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 811-08885
Hewitt Series Trust
(Exact name of registrant as specified in charter)
| | |
| 100 Half Day Road Lincolnshire, IL | | 60069 |
| (Address of principal executive offices) | | (Zip code) |
Peter Ross, 100 Half Day Road, Lincolnshire, IL 60069
(Name and address of agent for service)
Registrant’s telephone number, including area code: (847)295-5000
Date of fiscal year end: December 31, 2007
Date of reporting period: June 30, 2007
Item 1. Reports to Stockholders.
HEWITT SERIES TRUST
SHAREHOLDER EXPENSES (Unaudited)
As a shareholder of the Hewitt Money Market Fund (the “Fund”), you incur ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 to June 30, 2007.
Actual Expenses
The first line under the Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. 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 in the first line for the Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line under the Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare 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 the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second line under the Fund in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | | | |
Hewitt Money Market Fund | | Beginning
Account Value (1/1/07) | | Ending
Account Value (6/30/07) | | Annualized
Expense Ratio† | | | Expenses Paid
During Period*
(1/1/07 to 6/30/07) |
Administrative Shares | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | $ | 1,022.30 | | 0.95 | % | | $ | 4.76 |
Hypothetical (5% return before expenses) | | | 1,000.00 | | | 1,020.10 | | 0.95 | | | | 4.76 |
| † | This ratio includes the Fund’s share of expenses charged to the corresponding Master Portfolio. |
| * | Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (181 days) and divided by the number of days in the year (365 days) to reflect the one-half year period. |
1
HEWITT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2007 (Unaudited)
| | | |
ASSETS | | | |
Investments: | | | |
In Money Market Master Portfolio (“Master Portfolio”), at market value (Note 1) | | $ | 219,516,749 |
Receivables: | | | |
Due from Hewitt Financial Services LLC (Note 2) | | | 984 |
| | | |
Total Assets | | | 219,517,733 |
| | | |
LIABILITIES | | | |
Payables: | | | |
Distribution to shareholders | | | 755,143 |
Accrued Trustees fees | | | 12,854 |
Accrued Administration fees (Note 2) | | | 278,158 |
Accrued shareholder servicing fees | | | 124,513 |
Other accrued expenses | | | 76,240 |
| | | |
Total Liabilities | | | 1,246,908 |
| | | |
NET ASSETS | | $ | 218,270,825 |
| | | |
Net assets consist of: | | | |
Paid-in capital | | $ | 218,270,338 |
Undistributed net investment income | | | 471 |
Undistributed net realized gain | | | 16 |
| | | |
NET ASSETS | | $ | 218,270,825 |
| | | |
Shares outstanding | | | 218,268,617 |
| | | |
Net asset value and offering price per share | | $ | 1.00 |
| | | |
The accompanying notes are an integral part of these financial statements.
2
HEWITT MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2007 (Unaudited)
| | | | |
NET INVESTMENT INCOME ALLOCATED FROM MASTER PORTFOLIO | |
Interest | | $ | 7,642,284 | |
Expenses(a) | | | (99,436 | ) |
| | | | |
Net investment income allocated from Master Portfolio | | | 7,542,848 | |
| | | | |
FUND EXPENSES (Note 2) | | | | |
Administration fees | | | 670,198 | |
Shareholder servicing fees | | | 245,682 | |
Fund accounting & transfer agent fees | | | 47,839 | |
Legal fees | | | 24,375 | |
Audit fees | | | 10,758 | |
Printing costs | | | 27,628 | |
Registration costs | | | 73,676 | |
Trustees fees | | | 16,806 | |
| | | | |
Total fund expenses | | | 1,116,962 | |
| | | | |
Fees reimbursed by Hewitt Associates LLC (Note 2) | | | (88,241 | ) |
| | | | |
Total Net Expenses | | | 1,028,721 | |
| | | | |
NET INVESTMENT INCOME | | | 6,514,127 | |
| | | | |
REALIZED GAIN (LOSS) ALLOCATED FROM MASTER PORTFOLIO | | | | |
Net realized gain | | | 17 | |
| | | | |
Net gain on investments | | | 17 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 6,514,144 | |
| | | | |
| (a) | Net of investment advisory fee waivers by the Master Portfolio’s investment adviser in the amount of $43,904. |
The accompanying notes are an integral part of these financial statements.
3
HEWITT MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | For the Six
Months Ended
June 30, 2007
(Unaudited) | | | For the Year Ended
December 31, 2006 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
Operations: | | | | | | | | |
Net investment income | | $ | 6,514,127 | | | $ | 9,869,553 | |
Net realized gain | | | 17 | | | | 58 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 6,514,144 | | | | 9,869,611 | |
| | | | | | | | |
Distributions to shareholders: | | | | | | | | |
From net investment income | | | | | | | | |
Administrative Shares | | | (4,368,381 | ) | | | (6,871,113 | ) |
Institutional Shares | | | (2,145,782 | ) | | | (3,001,078 | ) |
| | | | | | | | |
| | | (6,514,163 | ) | | | (9,872,191 | ) |
| | | | | | | | |
Total distributions to shareholders | | | (6,514,163 | ) | | | (9,872,191 | ) |
| | | | | | | | |
Capital share transactions (Note 3): | | | | | | | | |
Net capital share transactions | | | | | | | | |
Administrative Shares | | | 35,224,149 | | | | 53,584,139 | |
Institutional Shares | | | (85,966,572 | ) | | | 85,966,589 | |
| | | | | | | | |
Net increase (decrease) in net assets resulting from capital share transactions | | | (50,742,423 | ) | | | 139,550,728 | |
| | | | | | | | |
Increase (decrease) in net assets | | | (50,742,442 | ) | | | 139,548,148 | |
NET ASSETS: | | | | | | | | |
Beginning of period | | | 269,013,267 | | | | 129,465,119 | |
| | | | | | | | |
End of period | | $ | 218,270,825 | | | $ | 269,013,267 | |
| | | | | | | | |
Undistributed net investment income included in net assets at end of period | | $ | 471 | | | $ | 507 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
4
HEWITT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Administrative Shares | |
| | | Six months ended Jun. 30, 2007
(Unaudited) | | | Year ended
Dec. 31, 2006 | | | Year ended
Dec. 31, 2005 | | | Year ended
Dec. 31, 2004 | | | Year ended
Dec. 31, 2003 | | | Year ended
Dec. 31, 2002 | |
Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.02 | | | | 0.04 | | | | 0.02 | | | | 0.00 | (a) | | | 0.00 | (a) | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | 0.02 | | | | 0.04 | | | | 0.02 | | | | 0.00 | | | | 0.00 | | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.02 | ) | | | (0.04 | ) | | | (0.02 | ) | | | (0.00 | )(a) | | | (0.00 | )(a) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total distributions | | | (0.02 | ) | | | (0.04 | ) | | | (0.02 | ) | | | (0.00 | ) | | | (0.00 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return | | | 2.23 | %(b) | | | 4.22 | % | | | 2.37 | % | | | 0.49 | % | | | 0.31 | % | | | 0.98 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 218,271 | | | $ | 183,047 | | | $ | 129,465 | | | $ | 93,373 | | | $ | 89,976 | | | $ | 77,505 | |
Ratio of net expenses to average net assets(c) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % |
Ratio of expenses to average net assets prior to waived fees and reimbursed expenses(c) | | | 1.04 | % | | | 1.06 | % | | | 1.15 | % | | | 1.18 | % | | | 1.19 | % | | | 1.34 | % |
Ratio of net investment income to average net assets(c) | | | 4.45 | % | | | 4.17 | % | | | 2.41 | % | | | 0.50 | % | | | 0.30 | % | | | 0.98 | % |
Ratio of net investment income to average net assets prior to waived fees and reimbursed expenses(c) | | | 4.36 | % | | | 4.06 | % | | | 2.21 | % | | | 0.27 | % | | | 0.06 | % | | | 0.59 | % |
| (a) | Rounds to less than $0.01. |
| (c) | Annualized for periods of less than one year. Ratio reflects the expenses of both the Fund and its corresponding Master Portfolio. |
The accompanying notes are an integral part of these financial statements.
