U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1999
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
------------ -------- ----------- ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (25.6%)
<S> <C> <C> <C>
$29,550,000 Federal National Mortgage Association*............ 7/28/99 5.151% $ 29,544,542
50,000,000 Federal Home Loan Mortgage ......................... 9/23/99 5.020 49,414,333
16,660,000 Federal Home Loan Mortgage Corp..................... 8/13/99 5.544 16,668,301
25,000,000 Federal National Mortgage Association* ............ 9/22/99 5.173 24,989,531
29,850,000 Federal National Mortgage Association............... 2/23/00 5.040 29,849,806
25,000,000 Student Loan Marketing Association*................. 2/4/00 5.334 25,003,145
50,000,000 Student Loan Marketing Association*................. 8/1/00 5.539 49,978,952
50,000,000 Student Loan Marketing Association*................. 1/12/00 5.539 49,989,315
------------
Total U.S. Government Agency Obligations ......... $275,437,925
------------
CERTIFICATES OF DEPOSIT (28.8%)
$14,000,000 ABN Amro ........................................... 3/10/00 5.230% $ 14,000,000
45,000,000 Bank of Montreal ................................... 7/15/99 4.870 45,000,000
20,000,000 Canadian Imperial Bank of Commerce ................. 12/30/99 5.060 19,999,038
14,000,000 Canadian Imperial Bank of Commerce.................. 1/27/00 5.000 13,998,446
25,000,000 Deutsche Bank AG - New York Branch ................. 1/7/00 4.980 24,997,488
45,000,000 ING Bank ........................................... 12/27/99 5.280 45,002,178
12,000,000 National Westminster Bank, Plc...................... 2/8/00 5.030 11,998,592
20,000,000 National Westminster Bank, Plc. .................... 3/15/00 5.175 20,001,734
14,000,000 Rabobank Nederland N. V............................. 1/12/00 5.020 13,997,836
20,000,000 Societe Generale - New York Branch................. 10/18/99 4.900 20,000,000
25,000,000 Societe Generale ................................... 8/10/99 4.860 25,000,000
11,000,000 UBS, New York ...................................... 5/19/00 5.280 10,995,319
45,000,000 Westdeutsche Landesbank, New York Branch ........... 8/9/99 4.850 45,000,000
------------
Total Certificates of Deposits ................... $309,990,631
------------
COMMERCIAL PAPER (35.3%)
$45,000,000 American Express Cr. Corp .......................... 7/2/99 5.000% $ 44,993,750
45,000,000 American General Finance Corp....................... 7/2/99 4.720 44,994,100
45,000,000 Chevron USA ........................................ 7/6/99 4.920 44,969,250
45,000,000 Cit Group Holdings ................................. 7/6/99 5.190 44,967,563
25,000,000 Coca Cola Co. ...................................... 7/9/99 4.800 24,973,333
45,000,000 Ford Motor Credit Co. .............................. 7/13/99 5.160 44,922,600
45,000,000 General Electric Capital Corp....................... 7/7/99 5.250 44,960,625
40,000,000 Proctor & Gamble ................................... 7/26/99 5.110 39,858,056
45,000,000 Prudential Funding Corp............................. 7/12/99 5.080 44,930,150
------------
Total Commerical Paper ......................... $379,569,427
------------
</TABLE>
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
June 30, 1999
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
Annualized
Yield on
Principal Maturity Date of Value
Amount Date Purchase (Note 1)
------------ -------- ----------- ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS (9.7%)
$16,822,547 Aubrey Lanston Repo
(Agreement dated 6/30/99 collateralized by
$14,900,000 U.S. Treasury Bill, due 10/14/99,
and $2,385,000 U.S. Treasury Note 7.125%,
due 2/29/00; $16,824,603 to be received
upon maturity) ................................. 7/1/99 4.400% $ 16,822,547
57,000,000 J.P. Morgan & Co. Repo
(Agreement dated 6/30/99 collateralized by
$54,336,000 U.S. Treasury Notes 4.875%,
due 8/15/01; $57,007,521 to be received
upon maturity) ................................. 7/1/99 4.750 57,000,000
29,800,000 J.P. Morgan & Co. Repo
(Agreement dated 6/30/99 collateralized by
$30,358,000 U.S. Treasury Note 4.500%,
due 1/31/01; $29,803,725 to be received
upon maturity) ................................. 7/1/99 4.500 29,800,000
---------------
Total Repurchase Agreements ....................... $ 103,622,547
---------------
TOTAL INVESTMENTS, AT AMORTIZED COST ......................................... 99.4% $ 1,068,620,530
OTHER ASSETS IN EXCESS OF LIABILITIES ........................................ 0.6 6,541,425
----- ---------------
NET ASSETS .................................................................. 100.0% $ 1,075,161,955
===== ===============
</TABLE>
- ---------
* Variable Rate Instrument. Interest rates change on specific date (such as
a coupon or interest payment date). The yield shown represents the June 30,
1999 coupon rate.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1999
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at amortized cost and value (Note 1)......................................... $1,068,620,530
Interest receivable....................................................................... 6,838,964
Cash. .................................................................................... 9,440
Deferred organization expenses (Note 1)................................................... 5,697
--------------
Total Assets ........................................................................ 1,075,474,631
