 1,191,000 1,159,505
Federal National Mortgage Association .................. 5.62% 09/01/00 5,000,000 4,809,545
Federal National Mortgage Association .................. 6.06% 09/11/00 170,000 173,584
Federal National Mortgage Association .................. 5.65% 09/14/00 479,000 459,680
Federal National Mortgage Association .................. 5.80% 09/25/00 3,615,000 3,596,335
Federal National Mortgage Association .................. 5.63% 09/29/00 683,000 653,946
Federal National Mortgage Association .................. 6.00% 10/16/00 2,535,000 2,504,960
Student Loan Marketing Association ..................... 5.97% 07/17/00 250,000 249,047
--------------
72,605,372
--------------
U.S. Government Agency Variable Rate Obligations - 36.5%
Federal Home Loan Bank ................................. 6.00% 01/04/00 10,000,000 9,994,795
Federal National Mortgage Association .................. 6.00% 02/09/00 10,000,000 9,996,377
Student Loan Marketing Association ..................... 5.99-6.04% 01/04/00 25,000,000 25,001,090
Student Loan Marketing Association ..................... 5.64% 06/30/00 3,000,000 2,992,710
--------------
47,984,972
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac U.S. Government Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to
Security Maturity Maturity Shares Value
======================================================================================================================
<S> <C> <C> <C> <C>
Mutual Funds - 6.8%
Goldman Sachs Financial Square Government Fund ..................................... 3,490,695 $ 3,490,695
Janus Government Money Market Fund ................................................. 5,471,882 5,471,882
--------------
8,962,577
--------------
TOTAL INVESTMENTS, at amortized cost - 98.7% 129,552,921
Other Assets and Liabilities (net) - 1.3% 1,765,352
--------------
TOTAL NET ASSETS - 100.0% $131,318,273
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Master Portfolio
Statements of Assets and Liabilities
December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Treasury Treasury Plus U.S. Government
Cash Portfolio Portfolio Portfolio Portfolio
-------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C>>
Assets
Investments, at value (Note 1) $1,131,625,345 $177,649,582 $ 89,762,908 $129,552,921
Repurchase agreements - - 193,127,765 -
Cash 592,956 - - 710,469
Interest receivable 9,575,199 1,742,976 19,061 1,089,444
Deferred organization expense (Note 1) 22,902 3,209 - -
Prepaid assets 27,545 6,731 10,090 2,585
-------------- ------------ ------------ ------------
Total assets 1,141,843,947 179,402,498 282,919,824 131,355,419
-------------- ------------ ------------ ------------
Liabilities
Management fee payable (Note 2) 153,957 23,634 35,089 16,717
Payable for securities purchased 60,132,146 - - -
Other accrued expenses 64,535 49,941 40,137 20,429
-------------- ------------ ------------ ------------
Total liabilities 60,350,638 73,575 75,226 37,146
-------------- ------------ ------------ ------------
Net Assets Applicable to Investors' Beneficial Interests $1,081,493,309 $179,328,923 $282,844,598 $131,318,273
============== ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Master Portfolio
Statements of Operations
================================================================================
<TABLE>
<CAPTION>
Treasury
Cash Portfolio Portfolio
----------------- -----------------
Year Ended Year Ended
December 31, 1999 December 31, 1999
----------------- -----------------
<S> <C> <C>
Income
Interest and dividends $66,351,698 $8,359,531
------------- ------------
Expenses
Management fee (Note 2) 2,117,982 302,524
Trustee fees and expenses 42,801 8,646
Insurance 32,101 5,943
Audit 34,046 27,512
Transaction fees 14,591 7,657
Amortization of organization expense (Note 1) 12,150 1,526
Legal 69,066 5,075
Miscellaneous 74,902 22,436
------------- ------------
Total expenses 2,397,639 381,319
------------- ------------
Net Investment Income 63,954,059 7,978,212
Net Realized Gain (Loss) on Investments (144,611) (3,632)
------------- ------------
Net Increase in Net Assets from Operations $63,809,448 $7,974,580
============= ============
<CAPTION>
Treasury Plus U.S. Government
Portfolio Portfolio
-------------------- --------------------
For the Period For the Period
January 22, 1999 June 29, 1999
