<PAGE>
U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1999
(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 (27.9%)
$29,850,000 Federal National Mortgage Association* ......... 2/23/00 5.040% $ 29,849,957
90,000,000 Federal Home Loan Banks .......................... 7/21/00 6.086 90,000,000
50,000,000 Student Loan Marketing Association* .............. 1/12/00 5.786 49,999,397
25,000,000 Student Loan Marketing Association* ............. 2/4/00 5.108 25,000,491
50,000,000 Student Loan Marketing Association* ............. 8/1/00 6.113 49,988,707
55,000,000 Student Loan Marketing Association* .............. 8/3/00 6.113 54,983,845
50,000,000 Student Loan Marketing Association* .............. 8/17/01 6.536 50,000,000
------------
Total U.S. Government and Agency
Obligations ................................. $349,822,397
------------
CERTIFICATES OF DEPOSIT (22.3%)
$14,000,000 ABN Amro ......................................... 3/10/00 5.230% $ 14,000,000
20,150,000 Bank of Montreal (Montreal) ...................... 1/12/00 6.300 20,150,000
22,100,000 Bank of Montreal ................................. 1/13/00 6.330 22,100,000
42,550,000 Bank Nationale de Paris .......................... 3/1/00 6.000 42,550,000
19,000,000 Bayer Hypobank London ............................ 7/28/00 5.710 18,994,790
14,000,000 Canadian Imperial Bank of Commerce ............... 1/27/00 5.000 13,999,808
25,000,000 Deutsche Bank AG - New York Branch ............... 1/7/00 4.980 24,999,921
12,000,000 National Westminster Bank, Plc. .................. 2/8/00 5.030 11,999,759
20,000,000 National Westminster Bank, Plc. .................. 3/15/00 5.175 20,000,496
14,000,000 Rabobank Nederland N.V. .......................... 1/12/00 5.020 13,999,878
25,000,000 Royal Bank of Canada ............................. 7/10/00 5.665 24,995,613
11,000,000 UBS, New York .................................... 5/19/00 5.280 10,997,986
25,000,000 UBS AG ........................................... 11/20/00 6.080 24,989,412
15,000,000 UBS AG .......................................... 11/28/00 6.090 14,989,585
------------
Total Certificates of Deposits ............... $278,767,248
------------
COMMERCIAL PAPER (36.0%)
$30,000,000 American Express Credit Corp. .................... 1/31/00 5.840% $ 29,854,000
35,000,000 American General Finance Corp. ................... 3/14/00 5.810 34,587,651
50,000,000 Coca Cola Co. .................................... 2/7/00 6.020 49,690,639
50,000,000 DuPont EI DeNemours & Co. ........................ 2/10/00 5.840 49,675,556
25,000,000 General Electric Capital Corp. ................... 2/15/00 5.900 24,815,625
30,000,000 General Electric Capital Corp. ................... 3/7/00 5.880 29,676,600
50,000,000 General Motors Acceptance Corp. .................. 2/22/00 6.050 49,563,055
25,000,000 Merrill Lynch & Co., Inc. ........................ 2/15/00 5.940 24,814,375
49,350,000 Morgan Stanley Dean Witter Discover .............. 2/16/00 6.100 48,965,344
25,000,000 Pfizer, Inc. ..................................... 2/14/00 6.100 24,813,611
40,000,000 Proctor & Gamble ................................. 1/27/00 5.780 19,916,511
25,000,000 Proctor & Gamble ................................. 2/14/00 5.780 24,823,389
40,000,000 Prudential Funding Corp. ......................... 1/31/00 5.850 39,805,000
------------
Total Commerical Paper ....................... $451,001,356
------------
CORPORATE NOTES (3.3%)
$40,960,000 Goldman Sachs Group, Inc.*........................ 2/22/00 6.210 $ 40,960,000
------------
Total Corporate Notes ........................ $ 40,960,000
------------
</TABLE>
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (continued)
December 31, 1999
(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>
Repurchase Agreements (9.7%)
$35,000,000 Aubrey Lanston Repo
(Agreement dated 12/31/99 collateralized by
$34,000,000 U.S. Treasury Note 8.750%,
due 8/15/00, $35,009,349 to be received
upon maturity) ............................... 1/3/00 3.250% $ 35,000,000
50,000,000 J.P. Morgan & Co. Repo
(Agreement dated 12/31/99 collateralized by
$49,756,000 U.S. Treasury Note 6.250%,
due 6/30/00; $50,015,411 to be received
upon maturity)................................ 1/3/00 3.750 50,000,000
36,638,757 J.P. Morgan & Co. Repo
(Agreement dated 12/31/99 collateralized by
$37,465,000 U.S. Treasury Note 5.375%,
due 6/30/00; $29,809,185 to be received
upon maturity) ............................... 1/3/00 3.750 36,638,757
--------------
Total Repurchase Agreements .................... $ 121,638,757
--------------
TOTAL INVESTMENTS, AT AMORTIZED COST ............................................ 99.2% $1,242,189,758
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES .................................. 0.8 10,543,830
----- --------------
NET ASSETS ..................................................................... 100.0% $1,252,733,588
====== ==============
</TABLE>
- ----------
* Variable Rate Instrument. Interest rates change on specific date (such as
a coupon or interest payment date). The Yield shown represents the
December 31, 1999 coupon rate.
