<PAGE>
[LOGO]
MERRIMAC CASH FUND
SEMI-ANNUAL REPORT
JUNE 30, 2000
<PAGE>
August 14, 2000
Dear Shareholder:
We are please to provide you with the Semi Annual Report of the Merrimac
Cash Fund as of June 30, 2000. The fund purchases an interest in the Merrimac
Cash Portfolio with its investable assets rather than creating its own
portfolio of investment securities. In this way, the fund obtains the
economies and efficiencies of investment by a larger pool of assets. The
investment objective of Merrimac Cash Fund and Merrimac Cash Portfolio are
identical. They seek as high a level of current income as is consistent with
the preservation of capital and liquidity.
The challenge of managing a money market portfolio in a rising rate
environment continued during the first half of 2000. Three additional rate
adjustments by the Federal Reserve's Open Market Committee, including a 50
basis point increase in mid May, have tested investment managers' ability to
structure their portfolios to be responsive to Fed actions.
The Premium Class of the Merrimac Cash Fund continued to be one of the top
performing institutional money market funds during the first half of 2000. It
had a total return of 6.14% for the period. Allmerica Asset Management, Inc.,
our sub-adviser, has continued to meet the challenge, and we thank them for
their continued efforts on behalf of our shareholders.
We thank you, our shareholders, for your support and participation. We look
forward to continuing to serve you in the future.
Very truly yours,
Paul J. Jasinski
President
1
<PAGE>
MERRIMAC CASH FUND
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS
Investment in Merrimac Cash Portfolio, at value (Note 1) $657,359,770
Deferred organization expense (Note 1) 19,124
Prepaid expenses 12,268
------------
Total assets 657,391,162
------------
LIABILITIES
Distributions payable to shareholders 4,089,382
Accrued expenses 26,359
------------
Total liabilities 4,115,741
------------
NET ASSETS $653,275,421
============
NET ASSETS CONSIST OF
Paid in capital $653,408,264
Accumulated net realized loss on investments (132,843)
------------
Total net assets $653,275,421
============
TOTAL NET ASSETS
Premium Class $653,002,111
Institutional Class $ 273,310
SHARES OF BENEFICIAL INTEREST OUTSTANDING
Premium Class 653,134,898
Institutional Class 273,366
NET ASSET VALUE, MAXIMUM OFFER AND REDEMPTION PRICE
PER SHARE $1.00
</TABLE>
2
<PAGE>
MERRIMAC CASH FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<S> <C>
NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO (NOTE 1)
Interest $23,683,959
Expenses (720,231)
-----------
Net investment income from Portfolio 22,963,728
-----------
FUND EXPENSES
Accounting, transfer agency, and administration fees
(Note 4) 37,784
Legal 3,633
Insurance 5,449
Trustees fees and expenses 5,812
Audit and tax return preparation fees 6,539
Printing 1,816
Amortization of organization expenses (Note 1) 6,750
Miscellaneous 5,449
-----------
Total expenses common to all classes 73,232
Shareholder servicing fee-Institutional Class 2,011
-----------
Total expenses 75,243
-----------
NET INVESTMENT INCOME 22,888,485
NET REALIZED LOSS ON INVESTMENTS FROM PORTFOLIO (26,672)
-----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $22,861,813
===========
</TABLE>
3
<PAGE>
MERRIMAC CASH FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
---------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income $ 22,888,485 $ 49,734,820
Net realized gain (loss) from Portfolio (26,672) (115,927)
--------------- ---------------
Net increase in net assets from operations 22,861,813 49,618,893
--------------- ---------------
DIVIDENDS DECLARED FROM NET INVESTMENT INCOME
Premium Class (22,842,471) (49,374,483)
Institutional Class (46,014) (360,337)
--------------- ---------------
Total dividends declared (22,888,485) (49,734,820)
--------------- ---------------
FUND SHARE TRANSACTIONS (NOTE 7)
Proceeds from shares sold 1,924,034,934 4,432,656,104
Proceeds from dividends reinvested 8,892,364 22,732,585
Payment for shares redeemed (2,091,415,652) (4,308,386,105)
--------------- ---------------
Net increase (decrease) in net assets derived from share
transactions (158,488,354) 147,002,584
--------------- ---------------
