U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1996
(expressed in U.S. dollars)
(unaudited)
<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 (20.7%)
$15,500,000 Federal Home Loan Bank Floating Rate Notes............ 9/2/97 5.290%* $ 15,468,878
20,000,000 Federal National Mortgage Association Floating
Rate Notes.......................................... 6/2/99 5.320* 19,913,052
25,000,000 Federal National Mortgage Association Floating
Rate Notes ......................................... 9/22/99 5.320* 24,874,618
50,250,000 Student Loan Marketing Association Floating
Rate Notes ......................................... 1/13/99 5.430* 50,170,483
40,000,000 U.S. Treasury Notes, 5.75% ........................... 10/31/97 5.530 40,066,981
10,000,000 U.S. Treasury Notes, 6.625% .......................... 3/31/97 5.540 10,025,531
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ....... $160,519,543
------------
CERTIFICATES OF DEPOSIT (62.2%)
$33,000,000 Bank of Nova Scotia - New York Branch................. 1/15/97 5.350% $ 33,000,127
5,000,000 Bank of Nova Scotia - New York Branch ................ 8/4/97 5.630 5,013,605
30,000,000 Bank of Tokyo-Mitsubishi Bank, Ltd. -
New York Branch..................................... 2/3/97 5.530 29,999,728
30,000,000 Bankers Trust Co. - New York Branch .................. 7/7/97 6.000 30,000,000
15,000,000 Banque Nationale de Paris - London Branch ............ 1/15/97 5.370 15,000,103
6,000,000 Banque Nationale de Paris - London Branch ............ 2/14/97 5.630 6,000,072
30,000,000 Barclays Bank, Plc. - New York Branch ................ 1/21/97 5.510 30,000,166
30,000,000 Caisse Nationale Credit Agricole - New York Branch... 1/10/97 5.460 30,000,075
24,000,000 Canadian Imperial Bank of
Commerce - New York Branch.......................... 1/17/97 5.370 24,000,365
5,000,000 Commerzbank AG - London Branch ....................... 7/7/97 5.800 5,003,898
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 ..... 1/3/97 5.610 29,999,982
5,000,000 Industrial Bank of Japan, Ltd. - New York Branch ..... 2/7/97 5.690 5,000,050
22,000,000 Morgan Guaranty Trust - New York Branch .............. 8/12/97 5.640 22,005,048
30,000,000 National Westminster Bank, Plc. - New York Branch ... 1/6/97 5.350 30,000,468
15,000,000 Royal Bank of Canada - New York Branch ............... 5/15/97 5.880 14,992,076
30,000,000 Sanwa Bank, Ltd. - New York Branch ................... 2/18/97 5.660 30,000,389
30,000,000 Societe Generale - New York Branch ................... 2/3/97 5.390 30,000,000
31,000,000 Sumitomo Bank, Ltd. - New York Branch ................ 1/23/97 5.500 31,000,419
30,000,000 Toronto-Dominion Bank - London Branch ................ 1/24/97 5.540 30,000,191
------------
TOTAL CERTIFICATES OF DEPOSIT ................... $451,022,492
------------
</TABLE>
<PAGE>
U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1996 (continued)
(expressed in U.S. dollars)
(unaudited)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
- ----------- -------- ---------- ------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (11.6%)
$30,000,000 CIT Group Holdings, Inc. ............................ 1/2/97 5.450% $ 29,995,483
30,000,000 Ford Motor Credit Corp. ............................. 1/17/97 5.410 29,928,267
30,000,000 General Electric Capital Corp. ...................... 1/28/97 5.460 29,878,050
30,000,000 Prudential Funding Corp. ............................ 1/13/97 5.410 29,946,200
------------
TOTAL COMMERCIAL PAPER ............................ $119,748,000
------------
REPURCHASE AGREEMENTS (4.5%)
$15,015,958 Bankers Trust Corp.................................... 1/2/97 6.000% $ 15,015,958
(Agreement dated 12/31/96 collateralized by
$15,265,000 U.S. Treasury Notes 5.875%, due
11/15/99; $15,020,963 to be received
upon maturity)
20,000,000 Morgan Stanley Group.................................. 1/2/97 6.500 20,000,000
(Agreement dated 12/31/96 collateralized by
$20,120,000 U.S. Treasury Notes 5.00%, due
1/31/98; $20,007,222 to be received upon
maturity)
------------
TOTAL REPURCHASE AGREEMENTS ....................... $ 35,015,958
------------
TOTAL INVESTMENTS, AT AMORTIZED COST ............................................. 99.0% $766,305,993
OTHER ASSETS IN EXCESS OF LIABILITIES ............................................ 1.0 7,451,614
----- ------------
NET ASSETS ...................................................................... 100.0% $773,757,607
===== ============
</TABLE>
- ----------
* Variable Rate Instrument. Interest rates change on specific date (such as a
coupon or interest payment date). The interest rate shown represents the
December 31, 1996 coupon rate.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1996
(expressed in U.S. dollars)
(unaudited)
ASSETS:
Investments, at amortized cost and value (Note 1)........ $766,305,993
