-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, N6WT6pr5NpfWOFf/NWGJybrOMX0PYaDt/bzYmJEpMFPsBoe9PnyzjinXKoGTbO7t xbzoIj7PKHWGtg8yp7tfBw== 0000950156-04-000202.txt : 20040903 0000950156-04-000202.hdr.sgml : 20040903 20040903111355 ACCESSION NUMBER: 0000950156-04-000202 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040903 DATE AS OF CHANGE: 20040903 EFFECTIVENESS DATE: 20040903 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MERRIMAC FUNDS CENTRAL INDEX KEY: 0001026611 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07939 FILM NUMBER: 041015587 BUSINESS ADDRESS: STREET 1: 200 CLARENDON ST CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 6173306413 MAIL ADDRESS: STREET 1: 200 CLARENDON ST CITY: BOSTON STATE: MA ZIP: 02116 N-CSRS 1 d612921.txt MERRIMAC CASH FUND -- 6/30/04 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07939 ------------------------------------- Merrimac Funds - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 200 Clarendon Street, P.O. Box 9130, Boston, MA 02117 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Susan C. Mosher, Secretary of the Merrimac Funds Mail Code LEG 13 200 Clarendon Street, Boston, MA 02117 - ------------------------------------------------------------------------------- (Name and address of agent for service) With a copy to: Philip H. Newman, Esq. Goodwin Procter LLP Exchange Place Boston, MA 02109 Registrant's telephone number, including area code: (888) 637-7622 ----------------------- Date of fiscal year end: 12/31/2004 -------------------------- Date of reporting period: 06/30/2004 ------------------------ ITEM 1. REPORTS TO STOCKHOLDERS. The semi-annual report for the period January 1, 2004 through June 30, 2004 is filed herewith. [logo] MERRIMACK CASH FUND Semiannual Report June 30, 2004 MERRIMAC CASH FUND STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- ASSETS Investment in Merrimac Cash Portfolio, at value (Note 1) $ 790,759,890 Prepaid expenses 7,649 ------------- Total assets 790,767,539 ------------- LIABILITIES Distributions payable to shareholders 826,941 Accrued expenses 35,323 ------------- Total liabilities 862,264 ------------- NET ASSETS $ 789,905,275 ============= NET ASSETS CONSIST OF: Paid in capital $ 790,009,757 Accumulated net realized loss on investments (104,482) ------------- Total net assets $ 789,905,275 ============= TOTAL NET ASSETS Premium Class $ 789,905,275 ============= SHARES OF BENEFICIAL INTEREST OUTSTANDING Premium Class 790,000,001 ============= NET ASSET VALUE, MAXIMUM OFFER AND REDEMPTION PRICE PER SHARE $ 1.00 ============= STATEMENT OF OPERATIONS SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- NET INVESTMENT INCOME ALLOCATED FROM PORTFOLIO (NOTE 1) Interest and dividends $ 6,078,561 Expenses (906,886) ------------- Net investment income from Portfolio 5,171,675 ------------- FUND EXPENSES Accounting, transfer agency and administration fees (Note 4) 51,166 Audit 12,061 Legal 3,373 Printing 4,793 Insurance 12,061 Trustees fees and expenses 6,399 Miscellaneous 12,249 ------------- Total Expenses 102,102 ------------- NET INVESTMENT INCOME 5,069,573 ------------- NET REALIZED LOSS ON INVESTMENTS ALLOCATED FROM PORTFOLIO (3,813) ------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 5,065,760 ============= The accompanying notes are an integral part of the financial statements. 1 MERRIMAC CASH FUND STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, 2004 DECEMBER 31, (UNAUDITED) 2003 ---------------- -------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income $ 5,069,573 $ 11,243,568 Net realized gain (loss) allocated from Portfolio (3,813) 10,287 ------------- ------------- Net increase in net assets from operations 5,065,760 11,253,855 ------------- ------------- DIVIDENDS DECLARED FROM NET INVESTMENT INCOME Premium Class (5,069,573) (11,243,568) ------------- ------------- Total dividends declared (5,069,573) (11,243,568) ------------- ------------- FUND SHARE TRANSACTIONS (NOTE 6) Proceeds from shares sold 345,000,000 1,512,080,875 Proceeds from dividends reinvested -- 735,837 Payment for shares redeemed (520,000,000) (1,941,540,477) ------------- ------------- Net decrease in net assets derived from share transactions (175,000,000) (428,723,765) ------------- ------------- NET DECREASE IN NET ASSETS (175,003,813) (428,713,478) NET ASSETS Beginning of period 964,909,088 1,393,622,566 ------------- ------------- End of period $ 789,905,275 $ 964,909,088 ============= ============= The accompanying notes are an integral part of the financial statements. 2 MERRIMAC CASH FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period is presented below:
PREMIUM CLASS ---------------------------------------------------------------------------------------- SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, 2004 ---------------------------------------------------------------------- (UNAUDITED) 2003 2002 2001 2000 1999 ---------------- ------------ -------------- ------------ ------------ ------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Net investment income 0.005 0.011 0.019 0.042 0.063 0.051 Dividends from net investment income (0.005) (0.011) (0.019) (0.042) (0.063) (0.051) ----------- ---------- ------------ ---------- ---------- ---------- NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 =========== ========== ============ ========== ========== ========== TOTAL RETURN(1) 1.01% 1.13% 1.88% 4.31% 6.52% 5.26% ANNUALIZED RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA Net expenses 0.20% 0.20% 0.19% 0.20% 0.21% 0.21% Net investment income 0.99% 1.14% 1.84% 4.12% 6.32% 5.13% Net assets, end of period (000s omitted) $ 789,905 $ 964,909 $ 1,393,623 $ 953,892 $ 608,384 $ 808,103 (1) Total return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Dividends and distributions are assumed reinvested at the net asset value on the payable date. Total return is computed on an annualized basis.
