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 811-06687
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The Gabelli Money Market Funds
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(Exact name of registrant as specified in charter)
One Corporate Center
Rye, New York 10580-1422
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(Address of principal executive offices) (Zip code)
Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
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(Name and address of agent for service)
registrant's telephone number, including area code: 1-800-422-3554
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Date of fiscal year end: September 30
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Date of reporting period: September 30, 2007
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
THE GABELLI U.S. TREASURY MONEY MARKET FUND
ANNUAL REPORT
SEPTEMBER 30, 2007
TO OUR SHAREHOLDERS,
The Sarbanes-Oxley Act's corporate governance regulations require a Fund's
principal executive and financial officers to certify the entire contents of the
semi-annual and annual shareholder reports in a filing with the Securities and
Exchange Commission (the "SEC") on Form N-CSR. This certification covers the
portfolio manager's commentary and subjective opinions if they are attached to
or a part of the financial statements.
Rather than ask our portfolio managers to eliminate their opinions and/or
restrict their commentary to historical facts only, we separated their
commentary from the financial statements and investment portfolio and sent it
separately. We will continue to mail the portfolio manager's commentary
separately from the investment portfolio to ensure that its content is complete
and unrestricted. Both the commentary and the financial statements, including
the portfolio of investments, are also available on our website at
www.gabelli.com/funds.
Sincerely yours,
/s/ Bruce N. Alpert
Bruce N. Alpert
Chief Operating Officer
November 15, 2007 Gabelli Funds, LLC
PORTFOLIO HOLDINGS
THE FUND FILES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS WITH THE SEC FOR THE
FIRST AND THIRD QUARTERS OF EACH FISCAL YEAR ON FORM N-Q, THE LAST OF WHICH WAS
FILED FOR THE QUARTER ENDED JUNE 30, 2007. SHAREHOLDERS MAY OBTAIN THIS
INFORMATION AT WWW.GABELLI.COM OR BY CALLING THE FUND AT 800-GABELLI
(800-422-3554). THE FUND'S FORM N-Q IS AVAILABLE ON THE SEC'S WEBSITE AT
WWW.SEC.GOV AND MAY ALSO BE REVIEWED AND COPIED AT THE SEC'S PUBLIC REFERENCE
ROOM IN WASHINGTON, DC. INFORMATION ON THE OPERATION OF THE PUBLIC REFERENCE
ROOM MAY BE OBTAINED BY CALLING 1-800-SEC-0330.
PROXY VOTING
THE FUND FILES FORM N-PX WITH ITS COMPLETE PROXY VOTING RECORD FOR THE 12 MONTHS
ENDED JUNE 30TH, NO LATER THAN AUGUST 31ST OF EACH YEAR. A DESCRIPTION OF THE
FUND'S PROXY VOTING POLICIES, PROCEDURES, AND HOW THE FUND VOTED PROXIES
RELATING TO PORTFOLIO SECURITIES IS AVAILABLE WITHOUT CHARGE, UPON REQUEST, BY
(I) CALLING 800-GABELLI (800-422-3554); (II) WRITING TO THE GABELLI FUNDS AT ONE
CORPORATE CENTER, RYE, NY 10580-1422; OR (III) VISITING THE SEC'S WEBSITE AT
WWW.SEC.GOV.
THE GABELLI U.S. TREASURY MONEY MARKET FUND
DISCLOSURE OF FUND EXPENSES (UNAUDITED)
For the Six Month Period from April 1, 2007 through September 30, 2007
EXPENSE TABLE
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We believe it is important for you to understand the impact of fees and expenses
regarding your investment. All mutual funds have operating expenses. As a
shareholder of a fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund's
gross income, directly reduce the investment return of a fund. When a fund's
expenses are expressed as a percentage of its average net assets, this figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The Expense Table below illustrates your Fund's costs in two ways:
ACTUAL FUND RETURN: This section provides information about actual account
values and actual expenses. You may use this section to help you to estimate the
actual expenses that you paid over the period after any fee waivers and expense
reimbursements. The "Ending Account Value" shown is derived from the Fund's
ACTUAL return during the past six months, and the "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who started
with $1,000 in the Fund.You may use this information, together with the amount
you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your Fund under the heading "Expenses Paid During Period" to estimate
the expenses you paid during this period.
