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 811-10407
Master Portfolio Trust
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
300 First Stamford Place,4th Fl.
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 451-2010
Date of fiscal year end: August 31
Date of reporting period: February 28, 2007
ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
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LIQUID RESERVES PORTFOLIO | |||||||
| Face |
| Security |
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| Value |
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SHORT-TERM INVESTMENTS — 104.0% |
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Asset-Backed Securities — 2.8% |
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$ | 500,000,000 |
| Aardvark, Series 2007-1A, Class A1, 5.350% due 2/6/08 (a)(b) |
| $ | 500,000,000 |
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| 500,000,000 |
| Brigantine High Grade Funding Ltd., |
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| 500,000,000 |
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| 500,000,000 |
| Restructured Asset Certificates with Enhanced Returns (RACERS) Trust, |
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| 500,000,000 |
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| Total Asset-Backed Securities |
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| 1,500,000,000 |
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Bank Note — 0.8% |
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| 451,000,000 |
| Bank of America N.A., 5.310% due 4/24/07 |
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| 451,000,000 |
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Certificates of Deposit (Yankee) — 11.5% |
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| Barclays Bank PLC NY: |
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| 275,000,000 |
| 5.310% due 5/9/07 |
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| 275,000,000 |
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| 390,000,000 |
| 5.370% due 1/29/08 |
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| 390,000,000 |
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| 77,500,000 |
| 5.390% due 2/4/08 |
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| 77,500,000 |
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| Calyon NY: |
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| 540,000,000 |
| 5.300% due 4/20/07 |
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| 540,000,000 |
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| 395,000,000 |
| 5.350% due 8/9/07 |
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| 395,000,000 |
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| 97,537,000 |
| 5.368% due 10/26/07 |
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| 97,570,625 |
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| 300,000,000 |
| Canadian Imperial Bank, 5.230% due 8/29/07 |
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| 300,000,000 |
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| Credit Suisse New York: |
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| 250,000,000 |
| 5.340% due 8/13/07 |
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| 250,000,000 |
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| 240,000,000 |
| 5.365% due 1/22/08 |
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| 240,000,000 |
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| 100,000,000 |
| 5.390% due 1/30/08 |
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| 100,000,000 |
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| 175,000,000 |
| 5.350% due 2/11/08 |
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| 175,000,000 |
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| 300,000,000 |
| 5.293% due 2/20/08 |
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| 299,992,685 |
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| 140,000,000 |
| 5.345% due 2/27/08 |
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| 140,000,000 |
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| 485,000,000 |
| 5.250% due 3/3/08 |
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| 485,000,000 |
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| 300,000,000 |
| Depfa Bank PLC NY, 5.285% due 6/26/07 (a) |
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| 300,000,000 |
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| Deutsche Bank NY: |
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| 300,000,000 |
| 5.250% due 8/2/07 |
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| 300,000,000 |
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| 425,000,000 |
| 5.350% due 8/6/07 |
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| 425,000,000 |
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| 323,500,000 |
| 5.400% due 12/12/07 |
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| 323,500,000 |
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| 250,000,000 |
| Dexia Credit Local NY, 5.370% due 10/26/07 |
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| 250,090,122 |
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| 250,000,000 |
| Natexis Banque Populaires NY, 5.340% due 4/5/07 |
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| 250,000,000 |
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| Unicredito Italiano SpA NY: |
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| 200,000,000 |
| 5.330% due 7/31/07 |
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| 200,000,000 |
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| 300,000,000 |
| 5.290% due 8/16/07 |
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| 300,000,000 |
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| 130,000,000 |
| 5.395% due 10/29/07 |
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| 130,064,909 |
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| Total Certificates of Deposit (Yankee) |
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| 6,243,718,341 |
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Commercial Paper — 39.8% |
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| Anglesea Funding: |
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| 185,000,000 |
| 5.308% due 3/2/07 (c) |
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| 184,972,764 |
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| 302,000,000 |
| 5.303% due 3/8/07 (c) |
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| 301,689,947 |
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| 125,000,000 |
| 5.290% due 3/30/07 (b) |
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| 124,998,103 |
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See Notes to Financial Statements.