The accompanying notes are an integral part of the financial statements. 3 MERRIMAC CASH FUND NOTES TO FINANCIAL STATEMENTS JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- (1) SIGNIFICANT ACCOUNTING POLICIES The Merrimac Funds (the "Trust") is organized as a Delaware business trust and is registered under the Investment Company Act of 1940 (the "1940 Act"), as an open-end management investment company. The Merrimac Cash Fund (the "Fund") is a separate diversified investment portfolio or series of the Trust. The Fund consists of two classes of shares, the Premium Class and the Institutional Class. There were no Institutional Class shares outstanding during the six months ended June 30, 2004. The Fund seeks to achieve its investment objective by investing all of its investable assets in the Merrimac Cash Portfolio (the "Portfolio"), an open-end management investment company and a series of the Merrimac Master Portfolio. The Fund has the same investment objective as the Portfolio. The Portfolio seeks to achieve a high level of current income, consistent with the preservation of capital and liquidity. The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. At June 30, 2004 the investment by the Fund represents ownership of a proportionate interest of 11.23% of the Portfolio. It is the policy of the Fund to maintain a net asset value of $1.00 per share. The Fund has adopted certain investment, valuation, dividend and distribution policies which conform to general industry practice, to enable it to do so. However, there is no assurance that the Fund will be able to maintain a stable net asset value. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. INVESTMENT SECURITY VALUATIONS The Fund records investments in the Portfolio at value. Valuation of securities by the Portfolio is discussed in Note 1 of the Portfolio's Notes to Financial Statements, which are included elsewhere in this report. B. SECURITIES TRANSACTIONS AND INCOME The Portfolio records securities transactions as of the trade date. Interest income, including the accretion of discount or the amortization of premium, is recognized when earned. Gains or losses on sales of securities are calculated on the identified cost basis. The Fund's net investment income consists of its pro rata share of the net investment income of the Portfolio, less all expenses of the Fund determined in accordance with GAAP. C. FEDERAL INCOME TAXES The Fund intends to qualify annually as a regulated investment company under Subchapter M of the Internal Revenue Code, and thus not be subject to income taxes. To qualify, the Fund must distribute all of its taxable income for its fiscal year and meet certain other requirements. Accordingly, no provision for federal income taxes is required. (2) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends on the shares of the Fund are declared each business day to shareholders of record on that day, and paid or reinvested as of the first business day of the following month. Distributions of net realized gains, if any, may be declared annually. Dividends and distributions are determined in accordance with Federal income tax regulations, which may differ from GAAP. (3) SHAREHOLDER SERVICING PLAN The Trust has adopted a Shareholder Servicing Plan with respect to the Institutional Class under which certain service organizations may be compensated for providing shareholder accounting and other administrative services for their clients. The Institutional Class will pay an annual fee of 0.25% of the value of the assets that an organization services on behalf of its clients. 4 MERRIMAC CASH FUND NOTES TO FINANCIAL STATEMENTS JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- (4) MANAGEMENT FEE AND AFFILIATED TRANSACTIONS The Portfolio retains Investors Bank & Trust Company - Advisory Division (the "Adviser") as investment adviser. Lincoln Capital Fixed Income Management Company, LLC ("Lincoln") serves as sub-adviser to the Portfolio. The Fund pays no direct fees for such services, but indirectly bears its pro rata share of the compensation paid by the Portfolio. See Note 2 of the Portfolio's Notes to Financial Statements which are included elsewhere in this report. Investors Bank & Trust Company ("Investors Bank") or its subsidiary, IBT Fund Services (Canada), Inc. serves