(Commencement of (Commencement of
Operations) Operations)
to December 31, 1999 to December 31, 1999
-------------------- --------------------
<S> <C> <C>
Income
Interest and dividends $11,650,653 $3,900,399
------------- ------------
Expenses
Management fee (Note 2) 397,835 123,332
Trustee fees and expenses 14,243 1,550
Insurance 5,836 2,857
Audit 22,523 15,031
Transaction fees 6,216 4,625
Amortization of organization expense (Note 1) - -
Legal 18,801 6,275
Miscellaneous 28,421 8,048
------------- ------------
Total expenses 493,875 161,718
------------- ------------
Net Investment Income 11,156,778 3,738,681
Net Realized Gain (Loss) on Investments (66) 1,006
------------- ------------
Net Increase in Net Assets from Operations $11,156,712 $3,739,687
============= ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Master Portfolio
Statements of Changes in Net Assets
================================================================================
<TABLE>
<CAPTION>
Cash Portfolio Treasury Portfolio
------------------------------------- ---------------------------------
Year Ended December 31, Year Ended December 31,
------------------------------------- ---------------------------------
1999 1998 1999 1998
---------------- ---------------- -------------- --------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income $ 63,954,059 $ 56,678,458 $ 7,978,212 $ 2,734,550
Net realized gain (loss) on investments (144,611) 13,660 (3,632) 966
---------------- ---------------- -------------- --------------
Net increase in net assets from operations 63,809,448 56,692,118 7,974,580 2,735,516
---------------- ---------------- -------------- --------------
Transactions in Investors'
Beneficial Interest
Contributions 6,036,333,627 3,737,889,197 695,212,525 360,772,130
Withdrawals (5,811,849,613) (4,386,229,061) (638,584,123) (322,698,051)
---------------- ---------------- -------------- --------------
Net increase (decrease) from investors' transactions 224,484,014 (648,339,864) 56,628,402 38,074,079
---------------- ---------------- -------------- --------------
Net Increase (Decrease) in Net Assets 288,293,462 (591,647,746) 64,602,982 40,809,595
Net Assets
Beginning of period 793,199,847 1,384,847,593 114,725,941 73,916,346
---------------- ---------------- -------------- --------------
End of period $ 1,081,493,309 $ 793,199,847 $ 179,328,923 $ 114,725,941
================ ================ ============== ==============
<CAPTION>
Treasury Plus U.S. Government
Portfolio Portfolio
-------------------- --------------------
For the Period For the Period
January 22, 1999 June 29, 1999
(Commencement of (Commencement of
Operations) Operations)
to December 31, 1999 to December 31, 1999
-------------------- --------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income $ 11,156,778 $ 3,738,681
Net realized gain (loss) on investments (66) 1,006
--------------- --------------
Net increase in net assets from operations 11,156,712 3,739,687
--------------- --------------
Transactions in Investors'
Beneficial Interest
Contributions 1,227,975,120 697,418,162
Withdrawals (956,287,234) (569,839,576)
--------------- --------------
Net increase (decrease) from investors' transactions 271,687,886 127,578,586
--------------- --------------
Net Increase (Decrease) in Net Assets 282,844,598 131,318,273
Net Assets
Beginning of period - -
--------------- --------------
End of period $ 282,844,598 $ 131,318,273
=============== ==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Master Portfolio
Supplemental Data
================================================================================
<TABLE>
<CAPTION>
Annualized Ratios to Average Net Assets
-----------------------------------------
Net Net Assets
Net Expenses End of
Net Investment Before Period
Expenses Income Waiver (000s omitted)
---------- ------------ ---------- ----------------
<S> <C> <C> <C> <C>
Cash Portfolio
1999 0.19% 5.14% NA $1,081,493
1998 0.15% 5.47% 0.19% 793,200
1997 0.16% 5.51% 0.19% 1,384,848
1996 (A) 0.12% 5.45% 0.21% 1,006,310
Treasury Portfolio
1999 0.21% 4.49% NA 179,329
1998 0.26% 4.74% NA 114,726
1997 (B) 0.29% 5.06% NA 73,916
Treasury Plus Portfolio
1999 (C) 0.21% 4.78% NA 282,845
U.S. Government Securities Portfolio
1999 (D) 0.22% 5.15% NA 131,318
</TABLE>
(A) Commenced Operations November 12, 1996.