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16 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
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Schedule of Investments (February 28, 2007) (unaudited) (continued) | |||||||
| Face |
| Security |
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| Value |
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Commercial Paper — 39.8% (continued) |
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$ | 93,381,000 |
| 5.369% due 4/13/07 (c) |
| $ | 92,797,654 |
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| 89,050,000 |
| 5.256% due 6/6/07 (c) |
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| 87,821,506 |
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| 116,600,000 |
| 5.343% due 6/26/07 (c) |
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| 114,619,986 |
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| 200,000,000 |
| 5.280% due 6/29/07 (b) |
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| 199,980,209 |
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| 158,000,000 |
| 5.361% due 8/6/07 (c) |
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| 154,380,220 |
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| 150,000,000 |
| 5.361% due 8/7/07 (c) |
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| 146,541,750 |
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| 100,000,000 |
| 5.362% due 8/8/07 (c) |
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| 97,680,000 |
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| 100,000,000 |
| 5.340% due 11/9/07 (c) |
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| 96,389,831 |
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| Bank of America Corp.: |
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| 250,000,000 |
| 5.326% due 4/16/07 (c) |
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| 248,335,694 |
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| 286,150,000 |
| 5.250% due 6/5/07 (c) |
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| 282,247,677 |
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| Bavaria TRR Corp.: |
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| 191,023,000 |
| 5.302% due 3/8/07 (c) |
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| 190,826,512 |
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| 1,237,000,000 |
| 5.311%-5.312% due 3/20/07 (c) |
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| 1,233,546,366 |
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| 296,946,000 |
| 5.312% due 3/26/07 (c) |
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| 295,855,137 |
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| Bear Stearns Co.: |
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| 250,000,000 |
| 5.393% due 3/1/07 (b) |
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| 250,000,000 |
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| 100,000,000 |
| 5.341% due 4/20/07 (c) |
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| 99,276,389 |
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| 217,400,000 |
| 5.301% due 6/29/07 (c) |
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| 213,704,200 |
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| 198,586,000 |
| Belmont Funding LLC, 5.320% due 4/19/07 (a)(c) |
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| 197,166,938 |
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| Berkeley Square Finance LLC: |
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| 141,865,000 |
| 5.371% due 3/1/07 (c) |
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| 141,865,000 |
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| 198,898,000 |
| 5.317% due 3/5/07 (a)(c) |
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| 198,781,313 |
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| 100,000,000 |
| 5.320% due 3/5/07 (a)(c) |
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| 99,941,111 |
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| 125,000,000 |
| Carrera Capital Finance LLC, 5.340% due 1/29/08 (a)(b) |
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| 125,000,000 |
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| 125,000,000 |
| Chariot Funding LLC, 5.292% due 3/23/07 (c) |
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| 124,597,430 |
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| Chesham Finance LLC: |
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| 135,700,000 |
| 5.315% due 3/1/07 (a)(c) |
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| 135,700,000 |
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| 100,000,000 |
| 5.318% due 3/5/07 (a)(c) |
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| 99,941,667 |
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| 550,000,000 |
| 5.325%-5.340% due 4/4/07 (a)(c) |
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| 547,263,945 |
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| 200,000,000 |
| 5.330% due 4/10/07 (a)(c) |
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| 198,831,111 |
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| 298,500,000 |
| 5.331%-5.361% due 4/12/07 (a)(c) |