as administrator, custodian, fund accounting agent, and transfer agent to the Trust. For these services, Investors Bank and its subsidiary are paid a monthly fee at an annual rate of 0.01% of the average daily net assets of the Fund. Certain trustees and officers of the Trust are directors or officers of Investors Bank. The Fund does not pay compensation to its trustees or officers who are affiliated with the investment adviser. (5) INVESTMENT TRANSACTIONS The Fund's investments in and withdrawals from the Portfolio for six months ended June 30, 2004 aggregated $345,000,000 and $525,149,673, respectively. (6) SHARES OF BENEFICIAL INTEREST The Declaration of Trust permits the Trustees to issue an unlimited number of shares of beneficial interest having a par value of $0.001 per share. Transactions in Fund shares at $1.00 per share for each class were as follows: PREMIUM CLASS -------------------------------- SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, 2004 2003 ---------------- -------------- Shares sold 345,000,000 1,512,080,875 Shares reinvested -- 735,837 Shares redeemed (520,000,000) (1,941,540,477) ------------ -------------- Net increase (decrease) in shares (175,000,000) (428,723,765) ============ ============== At June 30, 2004, Investors Bank, as agent for its clients, was record holder of 96.85% of the Cash Fund's outstanding shares. 5 MERRIMAC CASH PORTFOLIO SCHEDULE OF INVESTMENTS - JUNE 30, 2004 (UNAUDITED) - --------------------------------------------------------------------------------
YIELD TO PAR MATURITY MATURITY VALUE VALUE - --------------------------------------------------------------------------------------------------------------------------------- COMMERCIAL PAPER - 23.5% Amstel Funding Corporation 1.10% 07/23/04 $ 60,000,000 $ 59,960,033 1.07 09/20/04 30,000,000 29,928,450 1.18 09/22/04 50,000,000 49,865,124 Bank of America Corporation 1.21 08/12/04 75,000,000 74,894,128 Barton Capital Corporation 1.06 07/01/04 60,051,000 60,051,000 Beta Finance, Inc. 1.34 08/12/04 55,000,000 54,914,016 Blue Ridge Asset Funding Corporation 1.08 07/02/04 50,000,000 49,998,500 BMW US Capital LLC 1.30 07/26/04 7,700,000 7,693,048 Caisse Nationale Des Caisses D' Epangne 1.72 05/04/05 25,000,000 24,639,702 Caterpillar Finance Services Corporation 1.29 07/12/04 35,000,000 34,986,312 Citigroup Global Markets Holdings 1.05 07/01/04 50,000,000 50,000,000 CRC Funding LLC 1.20 07/27/04 28,500,000 28,475,300 Credit Lyonnais NA 1.26 10/19/04 25,000,000 24,904,514 1.25 12/22/04 30,000,000 29,820,200 Danske Corporation 1.15 10/08/04 46,000,000 45,855,792 Delaware Funding 1.21 07/19/04 56,311,000 56,276,932 Den Norske Bank ASA 1.28-1.29 09/03/04 50,000,000 49,886,664 1.23 09/10/04 35,000,000 34,916,132 Depfa Bank PLC 1.06 07/01/04 25,000,000 25,000,000 1.06 07/07/04 40,000,000 39,992,932 1.10 07/29/04 73,300,000 73,237,856 1.11 08/10/04 25,000,000 24,969,444 1.22 10/27/04 25,000,000 24,900,848 Edison Asset Securitization 1.31 11/01/04 57,699,000 57,442,720 Eiffel Funding LLC 1.11 08/02/04 10,000,000 9,990,133 1.21 08/03/04 51,000,000 50,943,432 1.11 08/05/04 25,000,000 24,973,020 1.17 08/11/04 25,000,000 24,966,688 1.19 08/16/04 20,000,000 19,969,588 General Electric Capital Corporation 1.25 08/25/04 60,000,000 59,885,416 HBOS Treasury Services PLC 1.18 08/06/04 17,700,000 17,679,114 Ivory Funding Corporation 1.07 07/06/04 12,037,000 12,035,211 1.22 08/18/04 40,127,000 40,061,728 JP Morgan Chase Bank 1.08 07/01/04 33,500,000 33,500,000 K2 (USA) LLC 1.07 07/20/04 30,000,000 29,983,058 1.32 11/15/04 15,000,000 14,925,221 Nationwide Building Society 1.11 07/07/04 10,000,000 9,998,167 1.07 07/16/04 13,485,000 13,478,988 Preferred Receivables Funding Corporation 1.30 07/26/04 35,000,000 34,968,404 Sheffield Receivables Corporation 1.10 07/08/04 50,000,000 49,989,304 Societe Generale Corporation NA 1.11 09/01/04 62,965,000 62,845,716 Thunder Bay Funding LLC 1.18 07/02/04 15,000,000 14,999,508 1.50 09/22/04 24,095,000 24,012,228 UBS Finance 1.25 12/20/04 50,000,000 49,703,776 Yorktown Capital LLC 1.30 07/30/04 41,777,000 41,733,252 ---------------- 1,653,251,599 ---------------- VARIABLE RATE NOTES* - 32.9% American Express Credit Corporation 1.20 07/05/04 150,000,000 150,000,000 American Honda Finance Corporation 1.30 08/11/04 25,000,000 25,025,188 1.47 09/07/04 49,500,000 49,556,736 Bank of America Corporation 1.05 07/01/04 100,000,000 100,000,000 Barclays Bank PLC NY 1.05 07/01/04 72,500,000 72,495,624 Bayerische Landesbank Girozentrale NY 1.28-1.33 07/01/04 120,000,000 120,024,910 Bear Stearns Companies, Inc. 1.57 07/01/04 15,000,000 15,000,000 Bear Strearns - EMC Mortgage Corporation 1.65 07/01/04 175,000,000 175,000,000 Beta Finance, Inc. 1.06 07/01/04 50,000,000 50,000,000