See Notes to Financial Statements.
<PAGE>
U.S. MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
(expressed in U.S. dollars)
(unaudited)
ASSETS:
Investments, at amortized cost and value (Note 1) ........ $1,242,189,758
Interest receivable ...................................... 10,777,602
--------------
Total Assets ........................................ 1,252,967,360
--------------
LIABILITIES:
Payables for:
Investment advisory fee (Note 2) ...................... 159,961
Administrative fee (Note 2) ........................... 37,324
Accrued expenses and other liabilities ................ 36,487
--------------
Total Liabilities ................................... 233,772
--------------
NET ASSETS .................................................. $1,252,733,588
==============
Net Assets Consist of:
Paid-in capital .......................................... $1,252,733,588
==============
STATEMENT OF OPERATIONS
For the six months ended December 31, 1999
(expressed in U.S. dollars)
(unaudited)
NET INVESTMENT INCOME:
Income:
Interest ................................................ $32,326,693
-----------
Expenses:
Investment advisory fee (Note 2) ........................ 898,475
Administrative fee (Note 2) ............................. 209,644
Trustees' fees and expenses (Note 2) .................... 31,503
Amortization of organization expenses (Note 1) .......... 5,697
Miscellaneous expenses .................................. 54,142
-----------
Total Expenses ........................................ 1,199,461
-----------
NET INVESTMENT INCOME ......................................... $31,127,232
===========
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
six months ended For the
December 31, 1999 year ended
(unaudited) June 30, 1999
---------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS:
From Investment Activities:
Net investment income .................... $ 31,127,232 $ 52,850,027
-------------- --------------
Capital Transactions:
Proceeds from contributions ............... 742,064,733 1,211,236,532
Value of withdrawals ...................... (595,620,332) (1,127,061,572)
-------------- --------------
Net increase in net assets resulting
from capital transactions ......... 146,444,401 84,174,960
-------------- -------------
Net increase in net assets ................ 177,571,633 137,024,987
NET ASSETS:
Beginning of year ......................... 1,075,161,955 938,136,968
-------------- --------------
End of year ............................. $1,252,733,588 $1,075,161,955
============== ==============
</TABLE>
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the For the period
six months ended October 31, 1994
December 31, For the years ended June 30, (commencement of
1999 -------------------------------------------- operations) to
(unaudited) 1999 1998 1997 1996 June 30, 1995
---------------- ---------- -------- -------- -------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Ratio/Supplemental Data:
Net assets, end of period
(000's omitted).......... $1,252,734 $1,075,162 $938,137 $917,904 $764,477 $625,111
Ratio of expenses to average
net assets............... 0.20%(1) 0.21% 0.23% 0.24% 0.24% 0.25%(1)
Ratio of net investment
income to average net
assets................... 5.20%(1) 4.98% 5.40% 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)
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
generally accepted accounting principles, 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, 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. 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, 1999, the Portfolio incurred $898,475 for advisory services.
Administrative Fee. The Portfolio has an administrative agreement with
Brown Brothers Harriman Trust Company (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 sub-administration agreement with Signature Financial Group for which with
Signature Financial Group 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, 1999, the Portfolio incurred $209,644 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 six months ended
December 31, 1999, the Portfolio incurred $31,503 for Trustees' fees and
expenses.
3. Investment Transactions. Purchases, and maturities and sales, of money
market instruments, excluding securities subject to repurchase agreements,
aggregated $4,588,590,495 and $4,506,907,900, respectively, for the six months
ended December 31, 1999.