5
HEWITT SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. Summary of Significant Accounting Policies
Hewitt Money Market Fund (the “Fund”) is a diversified series of Hewitt Series Trust (the “Trust”), an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust was established as a Delaware statutory trust organized pursuant to a Declaration of Trust on July 7, 1998.
As of June 24, 2007, all of the shareholders of the Institutional share class had redeemed their shares. The Institutional share class is no longer offered to the public.
Under the Fund’s organizational documents, the officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
The following significant accounting policies are consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Investment Policy and Security Valuation
The Fund invests substantially all of its assets in the Money Market Master Portfolio (the “Master Portfolio”), a series of Master Investment Portfolio (“MIP”). The Master Portfolio has the same investment objective as the Fund. The value of the Fund’s investment in the Master Portfolio reflects the percentage of net assets of the Master Portfolio held by the Fund (0.86% as of June 30, 2007).
The method by which the Master Portfolio values its securities is discussed in Note 1 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.
Security Transactions and Income Recognition
The Fund records daily its proportionate interest in the net investment income and realized and unrealized gains and losses of the Master Portfolio.
The performance of the Fund is directly affected by the performance of the Master Portfolio. The financial statements of the Master Portfolio, including the Schedule of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
Federal Income Taxes
The Fund is treated as a separate entity for federal income tax purposes. It is the policy of the Trust that the Fund continue to qualify as a regulated investment company by complying with the provisions under Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its investment company taxable income and any net realized gains (after taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal taxes was required at June 30, 2007.
6
HEWITT SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited)—Continued
Dividends and Distributions to Shareholders
Dividends to shareholders from net investment income of the Fund are declared daily and distributed monthly. Distributions to shareholders from capital gains, if any, are declared and distributed annually, generally in December.
Due to the timing of dividends and distributions and the differences in accounting for income and realized gains (losses) for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains (losses) were recorded by the Fund.
2. Agreements and Other Transactions with Affiliates
Hewitt Associates LLC (“Hewitt Associates”) provides administrative services to the Fund. The Fund pays Hewitt Associates a monthly fee calculated at an annual rate of 0.55% of the Fund’s average daily net assets for these services. Hewitt Associates has contractually agreed to waive its fees or absorb expenses of the Fund to the extent necessary so that total ordinary operating expenses (excluding interest, brokerage commissions and extraordinary expenses) on an annual basis, do not exceed 0.95% of the average daily net assets of the Fund. Hewitt Associates may not modify or terminate this waiver agreement without approval of the Board of Trustees of the Trust. For the six months ended June 30, 2007, Hewitt Associates reimbursed the Fund $88,241 for expenses related to this agreement.
Hewitt Associates and Barclays Global Investors N.A. (“BGI”) have entered into a sub-administration agreement, pursuant to which BGI provides services to the Fund and its shareholders, including maintenance of books and records; preparation of reports; and other administrative support services. For the services under this sub-administration agreement, Hewitt Associates pays BGI a fee equal to 0.03% of the average daily net assets of the Fund.
Hewitt Financial Services LLC serves as the Distributor of the Fund. Hewitt Financial Services LLC does not receive a fee from the Fund for its distribution services.
Hewitt Financial Services LLC also serves as the Shareholder Servicing Agent for the Fund. As Shareholder Servicing Agent, Hewitt Financial Services LLC is responsible for maintaining records showing the number of shares of the Fund owned by investors who have purchased shares through Hewitt Financial Services LLC. In addition, Hewitt Financial Services LLC sends all shareholder communications relating to the Fund to shareholders or arranges for these materials to be sent. For these services, the Fund pays Hewitt Financial Services LLC a monthly fee calculated at an annual rate of 0.25% of the Fund’s average daily net assets.
The Fund pursues its investment objectives by investing in the Money Market Master Portfolio, which is a series of the Master Investment Portfolio. The Money Market Master Portfolio has the same investment objectives and substantially the same investment policies as the Trust. Barclays Global Fund Advisors, Inc. serves as the Portfolio’s investment advisor. As such, the Trust does not itself have an investment adviser.
7
HEWITT SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (Unaudited)—Continued
3. Capital Share Transactions
As of June 30, 2007, there was an unlimited number of shares of $0.001 par value capital stock authorized by the Fund. Transactions in capital shares for the Fund were as follows:
Administrative Shares
| | | | | | | | | | | | | | |
| | | Six Months Ended June 30, 2007 (Unaudited) | | | Year Ended December 31, 2006 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Issued and Redeemed: | | | | | | | | | | | | | | |
Shares sold | | 100,308,385 | | | $ | 100,308,385 | | | 138,970,086 | | | $ | 138,970,086 | |
Shares issued in reinvestments of dividends | | 4,296,826 | | | | 4,296,826 | | | 6,546,662 | | | | 6,546,662 | |
Shares redeemed | | (69,381,062 | ) | | | (69,381,062 | ) | | (91,932,609 | ) | | | (91,932,609 | ) |
| | | | | | | | | | | | | | |
Net increase | | 35,224,149 | | | $ | 35,224,149 | | | 53,584,139 | | | $ | 53,584,139 | |
| | | | | | | | | | | | | | |
Institutional Shares
| | | | | | | | | | | | | | |
| | | Six Months Ended June 30, 2007 (Unaudited) | | | Year Ended December 31, 2006(a) | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
Shares Issued and Redeemed: | | | | | | | | | | | | | | |
Shares sold | | 61,737,579 | | | $ | 61,737,579 | | | 138,003,119 | | | $ | 139,003,119 | |
Shares issued in reinvestments of dividends | | 2,197,153 | | | | 2,197,153 | | | 2,638,058 | | | | 2,638,058 | |
Shares redeemed | | (149,901,321 | ) | | | (149,901,304 | ) | | (55,674,588 | ) | | | (55,674,588 | ) |
| | | | | | | | | | | | | | |
Net increase (decrease) | | (85,966,589 | ) | | $ | (85,966,572 | ) | | 85,966,589 | | | $ | 85,966,589 | |
| | | | | | | | | | | | | | |
| (a) | For the period from April 12, 2006 (commencement of operations) to December 31, 2006. |
4. Recently Issued Accounting Pronouncements
In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of June 30, 2007, management has evaluated the effects of applying the various provisions of FIN 48, and has determined that the Fund did not have a liability for uncertain tax positions or unrecognized tax benefits.
In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. The Trust is currently evaluating the impact the adoption of FAS 157 will have on the Fund’s financial statement disclosures.
8
HEWITT SERIES TRUST
PROXY VOTING (Unaudited)
The Fund filed with the Securities and Exchange Commission Form N-PX with the complete proxy voting record for the 12 months ended June 30, 2007. The Fund did not hold any voting securities and accordingly did not vote any proxies during the reporting period. Because the Fund invests exclusively in non-voting securities, the Fund is not required to describe the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities. The Form filed is available (i) without charge, upon request, by calling the Fund toll-free at 1-800-890-3200, and (ii) on the SEC’s website at (www.sec.gov).
