U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1998
(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>
U.S. GOVERNMENT AGENCY OBLIGATIONS (33.3%)
$ 16,660,000 Federal Home Loan Mortgage Corp..................... 8/13/99 5.544% $ 16,703,245
100,000,000 Federal National Mortgage Association*.............. 6/24/99 5.008 99,986,175
20,000,000 Federal National Mortgage Association*.............. 6/2/99 4.696 19,985,016
25,000,000 Federal National Mortgage Association*.............. 9/22/99 4.696 24,966,699
29,550,000 Federal National Mortgage Association*.............. 7/28/99 5.048 29,507,956
25,000,000 Student Loan Marketing Association*................. 2/4/00 5.083 25,005,756
50,000,000 Student Loan Marketing Association*................. 5/20/99 4.848 50,000,000
50,250,000 Student Loan Marketing Association*................. 1/13/99 4.848 50,248,714
------------
Total U.S. Government Agency Obligations ........ $316,403,561
------------
CERTIFICATES OF DEPOSIT (31.1%)
$ 45,000,000 Bankers Trust Co. Institutional - New York Branch... 3/19/99 5.650% $ 44,992,597
45,000,000 Bank of Montreal.................................... 2/4/99 5.280 45,000,000
45,000,000 Bank of Nova Scotia................................. 3/29/99 5.120 45,007,122
45,000,000 Bayer Hypobank London............................... 2/25/99 5.600 45,005,566
20,000,000 Canadian Imperial Bank of Commerce.................. 12/30/99 5.060 19,998,082
26,000,000 Commerzbank......................................... 3/31/99 5.120 26,004,165
25,000,000 National Westminster London......................... 2/26/99 5.580 25,002,489
45,000,000 Toronto Dominion - New York Branch.................. 6/25/99 5.670 44,989,212
------------
Total Certificates of Deposit .................. $295,999,233
------------
COMMERCIAL PAPER (33.0%)
$ 45,000,000 American Express Credit Corp........................ 1/5/99 6.100% $ 44,969,500
45,000,000 Associates Corp of North America.................... 4/1/99 4.830 44,456,625
45,000,000 Cheveron USA Inc.................................... 1/11/99 5.250 44,934,375
45,000,000 Coca Cola Co........................................ 3/9/99 5.010 44,580,413
45,000,000 DuPont EI DeNemours & Co............................ 3/9/99 5.010 44,580,413
45,000,000 Ford Motor Credit Corp.............................. 1/8/99 5.330 44,953,363
45,000,000 Prudential Funding Corp............................. 1/8/99 5.350 44,953,187
------------
Total Commercial Paper .......................... $313,427,876
------------
Repurchase Agreements (2.0%)
$ 19,042,276 Morgan Stanley Repo
(Agreement dated 12/31/98 collateralized by
$18,850,000 U.S. Treasury Notes 6.375%,
due 5/15/00; $19,051,797 to be received
upon maturity).................................. 1/4/99 4.500% $ 19,042,276
------------
Total Repurchase Agreements ...................... $ 19,042,276
------------
TOTAL INVESTMENTS, AT AMORTIZED COST ........................................... 99.4% $944,872,946
OTHER ASSETS IN EXCESS OF LIABILITIES .......................................... 0.6 6,034,098
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NET ASSETS .................................................................... 100.0% $950,907,044
===== ============
</TABLE>
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* Variable Rate Instrument. Interest rates change on specific date (such as
a coupon or interest payment date). The Yield shown represents the
December 31, 1998 coupon rate.
See Notes to Financial Statement.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1998
(expressed in U.S. dollars)
(unaudited)
ASSETS:
Investments, at amortized cost and value (Note 1) ......... $944,872,946
Interest receivable ....................................... 8,215,880
Deferred organization expenses (Note 1) ................... 14,158
------------
Total Assets ......................................... 953,102,984
------------
LIABILITIES:
Due to Bank ............................................... 1,824,972
Payables for:
Investment advisory fee (Note 2) ....................... 136,199
Custodian fee .......................................... 57,969
Professional fees ...................................... 14,500
Administrative fee (Note 2) ............................ 31,780
Accrued expenses and other liabilities ................. 130,520
------------
Total Liabilities .................................... 2,195,940
------------
NET ASSETS ................................................... $950,907,044
============
Net Assets Consist of:
Paid-in capital ........................................... $950,907,044
============
STATEMENT OF OPERATIONS
For the six months ended December 31, 1998
(expressed in U.S. dollars)
(unaudited)
NET INVESTMENT INCOME:
Income:
Interest ............................................... $ 27,992,428
------------
Expenses:
Investment advisory fee (Note 2) ....................... 784,669
Administrative fee (Note 2) ............................ 183,089
Custodian fee .......................................... 112,540
Trustees' fees and expenses (Note 2) ................... 29,440
Amortization of organization expenses (Note 1) ......... 8,600
Miscellaneous expenses ................................. 26,662
------------
Total Expenses ....................................... 1,145,000
------------
NET INVESTMENT INCOME ........................................ $ 26,847,428
============
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(expressed in U.S. dollars)
For the
six months ended For the
December 31, 1998 year ended
(unaudited) June 30, 1988
---------------- --------------
INCREASE IN NET ASSETS:
From Investment Activities:
Net investment income ................. $ 26,847,428 $ 52,904,609
--------------- ---------------
Capital Transactions:
Proceeds from contributions ........... 593,578,975 995,407,528
Value of withdrawals .................. (607,656,327) (1,028,078,808)
--------------- ---------------
Net increase (decrease) in net
assets resulting from capital
transactions ................... (14,077,352) (32,671,280)
--------------- ---------------
Net increase in net assets ........... 12,770,076 20,233,329
NET ASSETS:
Beginning of year .................... 938,136,968 917,903,639
--------------- ---------------
End of year .......................... $ 950,907,044 $ 938,136,968
=============== ===============
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the For the period
six months ended For the years October 31, 1994
December 31, ended June 30, (commencement of
1998 ----------------------------------------- operations) to
(unaudited) 1998 1997 1996 June 30, 1995
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Ratio/Supplemental Data:
Net assets, end of period
(000's omitted) ........... $ 950,907 $ 938,137 $ 917,904 $ 764,477 $ 625,111
Ratio of expenses to average
net assets ................ 0.22%(1) 0.23% 0.24% 0.24% 0.25%(1)
Ratio of net investment income
to average net assets ..... 5.13%(1) 5.41% 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, 1998, 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, 1998, the Portfolio incurred $784,669 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 with 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, 1998, the Portfolio
incurred $183,089 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, 1998, the Portfolio incurred $29,440 for Trustees' fees and
expenses.
3. Investment Transactions. Purchases, and maturities and sales, of money
market instruments, excluding securities subject to repurchase agreements,
aggregated $3,806,440,854 and $4,041,422,493, respectively, for the six months
ended December 31, 1998.