HYPOTHETICAL 5% RETURN: This section provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio. It assumes a hypothetical annualized return of 5% before expenses during
the period shown. In this case - because the hypothetical return used is NOT the
Fund's actual return - the results do not apply to your investment and you
cannot use the hypothetical account value and expense to estimate the actual
ending account balance or expenses you paid for the period. This example is
useful in making comparisons of the ongoing costs of investing in the Fund and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as sales
charges (loads), redemption fees, or exchange fees, if any, which would be
described in the Prospectus. If these costs were applied to your account, your
costs would be higher. Therefore, the 5% hypothetical return is useful in
comparing ongoing costs only, and will not help you determine the relative total
costs of owning different funds. The "Annualized Expense Ratio" represents the
actual expenses for the last six months and may be different from the expense
ratio in the Financial Highlights which is for the year ended September 30,
2007.
Beginning Ending Annualized Expenses
Account Value Account Value Expense Paid During
04/01/07 09/30/07 Ratio Period*
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ACTUAL FUND RETURN
Gabelli U.S. Treasury Money
Market Fund $1,000.00 $1,024.40 0.09% $0.45
HYPOTHETICAL 5% RETURN
Gabelli U.S. Treasury Money
Market Fund $1,000.00 $1,024.48 0.09% $0.45
* Expenses are equal to the Fund's annualized expense ratio for the last six
months multiplied by the average account value over the period, multiplied
by the number of days in the most recent fiscal half-year, then divided by
365.
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SUMMARY OF PORTFOLIO HOLDINGS (UNAUDITED)
The following table presents portfolio holdings as a percent of total net assets
as of September 30, 2007:
U.S. TREASURY MONEY MARKET FUND
U.S. Treasury Bills .................................................. 85.3%
U.S. Treasury Notes .................................................. 14.6%
Other Assets and Liabilities (Net) ................................... 0.1%
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Net Assets ........................................................... 100.0%
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2
THE GABELLI U.S. TREASURY MONEY MARKET FUND
STATEMENT OF NET ASSETS -- SEPTEMBER 30, 2007
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PRINCIPAL MARKET
AMOUNT VALUE
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U.S. GOVERNMENT OBLIGATIONS -- 99.9%
U.S. TREASURY BILLS -- 85.3%
$ 892,285,000 U.S. Treasury Bills, 3.324% to 4.541%++, 10/04/07 to 03/27/08 .. $ 885,441,132
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U.S. TREASURY NOTES -- 14.6%
49,552,000 3.000%, 02/15/08 ............................................ 49,181,233
48,000,000 3.375%, 02/15/08 ............................................ 47,752,411
55,000,000 4.625%, 03/31/08 ............................................ 54,989,454
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151,923,098
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TOTAL U.S. GOVERNMENT OBLIGATIONS .............................. 1,037,364,230
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TOTAL INVESTMENTS (Cost $1,037,364,230) ........................................ 99.9% 1,037,364,230
PAYABLE TO MANAGER ............................................................. (0.0) (87,987)
DIVIDENDS PAYABLE .............................................................. (0.1) (468,648)
OTHER ASSETS AND LIABILITIES (NET) ............................................. 0.2 2,439,621
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NET ASSETS
(applicable to 1,039,246,610 shares outstanding, unlimited number
of shares authorized) ....................................................... 100.0% $1,039,247,216
===== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
($1,039,247,216 / 1,039,246,610 shares outstanding) ......................... $1.00
=====
NET ASSETS CONSIST OF:
Paid-in-capital, at $0.001 par value ........................................ $1,039,247,216
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TOTAL NET ASSETS ............................................................... $1,039,247,216
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++ Represents annualized yield at date of purchase.