9
HEWITT SERIES TRUST
ADDITIONAL INFORMATION (Unaudited)
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
10
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments
| | | | | | |
Security | | Face Amount | | Value |
CERTIFICATES OF DEPOSIT—2.02% | | | | | | |
Credit Suisse First Boston NY | | | | | | |
5.43%, 08/21/07 | | $ | 15,000,000 | | $ | 15,000,000 |
HBOS Treasury Services PLC | | | | | | |
5.26%, 05/14/08 | | | 90,000,000 | | | 90,000,000 |
5.27%, 02/04/08 | | | 50,000,000 | | | 50,000,000 |
5.29%, 01/22/08 | | | 150,000,000 | | | 150,000,000 |
5.34%, 07/25/07 | | | 75,000,000 | | | 75,000,000 |
5.36%, 11/13/07 | | | 70,000,000 | | | 70,000,000 |
Societe Generale | | | | | | |
5.27%, 05/14/08 | | | 65,000,000 | | | 65,000,000 |
| | | | | | |
TOTAL CERTIFICATES OF DEPOSIT (Cost: $515,000,000) | | | | | | 515,000,000 |
| | | | | | |
COMMERCIAL PAPER—43.40% | | | | | | |
Amstel Funding Corp. | | | | | | |
5.28%, 07/20/07(a) | | | 250,000,000 | | | 249,266,667 |
Amsterdam Funding Corp. | | | | | | |
5.30%, 07/06/07(a) | | | 200,000,000 | | | 199,823,333 |
Asscher Finance Corp. | | | | | | |
5.23%, 12/03/07(a) | | | 150,400,000 | | | 146,994,694 |
Atlantis One Funding | | | | | | |
5.24%, 07/30/07(a) | | | 225,400,000 | | | 224,415,753 |
Beta Finance Inc. | | | | | | |
5.24%, 07/30/07(a) | | | 49,000,000 | | | 48,786,033 |
CAFCO LLC | | | | | | |
5.27%, 08/21/07(a) | | | 100,000,000 | | | 99,239,500 |
CC USA Inc. | | | | | | |
5.24%, 08/01/07(a) | | | 57,000,000 | | | 56,734,506 |
Chariot Funding LLC | | | | | | |
5.28%, 07/09/07(a) | | | 151,694,000 | | | 151,493,764 |
5.28%, 07/10/07(a) | | | 129,289,000 | | | 129,099,376 |
5.28%, 07/12/07(a) | | | 75,334,000 | | | 75,201,412 |
5.28%, 07/13/07(a) | | | 101,450,000 | | | 101,256,386 |
5.29%, 07/16/07(a) | | | 342,173,000 | | | 341,368,514 |
Charta LLC | | | | | | |
5.27%, 08/20/07(a) | | | 250,000,000 | | | 248,133,542 |
Cheyne Finance LLC | | | | | | |
5.15%, 10/10/07(a) | | | 20,000,000 | | | 19,708,166 |
5.17%, 10/24/07(a) | | | 50,000,000 | | | 49,167,056 |
5.17%, 11/05/07(a) | | | 25,000,000 | | | 24,540,889 |
5.24%, 07/18/07(a) | | | 50,000,000 | | | 49,869,000 |
Cobbler Funding Ltd. | | | | | | |
5.32%, 07/16/07(a) | | | 60,000,000 | | | 59,858,133 |
Concord Minutemen Capital Co. LLC | | | | | | |
5.19%, 08/15/07(a) | | | 26,293,000 | | | 26,118,633 |
5.21%, 08/28/07(a) | | | 125,000,000 | | | 123,932,673 |
5.24%, 07/12/07(a) | | | 50,000,000 | | | 49,912,667 |
5.29%, 07/10/07(a) | | | 271,466,000 | | | 271,067,096 |
5.29%, 07/11/07(a) | | | 252,085,000 | | | 251,677,532 |
Crown Point Capital Co. LLC | | | | | | |
5.14%, 10/05/07(a) | | | 20,000,000 | | | 19,723,012 |
5.19%, 10/19/07(a) | | | 120,535,000 | | | 118,606,139 |
5.28%, 07/09/07(a) | | | 135,623,000 | | | 135,443,978 |
5.30%, 07/12/07(a) | | | 95,943,000 | | | 95,773,501 |
Cullinan Finance Corp. | | | | | | |
5.16%, 10/26/07(a) | | | 75,000,000 | | | 73,731,500 |
5.24%, 07/23/07(a) | | | 50,000,000 | | | 49,832,611 |
5.24%, 07/25/07(a) | | | 115,700,000 | | | 115,278,981 |
5.24%, 07/30/07(a) | | | 100,000,000 | | | 99,563,333 |
Edison Asset Securitization LLC | | | | | | |
5.27%, 08/22/07(a) | | | 50,000,000 | | | 49,612,069 |
Falcon Asset Securitization | | | | | | |
5.27%, 08/01/07(a) | | | 101,000,000 | | | 100,526,422 |
5.29%, 07/16/07(a) | | | 100,000,000 | | | 99,765,111 |
Five Finance Inc. | | | | | | |
5.24%, 07/25/07(a) | | | 54,229,000 | | | 54,031,667 |
5.24%, 07/27/07(a) | | | 30,000,000 | | | 29,882,100 |
General Electric Capital Corp. | | | | | | |
5.05%, 09/07/07 | | | 40,000,000 | | | 39,612,833 |
5.12%, 09/18/07 | | | 75,000,000 | | | 74,146,667 |
5.15%, 10/19/07 | | | 75,000,000 | | | 73,809,063 |
5.19%, 07/16/07 | | | 20,000,000 | | | 19,953,866 |
11
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
Giro Multi-Funding Corp. | | | | | | |
5.30%, 07/09/07(a) | | $ | 150,000,000 | | $ | 149,801,063 |
5.30%, 07/13/07(a) | | | 150,000,000 | | | 149,712,917 |
Grampian Funding LLC | | | | | | |
5.18%, 07/06/07(a) | | | 50,000,000 | | | 49,956,833 |
Harrier Finance Funding LLC | | | | | | |
5.16%, 10/25/07(a) | | | 25,000,000 | | | 24,580,750 |
5.17%, 10/29/07(a) | | | 128,431,000 | | | 126,199,261 |
Jupiter Securitization Corp. | | | | | | |
5.28%, 07/13/07(a) | | | 75,334,000 | | | 75,190,227 |
5.28%, 08/03/07(a) | | | 101,677,000 | | | 101,170,451 |
5.29%, 07/12/07(a) | | | 100,000,000 | | | 99,823,667 |
5.29%, 07/20/07(a) | | | 151,697,000 | | | 151,251,179 |
KKR Pacific Funding Trust | | | | | | |
5.29%, 07/11/07(a) | | | 105,709,000 | | | 105,538,133 |
5.32%, 07/17/07(a) | | | 250,000,000 | | | 249,371,355 |
Lexington Parker Capital Co. LLC | | | | | | |
5.12%, 02/22/08(a) | | | 156,121,000 | | | 150,858,681 |
5.24%, 07/25/07(a) | | | 42,030,000 | | | 41,877,057 |
5.28%, 07/09/07(a) | | | 202,326,000 | | | 202,058,929 |
Nationwide Building Society | | | | | | |
5.18%, 10/15/07(a) | | | 30,000,000 | | | 29,538,117 |
5.21%, 08/08/07(a) | | | 100,000,000 | | | 99,435,583 |
Natixis | | | | | | |
5.17%, 11/08/07(a) | | | 25,000,000 | | | 24,530,129 |
Nestle Capital Corp. | | | | | | |
5.19%, 08/09/07 | | | 15,000,000 | | | 14,913,500 |
Scaldis Capital LLC | | | | | | |
5.17%, 10/26/07(a) | | | 45,061,000 | | | 44,297,391 |
5.28%, 07/09/07(a) | | | 412,000,000 | | | 411,456,160 |
Sedna Finance Inc. | | | | | | |
5.24%, 07/27/07(a) | | | 100,000,000 | | | 99,607,000 |
5.24%, 07/30/07(a) | | | 50,000,000 | | | 49,781,667 |
Sigma Finance Inc. | | | | | | |
5.09%, 01/10/08 | | | 90,000,000 | | | 87,528,925 |
5.09%, 02/12/08(a) | | | 100,000,000 | | | 96,793,625 |
5.10%, 01/10/08(a) | | | 60,000,000 | | | 58,352,617 |
5.16%, 10/23/07(a) | | | 100,000,000 | | | 98,351,667 |
5.16%, 10/26/07(a) | | | 100,000,000 | | | 98,308,667 |
5.17%, 11/01/07(a) | | | 75,000,000 | | | 73,665,709 |
5.20%, 12/03/07(a) | | | 250,000,000 | | | 244,372,084 |
Simba Funding Corp. | | | | | | |
5.27%, 08/17/07(a) | | | 170,909,000 | | | 169,709,219 |
5.27%, 08/20/07(a) | | | 617,507,000 | | | 612,899,262 |
Societe Generale North America Inc. | | | | | | |
5.10%, 08/13/07 | | | 140,000,000 | | | 139,128,189 |
