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
The Gabelli Money Market Funds
(Exact name of registrant as specified in charter)
One Corporate Center
Rye, New York 10580-1422
(Address of principal executive offices) (Zip code)
Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
(Name and address of agent for service)
registrant's telephone number, including area code: 1-800-422-3554
Date of fiscal year end: September 30
Date of reporting period: September 30, 2008
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, 2008
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
Gabelli Funds, LLC
November 21, 2008
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, 2008. 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, 2008 through September 30, 2008
EXPENSE TABLE
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,
2008.
Beginning Ending Annualized Expenses
Account Value Account Value Expense Paid During
04/01/08 09/30/08 Ratio Period*
------------- ------------- ---------- -----------
ACTUAL FUND RETURN
Gabelli U.S. Treasury Money Market Fund $1,000.00 $1,009.40 0.08% $0.40
HYPOTHETICAL 5% RETURN
Gabelli U.S. Treasury Money Market Fund $1,000.00 $1,024.60 0.08% $0.40
* 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
366.
SUMMARY OF PORTFOLIO HOLDINGS (UNAUDITED)
The following table presents portfolio holdings as a percent of net assets as of
September 30, 2008:
U.S. TREASURY MONEY MARKET FUND
U.S. Treasury Bills .................. 91.9%
U.S. Treasury Notes .................. 14.0%
Other Assets and Liabilities (Net) ... (5.9)%
-----
Net Assets ........................... 100.0%
=====
2
THE GABELLI U.S. TREASURY MONEY MARKET FUND
STATEMENT OF NET ASSETS -- SEPTEMBER 30, 2008
PRINCIPAL MARKET
AMOUNT VALUE
- ------------ --------------
U.S. GOVERNMENT OBLIGATIONS -- 105.9%
U.S. TREASURY BILLS -- 91.9%
$932,442,000 U.S. Treasury Bills, 0.020% to 2.411%++, 10/02/08 to 03/12/09.................. $ 929,135,529
--------------
U.S. TREASURY NOTES -- 14.0%
86,343,000 4.750%, 12/31/08............................................................... 87,159,414
5,000,000 3.250%, 01/15/09............................................................... 5,021,505
25,000,000 4.500%, 03/31/09............................................................... 25,326,272
23,624,000 4.500%, 04/30/09............................................................... 24,048,665
--------------
141,555,856
--------------
TOTAL U.S. GOVERNMENT OBLIGATIONS.............................................. 1,070,691,385
--------------
TOTAL INVESTMENTS (Cost $1,070,691,385)....................................................... 105.9% 1,070,691,385
PAYABLE TO MANAGER............................................................................ (0.0) (9,740)
DISTRIBUTIONS PAYABLE......................................................................... (0.0) (182,997)
PAYABLE FOR INVESTMENTS PURCHASED............................................................. (9.2) (93,312,511)
OTHER ASSETS AND LIABILITIES (NET)............................................................ 3.3 33,611,572
----- --------------
NET ASSETS
(applicable to 1,010,797,057 shares outstanding, unlimited number of shares authorized).... 100.0% $1,010,797,709
===== ==============
NET ASSET VALUE, OFFERING, AND REDEMPTION PRICE PER SHARE
($1,010,797,709 / 1,010,797,057 shares outstanding)........................................ $ 1.00
==============
NET ASSETS CONSIST OF:
Paid-in-capital, at $0.001 par value....................................................... $1,010,797,709
--------------
TOTAL NET ASSETS.............................................................................. $1,010,797,709
==============
- ----------
++ Represents annualized yield at date of purchase.