Net increase (decrease) in net assets (158,515,026) 146,886,657
--------------- ---------------
NET ASSETS
Beginning of period 811,790,447 664,903,790
--------------- ---------------
End of period $ 653,275,421 $ 811,790,447
=============== ===============
</TABLE>
4
<PAGE>
MERRIMAC CASH FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of beneficial interest outstanding throughout each
period is presented below:
<TABLE>
<CAPTION>
PREMIUM CLASS
-------------------------------------------------------------------
NOV. 12, 1996
SIX MONTHS (COMMENCEMENT
ENDED OF OPERATIONS)
JUNE 30, YEAR ENDED DECEMBER 31, TO
2000 ------------------------------------ DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996
----------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment
income 0.030 0.051 0.055 0.055 0.006
Dividends from net
investment income (0.030) (0.051) (0.055) (0.055) (0.006)
---------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END
OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ============
TOTAL RETURN (1) 6.14% 5.26% 5.59% 5.64% 5.42%
ANNUALIZED RATIOS TO
AVERAGE NET ASSETS/
SUPPLEMENTAL DATA
Net expenses 0.21% 0.21% 0.16% 0.18% 0.15%
Net investment
income 6.05% 5.13% 5.46% 5.49% 5.42%
Net expenses,
before waiver NA NA 0.20% 0.21% 0.24%
Net assets, end of
period (000s
omitted) by the
investment
advisor (2) $ 653,002 $ 808,103 $ 655,049 $1,119,556 $ 875,936
<CAPTION>
INSTITUTIONAL CLASS
-------------------------------------------------------------------
NOV. 12, 1996
SIX MONTHS (COMMENCEMENT
ENDED OF OPERATIONS)
JUNE 30, YEAR ENDED DECEMBER 31, TO
2000 ------------------------------------ DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996
----------- ---------- ---------- ---------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Net investment
income 0.029 0.049 0.052 0.052 0.006
Dividends from net
investment income (0.029) (0.049) (0.052) (0.052) (0.006)
---------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END
OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ========== ============
TOTAL RETURN (1) 5.87% 4.99% 5.33% 5.37% 5.17%
ANNUALIZED RATIOS TO
AVERAGE NET ASSETS/
SUPPLEMENTAL DATA
Net expenses 0.46% 0.46% 0.41% 0.43% 0.40%
Net investment
income 5.81% 4.88% 5.21% 5.24% 5.17%
Net expenses,
before waiver NA NA 0.45% 0.46% 0.49%
Net assets, end of
period (000s
omitted) by the
investment
advisor (2) $ 273 $ 3,688 $ 9,857 $ 198,427 $ 127,410
</TABLE>
(1) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions are assumed reinvested at the
net asset value on the payable date. Total return is computed on an
annualized basis.
5
<PAGE>
MERRIMAC CASH FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
-------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
The Merrimac Funds (the "Trust") is organized as a Delaware business
trust and is registered under the Investment Company Act of 1940, as an
open-end management investment company. The Merrimac Cash Fund (the "Fund")
is a separate diversified investment portfolio or series of the Trust. The
Fund consists of two classes of shares, the Premium Class and the
Institutional Class.
The Fund seeks to achieve its investment objective by investing all of its
investable assets in the Merrimac Cash Portfolio (the "Portfolio"), an
open-end management investment company and a series of the Merrimac Master
Portfolio. The Fund has the same investment objective as the Portfolio. The
Portfolio seeks to achieve a high level of current income, consistent with the
preservation of capital and liquidity. The performance of the Fund is directly
affected by the performance of the Portfolio. The financial statements of the
Portfolio are included elsewhere in this report and should be read in
conjunction with the Fund's financial statements. At June 30, 2000 the
investment by the Fund represents ownership of a proportionate interest of
66.6% of the Portfolio.
It is the policy of the Fund to maintain a net asset value of $1.00 per
share. The Fund has adopted certain investment, valuation, dividend and
distribution policies which conform to general industry practice, to enable it
to do so. However, there is no assurance that the Fund will be able to
maintain a stable net asset value.
