[MERRIMAC LOGO]
MERRIMAC SERIES
Annual Report
December 31, 1999
<PAGE>
January 26, 2000
Dear Shareholder:
We are pleased to provide you with the 1999 Annual Report of the Merrimac
Series. The funds are part of a master-feeder structure under which each fund
invests its assets in a master portfolio having identical investment objectives.
The fund structure is described further in the footnotes to the enclosed
financial statements.
The environment for the management of short-term investments during the year,
given three Fed rate increases and the overriding concerns about cash flow as
the Y2K target date approached, was a significant challenge. We are pleased that
both Allmerica Asset Management, Inc. and M&I Investment Management Corp., our
sub-advisers, met the test and attained highly commendable 1999 results for each
of the funds, as reflected in the financial statements.
We thank you, our shareholders, for your support and participation. We look
forward to continuing to serve you in the future.
Very truly yours,
/s/ George A. Rio
George A. Rio
President
<PAGE>
Merrimac Series
Statements of Assets and Liabilities
December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Cash Treasury Treasury Plus U.S. Government
Series Series Series Series
-------------- -------------- -------------- ----------------
Assets
<S> <C> <C> <C> <C>
Investment in corresponding Portfolio, at value (Note 1) $ 262,415,985 $ 179,328,923 $ 282,844,598 $ 131,318,273
Deferred organization expense (Note 1) 9,190 7,450 - -
Prepaid expenses 7,116 11,413 12,768 7,004
-------------- -------------- -------------- ----------------
Total assets 262,432,291 179,347,786 282,857,366 131,325,277
-------------- -------------- -------------- ----------------
Liabilities
Distributions payable to shareholders 1,120,610 655,707 975,246 502,757
Accrued expenses 282,308 162,365 269,417 135,785
-------------- -------------- -------------- ----------------
Total liabilities 1,402,918 818,072 1,244,663 638,542
-------------- -------------- -------------- ----------------
Net Assets $ 261,029,373 $ 178,529,714 $ 281,612,703 $ 130,686,735
============== ============== ============== ================
Net Assets consist of
Paid in capital $ 261,053,549 $ 178,532,077 $ 281,612,769 $ 130,685,729
Accumulated net realized gain (loss) on investments (24,176) (2,363) (66) 1,006
-------------- -------------- -------------- ----------------
Total net assets $ 261,029,373 $ 178,529,714 $ 281,612,703 $ 130,686,735
============== ============== ============== ================
Total Net Assets
Premium Class $ 7,231,506 $ 24,816,060 $ - -
============== ============== ============== ================
Institutional Class $ 253,797,867 $ 153,713,654 $ 281,612,703 $ 130,686,735
============== ============== ============== ================
Shares of Beneficial Interest Outstanding
Premium Class 7,235,148 24,816,639 - -
============== ============== ============== ================
Institutional Class 253,818,401 153,715,438 281,612,769 130,685,729
============== ============== ============== ================
Net Asset Value, Maximum Offer and Redemption
Price per Share $ 1.00 $ 1.00 $ 1.00 $ 1.00
============== ============== ============== ================
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Series
Statements of Operations
================================================================================
<TABLE>
<CAPTION>
Cash Treasury
Series Series
---------------------- -----------------------
For the Year Ended For the Year Ended
December 31, 1999 December 31, 1999
---------------------- -----------------------
<S> <C> <C>
Net Investment Income Allocated from Portfolio (Note 1)
Interest and dividends $ 14,091,696 $ 8,359,531
Expenses (508,842) (381,319)
---------------------- -----------------------
Net investment income from Portfolio 13,582,854 7,978,212
---------------------- -----------------------
Fund Expenses
Accounting, transfer agency, and administration fees (Note 4) 26,344 17,758
Legal 5,184 6,108
Insurance 4,521 2,443
Printing 8,170 8,551
Trustees fees and expenses 6,144 4,886
Audit and tax return preparation fees 13,067 12,215
Registration 64,893 43,792
Amortization of organization expenses (Note 1) 2,641 2,141
Miscellaneous 5,743 15,879
---------------------- -----------------------
Total expenses common to all classes 136,707 113,773