FINANCIAL HIGHLIGHTS
Selected data for a share of beneficial interest outstanding throughout each
period:
YEAR ENDED SEPTEMBER 30,
--------------------------------------------------------------
2008 2007 2006 2005 2004
---------- ---------- -------- -------- --------
Net asset value, beginning of period .................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- -------- -------- --------
OPERATING PERFORMANCE:
Net investment income (a) ............................... 0.0257 0.0483 0.0426 0.0212 0.0073
Net realized gain on investments ........................ 0.0015 0.0002 0.0000(d) 0.0002 0.0001
---------- ---------- -------- -------- --------
Total from investment operations ........................ 0.0272 0.0485 0.0426 0.0214 0.0074
---------- ---------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income ................................... (0.0257) (0.0483) (0.0426) (0.0212) (0.0073)
Net realized gain on investments ........................ (0.0015) (0.0002) (0.0000)(d) (0.0002) (0.0001)
---------- ---------- -------- -------- --------
Total distributions ..................................... (0.0272) (0.0485) (0.0426) (0.0214) (0.0074)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD .......................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ======== ======== ========
Total return+ ........................................... 2.78% 5.01% 4.33% 2.22% 0.75%
========== ========== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .................... $1,010,798 $1,039,247 $673,889 $778,298 $925,728
Ratio of net investment income to average net assets .... 2.57% 4.83% 4.26% 2.12% 0.73%
Ratio of operating expenses to average net assets (b) ... 0.08%(c) 0.08%(c) 0.12%(c) 0.30% 0.30%
- ----------
+ 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, 2008, 2007, 2006, 2005, and 2004 was
$0.0231, $0.0456, $0.0402, $0.0207, and $0.0081, respectively.
(b) Operating expense ratios before fees waived by the Manager for the fiscal
years ended September 30, 2008, 2007, 2006, 2005, and 2004 were 0.34%,
0.35%, 0.36%, 0.35%, and 0.36%, respectively.
(c) The Fund incurred interest expense during the fiscal year ended September
30, 2006. If interest expense had not been incurred, the ratio of operating
expenses to average net assets would have been 0.11%. For the fiscal years
ended September 30, 2008 and 2007, the effect of the interest expense was
minimal.
(d) Amount represents less than $0.00005 per share.
See accompanying notes to financial statements.
3
THE GABELLI U.S. TREASURY MONEY MARKET FUND
STATEMENT OF OPERATIONS -- YEAR ENDED SEPTEMBER 30, 2008
INVESTMENT INCOME:
Interest ........................................................................................ $30,554,302
-----------
EXPENSES:
Management fees ................................................................................. 3,453,342
Custodian fees .................................................................................. 132,696
Legal and audit fees ............................................................................ 124,136
Shareholder services fees ....................................................................... 115,248
Shareholder communications expenses ............................................................. 36,115
Registration expenses ........................................................................... 34,782
Trustees' fees .................................................................................. 24,352
Interest expense ................................................................................ 3,355
Miscellaneous expenses .......................................................................... 49,304
-----------
TOTAL EXPENSES .................................................................................. 3,973,330
Less:
Fees waived by Manager ....................................................................... (3,039,963)
Custodian fee credits ........................................................................ (9,155)
-----------
NET EXPENSES ....................................................................................... 924,212
-----------
NET INVESTMENT INCOME .............................................................................. 29,630,090
NET REALIZED GAIN ON INVESTMENTS ................................................................... 1,670,115
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................................... $31,300,205
===========
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2008 SEPTEMBER 30, 2007
------------------ ------------------
OPERATIONS:
Net investment income ................................................... $ 29,630,090 $ 33,777,390
Net realized gain on investments ........................................ 1,670,115 128,853
--------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .................... 31,300,205 33,906,243
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income ................................................... (29,630,090) (33,777,390)
Net realized short-term gain on investments ............................. (1,670,115) (128,853)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ..................................... (31,300,205) (33,906,243)
--------------- ---------------
CAPITAL SHARE TRANSACTIONS ($1.00 PER SHARE):
Proceeds from shares issued ............................................. 4,558,635,909 2,604,974,772
Proceeds from reinvestment of distributions ............................. 31,437,900 33,612,202
Cost of shares redeemed ................................................. (4,618,523,316) (2,273,228,981)
--------------- ---------------
Net increase/(decrease) in net assets from capital share transactions ... (28,449,507) 365,357,993
--------------- ---------------
NET INCREASE/(DECREASE) IN NET ASSETS ................................... (28,449,507) 365,357,993
NET ASSETS:
Beginning of period ..................................................... 1,039,247,216 673,889,223
--------------- ---------------
End of period ........................................................... $ 1,010,797,709 $ 1,039,247,216
=============== ===============
See accompanying notes to financial statements.