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| 296,671,635 |
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| 195,000,000 |
| 5.330% due 4/19/07 (a)(c) |
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| 193,603,908 |
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| 150,000,000 |
| 5.305% due 7/18/07 (a)(b) |
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| 149,980,347 |
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| 150,000,000 |
| 5.240% due 8/30/07 (a)(c) |
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| 146,178,000 |
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| 150,000,000 |
| Concord Minutemen Capital Co., 5.302% due 3/14/07 (a)(c) |
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| 149,713,458 |
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| 100,000,000 |
| Davis Square Funding III Corp., 5.310% due 3/20/07 (c) |
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| 99,721,333 |
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| 100,000,000 |
| East-Fleet Finance LLC, 5.310% due 5/25/07 (a)(b) |
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| 99,994,254 |
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| Ebbets Funding PLC: |
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| 900,000,000 |
| 5.341% due 3/1/07 (a)(c) |
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| 900,000,000 |
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| 250,000,000 |
| 5.363% due 3/22/07 (a)(c) |
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| 249,228,542 |
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| 185,000,000 |
| 5.331% due 5/7/07 (a)(c) |
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| 183,188,953 |
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| 225,000,000 |
| 5.334% due 9/14/07 (a)(c) |
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| 218,683,687 |
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| Ebury Finance Ltd.: |
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| 200,000,000 |
| 5.392% due 3/19/07 (a)(c) |
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| 199,475,000 |
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| 100,000,000 |
| 5.339% due 3/21/07 (a)(c) |
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| 99,711,111 |
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| 132,500,000 |
| 5.338% due 4/2/07 (a)(c) |
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| 131,879,311 |
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| 150,000,000 |
| 5.340% due 4/3/07 (a)(c) |
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| 149,275,375 |
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See Notes to Financial Statements.
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Liquid Reserves Portfolio 2007 Semi-Annual Report | 17 |
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Schedule of Investments (February 28, 2007) (unaudited) (continued) | |||||||
| Face |
| Security |
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| Value |
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Commercial Paper — 39.8% (continued) |
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$ | 200,000,000 |
| 5.351% due 4/4/07 (a)(c) |
| $ | 199,015,889 |
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| 400,000,000 |
| 5.341% due 4/9/07 (a)(c) |
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| 397,716,333 |
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| 175,000,000 |
| 5.341% due 4/10/07 (a)(c) |
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| 173,975,278 |
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| 100,000,000 |
| 5.377% due 4/17/07 (c) |
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| 99,316,542 |
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| 275,000,000 |
| 5.377% due 4/20/07 (a)(c) |
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| 273,000,521 |
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| 196,300,000 |
| 5.299% due 6/8/07 (a)(c) |
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| 193,514,503 |
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| 125,000,000 |
| 5.350% due 7/10/07 (a)(c) |
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| 122,630,174 |
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| 100,000,000 |
| 5.330% due 7/30/07 (a)(c) |
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| 97,850,767 |
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| 250,000,000 |
| 5.327%-5.371% due 8/1/07 (a)(c) |
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| 244,489,875 |
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| 167,000,000 |
| 5.390% due 11/15/07 (a)(c) |
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| 160,778,777 |
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| General Electric Capital Corp.: |
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| 407,000,000 |
| 5.335% due 6/19/07 (c) |
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| 400,620,275 |
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| 100,000,000 |
| 5.302% due 8/10/07 (c) |
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| 97,705,000 |
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| 300,000,000 |
| 5.333% due 11/9/07 (c) |
