U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1996
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
------ ---- -------- --------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (7.3%)
$15,500,000 Federal Home Loan Bank Floating Rate Notes ........... 9/2/97 5.500%* $ 15,445,409
40,000,000 U.S. Treasury Notes, 6.625%........................... 3/31/97 5.540 40,313,257
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ...... $ 55,758,666
------------
CERTIFICATES OF DEPOSIT (40.6%)
$30,000,000 ABN AMRO Bank - London Branch ....................... 9/9/96 5.740% $ 30,000,568
15,000,000 Bank of Nova Scotia - New York Branch................. 10/11/96 5.740 15,000,402
25,000,000 Bank of Tokyo - New York Branch ...................... 7/3/96 5.450 25,000,013
30,000,000 Bayerische Vereinsbank AG - New York Branch........... 7/15/96 5.310 30,000,116
30,000,000 Canadian Imperial Bank of
Commerce - New York Branch.......................... 9/10/96 5.510 30,000,583
30,000,000 Deutsche Bank AG - London Branch...................... 7/8/96 5.340 30,000,053
20,000,000 Dresdner Bank AG - New York Branch.................... 5/6/97 5.820 20,005,730
30,000,000 Industrial Bank of Japan, Ltd. - New York Branch...... 7/29/96 5.390 30,000,231
15,000,000 Royal Bank of Canada - New York Branch................ 5/15/97 5.880 14,981,195
25,000,000 Sanwa Bank, Ltd. - New York Branch.................... 7/3/96 5.460 25,000,014
30,000,000 Sumitomo Bank, Ltd. - New York Branch ................ 7/15/96 5.460 30,000,116
30,000,000 Westdeutsche Landesbank - New York Branch............. 8/16/96 5.000 30,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT ..................... $309,989,021
------------
COMMERCIAL PAPER (19.5%)
$30,000,000 American Express Credit Corp.......................... 8/2/96 5.380% $ 29,857,600
30,000,000 CIT Group Holdings, Inc............................... 7/10/96 5.370 29,960,250
30,000,000 Ford Motor Credit Corp................................ 7/8/96 5.340 29,968,967
30,000,000 General Electric Capital Corp......................... 9/11/96 5.390 29,682,600
30,000,000 Prudential Funding Corp............................... 7/8/96 5.320 29,969,200
------------
TOTAL COMMERCIAL PAPER ............................ $149,438,617
------------
</TABLE>
<PAGE>
U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1996 (continued)
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
------ ---- -------- --------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENTS (32.0%)
$64,444,847 Bankers Trust Corp.................................... 7/1/96 5.300% $ 64,444,847
(Agreement dated 6/28/96 collateralized by
$62,905,000 U.S. Treasury Notes 6.75%, due 6/30/99;
$64,473,310 to be received upon maturity)
30,000,000 Citicorp ............................................. 7/1/96 5.375 30,000,000
(Agreement dated 6/28/96 collateralized by
$30,230,000 U.S. Treasury Notes 6.50%, due 5/15/97;
$30,013,438 to be received upon maturity)
75,000,000 First Boston Corp. ................................... 7/1/96 5.300 75,000,000
(Agreement dated 6/28/96 collateralized by
$75,620,000 U.S. Treasury Notes 6.125%, due 5/31/97;
$75,033,125 to be received upon maturity)
75,000,000 Morgan Stanley Group ................................. 7/1/96 5.320 75,000,000
(Agreement dated 6/28/96 collateralized by
$75,890,000 U.S. Treasury Notes 6.125%, due 5/15/98;
$75,033,250 to be received upon maturity)
------------
TOTAL REPURCHASE AGREEMENTS ....................... $244,444,847
------------
TOTAL INVESTMENTS, AT AMORTIZED COST ..................................................... 99.4% $759,631,151
OTHER ASSETS IN EXCESS OF LIABILITIES .................................................... 0.6 4,845,471
------ ------------
NET ASSETS .............................................................................. 100.0% $764,476,622
====== ============
</TABLE>
- ----------------
* Variable Rate Instrument. Interest rates change on specific date (such as a
coupon or interest payment date). The interest rate shown represents the June
30, 1996 rate.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(expressed in U.S. dollars)
ASSETS:
Investments*, at amortized cost and value (Note 1)............. $759,631,151
Interest receivable............................................ 5,024,891
Deferred organization expense (Note 1)......................... 56,877
------------
Total Assets ........................................... $764,712,919
------------
LIABILITIES:
Payables for:
Investment advisory fee (Note 2)........................... 94,560
Trustees' fee (Note 2)..................................... 41,244
Custodian fee ............................................ 35,436
Administrative fee (Note 2)................................ 22,064
Accrued expenses and other liabilities..................... 42,993
------------
Total Liabilities ...................................... 236,297
------------
NET ASSETS ....................................................... $764,476,622
============
Net Assets Consist of:
Paid-in capital ............................................ $764,476,622
============
- ----------------
* Including repurchase agreements of $244,444,847.