FINANCIAL HIGHLIGHTS
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Selected data for a share of beneficial interest outstanding throughout each
period:
YEAR ENDED SEPTEMBER 30,
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2007 2006 2005 2004 2003
----------- --------- ---------- --------- -----------
OPERATING PERFORMANCE:
Net asset value, beginning of period ................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
----------- --------- ---------- --------- -----------
Net investment income (a) .............................. 0.0483 0.0426 0.0212 0.0073 0.0095
Net realized gain on investments ....................... 0.0002 0.0000(c) 0.0002 0.0001 0.0002
----------- --------- ---------- --------- -----------
Total from investment operations ....................... 0.0485 0.0426 0.0214 0.0074 0.0097
----------- --------- ---------- --------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income .................................. (0.0483) (0.0426) (0.0212) (0.0073) (0.0095)
Net realized gain on investments ....................... (0.0002) (0.0000)(c) (0.0002) (0.0001) (0.0002)
----------- --------- ---------- --------- -----------
Total distributions .................................... (0.0485) (0.0426) (0.0214) (0.0074) (0.0097)
----------- --------- ---------- --------- -----------
NET ASSET VALUE, END OF PERIOD ............................ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
=========== ========= ========== ========= ===========
Total return+ .......................................... 5.01% 4.33% 2.22% 0.75% 0.98%
=========== ========= ========== ========= ===========
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ................... $ 1,039,247 $ 673,889 $ 778,298 $ 925,728 $ 1,030,710
Ratio of net investment income to average net assets ... 4.83% 4.26% 2.12% 0.73% 0.95%
Ratio of operating expenses to average net assets (b).. 0.08%(d) 0.12%(d) 0.30% 0.30% 0.30%
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+ Total return represents aggregate total return of a hypothetical $1,000
investment at the beginning of the period and sold at the end of the
period including reinvestment of distributions.
(a) Net investment income per share before fees waived by the Manager for the
fiscal years ended September 30, 2007, 2006, 2005, 2004, and 2003 was
$0.0456, $0.0402, $0.0207, $0.0081, and $0.0067, respectively.
(b) Operating expense ratios before fees waived by the Manager for the fiscal
years ended September 30, 2007, 2006, 2005, 2004, and 2003 were 0.35%,
0.36%, 0.35%, 0.36%, and 0.36%, respectively.
(c) Amount represents less than $0.00005 per share.
(d) The Fund incurred interest expense during the fiscal years ended September
30, 2007 and 2006. If interest expense had not been incurred, the ratio of
operating expenses to average net assets would have been 0.08% and 0.11%,
respectively.
See accompanying notes to financial statements.
3
THE GABELLI U.S. TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS -- YEAR ENDED SEPTEMBER 30, 2007
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INVESTMENT INCOME:
Interest ......................................................................................... $ 34,356,939
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EXPENSES:
Management fees .................................................................................. 2,094,335
Shareholder services fees ........................................................................ 98,679
Custodian fees ................................................................................... 77,196
Legal and audit fees ............................................................................. 53,432
Shareholder communications expenses .............................................................. 41,578
Trustees' fees ................................................................................... 21,983
Interest expense ................................................................................. 21,060
Registration expenses ............................................................................ 11,857
Miscellaneous expenses ........................................................................... 48,456
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TOTAL EXPENSES ................................................................................... 2,468,576
Less:
Fees waived by Manager ........................................................................ (1,888,988)
Custodian fee credits ......................................................................... (39)
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NET EXPENSES ........................................................................................ 579,549
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NET INVESTMENT INCOME ............................................................................... 33,777,390
NET REALIZED GAIN ON INVESTMENTS .................................................................... 128,853
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NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................................ $ 33,906,243
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STATEMENT OF CHANGES IN NET ASSETS
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YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2007 SEPTEMBER 30, 2006
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OPERATIONS:
Net investment income .................................................. $ 33,777,390 $ 33,613,769
Net realized gain on investments ....................................... 128,853 29,374
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NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................... 33,906,243 33,643,143
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DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income .................................................. (33,777,390) (33,613,769)
Net realized short-term gain on investments ............................ (128,853) (29,374)
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TOTAL DISTRIBUTIONS TO SHAREHOLDERS .................................... (33,906,243) (33,643,143)
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CAPITAL SHARE TRANSACTIONS ($1.00 PER SHARE):
Proceeds from shares issued ............................................ 2,604,974,772 2,549,256,684
Proceeds from reinvestment of distributions ............................ 33,612,202 33,120,607
Cost of shares redeemed ................................................ (2,273,228,981) (2,686,786,071)
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Net increase (decrease) in net assets from capital share transactions... 365,357,993 (104,408,780)
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NET INCREASE (DECREASE) IN NET ASSETS .................................. 365,357,993 (104,408,780)
NET ASSETS:
Beginning of period .................................................... 673,889,223 778,298,003
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End of period .......................................................... $ 1,039,247,216 $ 673,889,223
================ ================
See accompanying notes to financial statements.
