U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1997
(expressed in U.S. dollars)
(unaudited)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
------------ ------- ---------- -------------
<S> <C> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (19.3%)
$20,000,000 Federal National Mortgage Association Floating
Rate Notes ......................................... 06/02/99 5.540%* $ 19,949,034
25,000,000 Federal National Mortgage Association Floating
Rate Notes ......................................... 09/22/99 5.540* 24,920,659
25,000,000 Student Loan Marketing Association Floating
Rate Notes ......................................... 01/13/99 5.650* 24,979,887
25,250,000 Student Loan Marketing Association Floating
Rate Notes.......................................... 01/13/99 5.650* 25,229,711
60,000,000 U.S. Treasury Bills .................................. 04/30/98 5.360 58,936,933
23,230,000 U.S. Treasury Notes, 6.25%............................ 07/31/98 5.580 23,315,180
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ....... $177,331,404
------------
CERTIFICATES OF DEPOSIT (49.6%)
$40,000,000 Bank of Nova Scotia - London Branch................... 01/12/98 5.590% $ 40,000,121
40,000,000 Barclays Bank - London Branch ........................ 01/07/98 5.600 40,000,114
40,000,000 Bayerische Vereinsbank AG - London Branch............. 01/20/98 5.750 40,000,209
27,000,000 Caisse National de Credit Argicole - London Branch.... 12/09/98 6.000 27,000,000
40,000,000 Canadian Imperial Bank of Commerce -
New York Branch..................................... 01/13/98 5.730 40,000,000
40,000,000 Deutsche Bank AG - New York Branch.................... 01/16/98 5.640 40,000,000
29,000,000 ING Bank - London Branch.............................. 01/05/98 5.710 28,999,754
40,000,000 Rabobank Nederlanden NV - New York Branch............. 03/30/98 5.710 39,995,813
40,000,000 Sanwa Bank, Ltd. - London Branch ..................... 03/24/98 6.550 40,000,897
15,000,000 Societe Generale - New York Branch.................... 01/13/98 5.850 14,999,703
25,000,000 Societe Generale - New York Branch.................... 01/20/98 5.750 25,000,000
40,000,000 Swiss Bank - New York Branch ......................... 11/20/98 5.880 39,996,613
40,000,000 Westdeutche Landesbank - New York Branch ............. 01/09/98 5.900 39,999,524
------------
TOTAL CERTIFICATES OF DEPOSIT ..................... $455,992,748
------------
COMMERCIAL PAPER (21.7%)
$40,000,000 American Express Credit Corp. ........................ 01/05/98 5.490% $ 39,975,600
40,000,000 Bank of Montreal - Chicago Branch..................... 01/12/98 5.680 40,000,000
40,000,000 Ford Motor Credit Corp................................ 01/06/98 5.620 39,968,778
40,000,000 General Electric Capital Corp......................... 01/06/98 5.620 39,968,778
40,000,000 Prudential Funding Corp............................... 01/13/98 5.680 39,924,267
------------
TOTAL COMMERCIAL PAPER ............................. $199,837,423
------------
</TABLE>
<PAGE>
U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1997 (continued)
(expressed in U.S. dollars)
(unaudited)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
------------ ------- ---------- -------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS (8.7%)
$20,242,316 Bankers Trust Corp.................................... 01/02/98 5.750% $ 20,242,316
(Agreement dated 12/31/97 collateralized by
$20,324,000 U.S. Treasury Notes 5.75%,
due 9/30/99; $20,248,782 to be received
upon maturity)
60,000,000 J.P. Morgan........................................... 01/02/98 6.250 60,000,000
(Agreement dated 12/31/97 collateralized by
$50,000,000 U.S. Treasury Notes 6.375%,
due 5/15/99 and $9,697,000 U.S. Treasury
Notes 7.75%, due 1/31/00; $60,020,833 to be
received upon maturity)
------------
TOTAL REPURCHASE AGREEMENTS ....................... $ 80,242,316
------------
TOTAL INVESTMENTS, AT AMORTIZED COST ............................................ 99.3% $913,403,891
OTHER ASSETS IN EXCESS OF LIABILITIES ........................................... 0.7 6,737,491
------- ------------
NET ASSETS ..................................................................... 100.0% $920,141,382
====== ============
</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, 1997 coupon rate.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1997
(expressed in U.S. dollars)
(unaudited)
ASSETS:
Investments, at amortized cost and value (Note 1) ......... $913,403,891
Interest receivable ....................................... 7,068,418
Deferred organization expenses (Note 1) ................... 31,217
------------
Total Assets ......................................... 920,503,526
------------
LIABILITIES:
Payables for:
Investment advisory fee (Note 2) ........................ 122,636
Custodian fee ........................................... 83,192
Professional fees ...................................... 14,583
Administrative fee (Note 2) ............................. 20,946
Accrued expenses and other liabilities ................. 120,787
------------
Total Liabilities .................................... 362,144
------------
NET ASSETS ................................................... $920,141,382
============
Net Assets Consist of:
Paid-in capital ........................................... $920,141,382
============
STATEMENT OF OPERATIONS
For the six months ended December 31, 1997
(expressed in U.S. dollars)
(unaudited)
NET INVESTMENT INCOME:
Interest ................................................ $27,270,207
-----------
Expenses:
Investment advisory fee (Note 2) ........................ 726,272
Administrative fee (Note 2) ............................. 169,463
Custodian fee ........................................... 99,653
Trustees' fees and expenses (Note 2) .................... 32,544
Professional fees ...................................... 16,540
Amortization of organization expenses (Note 1) .......... 8,600
Miscellaneous expenses .................................. 73,925
-----------
Total Expenses ........................................ 1,126,997
-----------
NET INVESTMENT INCOME ......................................... $26,143,210
===========
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, 1997 year ended
(unaudited) June 30, 1997
----------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS:
From Investment Activities:
Net investment income...................................... $ 26,143,210 $ 44,694,458
------------ --------------
Capital Transactions:
Proceeds from contributions................................ 450,676,253 1,158,622,696
Value of withdrawals....................................... (474,581,720) (1,049,890,137)
------------ --------------
Net increase (decrease) in net assets resulting
from capital transactions........................... (23,905,467) 108,732,559
------------ --------------
Net increase in net assets................................. 2,237,743 153,427,017
NET ASSETS:
Beginning of period........................................ 917,903,639 764,476,622
------------ --------------
End of period ............................................. $920,141,382 $ 917,903,639
============ ==============
</TABLE>
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
For the For the years October 31, 1994
six months ended ended June 30, (commencement of
December 31, 1997 ------------------ operations) to
(unaudited) 1997 1996 June 30, 1995
--------------- ------- ------ ----------------
<S> <C> <C> <C> <C>
Ratios/Supplemental Data:
Net assets, end of period
(000's omitted)........................ $920,141 $917,904 $764,477 $625,111
Ratio of expenses to average
net assets............................. 0.23%(1) 0.24% 0.24% 0.25%(1)
Ratio of net investment income to
average net assets..................... 5.40%(1) 5.26% 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, 1997, 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, 1997, the Portfolio incurred $726,272 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
<PAGE>
U.S. MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
(expressed in U.S. dollars)
(unaudited)
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 six months ended December 31, 1997, the Portfolio
incurred $169,463 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, 1997, the Portfolio incurred $32,544 for Trustees' fees and
expenses.
3. Investment Transactions. Purchases, and maturities and sales, of money
market instruments, excluding securities subject to repurchase agreements,
aggregated $2,449,416,069 and $2,024,570,633, respectively, for the six months
ended December 31, 1997.