4
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
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. The Fund values securities utilizing the amortized cost
valuation method which is permitted under Rule 2a-7 under the 1940 Act. This
method involves valuing a portfolio security initially at its cost and
thereafter adjusting for amortization of premium or accretion of discount to
maturity.
Statement of Financial Accounting Standard No. 157, "Fair Value Measurements"
("SFAS 157") clarifies the definition of fair value and requires companies to
expand their disclosure about the use of fair value to measure assets and
liabilities in interim and annual periods subsequent to initial recognition.
Adoption of SFAS 157 requires the use of the price that would be received to
sell an asset or paid to transfer a liability in an orderly transaction between
market participants at the measurement date. SFAS 157 is effective for financial
statements issued for fiscal years beginning after November 15, 2007 and interim
periods within those fiscal years. As of September 30, 2008, the Fund does not
believe the adoption of SFAS 157 will impact the amounts reported in the
financial statements.
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. Premiums and discounts on debt securities are amortized using effective
yield to maturities.
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, 2008 and 2007, 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.
5
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of September 30, 2008, the components of accumulated earnings/losses on a tax
basis were as follows:
Undistributed ordinary income
(inclusive of short-term capital gains)... $ 280,156
Distributions payable........................ (182,997)
Unrealized depreciation on investments....... (97,159)
---------
Total accumulated earnings/(losses).......... $ --
=========
At September 30, 2008, the difference between book and tax basis undistributed
ordinary income and unrealized depreciation is primarily due to deferral of
losses on wash sales.
The following summarizes the tax cost of investments and the related unrealized
appreciation/depreciation at September 30, 2008:
GROSS GROSS
UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION DEPRECIATION
-------------- ------------ ------------ --------------
Investments .. $1,070,788,544 -- $(97,159) $(97,159)
The Fund has adopted FASB Interpretation No. 48, "Accounting for Uncertainty in
Income Taxes" ("FIN 48"). FIN 48 provides guidance for how uncertain tax
positions should be recognized, measured, presented and disclosed in the
financial statements. FIN 48 requires the evaluation of tax positions taken or
expected to be taken in the course of preparing the Trust's tax returns to
determine whether the tax positions are "more-likely-than-not"of being sustained
by the applicable tax authority.Tax positions not deemed to meet the
"more-likely-than-not"threshold are recorded as a tax benefit or expense in the
current year. The adoption of FIN 48 did not result in the recording of any tax
benefit or expense in the current period.
As of and during the year ended September 30, 2008, the Fund did not have a
liability for any unrecognized tax benefits. The Fund recognizes interest and
penalties, if any, related to unrecognized tax benefits as income tax expense in
the statement of operations. During the period, the Fund did not incur any
interest or penalties. Each of the tax years in the three-year period ended
September 30, 2008, remains subject to examination by the Internal Revenue
Service and state tax authorities. Management's determination regarding FIN 48
may be subject to review and adjustment at a later date based on factors
including, but not limited to, an on-going analysis of tax laws, regulations and
interpretations thereof.
3. LINE OF CREDIT. 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. During the fiscal
year ended September 30, 2008, there were no borrowings under the line of
credit.
4. AGREEMENTS WITH AFFILIATED PARTIES. The Trust has 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, 2010.
6
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Fund pays each Trustee who 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 and the Chairman of
the Audit Committee as well as the Lead Trustee, each receives an annual fee of
$1,000. 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 year ended September 30, 2008,
Gabelli & Company, Inc. informed the Fund that it received $30 from investors
representing commissions from investors 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, 2008, 26.3% of the Fund was held
by the Manager and its affiliates.