(B) Commenced Operations April 2, 1997.
(C) Commenced Operations January 22, 1999.
(D) Commenced Operations June 29, 1999.
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Master Portfolio
Notes to Financial Statements
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies
The Merrimac Master Portfolio (the "Portfolio Trust") is organized as a
common law trust under the laws of the State of New York and is registered
under the Investment Company Act of 1940 ("1940 Act"), as an open-end
management investment company with its principal offices in the Cayman
Islands. The Merrimac Cash Portfolio (the "Cash Portfolio"), the Merrimac
Treasury Portfolio (the "Treasury Portfolio"), the Merrimac Treasury Plus
Portfolio (the "Treasury Plus Portfolio") and the Merrimac U.S. Government
Portfolio (the "Government Portfolio" and collectively, the "Portfolios")
are separate diversified investment series of the Portfolio Trust.
The following is a summary of significant accounting policies followed by
the Portfolio Trust in the preparation of its financial statements. The
preparation of financial statements in accordance with generally accepted
accounting principles ("GAAP") 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.
A. Investment Security Valuations
Portfolio securities are valued using the amortized cost method, which
involves initially valuing an investment at its cost and thereafter
assuming a constant amortization to maturity of any premium or discount.
This method results in a value approximating market value. Each Portfolio's
use of amortized cost is subject to compliance with certain conditions
specified under Rule 2a-7 of the 1940 Act.
B. Securities Transactions and Income
Interest income consists of interest accrued and discount earned (including
both the original issue and market discount) less premium amortized on the
investments of the Portfolios, accrued ratably to the date of maturity.
Dividend income consists of income earned from investments in other money
market funds. Purchases, maturities and sales of money market instruments
are accounted for on the date of transaction. Expenses of the Portfolios
are accrued daily. All investment income, expenses, and realized capital
gains and losses of the Portfolios are allocated pro rata to their
investors.
C. Federal Income Taxes
Each Portfolio is considered a partnership under the U.S. Internal Revenue
Code. Accordingly, no provision for federal income taxes is necessary. Each
Portfolio also intends to conduct its operations such that each investor
will be able to qualify as a regulated investment company.
D. Forward Commitments
The Portfolios may enter into contracts to purchase securities for a fixed
price at a specified future date beyond customary settlement time ("forward
commitments"). If the Portfolios do so, they will maintain cash or other
liquid obligations having a value in an amount at all times sufficient to
meet the purchase price. Forward commitments involve risk of loss if the
value of the security to be purchased declines prior to the settlement
date. Although the Portfolios generally will enter into forward commitments
with the intention of acquiring the securities for their portfolio, they
may dispose of a commitment prior to settlement if their Sub-Adviser deems
it appropriate to do so.
E. Repurchase Agreements
It is the policy of the Portfolio Trust to require the custodian bank to
take possession of all securities held as collateral in support of
repurchase agreement investments. Additionally, procedures have been
established to monitor the daily market value of the repurchase agreement's
underlying investments to ensure the existence of a proper level of
collateral. The Treasury Portfolio does not invest in repurchase
agreements.
F. Deferred Organization Expense
Costs incurred by the Cash Portfolio and the Treasury Portfolio in
connection with its organization and initial registration are being
amortized on a straight-line basis over a five year period beginning at the
commencement of operations of each Portfolio.