The accompanying notes are an integral part of the financial statements. 6 MERRIMAC CASH PORTFOLIO SCHEDULE OF INVESTMENTS - JUNE 30, 2004 (UNAUDITED) - --------------------------------------------------------------------------------
YIELD TO PAR MATURITY MATURITY VALUE VALUE - --------------------------------------------------------------------------------------------------------------------------------- VARIABLE RATE NOTES* (CONTINUED) Canadian Imperial Bank of Commerce NY 1.08% 07/01/04 $ 50,000,000 $ 50,001,084 Caterpillar Finance Services Corporation 1.44 07/30/04 31,630,000 31,688,840 1.27 08/03/04 50,000,000 50,043,532 1.46 09/01/04 10,000,000 10,000,000 1.55 09/10/04 25,000,000 25,009,216 Credit Suisse First Boston USA, Inc. 1.48 08/09/04 25,000,000 25,049,626 General Electric Capital Corporation 1.57 07/01/04 100,000,000 100,117,464 Goldman Sachs Group, Inc., Promissory Note+ 1.32-1.33 07/01/04 148,000,000 148,000,000 Household Finance Corporation 1.49 09/16/04 19,000,000 19,137,418 HSBC USA, Inc. 1.53 09/24/04 30,000,000 30,012,222 K2 (USA) LLC 1.06-1.40 07/01/04 125,041,388 125,037,268 Links Securities LLC 1.07-1.09 07/01/04 225,000,000 224,997,808 Merrill Lynch & Co., Inc. 1.07 07/01/04 50,000,000 50,000,000 Morgan Stanley, Dean Witter & Co. 1.23 07/01/04 125,000,000 125,000,000 1.36 07/15/04 10,000,000 10,000,000 1.33 07/27/04 75,000,000 75,000,000 Natexis Banque Populair 1.57 07/01/04 100,000,000 99,988,976 National City Bank of Indiana 1.07-1.23 07/01/04 70,000,000 70,005,348 1.23 07/19/04 50,000,000 50,001,380 Nationwide Building Society 1.59 09/28/04 70,000,000 69,992,472 Royal Bank of Canada 1.16 07/12/04 14,000,000 14,000,000 Sigma Finance Corporation 1.17 08/24/04 100,000,000 100,000,000 Toyota Motor Credit Corporation 1.27 07/01/04 9,000,000 9,003,143 Westpac Banking Corporation 1.41 09/13/04 50,000,000 50,000,000 ---------------- 2,319,188,255 ---------------- CORPORATE DEBT - 3.7% Associates Corporation of North America 1.26 10/15/04 6,750,000 6,885,972 1.39 02/15/05 9,079,000 9,435,277 Bayerische Landesbank Girozentrale NY 1.12-1.44 07/20/04 20,000,000 20,038,454 Chase Manhattan Corporation 1.38 12/01/04 12,080,000 12,348,235 Citigroup Commercial Credit 1.41 03/01/05 6,100,000 6,355,426 Credit Suisse First Boston USA, Inc. 1.36 03/01/05 10,000,000 10,441,315 Deutsche Bank NY 1.50 03/08/05 50,000,000 50,000,000 General Electric Capital Corporation 1.47 02/01/05 10,000,000 10,334,465 Household Finance Corporation 1.51 05/09/05 25,172,000 26,555,646 Merrill Lynch & Co., Inc. 1.45 03/08/05 10,000,000 10,211,212 Sigma Finance Corporation 1.45 03/08/05 50,000,000 49,999,904 Wells Fargo & Company 0.98-1.36 07/15/04 43,610,000 43,699,412 ---------------- 256,305,318 ---------------- PROMISSORY NOTES - 0.6% Goldman Sachs Group, Inc.+ 1.19 09/08/04 25,000,000 25,000,000 + 1.50 01/24/05 20,000,000 20,000,000 ---------------- 45,000,000 ---------------- U.S. GOVERNMENT AGENCY FIXED RATE OBLIGATIONS - 7.4% Federal Home Loan Bank 1.17 10/15/04 24,170,000 24,087,446 1.33 11/09/04 25,000,000 24,880,826 1.40 03/23/05 50,000,000 50,000,000 1.62 04/15/05 5,000,000 5,117,352 1.30 04/19/05 100,000,000 100,000,000 Federal National Mortgage Association 1.17 07/01/04 35,000,000 35,000,000 1.10 08/02/04 21,165,000 21,144,406 1.15 08/15/04 15,000,000 15,098,490 1.34-1.39 09/15/04 45,363,000 45,561,812 1.38 02/14/05 25,000,000 25,000,000
The accompanying notes are an integral part of the financial statements. 7 MERRIMAC CASH PORTFOLIO SCHEDULE OF INVESTMENTS - JUNE 30, 2004 (UNAUDITED) - --------------------------------------------------------------------------------