The following is a summary of significant accounting policies followed by
the Fund 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
The Fund records its investment in the Portfolio at value. Valuation of
securities by the Portfolio is discussed in Note 1 of the Portfolio's Notes to
Financial Statements, which are included elsewhere in this report.
B. SECURITIES TRANSACTIONS AND INCOME
The Portfolio records securities transactions as of the trade date.
Interest income, including the accretion of discount or the amortization of
premium, is recognized when earned. Gains or losses on sales of securities are
calculated on the identified cost basis. The Fund's net investment income
consists of its pro rata share of the net investment income of the Portfolio,
less all expenses of the Fund determined in accordance with GAAP.
C. FEDERAL INCOME TAXES
The Fund intends to qualify annually as a regulated investment company
under Subchapter M of the Internal Revenue Code, and thus not be subject to
income taxes. To qualify, the Fund must distribute all of its taxable income
for its fiscal year and meet certain other requirements. Accordingly, no
provision for federal income taxes is required.
D. DEFERRED ORGANIZATION EXPENSE
Costs incurred by the Fund 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.
(2) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends on the shares of the Fund are declared each business day to
shareholders of record on that day, and paid or reinvested as of the last
business day of the month. Distributions of net realized gains, if any, may be
declared annually. Dividends and distributions are determined in accordance
with federal income tax regulations, which may differ from GAAP.
6
<PAGE>
MERRIMAC CASH FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
-------------------------------------------------------------------------------
(3) SHAREHOLDER SERVICING PLAN
The Trust has adopted a Shareholder Servicing Plan with respect to the
Institutional Class under which certain service organizations may be
compensated for providing shareholder accounting and other administrative
services for their clients. The Institutional Class pays an annual fee of
0.25% of the value of the assets that an organization services on behalf of
its clients.
(4) MANAGEMENT FEE AND AFFILIATED TRANSACTIONS
The Portfolio retains Investors Bank & Trust Company ("Investors Bank")
as investment adviser. Allmerica Asset Management, Inc. ("AAM") serves as
sub-adviser to the Portfolio. The Fund pays no direct fees for such services,
but indirectly bears its pro rata share of the compensation paid by the
Portfolio. See Note 2 of the Portfolio's Notes to Financial Statements, which
are included elsewhere in this report.
Investors Bank or its subsidiary, IBT Fund Services (Canada), Inc. serves
as administrator, custodian, fund accounting agent, and transfer agent to the
Trust. For these services, Investors Bank and its subsidiary are paid a
monthly fee at an annual rate of 0.01% of the average daily net assets of the
Fund.
Certain trustees and officers of the Trust are directors or officers of
Investors Bank. The Fund does not pay compensation to its trustees or officers
who are affiliated with the investment adviser.
(5) INVESTMENT TRANSACTIONS
The Fund's investments in and withdrawals from the Portfolio for the period
from January 1, 2000 to June 30, 2000 aggregated $1,932,927,298 and
$2,114,117,189 respectively.
(6) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest having a par value of $0.001 per share.
Transactions in Fund shares at $1.00 per share for each class were as follows:
<TABLE>
<CAPTION>
PREMIUM CLASS INSTITUTIONAL CLASS
------------------------------- -----------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1999 2000 1999
--------------- -------------- ------------- ---------------
<S> <C> <C> <C> <C>
Proceeds from shares sold... 1,923,076,000 4,383,441,069 958,934 49,215,035
Proceeds from shares
reinvested................ 8,829,122 22,344,032 63,242 388,553
Payment for shares
redeemed.................. (2,086,978,100) (4,252,614,441) (4,437,552) (55,771,664)
--------------- -------------- ----------- -------------
Net increase (decrease)
in shares................. (155,072,978) 153,170,660 (3,415,376) (6,168,076)
=============== ============== =========== =============
</TABLE>
At June 30, 2000, Investors Bank, as agent for its clients, and affiliates
of AAM were record holders of 61% and 35%, respectively, of the outstanding
Premium Class shares of the Fund.