4
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
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1. ORGANIZATION. The Gabelli U.S. Treasury Money Market Fund (the "Fund"), a
series of The Gabelli Money Market Funds (the "Trust"), was organized on May 21,
1992 as a Delaware statutory trust. The Fund is a diversified open-end
management investment company registered under the Investment Company Act of
1940, as amended (the "1940 Act"). The Fund's primary objective is high current
income consistent with the preservation of principal and liquidity. The Fund
commenced investment operations on October 1, 1992.
2. SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial statements in
accordance with United States ("U.S.") generally accepted accounting principles
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. The following is a summary of significant accounting
policies followed by the Fund in the preparation of its financial statements.
SECURITY VALUATION. Investments are valued at amortized cost, which approximates
market value, in accordance with Rule 2a-7 under the 1940 Act. Amortized cost
involves valuing a portfolio security at cost.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME. Securities transactions are
accounted for on the trade date with realized gain or loss on investments
determined by using the identified cost method. Interest income (including
amortization of premium and accretion of discount) is recorded on the accrual
basis. Any discount or premium is amortized on a constant basis to the maturity
of the securities.
CUSTODIAN FEE CREDITS AND INTEREST EXPENSE. When cash balances are maintained in
the custody account, the Fund receives credits which are used to offset
custodian fees. The gross expenses paid under the custody arrangement are
included in custodian fees in the Statement of Operations with the corresponding
expense offset, if any, shown as "custodian fee credits." When cash balances are
overdrawn, the Fund is charged an overdraft fee equal to 2.00% above the federal
funds rate on outstanding balances. This amount, if any, would be shown as
"interest expense" in the Statement of Operations.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions from investment income (including
net short-term realized capital gains) are declared daily and paid monthly.
Distributions from net long-term capital gains, if any, are paid annually.
For the fiscal years ended September 30, 2007 and 2006, the tax character of
distributions is all ordinary income.
PROVISION FOR INCOME TAXES. The Fund intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code of
1986, as amended (the "Code"). It is the policy of the Fund to comply with the
requirements of the Code applicable to regulated investment companies and to
distribute substantially all of its net investment company taxable income and
net capital gains. Therefore, no provision for federal income taxes is required.
As of September 30, 2007, the components of accumulated earnings/(losses) on a
tax basis were as follows:
Undistributed ordinary income
(inclusive of short-term capital gains) ............. $ 544,196
Distributions payable .................................. (468,648)
Unrealized depreciation on investments ................. (75,548)
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Total accumulated earnings/(losses) .................... $ --
==========
5
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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At September 30, 2007, the difference between book and tax basis undistributed
ordinary income and unrealized depreciation is primarily due to the deferral of
losses on wash sales.
The following summarizes the tax cost of investments and the related unrealized
appreciation/depreciation at September 30, 2007:
GROSS GROSS
UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION DEPRECIATION
--------------- ------------ ------------ --------------
Investments ............ $1,037,439,778 $-- $(75,548) $(75,548)
FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes, an
Interpretation of FASB Statement No. 109" (the "Interpretation") established a
minimum threshold for financial statement recognition of the benefit of
positions taken in filing tax returns (including whether the Fund is taxable in
a particular jurisdiction) and required certain expanded tax disclosures. The
Fund has adopted the Interpretation for all open tax years and it had no impact
on the amounts reported in the financial statements.
3. LINE OF CREDIT. Effective June 20, 2007, the Fund participates in an
unsecured line of credit of up to $75,000,000, and may borrow up to 10% of its
net assets from the custodian for temporary borrowing purposes. Borrowings under
this arrangement bear interest at 0.75% above the federal funds rate on
outstanding balances. This amount, if any, is shown as "interest expense" in the
Statement of Operations. At September 30, 2007, there were no borrowings
outstanding under the line of credit.