YIELD TO PAR MATURITY MATURITY VALUE VALUE - --------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY FIXED RATE OBLIGATIONS (CONTINUED) 1.38% 02/18/05 $ 45,000,000 $ 45,000,000 1.36 03/04/05 23,000,000 22,999,690 1.37 05/03/05 35,000,000 34,997,260 1.65 05/16/05 35,000,000 35,000,000 1.66 05/20/05 12,000,000 12,028,505 1.85 06/03/05 25,000,000 25,000,000 ---------------- 520,915,787 ---------------- U.S. GOVERNMENT AGENCY VARIABLE RATE OBLIGATIONS* - 2.1% Federal National Mortgage Association 1.22 02/14/05 150,000,000 150,000,000 ---------------- SUPRANATIONAL BANK OBLIGATIONS - 0.2% Inter-American Development Bank 1.12 09/27/04 16,000,000 16,105,561 ---------------- TREASURY OBLIGATIONS - 0.7% U.S. Treasury Bill 1.34 11/12/04 50,000,000 49,756,196 ---------------- CERTIFICATES OF DEPOSIT - 6.8% ABN AMRO Bank NY 1.40 10/21/04 50,000,000 50,000,000 Canadian Imperial Bank of Commerce NY 1.39 11/22/04 47,498,126 47,498,126 1.41 03/03/05 25,000,000 24,983,657 Citibank NY 1.49 09/24/04 65,000,000 65,000,000 Credit Agricole Indosuez 1.51 09/30/04 35,000,000 34,966,060 1.50 05/04/05 50,000,000 50,000,000 First Tennesee Bank NA 1.20-1.21 08/05/04 75,000,000 74,991,472 HSBC USA, Inc. 1.56 04/22/05 20,000,000 20,000,000 Natexis Banque Populair 1.31 02/22/05 60,000,000 60,001,948 1.27 03/07/05 50,000,000 49,996,585 ---------------- 477,437,848 ---------------- TIME DEPOSITS - 9.3% ABN AMRO Bank 1.28 07/01/04 150,000,000 150,000,000 Chase Manhattan Bank 1.44 07/01/04 125,000,000 125,000,000 SouthTrust Bank 1.38 07/01/04 100,000,000 100,000,000 US Bank NA 1.28 07/01/04 155,000,000 155,000,000 Wells Fargo Bank 1.50 07/01/04 125,000,000 125,000,000 ---------------- 655,000,000 ---------------- ASSET BACKED SECURITIES - 4.3% BMW Owners Trust 2004-A A1 1.18 09/10/04 83,735,240 83,735,240 Chase Manhattan Auto Owner Trust 2004-A A1 1.08 07/12/04 30,588,810 30,588,810 CIT Equipment Collateral Trust 2004-VT1 A1 1.12 08/04/04 38,384,466 38,384,466 CNH Equipment Trust 2003-B A1 1.23 09/13/04 23,576,441 23,576,441 Daimler Chrysler Auto Trust 2004-A A1 1.07 10/01/04 18,354,228 18,354,228 General Electric Commercial Equipment Financing LLC 2003-1 A1 1.06 07/20/04 284,548 284,548 John Deere Owner Trust 2004-A A1 1.14-1.35 09/14/04 48,932,656 48,930,656 Residential Mortgage Acceptance Corporation 2004-NS2A A1 1.35 08/12/04 37,500,000 37,500,000 USAA Auto Owner Trust 2004-1 A1 1.08 11/29/04 23,421,418 23,421,418 ---------------- 304,775,807 ---------------- REPURCHASE AGREEMENTS - 8.2% Credit Suisse First Boston Putable Repurchase Agreement, with a final maturity date of 03/14/05, interest receivable at June 30, 2004 of $426,067, collateralized by U.S. Treasury Obligations with rates ranging from 0.00% to 8.125% and maturities ranging from 05/15/06 to 08/15/21, with an aggregate market value of $142,801,102. 1.32 07/07/04 140,000,000 140,000,000
The accompanying notes are an integral part of the financial statements. 8 MERRIMAC CASH PORTFOLIO SCHEDULE OF INVESTMENTS - JUNE 30, 2004 (UNAUDITED) - --------------------------------------------------------------------------------
YIELD TO PAR MATURITY MATURITY VALUE VALUE - --------------------------------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (CONTINUED) Credit Suisse First Boston Putable Repurchase Agreement, with a final maturity date of 05/02/05, interest receivable at June 30, 2004 of $559,708, collateralized by U.S. Government Agency and U.S. Treasury Obligations with rates of 0.00% and maturities ranging from 08/15/11 to 02/15/26, with an aggregate market value of $102,000,245. 1.52% 07/07/04 $ 100,000,000 $ 100,000,000 Deutsche Bank Putable Repurchase Agreement, with a final maturity date of 05/24/05, interest receivable at June 30, 2004 of $300,569, collateralized by U.S. Government Agency Obligations with rates ranging from 0.00% to 5.50% and maturities ranging from 12/17/04 to 07/24/18, with an aggregate market value of $96,900,940. 1.68 07/07/04 95,000,000 95,000,000 Deutsche Bank Putable Repurchase Agreement, with a final maturity date of 06/03/05, interest receivable at June 30, 2004 of $550,525, collateralized by U.S. Government Agency Obligations with rates ranging from 0.00% to 5.50% and maturities ranging from 12/17/04 to 07/24/18, with an aggregate market value of $193,801,880. 1.83 07/07/04 190,000,000 190,000,000 Deutsche Bank Putable Repurchase Agreement, with a final maturity date of 07/06/05, interest receivable at June 30, 2004 of $79,806, collateralized by U.S. Government Agency Obligations with rates ranging from 0.00% to 5.50% and maturities ranging from 12/17/04 to 07/24/18, with an aggregate market value of $51,000,495. 