7
<PAGE>
MERRIMAC CASH PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YIELD TO PAR
SECURITY MATURITY MATURITY VALUE VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
VARIABLE RATE NOTES* - 42.1%
Asset Backed Capital Finance................... 6.44% 07/04/00 $ 38,000,000 $38,000,000
Bear Stearns Companies, Inc.................... 7.00% 07/03/00 10,000,000 9,999,037
Bear Stearns Companies, Inc.................... 6.80% 07/17/00 7,000,000 7,005,487
Bear Stearns Companies, Inc.................... 6.39% 08/02/00 20,000,000 20,000,000
CIC Group...................................... 6.82% 07/03/00 35,000,000 34,999,403
Countrywide Credit Industries, Inc............. 6.77% 08/22/00 25,000,000 24,994,580
Donaldson, Lufkin & Jenrette, Inc.............. 6.70% 08/03/00 10,000,000 10,001,557
First Union Corporation........................ 6.87% 07/03/00 9,000,000 9,000,000
Heller Financial, Inc.......................... 6.35% 07/03/00 18,000,000 17,966,994
Heller Financial, Inc.......................... 6.90% 08/07/00 17,000,000 16,999,092
Heller Financial, Inc.......................... 7.10% 09/25/00 10,000,000 10,007,209
Household Finance Corporation.................. 6.37% 07/04/00 33,000,000 33,000,000
Jackson National Life Insurance Company Funding
Agreement **................................... 6.42% 07/03/00 40,000,000 40,000,000
Merrill Lynch & Co., Inc....................... 7.32% 08/21/00 20,000,000 20,039,466
PaineWebber Group, Inc......................... 6.82% 07/12/00 20,000,000 20,000,000
Sigma Finance Corporation...................... 6.39% 07/04/00 40,000,000 40,000,000
Strategic Money Market Trust................... 6.77% 07/14/00 10,000,000 10,000,000
Strategic Money Market Trust................... 6.81% 09/13/00 15,000,000 15,000,000
Syndicated Loan Fund Trust..................... 6.53% 07/03/00 40,000,000 40,000,000
------------
417,012,825
------------
COMMERCIAL PAPER - 23.7%
Aetna, Inc..................................... 6.80% 08/21/00 5,000,000 4,951,833
Aetna, Inc..................................... 6.76% 08/23/00 20,000,000 19,800,956
Aetna, Inc..................................... 6.82% 09/05/00 25,000,000 24,687,417
Associates Corporation of North America........ 6.69% 08/23/00 10,500,000 10,396,584
AT&T Corporation............................... 7.27% 06/14/01 20,000,000 20,000,000
Bear Stearns Companies, Inc.................... 6.89% 02/12/01 19,000,000 18,178,176
Christiania Capital Corporation................ 6.66% 09/12/00 25,000,000 24,662,628
France Telecom S.A............................. 6.68% 09/05/00 20,000,000 19,755,067
Govco, Inc..................................... 6.65% 08/07/00 20,000,000 19,863,305
Lehman Brothers Holdings....................... 7.05% 02/12/01 5,000,000 4,778,708
Newbury Funding Ltd............................ 6.70% 08/07/00 20,000,000 19,862,278
PaineWebber Group, Inc......................... 6.83% 08/23/00 25,000,000 24,748,618
Unibanco-Grand Cayman.......................... 7.00% 04/11/01 8,000,000 7,558,222
Westways Funding I Ltd......................... 6.70% 08/24/00 7,975,000 7,894,851
Westways Funding II Ltd........................ 6.70% 08/24/00 6,450,000 6,385,178
------------
233,523,821
------------
CORPORATE DEBT - 17.0%
BankBoston Corporation......................... 6.11% 08/11/00 5,310,000 5,311,507