Shareholder servicing fee-Institutional Class 604,122 378,434
---------------------- -----------------------
Total expenses 740,829 492,207
---------------------- -----------------------
Net Investment Income 12,842,025 7,486,005
Net Realized Gain (Loss) on Investments Allocated from Portfolio (27,885) (3,632)
---------------------- -----------------------
Net Increase in Net Assets from Operations $ 12,814,140 $ 7,482,373
====================== =======================
</TABLE>
<TABLE>
<CAPTION>
Treasury Plus U.S. Government
Series Series
---------------------- -------------------------
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>
Net Investment Income Allocated from Portfolio (Note 1)
Interest and dividends $ 11,650,653 $ 3,900,399
Expenses (493,875) (161,718)
---------------------- -------------------------
Net investment income from Portfolio 11,156,778 3,738,681
---------------------- -------------------------
Fund Expenses
Accounting, transfer agency, and administration fees (Note 4) 23,273 6,265
Legal 5,018 1,651
Insurance 3,011 2,291
Printing 7,025 1,389
Trustees fees and expenses 4,014 1,115
Audit and tax return preparation fees 10,036 9,833
Registration 94,569 54,642
Amortization of organization expenses (Note 1) - -
Miscellaneous 10,036 2,052
---------------------- -------------------------
Total expenses common to all classes 156,982 79,238
Shareholder servicing fee-Institutional Class 583,768 180,944
---------------------- -------------------------
Total expenses 740,750 260,182
---------------------- -------------------------
Net Investment Income 10,416,028 3,478,499
Net Realized Gain (Loss) on Investments Allocated from Portfolio (66) 1,006
---------------------- -------------------------
Net Increase in Net Assets from Operations $ 10,415,962 $ 3,479,505
====================== =========================
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Series
Statements of Changes in Net Assets
================================================================================
<TABLE>
<CAPTION>
Cash Series
----------------------------------------------------------
For the Period
June 25, 1998
(Commencement of
For the Year Ended Operations) to
December 31, 1999 December 31, 1998
---------------------------- ---------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income $ 12,842,025 $ 4,424,375
Net realized gain (loss) allocated from Portfolio (27,885) 3,709
---------------------------- ---------------------------
Net increase in net assets from operations 12,814,140 4,428,084
---------------------------- ---------------------------
Dividends Declared from Net Investment Income
Premium Class (1,118,490) (32,029)
Institutional Class (11,723,535) (4,392,346)
---------------------------- ---------------------------
Total dividends declared (12,842,025) (4,424,375)
---------------------------- ---------------------------
Fund Share Transactions (Note 6)
Proceeds from shares sold 1,531,856,638 445,807,182
Proceeds from dividends reinvested 549,246 18,202
Payment for shares redeemed (1,386,575,735) (330,701,984)
---------------------------- ---------------------------
Net increase in net assets derived from share transactions 145,830,149 115,123,400
---------------------------- ---------------------------
Net increase in net assets 145,802,264 115,127,109
Net Assets
Beginning of period 115,227,109 100,000
---------------------------- ---------------------------
End of period $ 261,029,373 $ 115,227,109
============================ ===========================
</TABLE>
<TABLE>
<CAPTION>
Treasury Series
--------------------------------------------------------
For the Period
June 25, 1998
(Commencement of
For the Year Ended Operations) to
December 31, 1999 December 31, 1998
-------------------------- --------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income $ 7,486,005 $ 1,469,975
Net realized gain (loss) allocated from Portfolio (3,632) 1,269
-------------------------- --------------------------
Net increase in net assets from operations 7,482,373 1,471,244
-------------------------- --------------------------
Dividends Declared from Net Investment Income
Premium Class (1,163,077) -
Institutional Class (6,322,928) (1,469,975)
-------------------------- --------------------------
Total dividends declared (7,486,005) (1,469,975)
-------------------------- --------------------------
Fund Share Transactions (Note 6)