2.21 07/07/04 50,000,000 50,000,000 Morgan Stanley Repurchase Agreement, dated 06/30/04, with a maturity value of $2,500,104, collateralized by U.S. Government Agency Obligations with rates ranging from 6.00% to 7.00% and maturities ranging from 11/01/08 to 06/01/31, with an aggregate market value of $2,550,000. 1.50 07/01/04 2,500,000 2,500,000 ---------------- 577,500,000 ---------------- SHARES ------------------ MUTUAL FUNDS - 0.1% Federated Prime Obligations Fund 3,497,391 3,497,391 One Group Institutional Prime Money Market Fund 267,906 267,906 ---------------- 3,765,297 ---------------- TOTAL INVESTMENTS, AT AMORTIZED COST - 99.8% 7,029,001,668 Other assets and liabilities, net - 0.2% 12,372,485 ---------------- NET ASSETS - 100.0% $ 7,041,374,153 ================ NOTES TO SCHEDULE OF INVESTMENTS: * Variable rate securities - maturity dates on these securities reflect the next interest rate reset date or, when applicable, the final maturity date. Yield to maturity for these securities is determined on the date of the most recent interest rate change. + Illiquid security
The accompanying notes are an integral part of the financial statements. 9 MERRIMAC CASH PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- ASSETS Investments, at value (Note 1) $6,451,501,668 Repurchase agreements 577,500,000 Cash 710,091 Interest receivable 12,883,874 Prepaid expenses 26,574 -------------- Total assets 7,042,622,207 -------------- LIABILITIES Management fee payable (Note 2) 1,102,966 Accrued expenses 145,088 -------------- Total liabilities 1,248,054 -------------- NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS $7,041,374,153 ============== STATEMENT OF OPERATIONS SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- INCOME Interest and dividends $ 37,712,764 -------------- EXPENSES Management fees (Note 2) 5,391,209 Audit 26,276 Transaction fees 9,699 Legal 19,847 Insurance 44,670 Trustees fees and expenses 37,659 Line of credit fee 71,270 Miscellaneous 11,316 -------------- Total expenses 5,611,946 -------------- NET INVESTMENT INCOME 32,100,818 -------------- NET REALIZED LOSS ON INVESTMENTS (29,304) -------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 32,071,514 ============== The accompanying notes are an integral part of the financial statements. 10 MERRIMAC CASH PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED (UNAUDITED) DECEMBER 31, 2003 ------------------- ------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net investment income $ 32,100,818 $ 56,973,134 Net realized gain (loss) on investments (29,304) 53,724 --------------- --------------- Net increase in net assets from operations 32,071,514 57,026,858 --------------- --------------- TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST Contributions 26,613,283,678 33,193,949,024 Withdrawals (24,058,314,771) (34,565,135,617) --------------- --------------- Net increase (decrease) from investors' transactions 2,554,968,907 (1,371,186,593) --------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS 2,587,040,421 (1,314,159,735) NET ASSETS Beginning of period 4,454,333,732 5,768,493,467 --------------- --------------- End of period $ 7,041,374,153 $ 4,454,333,732 =============== ===============
The accompanying notes are an integral part of the financial statements. 11 MERRIMAC CASH PORTFOLIO FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, 2004 ------------------------------------------------------------------------- (UNAUDITED) 2003 2002 2001 2000 1999 ---------------- ------------- ------------- ------------- ------------- ------------- TOTAL RETURN (1) 1.02% 1.17% 1.87% 4.26% 6.34% 5.16% ANNUALIZED RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA Net expenses 0.18% 0.18% 0.18% 0.18% 0.19% 0.19% Net investment income 1.01% 1.16% 1.87% 3.83% 6.34% 5.14% Net assets, end of period (000s omitted) $ 7,041,374 $ 4,454,334 $ 5,768,493 $ 4,992,093 $ 1,098,004 $ 1,081,493 (1) Total return is calculated assuming a purchase at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. The Portfolio declares no dividend or distribution, so there are no assumed reinvestments during the period. Total return is computed on an annualized basis.