4. AGREEMENTS WITH AFFILIATED PARTIES. The Trust has entered into a management
agreement (the "Management Agreement") with Gabelli Funds, LLC (the "Manager"),
which provides that the Trust will pay the Manager a fee, computed daily and
paid monthly, at the annual rate of 0.30% of the value of the Fund's average
daily net assets. In accordance with the Management Agreement, the Manager
provides a continuous investment program for the Fund's portfolio, oversees the
administration of all aspects of the Fund's business and affairs, and pays the
compensation of all Officers and Trustees of the Fund who are affiliated persons
of the Manager. To the extent necessary, the Manager has contractually
undertaken to assume certain expenses of the Trust so that the total expenses do
not exceed 0.30% of the Fund's average daily net assets. The contractual
arrangement is renewable annually by the Manager. Additionally, pursuant to a
written agreement, the Manager has contractually agreed to further limit
expenses to 0.08% of the Fund's average daily net assets (excluding interest,
taxes, and extraordinary expenses), through September 30, 2008.
The Fund pays each Trustee that is not considered to be an affiliated person an
annual retainer of $3,000 plus $500 for each Board meeting attended and they are
reimbursed for any out of pocket expenses incurred in attending meetings. All
Board committee members receive $500 per meeting attended. Trustees who are
directors or employees of the Manager or an affiliated company receive no
compensation or expense reimbursement from the Fund.
5. TRANSACTIONS WITH AFFILIATES. During the fiscal year ended September 30,
2007, Gabelli & Company, Inc. informed the Fund that it received $70 from
investors representing commissions on redemptions of Fund shares which had been
exchanged from another fund with a contingent deferred sales charge.
6. SIGNIFICANT SHAREHOLDER. As of September 30, 2007, 24.2% of the Fund was held
by the Adviser and its affiliates.
6
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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7. INDEMNIFICATIONS. The Fund enters into contracts that contain a variety of
indemnifications. The Fund's maximum exposure under these arrangements is
unknown. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
8. OTHER MATTERS. The Manager and/or affiliates received subpoenas from the
Attorney General of the State of New York and the SEC requesting information on
mutual fund share trading practices involving certain funds managed by the
Manager. GAMCO Investors, Inc. ("GAMCO"), the Manager's parent company,
responded to these requests for documents and testimony. In June 2006, GAMCO
began discussions with the SEC regarding a possible resolution of their inquiry.
In February 2007, the Manager made an offer of settlement to the staff of the
SEC for communication to the Commission for its consideration to resolve this
matter. This offer of settlement is subject to agreement regarding the specific
language of the SEC's administrative order and other settlement documents. On a
separate matter, in September 2005, the Manager was informed by the staff of the
SEC that the staff may recommend to the Commission that an administrative remedy
and a monetary penalty be sought from the Manager in connection with the actions
of two of nine closed-end funds managed by the Manager relating to Section 19(a)
and Rule 19a-1 of the 1940 Act. These provisions require registered investment
companies to provide written statements to shareholders when a dividend is made
from a source other than net investment income. While the two closed-end funds
sent annual statements and provided other materials containing this information,
the funds did not send written statements to shareholders with each distribution
in 2002 and 2003. The Manager believes that all of the funds are now in
compliance. The Manager believes that these matters would have no effect on the
Fund or any material adverse effect on the Manager or its ability to manage the
Fund.
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2007 TAX NOTICE TO SHAREHOLDERS (Unaudited)
For the fiscal year ended September 30, 2007, the Fund designates 100% of the
ordinary income distribution as qualified interest income and as qualified
short-term capital gain, pursuant to the American Jobs Creation Act of 2004.
U.S. GOVERNMENT INCOME:
The percentage of the ordinary income dividend paid by the Fund during the
period from October 1, 2006 through September 30, 2007, which was derived from
U.S. Treasury securities, was 100%. Such income is exempt from state and local
tax in all states. Due to the diversity in state and local tax law, it is
recommended that you consult your personal tax adviser as to the applicability
of this information to your specific situation.
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7
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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To the Shareholders and Board of Trustees of
The Gabelli U.S. Treasury Money Market Fund
We have audited the accompanying statement of net assets of The Gabelli U.S.