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. On April 24, 2008, the Manager entered into an administrative
settlement with the SEC to resolve the SEC's inquiry regarding prior frequent
trading activity in shares of the GAMCO Global Growth Fund (the "Global Growth
Fund") by one investor who was banned from the Global Growth Fund in August
2002.In the settlement, the SEC found that the Manager had violated Section
206(2) of the Investment Advisers Act, Section 17(d) of the 1940 Act and Rule
17d-1 thereunder, and had aided and abetted and caused violations of Section
12(d)(1)(B)(i) of the 1940 Act. Under the terms of the settlement, the Manager,
while neither admitting nor denying the SEC's findings and allegations, agreed,
among other things, to pay the previously reserved total of $16 million
(including a $5 million penalty), of which at least $11 million will be
distributed to shareholders of the Global Growth Fund in accordance with a plan
to be developed by an independent distribution consultant and approved by the
independent directors of the Global Growth Fund and the staff of the SEC, and to
cease and desist from future violations of the above referenced federal
securities laws. The settlement will not have a material adverse impact on the
Manager or its ability to fulfill its obligations under the Advisory Agreement.
On the same day, the SEC filed a civil action against the Executive Vice
President and Chief Operating Officer of the Manager, alleging violations of
certain federal securities laws arising from the same matter. The officer is
also an officer of the Global Growth Fund and other funds in the Gabelli/GAMCO
fund complex. The officer denies the allegations and is continuing in his
positions with the Manager and the funds. The Manager currently expects that any
resolution of the action against the officer will not have a material adverse
impact on the Manager or its ability to fulfill its obligations under the
Advisory Agreement.
In a separate matter, in August 2008, the Manager, while neither admitting nor
denying the SEC's findings and allegations, made an offer to the staff of the
SEC to settle a previously disclosed matter concerning compliance with Section
19(a) and Rule 19a-1 of the 1940 Act by two closed-end funds managed by the
Manager. These provisions require registered investment companies to provide
written statements to shareholders when a distribution is made in the nature of
a dividend from a source other than net investment income. While the two funds
sent annual statements and provided other materials containing this information,
the funds did not send the notices required by Rule 19a-1 to shareholders with
each distribution in 2002 and 2003.The Manager believes that the funds have been
in compliance with Rule 19a-1 since that time. The Manager believes that the
settlement would have no effect on the funds or any material adverse effect on
the Manager or its ability to manage the funds. This offer of settlement is
subject to final agreement regarding the specific language of the SEC's
administrative order and other settlement documents and approval by the SEC.
7
THE GABELLI U.S. TREASURY MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. SUBSEQUENT EVENTS.While the Fund has not experienced difficulties in
maintaining its $1.00 share price, and does not currently foresee any future
difficulty in maintaining that price, there can be no assurance that the Fund
will be able to do so. At a Board meeting held on October 6, 2008, the Board
determined that, considering the cost of the premium and the potential benefits
of the guarantee to the Fund's shareholders, the Fund will apply to participate
in the Temporary Guaranty Program for Money Market Funds (the "Program")
established by the U.S.Treasury Department (the "U.S.Treasury").The Program
provides that, in exchange for the payment of a premium, the U.S. Treasury will
guarantee to fund shareholders that they will receive $1.00 for each money
market fund share held as of the close of business on September 19, 2008.The
guarantee will be available if the participating money market fund is no longer
able to maintain a stable $1.00 share price, commonly referred to as "breaking
the buck." The cost of the premium for participation in the Program is a Fund
expense. However, as the expenses of the Fund are currently subject to an
expense cap supported by the Manager, it is expected that the Manager will bear
the cost of the premium.
The guarantee under the Program covers shareholders of a participating money
market fund only for shares they held in that fund as of the close of business
on September 19, 2008. In general, the guarantee does not apply to shares
purchased after September 19th or to shares redeemed or exchanged into or out of
a fund after September 19th.
The Program will exist for an initial three month term beginning September 19,
2008, after which the Secretary of Treasury has the option to renew the Program
through September 18, 2009.
Effective November 14, 2008, the Fund began offering Class A and Class C Shares.
Class A and Class C Shares are offered only as an exchange option for
shareholders currently holding Class A or Class C Shares of another fund managed
by the Manager or its affiliates. Class A and Class C Shares are not available
for direct investment by shareholders.
2008 TAX NOTICE TO SHAREHOLDERS (Unaudited)
For the fiscal year ended September 30, 2008, 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, 2007 through September 30, 2008, which was derived from
U.S. Treasury securities, including short-term capital gains, was 95.53%. 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.