STATEMENT OF OPERATIONS
For the year ended June 30, 1996
(expressed in U.S. dollars)
INVESTMENT INCOME:
Interest ...................................................... $ 40,969,471
------------
EXPENSES:
Investment advisory fee (Note 2)............................... 1,081,720
Administrative fee (Note 2).................................... 252,401
Custodian fee ............................................ 209,757
Trustees' fees and expenses (Note 2)........................... 62,947
Amortization of organization expenses (Note 1)................. 17,107
Miscellaneous ............................................ 70,762
------------
Total Expenses ......................................... 1,694,694
------------
NET INVESTMENT INCOME ............................................ $ 39,274,777
============
See Notes to Financial Statements
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
October 31, 1994
For the (commencement of
year ended operations) to
June 30, 1996 June 30, 1995
----------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS:
From Investment Activities:
Net investment income............................... $ 39,274,777 $ 23,042,293
------------- ---------------
Capital Transactions:
Proceeds from contributions......................... 932,761,626 2,008,122,202
Value of withdrawals................................ (832,670,530) (1,406,153,846)
------------- ---------------
Net increase in net assets resulting from
capital transactions...................... 100,091,096 601,968,356
------------- ---------------
Net increase in net assets.............................. 139,365,873 625,010,649
NET ASSETS:
Beginning of period................................. 625,110,749 100,100
------------- ---------------
End of period .................................. $ 764,476,622 $ 625,110,749
============= ===============
</TABLE>
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
October 31, 1994
For the (commencement of
year ended operations) to
June 30, 1996 June 30, 1995
----------------- -----------------
<S> <C> <C>
Ratios/Supplemental Data:
Net assets, end of period (000's omitted)........... $764,477 $625,111
Ratio of expenses to average net assets............. 0.24% 0.25%*
Ratio of net investment income to average net assets 5.45% 5.62%*
</TABLE>
- ------------------
* Annualized.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(expressed in U.S. dollars)
1. Organization and Accounting Policies. U.S. Money Market Portfolio (the
"Portfolio") is registered under the Investment Company Act of 1940, as amended,
as a no-load, diversified, open-end management investment company which was
organized as a trust under the laws of the State of New York on June 15, 1993.
The Portfolio commenced operations on October 31, 1994. The Declaration of Trust
permits the Trustees to create an unlimited number of beneficial interests in
the Portfolio.
Thefinancial statements have been prepared in accordance with accounting
principles generally accepted in the United States of America, and reflect the
following policies:
A. Valuation of Investments. The Portfolio values its investments at
amortized cost, which approximates market value. The amortized cost method
values a security at its cost at the time of purchase and thereafter
assumes a constant amortization to maturity of any discount or premium. The
Portfolio's use of amortized cost is in compliance with Rule 2a-7 of the
Investment Company Act of 1940.