The accompanying notes are an integral part of the financial statements. 12 MERRIMAC CASH PORTFOLIO NOTES TO FINANCIAL STATEMENTS JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- (1) SIGNIFICANT ACCOUNTING POLICIES The Merrimac Master Portfolio (the "Portfolio Trust") is organized as a common law trust under the laws of the State of New York and is registered under the Investment Company Act of 1940, (the "1940 Act"), as an open-end management investment company with its principal offices in the Cayman Islands. The Merrimac Cash Portfolio (the "Cash Portfolio") is a separate diversified series of the Portfolio Trust. The following is a summary of significant accounting policies followed by the Portfolio Trust in the preparation of its financial statements. The preparation of financial statements in accordance with generally accepted accounting principles ("GAAP") in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. INVESTMENT SECURITY VALUATIONS Portfolio securities are valued using the amortized cost method, which involves initially valuing an investment at its cost and thereafter assuming a constant amortization to maturity of any premium or discount. This method results in a value approximating market value. The Cash Portfolio's use of amortized cost is subject to compliance with certain conditions specified under Rule 2a-7 of the 1940 Act. B. SECURITIES TRANSACTIONS AND INCOME Interest income consists of interest accrued and discount earned (including both the original issue and market discount) less premium amortized on the investments of the Cash Portfolio, accrued ratably to the date of maturity. Purchases, maturities and sales of money market instruments are accounted for on the date of transaction. Expenses of the portfolio are accrued daily. All investment income, expenses, and realized capital gains and losses of the Portfolios are allocated pro rata to their investors. C. FEDERAL INCOME TAXES The Cash Portfolio is considered a partnership under the U.S. Internal Revenue Code. Accordingly, no provision for federal income taxes is necessary. The Cash Portfolio also intends to conduct its operations such that each investor will be able to qualify as a regulated investment company. D. FORWARD COMMITMENTS The Cash Portfolio may enter into contracts to purchase securities for a fixed price at a specified future date beyond customary settlement time ("forward commitments"). If the Cash Portfolio does so, it will maintain cash or other liquid obligations having a value in an amount at all times sufficient to meet the purchase price. Forward commitments involve risk of loss if the value of the security to be purchased declines prior to the settlement date. Although the Cash Portfolio generally will enter into forward commitments with the intention of acquiring the securities for their portfolio, it may dispose of a commitment prior to settlement if their Sub-Adviser deems it appropriate to do so. E. REPURCHASE AGREEMENTS It is the policy of the Cash Portfolio to require the custodian bank to take possession of all securities held as collateral in support of repurchase agreement investments. Additionally, procedures have been established to monitor, daily, the market value of the repurchase agreement's underlying investments to ensure the existence of a proper level of collateral. (2) MANAGEMENT FEE AND AFFILIATED TRANSACTIONS The Cash Portfolio retains Investors Bank & Trust Company - Advisory Division (the "Adviser") as investment adviser to continuously review and monitor its investment program. Investors Bank & Trust Company ("Investors Bank") serves as custodian, administrator and transfer agent for the Portfolio Trust. IBT Fund Services (Canada) Inc., a subsidiary of Investors Bank, serves as fund accounting agent. For these services, Investors Bank and its subsidiaries are paid a monthly fee at an annual rate of 0.17% of the average daily net assets of the Cash Portfolio. 13 MERRIMAC CASH PORTFOLIO NOTES TO FINANCIAL STATEMENTS JUNE 30, 2004 (UNAUDITED) - -------------------------------------------------------------------------------- Lincoln Capital Fixed Income Management Company, LLC ("Lincoln") serves as the Cash Portfolio's sub-adviser. For its services, Lincoln receives an annual fee, computed and paid monthly by Investors Bank, based on the average net assets of the Portfolio according to the following schedule: 0.09% on the first $500,000,000 in assets; 0.07% on the next $500,000,000 in assets; and 0.06% on assets exceeding $1,000,000,000 of the Cash Portfolio. The Cash Portfolio does not pay a fee directly to its sub-adviser for such services. Certain trustees and officers of the Portfolio Trust are directors or officers of Investors Bank. The Fund does not pay compensation to its trustees or officers who are affiliated with the investment adviser. (3) INVESTMENT TRANSACTIONS Purchases and combined maturities and sales of money market instruments aggregated $74,724,240,133 and $72,161,657,300 respectively for the Cash Portfolio for the six months ended June 30, 2004. (4) LINE OF CREDIT The Portfolio Trust maintains a $150 million line of credit agreement with a group of banks. Borrowings will be made solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Because several investment companies participate there is no assurance that an individual portfolio will have access to the entire $150 million at any particular time. Interest is charged to each portfolio based on its borrowings at an amount above the Federal Funds rate. In addition, a fee computed at an annual rate of 0.11% on the daily unused portion of the line of credit is allocated among the portfolios. The Cash Portfolio had no borrowings during the six months ended June 30, 2004. 