Chrysler Financial............................. 6.49% 01/26/01 6,800,000 6,777,651
Countrywide Credit Industries, Inc............. 6.36% 10/23/00 6,000,000 6,000,965
E.I. du Pont de Nemours and Company............ 6.09% 08/29/00 5,000,000 5,004,206
First Union Corporation........................ 6.86% 09/15/00 25,000,000 25,000,000
Ford Motor Company............................. 6.49% 01/24/01 5,000,000 4,981,285
Ford Motor Company............................. 6.43% 01/25/01 5,000,000 4,981,459
Landesbank Baden-Wuerttemberg.................. 6.29% 08/08/00 10,770,000 10,774,886
Lehman Brothers Holdings....................... 7.17% 08/01/00 6,000,000 5,995,528
Lehman Brothers Holdings....................... 6.60% 10/10/00 5,000,000 5,003,660
Lehman Brothers Holdings....................... 6.87% 03/06/01 25,000,000 24,905,355
Lehman Brothers Holdings....................... 6.60% 03/30/01 6,190,000 6,192,934
Links Finance LLC.............................. 7.00% 06/04/01 25,000,000 25,000,000
PaineWebber Group, Inc......................... 6.50% 08/09/00 5,050,000 5,054,207
Salomon Smith Barney........................... 6.67% 02/21/01 10,000,000 9,995,205
Sigma Finance Corporation...................... 6.80% 03/30/01 10,000,000 10,000,000
Volkswagen AG.................................. 5.77% 07/13/00 7,000,000 6,999,772
------------
167,978,620
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
MERRIMAC CASH PORTFOLIO
SCHEDULE OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YIELD TO PAR
SECURITY MATURITY MATURITY VALUE VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 5.8%
National Bank of Canada........................ 6.17% 11/22/00 $ 22,000,000 $21,994,203
Wilmington Trust............................... 6.08% 10/02/00 35,000,000 34,979,841
------------
56,974,044
------------
TIME DEPOSITS - 2.9%
Suntrust Bank.................................. 7.06% 07/03/00 28,250,000 28,250,000
------------
EXTENDIBLE COMMERCIAL NOTES - 2.5%
Carolina Power & Light Company+ **............. 6.70% 08/14/00 25,000,000 24,795,278
------------
VARIABLE RATE MUNICIPAL OBLIGATIONS - 2.0%
California Housing Finance Agency Revenue...... 6.63% 08/01/00 6,400,000 6,400,000
Memphis Center City Revenue Financing.......... 7.12% 07/06/00 13,000,000 13,000,000
------------
19,400,000
------------
VARIABLE RATE ASSET BACKED SECURITES - 1.8%
Wesley Commercial & Residential Funding**...... 6.70% 07/29/00 17,836,538 17,836,538
------------
ASSET BACKED SECURITIES - 1.1%
CNH Equipment Trust............................ 6.18% 04/09/01 5,148,494 5,148,494
Copelco Capital Funding Corporation............ 5.94% 10/18/00 1,240,713 1,240,713
Orix Credit Alliance Trust..................... 6.24% 11/15/00 4,180,978 4,180,978
------------
10,570,185
------------
TOTAL INVESTMENTS, AT AMORTIZED COST - 98.9% 976,341,311
Other assets and liabilities (net) - 1.1% 10,965,277
------------
TOTAL NET ASSETS 100.0% $987,306,588
============
</TABLE>
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Variable rate securities - maturity dates on these types of 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.
** Illiquid Security
+ Extendible Commercial Note under which the issuer may extend the maturity to
07/01/01. The interest rate is calculated at one month LIBOR plus 1.49%
during the extension period.