Proceeds from shares sold 695,212,525 285,700,675
Proceeds from dividends reinvested - -
Payment for shares redeemed (631,000,635) (171,380,488)
-------------------------- --------------------------
Net increase in net assets derived from share transactions 64,211,890 114,320,187
-------------------------- --------------------------
Net increase in net assets 64,208,258 114,321,456
Net Assets
Beginning of period 114,321,456 -
-------------------------- --------------------------
End of period $ 178,529,714 $ 114,321,456
========================== ==========================
</TABLE>
<TABLE>
<CAPTION>
Treasury Plus U.S. Government
Series Series
-------------------------- --------------------------
For the Period For the Period
January 22, 1999 June 29, 1999
(Commencement of (Commencement of
Operations) Operations)
December 31, 1999 December 31, 1999
-------------------------- --------------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income $ 10,416,028 $ 3,478,499
Net realized gain (loss) allocated from Portfolio (66) 1,006
------------------------ -------------------------
Net increase in net assets from operations 10,415,962 3,479,505
------------------------ -------------------------
Dividends Declared from Net Investment Income
Premium Class - -
Institutional Class (10,416,028) (3,478,499)
------------------------ -------------------------
Total dividends declared (10,416,028) (3,478,499)
------------------------ -------------------------
Fund Share Transactions (Note 6)
Proceeds from shares sold 1,227,975,120 697,418,162
Proceeds from dividends reinvested - -
Payment for shares redeemed (946,362,351) (566,732,433)
------------------------ -------------------------
Net increase in net assets derived from share transactions 281,612,769 130,685,729
------------------------ -------------------------
Net increase in net assets 281,612,703 130,686,735
Net Assets
Beginning of period - -
-------------------------- --------------------------
End of period $ 281,612,703 $ 130,686,735
========================== ==========================
</TABLE>
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Series
Financial Highlights
================================================================================
Selected data for a share of beneficial interest outstanding throughout the
period is presented below:
<TABLE>
<CAPTION>
Net Asset Distributions Net Asset
Periods Ended Value Net from Net Value
December 31, Beginning Investment Investment End Total
of Period Income Income of Period Return (A)
- ----------------------------------- -------------- ------------- ---------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Cash Series
Premium Class (1)
1999 $1.00 $0.0510 $ (0.0510) $ 1.00 5.22%
1998 1.00 0.0275 (0.0275) 1.00 5.41%
Institutional Class (1)
1999 1.00 0.0485 (0.0485) 1.00 4.96%
1998 1.00 0.0262 (0.0262) 1.00 5.15%
Treasury Series
Premium Class (2)
1999 1.00 0.0386 (0.0386) 1.00 4.54%
Institutional Class (1)
1999 1.00 0.0418 (0.0418) 1.00 4.26%
1998 1.00 0.0220 (0.0220) 1.00 4.31%
Treasury Plus Series
Institutional Class (3)
1999 1.00 0.0420 (0.0420) 1.00 4.54%
U.S. Government Series
Institutional Class (4)
1999 1.00 0.0246 (0.0246) 1.00 4.87%
</TABLE>
<TABLE>
<CAPTION>
Annualized Ratios to Average Net Assets/Supplemental Data
----------------------------------------------------------------------------
Net
Expenses Net Assets
Periods Ended Net Before End of
December 31, Net Investment Waivers and Period
Expenses Income Reimbursements (000s omitted)
- ----------------------------------- ------------ -------------- ------------------- ----------------
<S> <C> <C> <C> <C> <C>
Cash Series
Premium Class (1)
1999 0.25% 5.10% -- $ 7,232
1998 0.33% 5.28% 0.34% 100
Institutional Class (1)
1999 0.50% 4.85% -- 253,798
1998 0.58% 5.03% 0.59% 115,127
Treasury Series
Premium Class (2)
1999 0.28% 4.46% -- 24,816
Institutional Class (1)
1999 0.53% 4.18% -- 153,714
1998 0.67% 4.23% -- 114,321
Treasury Plus Series
Institutional Class (3)
1999 0.53% 4.46% -- 281,613
U.S. Government Series
Institutional Class (4)
1999 0.58% 4.82% -- 130,687
</TABLE>
(A) 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.
(1) Commenced Operations June 25, 1998.
(2) Commenced Operations February 19, 1999.
(3) Commenced Operations January 22, 1999.
(4) Commenced Operations June 29, 1999.
The accompanying notes are an integral part of the financial statements.