14 The Merrimac Master Portfolio has adopted a Proxy Voting Policy which is available, without charge, upon request by calling 1-888-637-7622, and on Securities and Exchange Commission's website, www.sec.gov Each Fund of the Merrimac Funds invests all of its assets in a master portfolio of the Merrimac Master Portfolio and, therefore, does not hold securities which are entitled to vote. None of the securities held by the Portfolios of the Merrimac Master Portfolio which entitled the Portfolios to vote, held a shareholder meeting during the period from July 1, 2003 to June 30, 2004. ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEMS 8. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEMS 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 10. CONTROLS AND PROCEDURES. (a) The Registrant's Principal Executive Officer and Principal Financial Officer concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report, based upon their evaluation of the effectiveness of the Registrant's disclosure controls and procedures as of the Evaluation Date. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (a)(1) Not applicable. (a)(2) Separate certifications for the Registrant's of Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT. (b) Certifications for the Registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b), under the Investment Company Act of 1940 are attached here to as Exhibit 99.906CERT. These certifications are being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. section 1350 and are not being filed as part of the Form N-CSR with the Commission. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Merrimac Funds -------------------------------------- /s/ Paul J. Jasinski By: ---------------------------------- Paul J. Jasinski, President and Principal Executive Officer Date August 30, 2004 -------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. /s/ Paul J. Jasinski By: ----------------------------------------- Paul J. Jasinski, President and Principal Executive Officer Date August 30, 2004 -------------------- /s/ John F. Pyne By: ---------------------------------------------------------- John F. Pyne, Treasurer and Principal Financial Officer Date August 30, 2004 -------------------- EX-99.CERT 2 ex99_cert.txt CERTIFICATION EX-99.CERT N-CSR EXHIBIT FOR ITEM 10(A)(1): SECTION 302 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002: I, Paul J. Jasinski, certify that: 1. I have reviewed this report on Form N-CSR of Merrimac Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 30, 2004 /S/ Paul J. Jasinski ---------------- ------------------------------- Paul J. Jasinski, President and Principal Executive Officer ADDITIONAL EX-99.CERT N-CSR EXHIBIT FOR ITEM 10(A)(1): SECTION 302 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002: I, John F. Pyne, certify that: 1. I have reviewed this report on Form N-CSR of Merrimac Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4 The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: August 30, 2004 /S/ John F. Pyne ---------------- ---------------------------- John F. Pyne, Treasurer and Principal Financial Officer EX-99.906 CERT 3 ex99-906_cert.txt 906 CERTIFICATION EX-99.906 CERT N-CSR EXHIBIT FOR ITEM 10(B): SECTION 906 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Certified Shareholder Report of the Merrimac Funds (the "Registrant") on Form N-CSR for the period ending June 30, 2004, as filed with the Securities and Exchange Commission on the date hereof ("the Report"), the undersigned hereby certifies that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: August 30, 2004 /S/ Paul J. Jasinski --------------- ------------------------------- Paul J. Jasinski, President and Principal Executive Officer This certification is being furnished to the Commission solely pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. ss. 1350 and is not being filed as part of the Form N-CSR with the Commission. ADDITIONAL EX-99.906 CERT N-CSR EXHIBIT FOR ITEM 10(B): SECTION 906 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Certified Shareholder Report of the Merrimac Funds (the "Registrant") on Form N-CSR for the period ending June 30, 2004, as filed with the Securities and Exchange Commission on the date hereof ("the Report"), the undersigned hereby certifies that: 1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: August 30, 2004 /S/ John F. Pyne ---------------- ---------------------------- John F. Pyne, Treasurer and Principal Financial Officer This certification is being furnished to the Commission solely pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. ss. 1350 and is not being filed as part of the Form N-CSR with the Commission. -----END PRIVACY-ENHANCED MESSAGE-----