5.16%, 11/05/07 | | | 100,000,000 | | | 98,163,556 |
Solitaire Funding Ltd. | | | | | | |
5.16%, 10/26/07(a) | | | 100,000,000 | | | 98,308,666 |
5.24%, 07/30/07(a) | | | 143,000,000 | | | 142,375,566 |
5.28%, 07/09/07(a) | | | 370,000,000 | | | 369,511,138 |
Sydney Capital Corp. | | | | | | |
5.28%, 08/20/07(a) | | | 46,940,000 | | | 46,588,889 |
5.29%, 07/03/07(a) | | | 108,140,000 | | | 108,092,328 |
5.29%, 07/18/07(a) | | | 222,260,000 | | | 221,672,122 |
Tango Finance Corp. | | | | | | |
5.24%, 07/23/07(a) | | | 37,000,000 | | | 36,876,132 |
Thames Asset Global Securitization No. 1 Inc. | | | | | | |
5.24%, 08/14/07(a) | | | 70,961,000 | | | 70,496,206 |
5.29%, 07/16/07(a) | | | 79,154,000 | | | 78,967,900 |
5.29%, 07/18/07(a) | | | 246,708,000 | | | 246,056,009 |
5.29%, 07/23/07(a) | | | 49,282,000 | | | 49,115,441 |
Thornburg Mortgage Capital Resources LLC | | | | | | |
5.28%, 07/18/07(a) | | | 69,000,000 | | | 68,817,840 |
5.29%, 07/20/07(a) | | | 100,000,000 | | | 99,706,111 |
5.31%, 07/10/07(a) | | | 213,496,000 | | | 213,181,093 |
Ticonderoga Master Funding Ltd. | | | | | | |
5.28%, 07/17/07(a) | | | 75,429,000 | | | 75,240,930 |
Tulip Funding Corp. | | | | | | |
5.29%, 07/05/07(a) | | | 262,139,000 | | | 261,946,401 |
12
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
UBS Finance Delaware LLC | | | | | | |
5.17%, 11/09/07 | | $ | 100,000,000 | | $ | 98,104,334 |
5.20%, 07/17/07 | | | 120,000,000 | | | 119,705,616 |
WhistleJacket Capital Ltd. | | | | | | |
5.21%, 12/12/07(a) | | | 25,679,000 | | | 25,065,807 |
White Pine Finance LLC | | | | | | |
5.22%, 12/10/07(a) | | | 22,879,000 | | | 22,338,773 |
5.24%, 08/09/07(a) | | | 20,977,000 | | | 20,854,867 |
5.24%, 08/10/07(a) | | | 25,537,000 | | | 25,384,601 |
Zela Finance Inc. | | | | | | |
5.23%, 12/07/07(a) | | | 100,000,000 | | | 97,677,778 |
| | | | | | |
TOTAL COMMERCIAL PAPER (Cost: $11,071,266,296) | | | | | | 11,071,266,296 |
| | | | | | |
MEDIUM-TERM NOTES—4.33% | | | | | | |
Asscher Finance Corp. | | | | | | |
5.42%, 06/25/08(a) | | | 100,000,000 | | | 100,000,000 |
Cullinan Finance Corp. | | | | | | |
5.31%, 05/27/08(a) | | | 100,000,000 | | | 99,995,489 |
5.40%, 02/05/08(a) | | | 25,000,000 | | | 25,000,000 |
Dorada Finance Inc. | | | | | | |
5.32%, 05/29/08(a) | | | 115,000,000 | | | 114,994,739 |
Goldman Sachs Group Inc. (The) | | | | | | |
5.36%, 04/16/08(b) | | | 100,000,000 | | | 100,000,000 |
5.46%, 06/09/08(b) | | | 250,000,000 | | | 250,000,000 |
K2 USA LLC | | | | | | |
5.42%, 06/16/08(a) | | | 130,000,000 | | | 130,000,000 |
Kimberly-Clark Corp. | | | | | | |
5.26%, 12/19/07(a) | | | 35,000,000 | | | 35,000,000 |
Sedna Finance Inc. | | | | | | |
5.33%, 02/29/08(a) | | | 100,000,000 | | | 100,000,000 |
Zela Finance Inc. | | | | | | |
5.41%, 06/25/08(a) | | | 150,000,000 | | | 149,985,204 |
| | | | | | |
TOTAL MEDIUM-TERM NOTES (Cost: $1,104,975,432) | | | | | | 1,104,975,432 |
| | | | | | |
REPURCHASE AGREEMENTS—14.02% | | | | | | |
Banc of America Securities LLC Tri-Party 5.40%, dated 6/29/07, due 7/2/07, maturity value $300,135,000 (collateralized by non-U.S. government debt securities, value $315,000,000, 0.00% to 7.80%, 4/22/13 to 1/15/49). | | | 300,000,000 | | | 300,000,000 |
Banc of America Securities LLC Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $94,042,535 (collateralized by non-U.S. government debt securities, value $96,820,001, 5.13% to 7.55%, 11/1/10 to 11/15/23). | | | 94,000,000 | | | 94,000,000 |
Bank of America N.A. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $40,017,833 (collateralized by U.S. government obligations, value $40,800,001, 5.00%, 5/1/35). | | | 40,000,000 | | | 40,000,000 |
13
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
Bank of America N.A. Tri-Party 5.37%, dated 6/29/07, due 7/2/07, maturity value $290,129,775 (collateralized by U.S. government obligations, value $295,800,001, 5.00% to 5.50%, 6/1/33 to 3/1/34). | | $ | 290,000,000 | | $ | 290,000,000 |
Bear Stearns Companies Inc. (The) Tri-Party 5.40%, dated 6/29/07, due 7/2/07, maturity value $175,570,971 (collateralized by U.S. government obligations, value $179,311,274, 4.00% to 15.00%, 12/1/07 to 7/1/37). | | | 175,492,000 | | | 175,492,000 |
Bear Stearns Companies Inc. (The) Tri-Party 5.44%, dated 6/29/07, due 7/2/07, maturity value $150,068,000 (collateralized by U.S. government obligations and non-U.S. government debt securities, value $153,021,101, 3.02% to 9.13%, 8/15/08 to 3/1/47). | | | 150,000,000 | | | 150,000,000 |
Citigroup Global Markets Holdings Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $150,067,875 (collateralized by non-U.S. government debt securities, value $156,460,175, 5.88% to 7.20%, 4/17/09 to 9/15/26). | | | 150,000,000 | | | 150,000,000 |
Citigroup Global Markets Holdings Inc. Tri-Party 5.49%, dated 6/29/07, due 7/2/07, maturity value $160,073,200 (collateralized by non-U.S. government debt securities, value $180,620,805, 0.00%, 1/28/34 to 6/25/37). | | | 160,000,000 | | | 160,000,000 |
Citigroup Global Markets Holdings Inc. Tri-Party 5.53%, dated 6/29/07, due 7/2/07, maturity value $310,142,858 (collateralized by non-U.S. government debt securities, value $349,992,607, 0.00%, 1/28/34 to 6/25/37). | | | 310,000,000 | | | 310,000,000 |
14
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
Goldman Sachs Co. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $100,044,583 (collateralized by U.S. government obligations, value $103,000,001, 5.67% to 5.72%, 5/15/33 to 12/15/36). | | $ | 100,000,000 | | $ | 100,000,000 |
Goldman Sachs Co. Tri-Party 5.42%, dated 6/29/07, due 7/2/07, maturity value $12,112,468 (collateralized by non-U.S. government debt securities, value $13,537,651, 7.32% to 7.42%, 4/15/10 to 7/25/35). | | | 12,107,000 | | | 12,107,000 |
Greenwich Capital Markets Inc. Tri-Party 5.53%, dated 6/29/07, due 7/2/07, maturity value $450,207,375 (collateralized by non-U.S. government debt securities, value $495,788,063, 0.00% to 7.34%, 2/1/34 to 4/1/37). | | | 450,000,000 | | | 450,000,000 |
HSBC Securities Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $100,045,250 (collateralized by non-U.S. government debt securities, value $105,101,038, 6.00% to 7.98%, 4/25/37 to 5/25/37). | | | 100,000,000 | | | 100,000,000 |