<PAGE>
Merrimac Series
Notes to Financial Statements
- --------------------------------------------------------------------------------
(1) Significant Accounting Policies
The Merrimac Series (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 Series (the
"Cash Series"), the Merrimac Treasury Series (the "Treasury Series"),
the Merrimac Treasury Plus Series (the "Treasury Plus Series"), the
Merrimac U.S. Government Series (the "Government Series") and the
Merrimac Short-Term Asset Reserve Series (the "STAR Series")
(collectively, the "Funds") are separate diversified investment
portfolios or series of the Trust. The Funds consist of three classes
of shares, the Premium Class, the Institutional Class and the
Investment Class. The Treasury Plus Series commenced operations on
January 22, 1999 and the Government Series commenced operations on June
29, 1999. The STAR Series is currently inactive and not included in
these financial statements.
The Funds seek to achieve their investment objective by investing all
of their investable assets in 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"), respectively. The Portfolios are each an
open-end investment management company and a series of the Merrimac
Master Portfolio, and are hereinafter referred to singly as a
"Portfolio," and collectively as the "Portfolios." Each Portfolio seeks
to achieve a high level of current income, consistent with the
preservation of capital and liquidity. Each Fund has the same
investment objective as the Portfolio into which it invests. The
performance of each Fund is directly affected by the performance of the
Portfolio into which it invests. The financial statements of the
Portfolios are included elsewhere in this report and should be read in
conjunction with the Funds' financial statements. At December 31, 1999,
the investment by the Cash Series, the Treasury Series, Treasury Plus
Series, and the Government Series represent ownership of proportionate
interests of 24.3%, 100%, 100%, and 100%, respectively, of their
corresponding portfolios.
The policies of the Funds, except the STAR series, are designed to
maintain a stable net asset value of $1.00 per share. They have adopted
certain investment, valuation, dividend and distribution policies which
conform to general industry practice, to enable them to do so. However,
there is no assurance that they will be able to maintain a stable net
asset value.
The following is a summary of significant accounting policies followed
by the Funds in the preparation of their 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 Funds record their investment in the Portfolios at value. Valuation
of securities by the Portfolios is discussed in Note 1 of the
Portfolios' Notes to Financial Statements, which are included elsewhere
in this report.
B. Securities Transactions and Income
The Portfolios record 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. Each
Fund's net investment income consists of its pro rata share of the net
investment income of its corresponding Portfolio, less all expenses of
the Fund determined in accordance with GAAP.
C. Federal Income Taxes
Each 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, each 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.
6
<PAGE>
Merrimac Series
Notes to Financial Statements
- --------------------------------------------------------------------------------
D. Deferred Organization Expense
Costs incurred by the Cash Series and Treasury Series in connection
with their 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 Fund.
E. Expense Allocation
Expenses directly attributable to a Fund are charged to that Fund.
Expenses not directly attributable to a specific Fund are allocated,
based on relative net assets, to each of the Funds.
(2) Dividends and Distributions to Shareholders
Dividends on the shares of the Funds 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.
(3) Shareholder Servicing and Distribution Plans
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 may
pay an annual fee of up to 0.25% of the value of the assets that an
organization services on behalf of its clients. Under a Distribution
Plan, the Investment Class may pay an annual distribution fee of up to
0.25% of the value of the assets that an organization invests in the
Funds on behalf of its clients. The Investment Class of each Fund, and
the Premium Class of the Treasury Plus Series and the Government Series
have not yet commenced operations.
(4) Management Fee and Affiliated Transactions
The Merrimac Master Portfolio retains Investors Bank & Trust Company
("Investors Bank") as investment adviser. Allmerica Asset Management,
Inc. ("AAM") serves as the sub-adviser to the Cash Portfolio and U.S.
Government Portfolio and M&I Investment Management Corp. ("M&I") serves
as sub-adviser to the Treasury Portfolio and Treasury Plus Portfolio.
The Funds pay no direct fees for such services, but indirectly bear
their pro rata share of the compensation paid by the Portfolios. See
Note 2 of the Portfolios' 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 each Fund.
Certain trustees and officers of the Trust are directors or officers of
Investors Bank. The Funds do not pay compensation to the trustees or
officers who are affiliated with Investors Bank.