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<PAGE>
(2) Management Fee and Affiliated Transactions
The Portfolios retain Investors Bank & Trust Company ("Investors Bank") as
investment adviser to continuously review and monitor the Portfolios'
investment program. Investors Bank also serves as custodian for the
Portfolio Trust. Investor's Fund Services (Ireland) Limited, a subsidiary
of Investors Bank, serves as administrator. IBT Fund Services (Canada)
Inc., a subsidiary of Investors Bank, serves as fund accounting and
transfer agent. For these services, Investors Bank and its subsidiaries are
paid a monthly fee at an annual rate of 0.17% of the average daily assets
of the Portfolios.
Allmerica Asset Management, Inc. ("AAM") serves as the sub-adviser to the
Cash Portfolio and the Government Portfolio and M&I Investment Management
Corp. ("M&I") serves as sub-adviser to the Treasury Portfolio and the
Treasury Plus Portfolio. For its services as investment sub-adviser to the
Cash Portfolio and the Government Portfolio, AAM receives an annual fee,
computed and paid monthly by Investors Bank, based on the average net
assets of each Portfolio according to the following schedule: 0.09% on the
first $500,000,000 in assets; 0.07% on the next $500,000,000 in assets; and
0.06% on assets exceeding $1,000,000,000. For its services as investment
sub-adviser to the Treasury Portfolio and Treasury Plus Portfolio, M&I
receives a monthly fee by Investors Bank computed at an annual rate of
0.08% of the average daily net assets of each Portfolio. The Portfolios do
not pay a fee directly to either sub-adviser for such services.
Certain trustees and officers of the Portfolio Trust are directors or
officers of Investors Bank. The Portfolio Trust does not pay compensation
to the trustees or officers who are affiliated with the investment adviser.
(3) Investment Transactions
Purchases and combined maturities and sales for the respective Portfolios
for the year ended December 31, 1999 were aggregated as follows:
<TABLE>
<CAPTION>
Combined
Purchases Maturities and
Sales
---------------- -----------------
<S> <C> <C>
Cash Portfolio $22,165,036,104 $21,835,139,771
Treasury Portfolio 1,680,243,853 1,617,448,412
Treasury Plus Portfolio 52,457,081,020 52,175,189,486
Government Portfolio 2,566,500,193 2,438,499,162
</TABLE>
(4) Line of Credit
The Portfolios participate in a $100 million line of credit agreement with
a group of banks. Borrowings will be made solely to facilitate the handling
of unusual and/or unanticipated short-term cash requirements. Interest is
charged to each portfolio based on its borrowings at an amount above the
Federal Funds rate. In addition, a fee computed at an annual rate of 0.08%
on the daily unused portion of the line of credit is allocated among the
portfolios. There were no borrowings during the year ended December 31,
1999.
25
<PAGE>
Report of Ernst & Young LLP, Independent Auditors
To the Board of Trustees and
Owners of Beneficial Interest of
Merrimac Master Portfolio
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the Merrimac Cash Portfolio, the Merrimac
Treasury Portfolio, the Merrimac Treasury Plus Portfolio and the Merrimac U.S.
Government Portfolio (collectively, the "Portfolios"), the four Portfolios
comprising the Merrimac Master Portfolio (the "Portfolio Trust"), as of December
31, 1999, and the related statements of operations, changes in net assets, and
supplementary data for each of the periods indicated therein. These financial
statements and supplementary data are the responsibility of the Portfolio
Trust's management. Our responsibility is to express an opinion on these
financial statements and supplementary data based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
supplementary data are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and supplementary data. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence with
the custodian and brokers, or other appropriate auditing procedures where
replies from brokers were not received. 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 supplementary data referred to
above present fairly, in all material respects, the financial position of each
of the Portfolios at December 31, 1999, the results of their operations, changes
in their net assets, and their supplementary data for each of the periods
indicated therein, in conformity with accounting principles generally accepted
in the United States.
/s/ Ernst & Young LLP
Boston, Massachusetts
February 11, 2000
26