Lehman Brothers Holdings Inc. Tri-Party 5.35%, dated 6/29/07, due 7/2/07, maturity value $100,044,583 (collateralized by U.S. government obligations, value $102,000,410, 3.33% to 9.74%, 1/1/09 to 6/1/44). | | | 100,000,000 | | | 100,000,000 |
Lehman Brothers Holdings Inc. Tri-Party 5.43%, dated 6/29/07, due 8/30/07, maturity value $201,870,333 (collateralized by non-U.S. government debt securities, value $210,007,938, 0.00% to 8.06%, 8/15/08 to 10/15/49).(b) | | | 200,000,000 | | | 200,000,000 |
15
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
Lehman Brothers Holdings Inc. Tri-Party 5.46 %, dated 6/29/07, due 8/30/07, maturity value $126,175,417 (collateralized by non-U.S. government debt securities, value $131,254,724, 5.10% to 6.66%, 1/11/35 to 4/25/46).(b) | | $ | 125,000,000 | | $ | 125,000,000 |
Merrill Lynch & Co. Inc. Tri-Party 5.43%, dated 6/29/07, due 7/2/07, maturity value $100,045,250 (collateralized by non-U.S. government debt securities, value $103,003,959, 5.13% to 6.05%, 6/15/12 to 4/15/16). | | | 100,000,000 | | | 100,000,000 |
Morgan Stanley Tri-Party 5.58%, dated 6/29/07, due 7/4/08, maturity value $338,352,000 (collateralized by non-U.S. government debt securities, value $352,599,279, 0.00% to 10.25%, 7/2/07 to 10/12/52).(b) | | | 320,000,000 | | | 320,000,000 |
Wachovia Capital Tri-Party 5.45%, dated 6/29/07, due 7/2/07, maturity value $400,181,667 (collateralized by non-U.S. government debt securities, value $420,000,001, 0.00% to 8.32%, 11/20/08 to 12/12/49). | | | 400,000,000 | | | 400,000,000 |
| | | | | | |
TOTAL REPURCHASE AGREEMENTS (Cost: $3,576,599,000) | | | | | | 3,576,599,000 |
| | | | | | |
TIME DEPOSITS—0.75% | | | | | | |
Deutsche Bank AG | | | | | | |
5.34%, 07/02/07 | | | 189,247,000 | | | 189,247,000 |
| | | | | | |
TOTAL TIME DEPOSITS (Cost: $189,247,000) | | | | | | 189,247,000 |
| | | | | | |
VARIABLE & FLOATING RATE NOTES—35.31% | | | | | | |
Aire Valley Mortgages PLC Series 2007-1A Class 1A1 | | | | | | |
5.31%, 04/21/08(a) | | | 75,000,000 | | | 75,000,000 |
Allstate Life Global Funding II | | | | | | |
5.32%, 07/03/08 | | | 55,000,000 | | | 54,999,644 |
5.35%, 07/25/08(a) | | | 140,000,000 | | | 140,031,671 |
5.36%, 06/13/08(a) | | | 65,000,000 | | | 65,028,577 |
5.39%, 07/08/08(a) | | | 67,000,000 | | | 67,046,427 |
5.40%, 06/13/08(a) | | | 80,000,000 | | | 80,054,076 |
American Express Bank | | | | | | |
5.33%, 05/16/08 | | | 247,500,000 | | | 247,563,455 |
American Express Credit Corp. | | | | | | |
5.42%, 03/05/08 | | | 30,000,000 | | | 30,023,091 |
16
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
ANZ National International Ltd. | | | | | | |
5.32%, 07/03/08(a) | | $ | 75,000,000 | | $ | 75,000,000 |
Arkle Master Issuer PLC Series 2006-1A Class 1A | | | | | | |
5.30%, 05/19/08(a) | | | 75,000,000 | | | 75,001,319 |
ASIF Global Financing | | | | | | |
5.34%, 06/23/08(a) | | | 75,000,000 | | | 74,997,897 |
Australia & New Zealand Banking Group Ltd. | | | | | | |
5.34%, 06/20/08(a) | | | 100,000,000 | | | 100,017,775 |
Bank of Ireland | | | | | | |
5.30%, 06/18/08(a) | | | 70,000,000 | | | 69,999,876 |
5.32%, 06/18/08(a) | | | 145,000,000 | | | 145,013,219 |
Beta Finance Inc. | | | | | | |
5.32%, 07/17/07(a) | | | 100,000,000 | | | 99,999,680 |
5.35%, 07/25/07(a) | | | 85,000,000 | | | 85,001,405 |
BMW US Capital LLC | | | | | | |
5.30%, 07/03/08 | | | 30,000,000 | | | 30,001,299 |
5.34%, 06/13/08(a) | | | 200,000,000 | | | 200,060,666 |
BNP Paribas | | | | | | |
5.35%, 05/19/08(a) | | | 185,000,000 | | | 185,000,970 |
Brigantine High Grade Funding Ltd. 2006-1A Class A1A | | | | | | |
5.35%, 09/05/07(a) | | | 144,000,000 | | | 143,992,854 |
CC USA Inc. | | | | | | |
5.35%, 07/30/07(a) | | | 50,000,000 | | | 49,998,550 |
Commodore CDO Ltd. 2003-2A Class A1MM | | | | | | |
5.44%, 12/12/07(a) | | | 37,058,519 | | | 37,058,519 |
Credit Agricole SA | | | | | | |
5.33%, 05/23/08(a) | | | 100,000,000 | | | 99,991,055 |
Cullinan Finance Corp. | | | | | | |
5.30%, 01/15/08(a) | | | 75,000,000 | | | 74,995,975 |
DEPFA Bank PLC | | | | | | |
5.42%, 03/14/08(a) | | | 200,000,000 | | | 200,041,946 |
Dorada Finance Inc. | | | | | | |
5.32%, 07/17/07(a) | | | 60,000,000 | | | 59,999,678 |
Fifth Third Bancorp | | | | | | |
5.32%, 06/20/08(a) | | | 200,000,000 | | | 200,033,379 |
Florida Heart Group PA/Florida Heart Group Holdings | | | | | | |
5.32%, 07/06/07 | | | 8,540,000 | | | 8,540,000 |
General Electric Capital Corp. | | | | | | |
5.28%, 07/23/08 | | | 60,000,000 | | | 60,003,470 |
5.45%, 07/09/07 | | | 45,000,000 | | | 45,001,593 |
Granite Master Issuer PLC Series 2005-3 Class A | | | | | | |
5.29%, 08/20/07 | | | 350,000,000 | | | 350,003,814 |
Great America Leasing Receivables Series 2006-1 Class A1 | | | | | | |
5.40%, 11/15/07(a) | | | 3,964,776 | | | 3,964,776 |
Guiding Light Church | | | | | | |
5.32%, 07/06/07 | | | 10,400,000 | | | 10,400,000 |
Harrier Finance Funding LLC | | | | | | |
5.29%, 08/07/07(a) | | | 50,000,000 | | | 49,998,952 |
5.33%, 07/20/07(a) | | | 25,000,000 | | | 25,000,230 |
5.33%, 07/25/07(a) | | | 15,000,000 | | | 15,000,187 |
5.33%, 08/13/07(a) | | | 30,000,000 | | | 30,000,709 |
5.36%, 08/15/07 | | | 50,000,000 | | | 50,001,680 |
Hartford Life Global Funding Trust | | | | | | |
5.36%, 06/13/08 | | | 100,000,000 | | | 100,034,515 |
5.40%, 07/13/07 | | | 50,000,000 | | | 50,000,706 |
HBOS Treasury Services PLC | | | | | | |
5.43%, 04/24/08(a) | | | 150,000,000 | | | 150,067,599 |
Holmes Financing PLC Series 10A Class 1A | | | | | | |
5.29%, 07/16/07(a) | | | 175,000,000 | | | 175,000,000 |
17
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
Holmes Master Issuer PLC Series 2006-1A Class 1A | | | | | | |
5.30%, 10/15/07(a) | | $ | 82,000,000 | | $ | 82,000,000 |
ING USA Annuity & Life Insurance Co. | | | | | | |
5.43%, 01/10/08(a)(b) | | | 30,000,000 | | | 30,000,000 |
Jordan Brick Co. Inc. | | | | | | |
5.32%, 07/06/07(a) | | | 46,000,000 | | | 46,000,000 |
JP Morgan Securities Inc. | | | | | | |
5.47%, 07/27/07 | | | 100,000,000 | | | 100,000,000 |