7
<PAGE>
Merrimac Series
Notes to Financial Statements
- --------------------------------------------------------------------------------
(5) Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited
number of shares of beneficial interest for each Fund having a par
value of $0.001 per share. Transactions in Fund shares for each class
were as follows:
<TABLE>
<CAPTION>
Net Increase in
Period Shares Sold Shares Reinvested Shares Redeemed Shares
-------------------------------------- ------------------ ------------------ -------------------
<S> <C> <C> <C> <C> <C>
Cash Series For the Year
Premium Class Ended
December 31, 1999 265,910,695 480,304 (259,255,851) 7,135,148
June 25, 1998
(Commencement of
Operations) to
December 31, 1998 33,618,994 - (33,618,994) -
Cash Series For the Year
Institutional Ended
Class December 31, 1999 1,265,945,943 68,942 (1,127,319,884) 138,695,001
June 25, 1998
(Commencement of
Operations) to
December 31, 1998 412,188,188 18,202 (297,082,990) 115,123,400
Treasury Series February 19, 1999
Premium Class (Commencement of
Operations) to
December 31, 1999 120,340,322 - (95,523,683) 24,816,639
Treasury Series For the Year
Institutional Ended
Class December 31, 1999 574,872,203 - (535,476,952) 39,395,251
June 25, 1998
(Commencement of
Operations) to
December 31, 1998 285,700,675 - (171,380,488) 114,320,187
Treasury Plus January 22, 1999
Series (Commencement of
Institutional Operations) to
Class December 31, 1999 1,227,975,120 - (946,362,351) 281,612,769
Government June 29, 1999
Series (Commencement of
Institutional Operations) to
Class December 31, 1999 697,418,162 - (566,732,433) 130,685,729
</TABLE>
At December 31, 1999, Investors Bank as agent for its clients, was the record
holder of all outstanding Institutional Class shares of each Fund.
8
<PAGE>
Merrimac Series
Notes to Financial Statements
- --------------------------------------------------------------------------------
(6) Investment Transactions
Investments in and withdrawals from the respective Portfolios during
each fund's 1999 operations were as follows:
<TABLE>
<CAPTION>
Investments in Withdrawals from
Portfolio Portfolio
--------------------- -----------------------
<S> <C> <C>
Cash Series $ 1,532,405,884 $ 1,399,473,656
Treasury Series 695,212,525 638,584,123
Treasury Plus Series 1,227,975,120 956,287,234
Government Series 697,418,162 569,839,576
</TABLE>
(7) Federal Tax Information
At December 31, 1999, the following funds had amounts available as
capital loss carryforwards, which expire in 2007:
<TABLE>
<CAPTION>
Capital Loss
Carryforward
---------------------
<S> <C>
Cash Series $ 26,493
Treasury Series 1,415
Treasury Plus Series 66
</TABLE>
9
<PAGE>
Report of Ernst & Young LLP, Independent Auditors
To the Board of Trustees and
Shareholders of Merrimac Series
We have audited the accompanying statements of assets and liabilities of the
Merrimac Cash Series, the Merrimac Treasury Series, the Merrimac Treasury Plus
Series and the Merrimac U.S. Government Series (collectively, the "Series"),
four of the series comprising the Merrimac Series (the "Trust"), as of December
31, 1999, and the related statements of operations, changes in net assets, and
the financial highlights for each of the periods indicated therein. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights 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
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. 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 financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Series at December 31, 1999, the results of their operations, changes in
their net assets, and their financial highlights 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
10
<PAGE>
Merrimac Series
Other Information (Unaudited)
- --------------------------------------------------------------------------------
MERRIMAC TREASURY SERIES AND TREASURY PLUS SERIES SOURCES OF INCOME
The following table summarizes the percentage of income earned by the
Merrimac Treasury Series and Treasury Plus Series in 1999 from various
obligors. It is presented to assist Fund shareholders in preparing
state tax returns.
<TABLE>
<CAPTION>
Treasury Series Treasury Plus Series
--------------------- --------------------
<S> <C> <C>
U.S. Treasury Obligations 94.63% 10.01%
Other U.S. Government Obligations 0.11% 0.00%
Repurchase Agreements 0.00% 89.99%
Other Non-Exempt Securities 5.26% 0.00%
</TABLE>
11
<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>
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 finanial statements.
<PAGE>
Merrimac Treasury Portfolio
Schedule of Investments - December 31, 1999
================================================================================
<TABLE>
<CAPTION>
Yield to Par
Security Maturity Maturity Value Value
======================================================================================================================
Treasury Bills - 50.7%
<S> <C> <C> <C> <C>
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
-------------
Mutual Funds - 6.6% Shares
------
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.
24
<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