Treasury Money Market Fund (the "Fund"), a series of The Gabelli Money Market
Funds as of September 30, 2007, and the related statement of operations for the
year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
five years in the period then ended. These financial statements and financial
highlights are the responsibility of the Fund'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 the standards of the Public Company
Accounting Oversight Board (United States). 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. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of September 30, 2007, by correspondence with the custodian
and brokers. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Gabelli U.S. Treasury Money Market Fund, a series of The Gabelli Money Market
Funds, at September 30, 2007, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended, and its financial highlights for each of the five years in the
period then ended, in conformity with U.S. generally accepted accounting
principles.
/s/ Ernst & Young LLP
Philadelphia, Pennsylvania
November 19, 2007
8
THE GABELLI U.S. TREASURY MONEY MARKET FUND
ADDITIONAL FUND INFORMATION (UNAUDITED)
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The business and affairs of the Fund are managed under the direction of the
Fund's Board of Trustees. Information pertaining to the Trustees and officers of
the Fund is set forth below. The Fund's Statement of Additional Information
includes additional information about the Fund's Trustees and is available,
without charge, upon request, by calling 800-GABELLI (800-422-3554) or by
writing to The Gabelli Money Market Funds at One Corporate Center, Rye, NY
10580-1422.
TERM OF NUMBER OF
NAME, POSITION(S) OFFICE AND FUNDS IN FUND
ADDRESS 1 LENGTH OF COMPLEX OVERSEEN PRINCIPAL OCCUPATION(S) OTHER DIRECTORSHIPS
AND AGE TIME SERVED 2 BY TRUSTEE DURING PAST FIVE YEARS HELD BY TRUSTEE 3
- --------------------- -------------- ---------------- ------------------------------------ --------------------------
INTERESTED TRUSTEES 4:
MARIO J. GABELLI Since 1992 26 Chairman and Chief Executive Officer Director of Morgan Group
Trustee and of GAMCO Investors, Inc. and Chief Holdings, Inc. (holding
Chief Investment Officer Investment Officer-Value Portfolios company); Chairman of the
Age: 65 of Gabelli Funds, LLC and GAMCO Board of LICT Corp.
Asset Management Inc.; Director/ (multimedia and
Trustee or Chief Investment Officer communication services
of other registered investment company)
companies in the Gabelli/GAMCO Funds
complex; Chairman and Chief
Executive Officer of GGCP, Inc.
INDEPENDENT TRUSTEES 5:
ANTHONY J. COLAVITA Since 1992 35 Partner in the law firm of --
Trustee Anthony J. Colavita, P.C.
Age: 71
VINCENT D. ENRIGHT Since 1992 15 Former Senior Vice President and --
Trustee Chief Financial Officer of KeySpan
Age: 63 Corporation (public utility)
ROBERT C. KOLODNY, MD Since 2006 2 Physician, author, and lecturer --
Trustee (self-employed) since 1983; General
Age: 63 Partner of KBS Partnership, KBS II
Investment Partnership, KBS III
Investment Partnership, KBS IV
Limited Partnership, KBS New
Dimensions, L.P., KBS Global
Opportunities, L.P. and KBS VII
Limited Partnership (private
investment partnerships) since 1981;
Medical Director and Chairman of the
Board of the Behavioral Medicine
Institute since 1983
ANTHONIE C. VAN EKRIS Since 1992 19 Chairman of BALMAC International, Inc. --
Trustee (commodities and futures trading)
Age: 73
9
THE GABELLI U.S. TREASURY MONEY MARKET FUND
ADDITIONAL FUND INFORMATION (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
TERM OF
NAME, POSITION(S) OFFICE AND
ADDRESS 1 LENGTH OF PRINCIPAL OCCUPATION(S)
AND AGE TIME SERVED 2 DURING PAST FIVE YEARS
- -------------------- -------------- -----------------------
OFFICERS:
BRUCE N. ALPERT Since 1992 Executive Vice President and Chief Operating Officer of Gabelli Funds, LLC
President since 1988 and an officer of all of the registered investment companies
Age: 55 in the Gabelli/GAMCO Funds complex; Director and President of Gabelli
Advisers, Inc. since 1998
RONALD S. EAKER Since 1992 Senior Portfolio Manager of Gabelli Fixed Income LLC and its predecessors
Vice President since 1987
Age: 46
JUDITH RANERI Since 1997 Portfolio Manager of Gabelli Funds LLC since April 1997; Former Senior Portfolio
Vice President Manager, Secretary and Treasurer of The Treasurer's Fund, Inc. and a member
and Portfolio Manager of its Investment and Credit Review Committees
Age: 39
AGNES MULLADY Since 2006 Vice President of Gabelli Funds LLC since 2007; Officer of all of the registered
Treasurer investment companies in the Gabelli/GAMCO Funds complex; Senior Vice President
Age: 49 of U.S. Trust Company, N.A. and Treasurer and Chief Financial Officer of Excelsior
Funds from 2004 through 2005; Chief Financial Officer of AMIC Distribution Partners
from 2002 through 2004; Controller of Reserve Management Corporation and Reserve
Partners, Inc. and Treasurer of Reserve Funds from 2000 through 2002
JAMES E. MCKEE Since 1995 Vice President, General Counsel, and Secretary of GAMCO Investors, Inc.