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| 289,184,250 |
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| 257,672,000 |
| Georgetown Funding Co. LLC, 5.313% due 3/21/07 (c) |
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| 256,914,730 |
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| 60,698,000 |
| Giro Balanced Funding Corp., 5.327% due 3/23/07 (c) |
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| 60,505,486 |
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| Greyhawk Capital Corp.: |
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| 149,000,000 |
| 5.378% due 3/22/07 (c) |
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| 148,544,991 |
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| 118,079,000 |
| 5.313% due 4/2/07 (c) |
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| 117,536,361 |
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| 154,300,000 |
| 5.315% due 4/25/07 (c) |
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| 153,063,564 |
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| Halkin Finance LLC: |
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| 264,000,000 |
| 5.392% due 3/1/07 (c) |
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| 264,000,000 |
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| 100,000,000 |
| 5.387% due 3/5/07 (c) |
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| 99,941,722 |
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| 150,000,000 |
| 5.371% due 8/7/07 (c) |
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| 146,535,125 |
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| Kaiserplatz Delaware: |
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| 248,000,000 |
| 5.344% due 3/16/07 (c) |
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| 247,455,433 |
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| 232,472,000 |
| 5.347% due 3/21/07 (c) |
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| 231,791,374 |
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| 100,000,000 |
| 5.372% due 4/4/07 (c) |
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| 99,505,111 |
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| 200,000,000 |
| Legacy Capital Co., 5.377% due 3/6/07 (a)(c) |
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| 199,854,583 |
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| Mica Funding LLC: |
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| 183,900,000 |
| 5.302% due 3/5/07 (a)(c) |
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| 183,792,112 |
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| 720,000,000 |
| 5.302% due 3/12/07 (a)(c) |
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| 718,838,399 |
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| 200,000,000 |
| 5.304% due 3/15/07 (a)(c) |
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| 199,589,333 |
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| 228,092,000 |
| 5.360% due 3/20/07 (a)(c) |
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| 227,455,180 |
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| 750,000,000 |
| Morgan Stanley Dean Witter Co., 5.370% due 3/28/07 (b) |
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| 750,000,000 |
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| Morrigan TRR Funding LLC: |
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| 100,000,000 |
| 5.324% due 3/7/07 (a)(c) |
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| 99,911,667 |
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| 386,000,000 |
| 5.380% due 3/16/07 (a)(c) |
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| 385,145,975 |
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| 50,000,000 |
| 5.358% due 3/21/07 (a)(c) |
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| 49,855,000 |
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| 325,000,000 |
| 5.374%-5.383% due 3/23/07 (a)(c) |
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| 323,950,111 |
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| 50,000,000 |
| 5.363% due 3/28/07 (a)(c) |
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| 49,804,250 |
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| 117,000,000 |
| 5.368% due 7/24/07 (a)(c) |
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| 114,568,350 |
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| 150,000,000 |
| 5.322% due 7/27/07 (a)(c) |
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| 146,842,667 |
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| 100,000,000 |
| 5.310% due 8/8/07 (a) |
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| 99,995,695 |
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| 215,000,000 |
| 5.270%-5.329% due 8/28/07 (a)(c) |
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| 209,480,750 |
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| 343,500,000 |
| 5.270% due 8/31/07 (a)(c) |
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| 334,647,146 |
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| 220,000,000 |
| 5.389% due 11/5/07 (a)(c) |
|
| 212,117,767 |
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| 383,300,000 |
| 5.390% due 11/9/07 (a)(c) |