5.47%, 11/16/07 | | | 300,000,000 | | | 300,000,000 |
5.52%, 07/27/07(b) | | | 200,000,000 | | | 200,000,000 |
JPMorgan Chase & Co. | | | | | | |
5.29%, 07/02/08 | | | 150,000,000 | | | 150,000,617 |
Kestrel Funding LLC | | | | | | |
5.30%, 07/11/07(a) | | | 25,000,000 | | | 24,999,920 |
Kommunalkredit Austria AG | | | | | | |
5.32%, 07/09/08(a) | | | 40,000,000 | | | 40,000,000 |
Lakeline Austin Development Ltd. | | | | | | |
5.32%, 07/06/07(a) | | | 9,800,000 | | | 9,800,000 |
Leafs LLC | | | | | | |
5.32%, 01/22/08(a) | | | 96,353,716 | | | 96,353,716 |
5.32%, 02/20/08(a) | | | 49,355,781 | | | 49,355,781 |
Lothian Mortgages Master Issuer PLC Series 2006-1A Class A1 | | | | | | |
5.30%, 04/24/08(a) | | | 112,040,250 | | | 112,040,250 |
Marshall & Ilsley Bank | | | | | | |
5.32%, 06/13/08 | | | 115,000,000 | | | 115,009,360 |
Master Funding LLC | | | | | | |
5.35%, 10/25/07(a) | | | 109,564,000 | | | 109,564,000 |
5.35%, 11/26/07 | | | 71,442,000 | | | 71,442,000 |
Merrill Lynch & Co. Inc. | | | | | | |
5.52%, 11/26/07(b) | | | 170,000,000 | | | 170,000,000 |
MetLife Insurance Co. of Connecticut | | | | | | |
5.44%, 08/17/07(a)(b) | | | 50,000,000 | | | 50,000,000 |
Metropolitan Life Global Funding I | | | | | | |
5.31%, 07/21/08(a) | | | 75,000,000 | | | 75,000,000 |
5.35%, 07/03/08(a) | | | 150,000,000 | | | 150,061,748 |
5.41%, 07/14/08(a) | | | 40,000,000 | | | 40,043,948 |
Metropolitan Life Insurance Co. | | | | | | |
5.44%, 07/18/07(a)(b) | | | 25,000,000 | | | 25,000,000 |
Metropolitan Life Insurance Funding | | | | | | |
5.43%, 02/01/08(b) | | | 50,000,000 | | | 50,000,000 |
Natexis Banques Populaires | | | | | | |
5.33%, 07/15/08(a) | | | 125,000,000 | | | 125,021,417 |
5.35%, 06/09/08(a) | | | 100,000,000 | | | 100,005,916 |
Nationwide Building Society | | | | | | |
5.37%, 07/03/08(a) | | | 100,000,000 | | | 100,055,866 |
5.44%, 07/27/08(a) | | | 315,000,000 | | | 315,181,229 |
5.48%, 07/20/07(a) | | | 60,000,000 | | | 60,005,338 |
Newcastle CDO Ltd. Series 2005-6A Class IM1 | | | | | | |
5.34%, 04/24/08(a) | | | 35,250,000 | | | 35,235,881 |
Newcastle CDO Ltd. Series 2005-6A Class IM2 | | | | | | |
5.34%, 01/24/08(a) | | | 65,000,000 | | | 64,989,588 |
Nordea Bank AB | | | | | | |
5.33%, 06/10/08(a) | | | 75,000,000 | | | 75,000,000 |
Northern Rock PLC | | | | | | |
5.38%, 05/02/08(a) | | | 190,000,000 | | | 190,082,176 |
Pricoa Global Funding I | | | | | | |
5.31%, 06/27/08(a) | | | 200,000,000 | | | 200,004,028 |
Royal Bank of Canada | | | | | | |
5.29%, 07/03/08(a) | | | 200,000,000 | | | 200,000,000 |
18
MONEY MARKET MASTER PORTFOLIO
June 30, 2007 (Unaudited)
Schedule of Investments—Continued
| | | | | | |
Security | | Face Amount | | Value |
Sedna Finance Inc. | | | | | | |
5.33%, 11/15/07(a) | | $ | 78,000,000 | | $ | 77,995,411 |
5.34%, 08/21/07(a) | | | 100,000,000 | | | 100,001,111 |
Skandinaviska Enskilda Banken | | | | | | |
5.32%, 07/17/08(a) | | | 150,000,000 | | | 150,017,259 |
Societe Generale | | | | | | |
5.31%, 07/01/08(a) | | | 30,000,000 | | | 30,000,000 |
Strips III LLC | | | | | | |
5.37%, 07/24/07(a) | | | 17,676,900 | | | 17,676,900 |
5.37%, 08/24/07(a) | | | 12,880,499 | | | 12,880,499 |
Tango Finance Corp. | | | | | | |
5.33%, 07/16/07(a) | | | 55,000,000 | | | 55,000,011 |
Trap Rock Industry Inc. | | | | | | |
5.32%, 07/06/07(a) | | | 18,860,000 | | | 18,860,000 |
Union Hamilton Special Funding LLC | | | | | | |
5.36%, 09/28/07(a) | | | 150,000,000 | | | 150,000,000 |
5.36%, 12/17/07 | | | 50,000,000 | | | 50,000,000 |
5.36%, 12/21/07 | | | 40,000,000 | | | 40,000,000 |
Wachovia Asset Securitization Inc. Series 2004-HM1A Class A | | | | | | |
5.31%, 07/25/07(a) | | | 73,771,690 | | | 73,771,690 |
Wachovia Asset Securitization Inc. Series 2004-HM2A Class AMM | | | | | | |
5.31%, 07/25/07(a) | | | 86,324,944 | �� | | 86,324,944 |
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class A4M | | | | | | |
5.32%, 07/15/08(a) | | | 54,273,000 | | | 54,273,000 |
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 Class AMM | | | | | | |
5.34%, 07/15/08(a) | | | 187,623,000 | | | 187,623,000 |
Wells Fargo & Co. | | | | | | |
5.33%, 06/13/08(a) | | | 50,000,000 | | | 50,023,676 |
Westpac Banking Corp. | | | | | | |
5.42%, 07/11/08 | | | 70,000,000 | | | 70,000,000 |
White Pine Finance LLC | | | | | | |
5.29%, 06/02/08(a) | | | 70,000,000 | | | 69,987,106 |
5.30%, 06/20/08(a) | | | 75,000,000 | | | 74,991,076 |
5.32%, 08/20/07(a) | | | 85,000,000 | | | 84,995,035 |
5.32%, 05/19/08(a) | | | 37,000,000 | | | 36,991,997 |
Wind Master Trust Series 2005-J2A Class A2 | | | | | | |
5.31%, 07/25/07(a) | | | 65,000,000 | | | 65,000,000 |
| | | | | | |
TOTAL VARIABLE & FLOATING RATE NOTES (Cost: $9,007,636,728) | | | | | | 9,007,636,728 |
| | | | | | |
TOTAL INVESTMENTS IN SECURITIES—99.83% (Cost: $25,464,724,456) | | | | | | 25,464,724,456 |
| | | | | | |
Other Assets, Less Liabilities— 0.17% | | | | | | 44,069,826 |
| | | | | | |
NET ASSETS—100.00% | | | | | $ | 25,508,794,282 |
| | | | | | |
| (a) | This security or a portion of these securities may be resold to qualified institutional buyers under Rule 144A or pursuant to Section 4(2) of the Securities Act of 1933. |
| (b) | The investment adviser has determined that this security or a portion of these securities is “illiquid,” in that it cannot be sold within seven (7) days for approximately the value at which it is carried in the Master Portfolio. |
The accompanying notes are an integral part of these financial statements.
19
MONEY MARKET MASTER PORTFOLIO
June 30, 2007
Portfolio Allocation (Unaudited)
| | | | | | |
Asset Type | | Value | | % of
Net Assets | |
Commercial Paper | | $ | 11,071,266,296 | | 43.40 | % |
Variable & Floating Rate Notes | | | 9,007,636,728 | | 35.31 | |
Repurchase Agreements | | | 3,576,599,000 | | 14.02 | |
Medium-Term Notes | | | 1,104,975,432 | | 4.33 | |
Certificates of Deposit | | | 515,000,000 | | 2.02 | |
Time Deposits | | | 189,247,000 | | 0.75 | |
Other Net Assets | | | 44,069,826 | | 0.17 | |
| | | | | | |
TOTAL | | $ | 25,508,794,282 | | 100.00 | % |
| | | | | | |
This table is not part of the financial statements.