Secretary since 1999 and GAMCO Asset Management Inc. since 1993; Secretary of all of the
Age: 44 registered investment companies in the Gabelli/GAMCO Funds complex
PETER D. GOLDSTEIN Since 2004 Director of Regulatory Affairs at GAMCO Investors, Inc. since 2004; Chief Compliance
Chief Compliance Officer Officer of all of the registered investment companies in the Gabelli/GAMCO Funds
Age: 54 complex; Vice President of Goldman Sachs Asset Management from 2000 through 2004
- ----------
1 Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.
2 Each Trustee will hold office for an indefinite term until the earliest of
(i) the next meeting of shareholders, if any, called for the purpose of
considering the election or re-election of such Trustee and until the
election and qualification of his or her successor, if any, elected at
such meeting, or (ii) the date a Trustee resigns or retires, or a Trustee
is removed by the Board of Trustees or shareholders, in accordance with
the Trust's Amended and Restated By Laws and Agreement and Declaration of
Trust. Each officer will hold office for an indefinite term until the date
he or she resigns or retires or until his or her successor is elected and
qualified.
3 This column includes only directorships of companies required to report to
the SEC under the Securities Exchange Act of 1934 (i.e., public companies)
or other investment companies registered under the 1940 Act.
4 "Interested person" of the Fund as defined in the Investment Company Act
of 1940. Mr. Gabelli is considered an "interested person" because of his
affiliation with Gabelli Funds, LLC which acts as the Fund's investment
adviser.
5 Trustees who are not interested persons are considered "Independent"
Trustees.
10
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[PHOTO OMITTED]
THE
GABELLI
U.S. TREASURY
MONEY MARKET
FUND
ANNUAL REPORT
SEPTEMBER 30, 2007
THE GABELLI U.S. TREASURY
MONEY MARKET FUND
One Corporate Center
Rye, New York 10580-1422
800-GABELLI
800-422-3554
FAX: 914-921-5118
WEBSITE: WWW.GABELLI.COM
E-MAIL: INFO@GABELLI.COM
Current Yield available daily by calling
800-GABELLI after 6:00 P.M.
BOARD OF TRUSTEES
Mario J. Gabelli, CFA
CHAIRMAN AND CHIEF
EXECUTIVE OFFICER
GAMCO INVESTORS, INC.
Anthony J. Colavita
ATTORNEY-AT-LAW
ANTHONY J. COLAVITA, P.C.
Vincent D. Enright
FORMER SENIOR VICE PRESIDENT
AND CHIEF FINANCIAL OFFICER
KEYSPAN CORP.
Robert C. Kolodny, MD
PHYSICIAN, AUTHOR AND LECTURER,
GENERAL PARTNER OF
KBS PARTNERSHIP
Anthonie C. van Ekris
CHAIRMAN
BALMAC INTERNATIONAL, INC.
OFFICERS
Bruce N. Alpert
PRESIDENT
James E. McKee
SECRETARY
Agnes Mullady
TREASURER
Judith A. Raneri
VICE PRESIDENT
AND PORTFOLIO MANAGER
Peter D. Goldstein
CHIEF COMPLIANCE OFFICER
Ronald S. Eaker
VICE PRESIDENT
DISTRIBUTOR
Gabelli & Company, Inc.