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
MERRIMAC CASH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investments, at value (Note 1) $ 976,341,311
Cash 208,807
Interest receivable 10,985,476
Deferred organization expense (Note 1) 16,828
Prepaid assets 27,545
--------------
Total assets 987,579,967
--------------
LIABILITIES
Management fee payable (Note 2) 173,696
Other accrued expenses 99,684
--------------
Total liabilities 273,380
--------------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS $ 987,306,587
==============
</TABLE>
10
<PAGE>
MERRIMAC CASH PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<S> <C>
INCOME
Interest $ 35,223,104
EXPENSES
Management fee (Note 2) 954,417
Trustee fees and expenses 19,992
Insurance 15,708
Audit and tax return preparation fees 19,040
Transaction fees 9,520
Amortization of organization expense (Note 1) 6,074
Legal 8,568
Miscellaneous 34,270
--------------
Total expenses 1,067,589
--------------
NET INVESTMENT INCOME 34,155,515
--------------
NET REALIZED LOSS ON INVESTMENTS (44,982)
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 34,110,533
==============
</TABLE>
11
<PAGE>
MERRIMAC CASH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 2000 DECEMBER 31,
(UNAUDITED) 1999
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income $ 34,155,515 $ 63,954,059
Net realized gain (loss) on investments (44,982) (144,611)
-------------- --------------
Net increase in net assets from operations 34,110,533 63,809,448
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions 3,180,800,174 6,036,333,627
Withdrawals (3,309,097,429) (5,811,849,613)
-------------- --------------
Net increase (decrease) from investors' transactions (128,297,255) 224,484,014
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS (94,186,722) 288,293,462
-------------- --------------
NET ASSETS
Beginning of period 1,081,493,309 793,199,847
-------------- --------------
End of period $ 987,306,587 $1,081,493,309
============== ==============
</TABLE>
12
<PAGE>
MERRIMAC CASH PORTFOLIO
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS FOR THE PERIOD
ENDED NOVEMBER 12, 1996
JUNE 30, YEAR ENDED DECEMBER 31, (COMMENCEMENT
2000 ------------------------------------ OF OPERATIONS) TO
(UNAUDITED) 1999 1998 1997 DECEMBER 31, 1996
----------- ---------- ---------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
ANNUALIZED RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA
Net expenses 0.19% 0.19% 0.15% 0.16% 0.12%
Net investment income 6.08% 5.14% 5.47% 5.51% 5.45%
Net expenses, before waiver NA NA 0.19% 0.19% 0.21%
Net assets, end of period (000s omitted) $ 987,307 $1,081,493 $ 793,200 $1,384,848 $1,006,310
</TABLE>
13
<PAGE>
MERRIMAC CASH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
-------------------------------------------------------------------------------
(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. Only the
Cash Portfolio is included in this report.
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. The Cash 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 Cash Portfolio, accrued ratably to the date of maturity.
Purchases, maturities and sales of money market instruments are accounted for
on the date of transaction. Expenses of the portfolio are accrued daily. All
investment income, expenses, and realized capital gains and losses of the Cash
Portfolio are allocated pro rata to its investors.
C. FEDERAL INCOME TAXES
The Cash Portfolio is considered a partnership under the U.S. Internal
Revenue Code. Accordingly, no provision for federal income taxes is necessary.
The Cash 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 Cash Portfolio may enter into contracts to purchase securities for a
fixed price at a specified future date beyond customary settlement time
("forward commitments"). If the Cash Portfolio does so, it 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 Cash Portfolio generally will enter into forward
commitments with the intention of acquiring the securities for their
portfolio, it 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 Cash Portfolio 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, daily, the market value of the repurchase agreement's underlying
investments to ensure the existence of a proper level of collateral.
F. DEFERRED ORGANIZATION EXPENSE
Costs incurred by the Cash 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.
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MERRIMAC CASH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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(2) MANAGEMENT FEE AND AFFILIATED TRANSACTIONS
The Cash Portfolio retains Investors Bank & Trust Company ("Investors
Bank") as investment adviser to continuously review and monitor its
investment program. Investors Bank also serves as custodian for the Portfolio
Trust. Investors 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 net assets of the Cash Portfolio.
Allmerica Asset Management, Inc. ("AAM") serves as the Cash Portfolio's
sub-adviser. For its services, AAM receives an annual fee, computed and paid
monthly by Investors Bank, based on the average net assets of the 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 of the Cash Portfolio. The Cash Portfolio does not
pay a fee directly to its sub-adviser for such services.
Certain trustees and officers of the Portfolio Trust are directors or
officers of Investors Bank. The Fund does not pay compensation to its trustees
or officers who are affiliated with the investment adviser.
(3) INVESTMENT TRANSACTIONS
Purchases and combined maturities and sales of money market instruments
aggregated $11,151,713,670 and $11,317,467,909 respectively for the Cash
Portfolio for the period ended June 30, 2000.
(4) LINE OF CREDIT
The Portfolios participate in a $50 million line of credit agreement with a
bank. 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 0.11% on the daily unused
portion of the line of credit is allocated among the Portfolios. There were no
borrowings during the period ended June 30, 2000.
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