--------------
LIABILITIES:
Payables for:
Investment advisory fee (Note 2)........................................................ 129,390
Custodian fee........................................................................... 40,919
Professional fees....................................................................... 29,000
Administrative fee (Note 2)............................................................. 30,191
Accrued expenses and other liabilities.................................................. 83,176
--------------
Total Liabilities ................................................................... 312,676
--------------
NET ASSETS .................................................................................. $1,075,161,955
==============
Net Assets Consist of:
Paid-in capital........................................................................... $1,075,161,955
==============
STATEMENT OF OPERATIONS
For the year ended June 30, 1999
(expressed in U.S. dollars)
NET INVESTMENT INCOME:
Income:
Interest............................................................................... $55,097,203
-----------
Expenses:
Investment advisory fee (Note 2)....................................................... 1,593,123
Administrative fee (Note 2)............................................................ 371,729
Custodian fee.......................................................................... 173,047
Trustees' fees and expenses (Note 2)................................................... 51,460
Professional fees..................................................................... 28,039
Amortization of organization expenses (Note 1)......................................... 17,060
Miscellaneous expenses................................................................. 12,718
-----------
Total Expenses ...................................................................... 2,247,176
-----------
NET INVESTMENT INCOME ....................................................................... $52,850,027
===========
</TABLE>
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the years ended June 30,
------------------------------------
1999 1998
--------------- ---------------
INCREASE IN NET ASSETS:
From Investment Activities:
<S> <C> <C>
Net investment income.............................................. $ 52,850,027 $ 52,904,609
-------------- --------------
Capital Transactions:
Proceeds from contributions........................................ 1,211,236,532 995,407,528
Value of withdrawals............................................... (1,127,061,572) (1,028,078,808)
-------------- --------------
Net increase (decrease) in net assets resulting from
capital transactions....................................... 84,174,960 (32,671,280)
-------------- --------------
Net increase in net assets......................................... 137,024,987 20,233,329
NET ASSETS:
Beginning of year.................................................. 938,136,968 917,903,639
-------------- --------------
End of year ...................................................... $1,075,161,955 $ 938,136,968
============== ==============
</TABLE>
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
October 31, 1994
For the years ended June 30, (commencement of
------------------------------------------------- operations) to
1999 1998 1997 1996 June 30, 1995
---------- --------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C>
Ratios/Supplemental Data:
Net assets, end of year
(000's omitted)............. $1,075,162 $938,137 $917,904 $764,477 $625,111
Ratio of expenses to average
net assets..................... 0.21% 0.23% 0.24% 0.24% 0.25%(1)
Ratio of net investment income
to average net assets.......... 4.98% 5.41% 5.26% 5.45% 5.62%(1)
- --------------
(1) Annualized.
</TABLE>
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. 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 June 30, 1999, 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 year ended June
30, 1999, the Portfolio incurred $1,593,123 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 with Signature Financial
<PAGE>
U.S. MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
(expressed in U.S. dollars)
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, 1999, the Portfolio incurred $371,729 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 year ended June 30,
1999, the Portfolio incurred $51,460 for Trustees' fees and expenses.
3. Investment Transactions. Purchases, and maturities and sales, of money
market instruments, excluding securities subject to repurchase agreements,
aggregated $8,433,359,534 and $8,273,485,383, respectively, for the year ended
June 30, 1999.
<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, 1999, the related statement of operations for the year then ended, the
statement of changes in net assets for the years ended June 30, 1999 and 1998,
and the financial highlights for each of the years in the five-year period ended
June 30, 1999. 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, 1999 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, 1999, and the results of its operations, the changes in
its net assets, and its financial highlights for respective stated periods in
conformity with accounting principles generally accepted in the United States of
America.
Deloitte & Touche LLP
Boston, Massachusetts
August 13, 1999