CUSTODIAN, TRANSFER AGENT, AND DIVIDEND AGENT
State Street Bank and Trust Company
LEGAL COUNSEL
Paul, Hastings, Janofsky & Walker LLP
- --------------------------------------------------------------------------------
This report is submitted for the general information of the shareholders of The
Gabelli U.S. Treasury Money Market Fund. It is not authorized for distribution
to prospective investors unless preceded or accompanied by an effective
prospectus.
- --------------------------------------------------------------------------------
GAB404Q307SR
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party.
(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, and that relates to any element of
the code of ethics description.
(d) The registrant has not granted any waivers, including an implicit
waiver, from a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, that relates to one or more of the
items set forth in paragraph (b) of this item's instructions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
directors has determined that Vincent D. Enright is qualified to serve as an
audit committee financial expert serving on its audit committee and that he is
"independent."
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES
(a) The aggregate fees billed for each of the last two fiscal years for
professional services rendered by the principal accountant for the
audit of the registrant's annual financial statements or services that
are normally provided by the accountant in connection with statutory
and regulatory filings or engagements for those fiscal years are
$32,300 for 2007 and $30,800 for 2006.
AUDIT-RELATED FEES
(b) The aggregate fees billed in each of the last two fiscal years for
assurance and related services by the principal accountant that are
reasonably related to the performance of the audit of the registrant's
financial statements and are not reported under paragraph (a) of this
Item are $0 for 2007 and $0 for 2006.
TAX FEES
(c) The aggregate fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are $0 for 2007 and $3,900 for
2006. Tax fees represent tax compliance services provided in connection
with the review of the Registrant's tax returns.
ALL OTHER FEES
(d) The aggregate fees billed in each of the last two fiscal years for
products and services provided by the principal accountant, other than
the services reported in paragraphs (a) through (c) of this Item are $0
for 2007 and $0 for 2006.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pre-Approval Policies and Procedures. The Audit Committee ("Committee")
of the registrant is responsible for pre-approving (i) all audit and
permissible non-audit services to be provided by the independent
registered public accounting firm to the registrant and (ii) all
permissible non-audit services to be provided by the independent
registered public accounting firm to the Adviser, Gabelli Funds, LLC,
and any affiliate of Gabelli Funds, LLC ("Gabelli") that provides
services to the registrant (a "Covered Services Provider") if the
independent registered public accounting firm's engagement related
directly to the operations and financial reporting of the registrant.
The Committee may delegate its responsibility to pre-approve any such
audit and permissible non-audit services to the Chairperson of the
Committee, and the Chairperson must report to the Committee, at its
next regularly scheduled meeting after the Chairperson's pre-approval
of such services, his or her decision(s). The Committee may also
establish detailed pre-approval policies and procedures for
pre-approval of such services in accordance with applicable laws,
including the delegation of some or all of the Committee's pre-approval
responsibilities to the other persons (other than Gabelli or the
registrant's officers). Pre-approval by the Committee of any
permissible non-audit services is not required so long as: (i) the
permissible non-audit services were not recognized by the registrant at
the time of the engagement to be non-audit services; and (ii) such
services are promptly brought to the attention of the Committee and
approved by the Committee or Chairperson prior to the completion of the
audit.
(e)(2) The percentage of services described in each of paragraphs (b) through
(d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) Not applicable
(c) 100%
(d) Not applicable
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most
recent fiscal year that were attributed to work performed by persons
other than the principal accountant's full-time, permanent employees
was zero percent (0%).
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by
another investment adviser), and any entity controlling, controlled by,
or under common control with the adviser that provides ongoing services
to the registrant for each of the last two fiscal years of the
registrant was $65,000 for 2007 and $141,950 for 2006.
(h) The registrant's audit committee of the board of directors has
considered whether the provision of non-audit services that were
rendered to the registrant's investment adviser (not including any
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(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 second fiscal
quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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.
(registrant) The Gabelli Money Market Funds
--------------------------------------------------------------------
By (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer
Date 11/30/07
----------------------------------------------------------------------------
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.
By (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer
Date 11/30/07
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Agnes Mullady
-------------------------------------------------------
Agnes Mullady,
Principal Financial Officer and Treasurer
Date 11/30/07
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.