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| 369,341,002 |
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See Notes to Financial Statements.
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18 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
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Schedule of Investments (February 28, 2007) (unaudited) (continued) | |||||||
| Face |
| Security |
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| Value |
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Commercial Paper — 39.8% (continued) |
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$ | 290,000,000 |
| 5.373% due 11/13/07 (a)(c) |
| $ | 279,307,015 |
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| New Center Asset Trust: |
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| 200,000,000 |
| 5.302% due 5/3/07 (c) |
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| 198,183,500 |
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| 232,750,000 |
| 5.296% due 5/29/07 (c) |
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| 229,780,885 |
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| 100,000,000 |
| Orion Financial LLC, 5.310% due 8/10/07 |
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| 99,989,059 |
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| 400,000,000 |
| Ormond Quay Funding LLC, 5.280% due 10/5/07 |
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| 399,928,509 |
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| 210,462,000 |
| Perry Global Funding LLC, 5.378% due 3/14/07 (c) |
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| 210,064,519 |
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| Picaros Funding PLC: |
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|
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| 182,000,000 |
| 5.327% due 3/23/07 (c) |
|
| 181,422,757 |
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| 126,000,000 |
| 5.296% due 6/22/07 (c) |
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| 123,982,950 |
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| 103,650,000 |
| Silver Tower U.S. Funding, 5.304% due 8/10/07 (c) |
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| 101,270,299 |
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| 100,000,000 |
| Societe Generale London, 5.395% due 7/27/07 |
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| 100,055,206 |
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| Societe Generale N.A.: |
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| 300,000,000 |
| 5.300% due 5/4/07 (c) |
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| 297,258,667 |
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| 150,000,000 |
| 5.250% due 7/27/07 (c) |
|
| 146,883,983 |
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| 100,000,000 |
| 5.297% due 8/13/07 (c) |
|
| 97,664,792 |
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|
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| Tasman Funding Inc.: |
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|
|
| 99,455,000 |
| 5.302% due 3/6/07 (c) |
|
| 99,382,066 |
|
| 185,408,000 |
| 5.302% due 3/7/07 (c) |
|
| 185,244,841 |
|
| 141,250,000 |
| Toyota Motor Car Co., 5.260% due 7/30/07 (c) |
|
| 138,252,126 |
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| Total Commercial Paper |
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| 21,691,510,616 |
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Liquidity Notes — 22.7% |
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| Albis Capital Corp.: |
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|
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| 104,000,000 |
| 5.360% due 3/5/07 (c) |
|
| 103,938,871 |
|
| 150,000,000 |
| 5.381% due 3/13/07 (c) |
|
| 149,734,500 |
|
| 105,000,000 |
| 5.371% due 4/23/07 (c) |
|
| 104,180,708 |
|
| 120,000,000 |
| 5.371% due 5/15/07 (c) |
|
| 118,675,000 |
|
| 197,455,000 |
| Brahms Funding Corp., 5.339% due 3/16/07 (a)(c) |
|
| 197,019,776 |
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|
|
| Fenway Funding LLC: |
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|
|
|
| 449,000,000 |
| 5.351%-5.361% due 3/1/07 (a)(c) |
|
| 449,000,000 |
|
| 224,000,000 |
| 5.305% due 3/2/07 (a)(c) |
|
| 223,967,022 |
|
| 101,346,000 |
| 5.340% due 3/5/07 (a)(c) |
|
| 101,286,656 |
|
| 300,000,000 |
| 5.303%-5.304% due 3/9/07 (a)(c) |
|
| 299,648,000 |
|
| 230,577,000 |
| 5.314% due 3/12/07 (a)(c) |
|
| 230,204,298 |
|
| 200,000,000 |
| 5.341% due 3/15/07 (a)(c) |
|
| 199,588,556 |
|
| 100,000,000 |
| 5.339% due 3/23/07 (a)(c) |
|
| 99,676,722 |
|
| 100,000,000 |
| 5.328% due 4/23/07 (a)(c) |
|
| 99,222,667 |
|
| 100,000,000 |
| 5.233% due 8/31/07 (a)(c) |
|
| 97,440,542 |
|
| 185,000,000 |
| 5.410% due 10/26/07 (a)(c) |
|
| 178,613,388 |
|
| 100,000,000 |
| 5.409% due 11/9/07 (a)(c) |
|
| 96,345,555 |
|
| 100,000,000 |
| 5.370% due 11/16/07 (a)(c) |
|
| 96,271,239 |
|
|
|
| Ford Credit Floorplan Motown: |
|
|
|
|
| 289,210,000 |
| 5.385% due 3/26/07 (c) |
|
| 288,143,538 |
|
| 178,800,000 |
| 5.351% due 4/18/07 (c) |
|
| 177,541,248 |
|
| 267,500,000 |
| Master Owner Trust, Motown Notes, |
|
| 266,750,331 |
|
See Notes to Financial Statements.