20
MONEY MARKET MASTER PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2007 (Unaudited)
| | | |
ASSETS | | | |
Investments in securities of unaffiliated issuers, at amortized cost which approximates value (Note 1) | | $ | 21,888,125,456 |
Repurchase agreements, at value and cost (Note 1) | | | 3,576,599,000 |
| | | |
Total value of investments | | | 25,464,724,456 |
Cash | | | 808 |
Receivables: | | | |
Interest | | | 45,484,427 |
| | | |
Total Assets | | | 25,510,209,691 |
| | | |
LIABILITIES | | | |
Payables: | | | |
Investment advisory fees (Note 2) | | | 1,388,263 |
Accrued expenses (Note 2) | | | 27,146 |
| | | |
Total Liabilities | | | 1,415,409 |
| | | |
NET ASSETS | | $ | 25,508,794,282 |
| | | |
The accompanying notes are an integral part of these financial statements.
21
MONEY MARKET MASTER PORTFOLIO
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2007 (Unaudited)
| | | | |
NET INVESTMENT INCOME | | | | |
Interest from unaffiliated issuers | | $ | 331,496,987 | |
| | | | |
Total investment income | | | 331,496,987 | |
| | | | |
EXPENSES (Note 2) | | | | |
Investment advisory fees | | | 6,162,442 | |
Professional fees | | | 27,406 | |
Independent trustees’ fees | | | 19,285 | |
| | | | |
Total expenses | | | 6,209,133 | |
Less expense reductions (Note 2) | | | (1,895,412 | ) |
| | | | |
Net expenses | | | 4,313,721 | |
| | | | |
NET INVESTMENT INCOME | | | 327,183,266 | |
| | | | |
REALIZED GAIN (LOSS) | | | | |
Net realized gain from sale of investments in unaffiliated issuers | | | 41 | |
| | | | |
Net realized gain | | | 41 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 327,183,307 | |
| | | | |
The accompanying notes are an integral part of these financial statements.
22
MONEY MARKET MASTER PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | For the Six Months
Ended June 30, 2007
(Unaudited) | | | For the Year Ended
December 31, 2006 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | |
Operations: | | | | | | | | |
Net investment income | | $ | 327,183,266 | | | $ | 326,145,594 | |
Net realized gain | | | 41 | | | | 1,615 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 327,183,307 | | | | 326,147,209 | |
| | | | | | | | |
Interestholder transactions: | | | | | | | | |
Contributions | | | 32,113,075,932 | | | | 38,273,990,665 | |
Withdrawals | | | (13,856,429,846 | ) | | | (37,977,755,985 | ) |
| | | | | | | | |
Net increase in net assets resulting from interestholder transactions | | | 18,256,646,086 | | | | 296,234,680 | |
| | | | | | | | |
Increase in net assets | | | 18,583,829,393 | | | | 622,381,889 | |
NET ASSETS: | | | | | | | | |
Beginning of period | | | 6,924,964,889 | | | | 6,302,583,000 | |
| | | | | | | | |
End of period | | $ | 25,508,794,282 | | | $ | 6,924,964,889 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
23
MONEY MARKET MASTER PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company organized as a Delaware statutory trust. As of June 30, 2007, MIP offered the following separate portfolios: Active Stock, Bond Index, CoreAlpha Bond, Government Money Market, LifePath Retirement, LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, Prime Money Market, S&P 500 Index and Treasury Money Market Master Portfolios.
These financial statements relate only to the Money Market Master Portfolio (the “Master Portfolio”).
Pursuant to MIP’s organizational documents, the Master Portfolio’s officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Master Portfolio. Additionally, in the normal course of business, the Master Portfolio enters into contracts with service providers that contain general indemnification clauses. The Master Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Portfolio that have not yet occurred.
1. Significant Accounting Policies
The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Master Portfolio uses the amortized cost method of valuation to determine the value of its portfolio securities in accordance with Rule 2a-7 under the 1940 Act. The amortized cost method, which involves valuing a security at its cost and accreting or amortizing any discount or premium, respectively, over the period until maturity, approximates market value.
Security Transactions And Income Recognition
Security transactions are accounted for on trade date. Interest income is accrued daily. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolio amortizes premiums and accretes discounts using a constant yield to maturity method.
Federal Income Taxes
In general, MIP believes that the Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that the Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gains (if any). However, each interestholder in the Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, the Master Portfolio will be deemed to have “passed through” to its interestholders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.
24
MONEY MARKET MASTER PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)—Continued
It is intended that the Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).
As of June 30, 2007, the Master Portfolio’s cost of investments for federal income tax purposes was the same as for financial reporting purposes.
Repurchase Agreements
The Master Portfolio may enter into repurchase agreements with banks and securities dealers. These transactions involve the purchase of securities with a simultaneous commitment to resell the securities to the bank or the dealer at an agreed-upon date and price. A repurchase agreement is accounted for as an investment by the Master Portfolio, collateralized by securities, which are delivered to the Master Portfolio’s custodian or to an agent bank under a tri-party agreement. The securities are marked-to-market daily and additional securities are acquired as needed, to ensure that their value equals or exceeds the repurchase price plus accrued interest.
2. Agreements and Other Transactions With Affiliates
Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to the Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an annual investment advisory fee of 0.10% of the average daily net assets of the Master Portfolio, as compensation for investment advisory services. BGFA has contractually agreed to waive a portion of its advisory fees through April 30, 2009. After giving effect to such contractual waiver, the advisory fees will be 0.07%. From time to time, BGFA may waive an additional portion of its advisory fees. Any such waiver will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.
The fees and expenses of the Master Portfolio’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Master Portfolio. BGFA has contractually agreed to cap the expenses of the Master Portfolio at the rate at which the Master Portfolio pays an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to the independent expenses.
For the six months ended June 30, 2007, BGFA waived and/or credited investment advisory fees in the amount of $1,895,412 for the Master Portfolio.
State Street Bank and Trust Company (“State Street”) serves as the custodian and sub-administrator of the Master Portfolio. State Street will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Master Portfolio.
25
MONEY MARKET MASTER PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)—Continued
SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolio. SEI does not receive any fee from the Master Portfolio for acting as placement agent.
MIP has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolio’s custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolio. BGI is not entitled to compensation for providing administration services to the Master Portfolio, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BGI (or an affiliate) receives investment advisory fees from the Master Portfolio. BGI may delegate certain of its administration duties to sub-administrators.
Certain officers and trustees of MIP are also officers of BGI and/or BGFA. As of June 30, 2007, these officers of BGI and/or BGFA collectively owned less than 1% of MIP’s outstanding beneficial interests.
3. Recently Issued Accounting Pronouncements
In June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement No. 109.” FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, “Accounting for Income Taxes.” This interpretation prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken in a tax return. It also provides guidance on de-recognition, classification, interest and penalties, accounting in interim periods, disclosure and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of June 30, 2007, management has evaluated the effects of applying the various provisions of FIN 48, and has determined that the Master Portfolio did not have a liability for uncertain tax positions or unrecognized tax benefits.
In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. MIP is currently evaluating the impact the adoption of FAS 157 will have on the Master Portfolio’s financial statement disclosures.