Interest receivable...................................... 7,748,536
Deferred organization expenses (Note 1).................. 48,277
------------
Total Assets ..................................... 774,102,806
------------
LIABILITIES:
Payables for:
Investment advisory fee (Note 2)....................... 107,630
Custodian fee.......................................... 53,245
Administrative fee (Note 2)............................ 25,114
Trustees' fee (Note 2)................................. 2,250
Accrued expenses and other liabilities................. 156,960
------------
Total Liabilities ................................ 345,199
------------
NET ASSETS .................................................... $773,757,607
============
Net Assets Consist of:
Paid-in capital.......................................... $773,757,607
============
STATEMENT OF OPERATIONS
For the six months ended December 31, 1996
(expressed in U.S. dollars)
(unaudited)
NET INVESTMENT INCOME:
Income:
Interest.............................................. $ 21,835,380
------------
Expenses:
Investment advisory fee (Note 2)...................... 600,601
Administrative fee (Note 2)........................... 140,140
Custodian fee......................................... 106,665
Trustees' fees and expenses (Note 2).................. 13,500
Amortization of organization expenses (Note 1)........ 8,600
Miscellaneous expenses................................ 71,180
------------
Total Expenses ................................... 940,686
------------
NET INVESTMENT INCOME ......................................... $ 20,894,694
============
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
six months ended For the
December 31, 1996 year ended
(unaudited) June 30, 1996
----------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS:
From Investment Activities:
Net investment income.............................................. $ 20,894,694 $ 39,274,777
------------- ------------
Capital Transactions:
Proceeds from contributions........................................ 491,612,565 932,761,626
Value of withdrawals............................................... (503,226,274) (832,670,530)
------------- ------------
Net (decrease) increase in net assets resulting
from capital transactions.................................. (11,613,709) 100,091,096
------------- ------------
Net increase in net assets......................................... 9,280,985 139,365,873
NET ASSETS:
Beginning of period................................................ 764,476,622 625,110,749
------------- ------------
End of period ..................................................... $ 773,757,607 $ 764,476,622
============= =============
</TABLE>
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
For the October 31, 1994
six months ended For the (commencement of
December 31, 1996 year ended operations) to
(unaudited) June 30, 1996 June 30, 1995
----------------- ------------ ----------------
<S> <C> <C> <C>
Ratios/Supplemental Data:
Net assets, end of period (000's omitted)........ $773,758 $764,477 $625,111
Ratio of expenses to average net assets.......... 0.23%(1) 0.24% 0.25%(1)
Ratio of net investment income to average
net assets ................................ 5.22%(1) 5.45% 5.62%(1)
</TABLE>
- ----------
(1) Annualized.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(expressed in U.S. dollars)
(unaudited)
1. Organization and Accounting Policies. The 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.
The Portfolio's financial statements are prepared in accordance with
accounting principles generally accepted in the United States of America, which
require management to make certain estimates and assumptions at the date of the
financial statements and are based, in part, on the following accounting
policies. Actual results could differ from those estimates.
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 to be considered 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 December 31, 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 daily net assets. For the six months ended
December 31, 1996, the Portfolio incurred $600,601 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
<PAGE>
U.S. MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
(expressed in U.S. dollars)
(unaudited)
(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 six months ended December 31, 1996,
the Portfolio incurred $140,140 for administrative services.
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 six months ended
December 31, 1996, the Portfolio incurred $13,500 for Trustees' fees and
expenses.
3. Investment Transactions. Purchases, and maturities and sales, of money
market instruments, excluding securities subject to repurchase agreements,
aggregated $491,814,992 and $503,428,701, respectively, for the six months ended
December 31, 1996.