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|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 19 |
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|
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) | |||||||
| Face |
| Security |
|
| Value |
|
Liquidity Notes — 22.7% (continued) |
|
|
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| |||
|
|
| Foxboro Funding Ltd.: |
|
|
|
|
$ | 1,187,298,000 |
| 5.313%-5.361% due 3/1/07 (a)(c) |
| $ | 1,187,298,000 |
|
| 820,086,000 |
| 5.312%-5.316% due 3/5/07 (a)(c) |
|
| 819,603,638 |
|
| 350,000,000 |
| 5.322% due 3/21/07 (a)(c) |
|
| 348,969,445 |
|
| 388,000,000 |
| 5.323% due 3/22/07 (a)(c) |
|
| 386,800,435 |
|
| 365,067,000 |
| KKR Atlantic Funding Trust, 5.310%-5.312% due 3/23/07 (c) |
|
| 363,886,821 |
|
|
|
| KKR Pacific Funding Trust: |
|
|
|
|
| 306,968,000 |
| 5.312% due 3/6/07 (a)(c) |
|
| 306,742,464 |
|
| 400,269,000 |
| 5.303% due 3/7/07 (a)(c) |
|
| 399,916,763 |
|
|
|
| Mint II LLC: |
|
|
|
|
| 200,000,000 |
| 5.381% due 3/21/07 (a)(c) |
|
| 199,417,778 |
|
| 100,000,000 |
| 5.395% due 3/22/07 (a)(c) |
|
| 99,690,833 |
|
| 253,000,000 |
| 5.395%-5.401% due 3/29/07 (a)(c) |
|
| 251,958,451 |
|
| 560,000,000 |
| 5.400% due 4/27/07 (a)(c) |
|
| 555,336,133 |
|
| 100,000,000 |
| 5.380% due 5/25/07 (a)(c) |
|
| 98,762,778 |
|
| 376,506,000 |
| Monument Gardens Funding LLC, 5.301% due 3/22/07 (a)(c) |
|
| 375,346,361 |
|
|
|
| North Lake Capital Funding: |
|
|
|
|
| 100,000,000 |
| 5.309% due 3/7/07 (c) |
|
| 99,911,666 |
|
| 200,000,000 |
| 5.324% due 3/23/07 (c) |
|
| 199,352,222 |
|
| 200,000,000 |
| Park Granada LLC, 5.371% due 3/1/07 (c) |
|
| 200,000,000 |
|
| 137,020,000 |
| Park Sienna LLC, 5.371% due 3/1/07 (c) |
|
| 137,020,000 |
|
| 203,463,000 |
| Stratford Receivables Co. LLC, 5.324% due 3/9/07 (a)(c) |
|
| 203,223,818 |
|
|
|
| Thornburg Mortgage Capital Resource: |
|
|
|
|
| 232,750,000 |
| 5.302% due 3/5/07 (a)(c) |
|
| 232,613,453 |
|
| 300,000,000 |
| 5.312% due 3/20/07 (a)(c) |
|
| 299,162,418 |
|
| 200,000,000 |
| 5.300% due 6/4/07 (a)(b) |
|
| 199,994,861 |
|
|
|
| Notes: |
|
|
|
|
| 200,000,000 |
| 5.302% due 3/6/07 (a)(c) |
|
| 199,853,333 |
|
| 154,000,000 |
| 5.317% due 3/13/07 (a)(c) |
|
| 153,728,446 |
|
|
|
| Valcour Bay Capital: |
|
|
|
|
| 410,000,000 |
| 5.310%-5.322% due 3/8/07 (a)(c) |
|
| 409,577,083 |
|
| 381,038,000 |
| 5.332% due 3/15/07 (a)(c) |
|
| 380,251,157 |
|
|
|
| Windsor Funding Trust: |
|
|
|
|
| 200,000,000 |
| 5.361% due 3/13/07 (a)(c) |
|
| 199,647,333 |
|
| 200,000,000 |
| 5.362% due 3/14/07 (a)(c) |
|
| 199,617,945 |
|
| 100,000,000 |
| 5.349% due 4/10/07 (a)(c) |
|
| 99,413,333 |
|
| 225,000,000 |
| 5.351% due 4/17/07 (a)(c) |
|
| 223,449,000 |
|
|
|
| Total Liquidity Notes |
|
| 12,407,794,585 |
|
Master Notes — 4.2% |
|
|
|
| |||
| 950,000,000 |
| Merrill Lynch, 5.443% due 3/1/07 |
|
| 950,000,000 |
|
| 1,342,500,000 |
| Morgan Stanley Master Note, 5.483% due 3/1/07 |
|
| 1,342,500,000 |
|
|
|
| Total Master Notes |
|
| 2,292,500,000 |
|
Medium-Term Notes — 11.8% |
|
|
|
| |||
| 350,000,000 |
| Bear Stearns Co., 5.330% due 1/9/08 (b) |
|
| 350,000,000 |
|
|
|
| Cheyne Finance LLC: |
|
|
|
|
| 50,000,000 |
| 5.320% due 3/26/07 (a)(b) |
|
| 49,999,309 |
|
See Notes to Financial Statements.