B. Interest Income. Interest income consists of interest accrued and
discount earned (including both original issue and market discount) and
premium amortization on the investments of the Portfolio, accrued ratably
to the date of maturity, plus or minus net realized short-term gain or
loss, if any, on investments.
C. Federal Income Taxes. The Portfolio is treated as a partnership for
Federal income tax purposes and its operations are conducted in such a way
that it is not considered to be engaged in a U.S. trade or business for
U.S. tax purposes. Accordingly, no provision for Federal income taxes is
necessary. It is intended that the Portfolio's assets will be managed in
such a way that an investor in the Portfolio will be able to comply with
the provisions of the Internal Revenue Code applicable to regulated
investment companies. At June 30, 1996, the cost of investments for Federal
income tax purposes was equal to the amortized cost of the investments for
financial statement purposes.
D. Repurchase Agreements. The Portfolio at all times maintains
possession of securities collateralizing repurchase agreements.
Additionally, the Portfolio monitors the value of such securities,
including accrued interest, to ensure the collateral at least equals 100%
of the value of the repurchase agreement.
E. Deferred Organization Expenses. Expenses incurred by the Portfolio
in connection with its organization are being amortized by the Portfolio on
a straight-line basis over a five-year period.
F. Other. Investment transactions are accounted for on a trade date
basis. Realized gain and loss, if any, from investment transactions are
determined on the basis of identified cost.
2. Transactions with Affiliates.
Investment Advisory Fee. The Portfolio has an investment advisory agreement
with Brown Brothers Harriman & Co. (the "Adviser") for which it pays the Adviser
a fee calculated daily and paid monthly at an annual rate equivalent to 0.15% of
the Portfolio's average net assets. For the year ended June 30, 1996, the
Portfolio incurred $1,081,720 for advisory services.
Administrative Fee. The Portfolio has an administrative agreement with
Brown Brothers Harriman Trust Company (Cayman) Ltd. (the "Administrator") for
which it pays the Administrator a fee calculated daily and paid monthly at an
annual rate equivalent to 0.035% of the Portfolio's average net assets. The
Administrator has a subadministration agreement with Signature Financial Group
(Cayman) Ltd. for which Signature Financial Group (Cayman) Ltd. receives such
compensation as is from time to time agreed upon, but not in excess of the
amount paid to the Administrator. For the year ended June 30, 1996, the
Portfolio incurred $252,401 for administrative services.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
(expressed in U.S. dollars)
Trustees' Fees. Each Trustee of the Portfolio receives an annual
retainer paid by the Portfolio. Each Trustee is also reimbursed for
out-of-pocket expenses incurred in connection with board meetings. For the year
ended June 30, 1996, the Portfolio incurred $62,947 for Trustees' fees and
expenses.
3. Investment Transactions. Purchases, and maturities and sales, of
money market instruments, excluding securities subject to repurchase agreements,
aggregated $10,412,204,449 and $10,349,270,000, respectively, for the year ended
June 30, 1996.
----------
<PAGE>
INDEPENDENT AUDITORS' REPORT
Trustees and Investors
U.S. Money Market Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of U.S. Money Market Portfolio as of
June 30, 1996, the related statement of operations for the year then ended, and
the statement of changes in net assets and financial highlights for the year
ended June 30, 1996 and the period October 31, 1994 (commencement of operations)
to June 30, 1995 (all expressed in U.S. dollars). These financial statements and
financial highlights are the responsibility of the Portfolio'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 of America. 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. Our procedures included confirmation of
securities owned at June 30, 1996 by correspondence with the custodian. 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, such financial statements and financial highlights present
fairly, in all material respects, the financial position of U.S. Money Market
Portfolio at June 30, 1996, and the results of its operations, the changes in
its net assets, and its financial highlights for the respective stated periods
in conformity with accounting principles generally accepted in the United States
of America.
Deloitte & Touche
Grand Cayman, Cayman Islands
August 9, 1996