8
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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, 2008, and the related statements 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, 2008, by correspondence with the Fund's
custodian and brokers or by other appropriate auditing procedures where replies
from brokers were not received. 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, 2008, 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, 2008
9
THE GABELLI U.S. TREASURY MONEY MARKET FUND
ADDITIONAL FUND INFORMATION (UNAUDITED)
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 Director of Morgan Group
Trustee and Executive Officer of Holdings, Inc. (holding
Chief Investment Officer GAMCO Investors, Inc. company); Chairman of the Board
Age: 66 and Chief Investment of LICT Corp. (multimedia and
Officer-Value communication services company)
Portfolios of Gabelli
Funds, LLC and GAMCO
Asset Management Inc.;
Director/ Trustee or
Chief Investment
Officer of other
registered investment
companies in the
Gabelli/GAMCO Funds
complex; Chairman and
Chief Executive Officer
of GGCP, Inc.
INDEPENDENT TRUSTEES(5):
ANTHONY J. COLAVITA Since 1992 37 Partner in the law firm --
Trustee of Anthony J. Colavita,
Age: 72 P.C.
VINCENT D. ENRIGHT Since 1992 17 Former Senior Vice Director of Echo Therapeutics,
Trustee President and Chief Inc. (therapeutics and
Age: 64 Financial Officer of diagnostics)
KeySpan Corporation
(public utility)
ROBERT C. KOLODNY, MD Since 2006 2 Physician, author, and --
Trustee lecturer (self-
Age: 64 employed) since 1983;
General 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 20 Chairman of BALMAC --
Trustee International, Inc.
Age: 74 (commodities and
futures trading)
10
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
President and Secretary Officer of Gabelli Funds, LLC since 1988 and an
Age: 56 officer of all of the registered investment
companies in the Gabelli/GAMCO Funds complex;
Director and President of Teton Advisors, Inc.
(formerly Gabelli Advisers, Inc.) since 1998
RONALD S. EAKER Since 1992 Senior Portfolio Manager of Gabelli Fixed
Vice President Income LLC and its predecessors since 1987
and Portfolio Manager
Age: 47
JUDITH RANERI Since 1997 Portfolio Manager of Gabelli Funds, LLC since
Vice President April 1997; Former Senior Portfolio Manager,
and Portfolio Manager Secretary, and Treasurer of The Treasurer's
Age: 40 Fund, Inc. and a member of its Investment and
Credit Review Committees
AGNES MULLADY Since 2006 Vice President of Gabelli Funds, LLC since
Treasurer 2007; Officer of all of the registered
Age: 50 investment companies in the Gabelli/GAMCO Funds
complex; Senior Vice President 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
PETER D. GOLDSTEIN Since 2004 Director of Regulatory Affairs at GAMCO
Chief Compliance Officer Investors, Inc. since 2004; Chief Compliance
Age: 55 Officer of all of the registered investment
companies in the Gabelli/GAMCO Funds 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.
11
(PHOTO)
THE
GABELLI
U.S. TREASURY
MONEY MARKET
FUND
ANNUAL REPORT
SEPTEMBER 30, 2008
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 ENERGY 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 AND SECRETARY
Judith A. Raneri
VICE PRESIDENT
AND PORTFOLIO MANAGER
Peter D. Goldstein
CHIEF COMPLIANCE OFFICER
Agnes Mullady
TREASURER
Ronald S. Eaker
VICE PRESIDENT
AND PORTFOLIO MANAGER
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.
GAB404Q308SR
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 in 2007 and $32,300 in 2008.
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 in 2007 and $0 in 2008.
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 in 2007 and $4,300 in
2008. 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
in 2007 and $0 in 2008.
(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 in 2007 and $72,400 in 2008.
(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. INVESTMENTS.
(a) 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.
(b) Not applicable.
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 12/1/08
----------------------------------------------------------------------------
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 12/1/08
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Agnes Mullady
-------------------------------------------------------
Agnes Mullady,
Principal Financial Officer and Treasurer
Date 12/1/08
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.