26
MONEY MARKET MASTER PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)—Continued
4. Financial Highlights
Financial highlights for the Master Portfolio were as follows:
| | | | | | | | | | | | | | | | | | |
| | | Six Months
Ended
June 30, 2007
(Unaudited) | | | Year Ended
December 31,
2006 | | | Year Ended
December 31,
2005 | | | Year Ended
December 31,
2004 | | | Year Ended
December 31,
2003 | | | Year Ended
December 31,
2002 | |
Ratio of expenses to average net assets(a) | | 0.07 | % | | 0.08 | % | | 0.05 | % | | 0.05 | % | | 0.10 | % | | 0.10 | % |
Ratio of expenses to average net assets prior to expense reductions(a) | | 0.10 | % | | 0.10 | % | | 0.10 | % | | 0.10 | % | | n/a | | | n/a | |
Ratio of net investment income to average net assets(a) | | 5.31 | % | | 4.99 | % | | 3.27 | % | | 1.40 | % | | 1.15 | % | | 1.80 | % |
Total return | | 2.66 | %(b) | | 5.13 | % | | 3.28 | % | | 1.39 | % | | 1.16 | % | | 1.84 | % |
(a) | Annualized for periods of less than one year. |
27
MONEY MARKET MASTER PORTFOLIO
BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACT (Unaudited)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not interested persons of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider each Investment Advisory Contract between MIP and BGFA (each, an “Advisory Contract”) on behalf of Money Market Master Portfolio (the “Master Portfolio”). As required by Section 15(c), the Board requested and BGFA provided such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contract. At a meeting held on March 14-15, 2007, the Board approved the selection of BGFA and the continuance of the Advisory Contract, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contract for the Master Portfolio, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:
Nature, Extent and Quality of Services Provided by BGFA
The Board determined that there would be no diminution in the scope of services required of BGFA under the Advisory Contract for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that, over the past several years, BGFA and its affiliates have committed significant resources to the support of the Master Portfolio. The Board considered in particular that BGFA’s services for the Master Portfolio capitalize on BGFA’s core competencies, including the effective use of integrated portfolio management and trading expertise and proprietary technology that provides real-time access to performance, analytics and risk. The Board also considered services provided by BGFA and its affiliates in connection with the review of counterparty and issuer credit risk and the oversight of intermediaries that provide BGI feeder fund shareholder support and processing functions.
The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolio. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Master Portfolio. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the investment performance of other registered investment companies with substantially similar investment objectives and strategies as the Master Portfolio. The Board also noted that during BGFA’s term as investment adviser, the Master Portfolio has met its investment objectives. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolio under the Advisory Contract were appropriate and supported the Board’s approval of the Advisory Contract for the coming year.
Master Portfolio’s Expenses and Performance of the Master Portfolio
The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of the Master Portfolio in comparison with the same information for other funds registered under the 1940 Act, objectively selected solely by Lipper, as comprising the Master Portfolio’s applicable peer group (the “Lipper Expense Group”). In addition, the Board reviewed statistical
28
MONEY MARKET MASTER PORTFOLIO
BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACT (Unaudited)—Continued
information prepared by Lipper regarding the performance of the Master Portfolio for the one-, three-, five-, and ten-year (or since inception) periods ended December 31, 2006, as applicable, and as compared to the performance of other registered funds with similar investment objectives, as selected solely by Lipper (the “Lipper Performance Group”, and together with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds Money Market Fund than to the Master Portfolio, which is not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the applicable Lipper Groups and to prepare this information.
The Board noted that the Master Portfolio outperformed the median performance of the funds in its Lipper Performance Group over relevant periods. The Board noted that the advisory fee for the Master Portfolio was generally in line with or lower than the advisory fee rates of the funds in its Lipper Expense Group. The Board also noted that overall expenses for the Master Portfolio were lower than the overall expenses for the funds in its Lipper Expense Group, both net and gross of BGFA’s voluntary waiver of advisory fee amounts for the Master Portfolio during the year ended December 31, 2006 and BGFA’s agreement to contractually waive a portion of its advisory fee for the Master Portfolio, from May 1, 2006 through April 30, 2009. Based on this review, the Board concluded that the investment advisory fee and expense levels and the historical performance of the Master Portfolio, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Groups, were satisfactory for the purposes of approving the Advisory Contract for the coming year.
Costs of Services Provided to Master Portfolio and Profits Realized by BGFA and Affiliates
The Board reviewed information about the profitability to BGFA of the Master Portfolio, MIP, and the Barclays Global Investors Funds, separately and together, based on the fees payable to BGFA and its affiliates (including fees under the Advisory Contract), and all other sources of revenue and expense to BGFA and its affiliates for the last calendar year. The Board analyzed the Master Portfolio’s expenses, including the investment advisory fees paid to BGFA. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by the Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for the Master Portfolio), and any fee revenue from any investments by the Master Portfolio in other funds for which BGFA provides advisory services and/or BGI provides administration services. The Board also discussed BGFA’s contractual and voluntary fee waivers for the Master Portfolio. Based on this review, the Board concluded that the profits to be realized by BGFA and its affiliates under the Advisory Contract and from other relationships between the Master Portfolio and BGFA and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate.
Economies of Scale
In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolio’s asset levels. The Board noted that the Advisory Contract does not provide any breakpoints in the investment advisory fee rate as a result of any increases in the asset levels of the Master Portfolio. However, the Board noted that the investment advisory fee rate for the Master Portfolio had been set initially at the lower end of the marketplace so as to afford the Master Portfolio’s interestholders the opportunity to share in anticipated economies of scale from inception and noted BGFA’s agreement to contractually waive a portion of its advisory fee for the Master Portfolio, as discussed above. The Board also noted the difficulty of considering the potential for economies of scale based on advisory
29
MONEY MARKET MASTER PORTFOLIO
BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACT (Unaudited)—Continued
services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, which indicated that BGFA and its affiliates are profitable with respect to the Master Portfolio while providing services at a loss to certain other series of MIP, with the overall MIP complex posting a profit to BGFA and its affiliates for the year, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolio increase. In light of this analysis and the relatively low investment advisory fee rate for the Master Portfolio, the Board determined that whether further economies of scale may be realized by the Master Portfolio or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contract.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BGFA and its Affiliates
The Board considered the Master Portfolio’s annual investment advisory fee rate under the Advisory Contract in comparison to the investment advisory/management fee rates for other funds/accounts with substantially similar investment objectives and strategies for which BGFA (or its affiliate BGI) provides investment advisory/management services, including other funds registered under the 1940 Act and collective funds (together, the “Other Accounts”). The Board noted that BGFA had provided information distinguishing the level of services provided to the Other Accounts from the level of services provided to the Master Portfolio. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolio in comparison with the nature and extent of services provided to the Other Accounts, including, among other things, the level of complexity in managing the Master Portfolio and the Other Accounts under differing regulatory requirements and client guidelines.
The Board noted that the investment advisory fee rate under the Master Portfolio’s Advisory Contract was within the range of the investment management fee rates for the collective funds. The Board noted that any differences between the advisory fee rate for the Master Portfolio and the investment management fee rates for the collective funds appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the collective funds. Based on this review, the Board determined that the investment advisory fee rate under the Advisory Contract does not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rate under the Advisory Contract is fair and reasonable.
Other Benefits to BGFA and/or its Affiliates
The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolio by BGFA, such as payment of administration fees to BGI, MIP’s administrator. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolio. The Board further noted that the Master Portfolio may, but generally does not, participate in securities lending activities and generally does not execute transactions with affiliated brokers, as do other series of MIP. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolio’s interestholders.
Based on this analysis, the Board determined that the Advisory Contract, including the investment advisory fee rate thereunder, is fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolio and its interestholders to approve the Advisory Contract for the coming year.
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Hewitt Series Trust
Hewitt Money Market Fund
Semi-Annual Report
June 30, 2007
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this filing.
Item 6. Schedule of Investments.
The information required by this Item 6 is included as part of the report to shareholders under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant does not have procedures by which shareholders may recommend nominees to the Board of Trustees of Hewitt Series Trust.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, the “Disclosure Controls”) as of a date within 90 days prior to the filing date (the “Filing Date”) of this Form N-CSR (the “Report”), the Registrant’s principal executive and principal financial officers have concluded that the Disclosure Controls are effectively designed to ensure that information required to be disclosed by the registrant in the Report is recorded, processed, summarized and reported by the Filing Date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the registrant’s management, including the registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
| | | | |
| (a) | | (1) | | Not applicable. |
| | |
| | (2) | | Certifications pursuant to Rule 30a-2 under the Investment Company Act of 1940 (17 CFR 270.30a-2), attached hereto as Exhibits (a)(2)(i) and (a)(2)(ii) |
| | |
| | (3) | | Not applicable. |
| | |
| (b) | | | | Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, attached hereto as Exhibit (b) |
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.
| | |
| Hewitt Series Trust |
| |
By: | | /s/ E. Scott Peterson |
| | E. Scott Peterson |
| | President |
| |
Date: | | 8/27/07 |
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: | | /s/ E. Scott Peterson |
| | E. Scott Peterson |
| | President |
| |
Date: | | 8/27/07 |
| |
By: | | /s/ Douglas S. Keith |
| | Douglas S. Keith |
| | Treasurer and Chief Financial Officer |
| |
Date: | | 8/27/07 |