|
|
20 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
|
|
|
|
|
|
|
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) | |||||||
| Face |
| Security |
|
| Value |
|
Medium-Term Notes — 11.8% (continued) |
|
|
|
| |||
$ | 100,000,000 |
| 5.330% due 6/5/07 (a)(b) |
| $ | 99,996,055 |
|
| 100,000,000 |
| 5.325% due 9/20/07 (a)(b) |
|
| 99,991,658 |
|
| 100,000,000 |
| 5.323% due 9/25/07 (a)(b) |
|
| 99,990,141 |
|
| 100,000,000 |
| 5.324% due 10/25/07 (a)(b) |
|
| 99,989,567 |
|
| 150,000,000 |
| 5.315% due 11/26/07 (a)(b) |
|
| 149,977,747 |
|
|
|
| Cullinan Finance Ltd.: |
|
|
|
|
| 150,000,000 |
| 5.310% due 7/25/07 (a)(b) |
|
| 149,981,417 |
|
| 450,000,000 |
| 5.320% due 11/15/07 (a)(b) |
|
| 449,968,069 |
|
| 100,000,000 |
| 5.320% due 11/26/07 (a)(b) |
|
| 99,989,098 |
|
|
|
| K2 USA LLC: |
|
|
|
|
| 300,000,000 |
| 5.325% due 9/20/07 (a)(b) |
|
| 299,983,315 |
|
| 225,000,000 |
| 5.325% due 9/25/07 (a)(b) |
|
| 224,987,178 |
|
| 200,000,000 |
| 5.320% due 11/20/07 (b) |
|
| 199,971,915 |
|
| 250,000,000 |
| Medium-Term Notes, 5.325% due 7/25/07 (a)(b) |
|
| 249,985,000 |
|
|
|
| Premier Asset Collateralized Entity LLC, Medium-Term Notes: |
|
|
|
|
| 100,000,000 |
| 5.333% due 7/6/07 (a)(b) |
|
| 99,997,390 |
|
| 175,000,000 |
| 5.350% due 7/16/07 (a)(b) |
|
| 174,996,707 |
|
| 100,000,000 |
| 5.355% due 7/25/07 (a)(b) |
|
| 100,000,000 |
|
| 200,000,000 |
| 5.300% due 1/15/08 (a)(b) |
|
| 199,982,418 |
|
|
|
| Pyxis Master Trust: |
|
|
|
|
| 200,000,000 |
| 5.330% due 11/20/09 (a)(b) |
|
| 200,000,000 |
|
| 200,000,000 |
| 5.340% due 12/20/09 (a)(b) |
|
| 200,000,000 |
|
|
|
| Sigma Finance Inc.: |
|
|
|
|
| 150,000,000 |
| 5.272% due 6/27/07 (c) |
|
| 147,507,250 |
|
| 100,000,000 |
| 5.295% due 7/5/07 (a)(c) |
|
| 98,218,500 |
|
| 125,000,000 |
| 5.305% due 8/1/07 (a)(c) |
|
| 122,290,625 |
|
| 700,000,000 |
| 5.320% due 11/16/07 (a)(b) |
|
| 699,950,273 |
|
| 175,000,000 |
| Medium-Term Notes, 5.390% due 2/4/08 (a) |
|
| 174,991,894 |
|
|
|
| Stanfield Victoria Funding LLC: |
|
|
|
|
| 100,000,000 |
| 5.320% due 11/1/07 (a)(b) |
|
| 99,986,575 |
|
|
|
| Medium-Term Note: |
|
|
|
|
| 100,000,000 |
| 5.310% due 3/20/07 (a)(b) |
|
| 99,998,438 |
|
| 150,000,000 |
| 5.310% due 3/28/07 (a)(b) |
|
| 149,996,734 |
|
| 90,000,000 |
| 5.320% due 6/4/07 (a)(b) |
|
| 89,994,755 |
|
| 180,000,000 |
| 5.320% due 6/29/07 (a)(b) |
|
| 179,988,164 |
|
| 150,000,000 |
| 5.320% due 6/30/07 (a)(b) |
|
| 149,990,055 |
|
| 250,000,000 |
| Steers Delaware Business Trust, Senior Secured Notes, |
|
| 250,000,000 |
|
| 210,000,000 |
| Tango Finance Corp., Medium-Term Notes, 5.330% due 7/25/07 (a)(b) |
|
| 209,991,600 |
|
|
|
| White Pine Finance LLC: |
|
|
|
|
| 100,000,000 |
| 5.320% due 10/25/07 (a)(b) |
|
| 99,986,959 |
|
| 75,000,000 |
| 5.355% due 3/19/08 (a)(b) |
|
| 74,985,000 |
|
| 200,000,000 |
| Medium-Term Notes, 5.320% due 11/13/07 (a)(b) |
|
| 199,972,065 |
|
|
|
| Total Medium-Term Notes |
|
| 6,447,635,871 |
|
Promissory Notes— 2.8% |
|
|
|
| |||
|
|
| Goldman Sachs Group Inc.: |
|
|
|
|
| 1,100,000,000 |
| 5.450% due 5/24/07 (b) |
|
| 1,100,000,000 |
|
See Notes to Financial Statements.
|
|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 21 |
|
|
|
|
|
|
|
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) | |||||||
| Face |
| Security |
|
| Value |
|
Promissory Notes— 2.8% (continued) |
|
|
|
| |||
$ | 40,000,000 |
| 5.450% due 7/24/07 (b) |
| $ | 40,000,000 |
|
| 350,000,000 |
| 5.340% due 8/13/07 |
|
| 350,000,000 |
|
| 26,012,000 |
| 5.430% due 9/20/07 (b) |
|
| 26,012,000 |
|
|
|
| Total Promissory Notes |
|
| 1,516,012,000 |
|
Time Deposits — 4.0% |
|
|
|
| |||
| 320,000,000 |
| Bank of Tokyo, 5.370% due 3/19/07 |
|
| 320,000,000 |
|
|
|
| Calyon Grand Cayman: |
|
|
|
|
| 737,222,000 |
| 5.340% due 3/1/07 |
|
| 737,222,000 |
|
| 249,398,000 |
| 5.350% due 3/1/07 |
|
| 249,398,000 |
|
|
|
| Societe Generale Cayman: |
|
|
|
|
| 496,819,000 |
| 5.330% due 3/1/07 |
|
| 496,819,000 |
|
| 399,349,000 |
| 5.500% due 3/1/07 |
|
| 399,349,000 |
|
|
|
| Total Time Deposits |
|
| 2,202,788,000 |
|
U.S. Government & Agency Obligations — 3.6% |
|
|
|
| |||
U.S. Government Agencies — 1.3% |
|
|
|
| |||
| 86,000,000 |
| Federal Farm Credit Bank (FFCB), Discount Notes, 5.212% due 1/16/08(c) |
|
| 82,204,175 |
|
|
|
| Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes: |
|
|
|
|
| 221,310,000 |
| 5.096%-5.132% due 12/11/07(c) |
|
| 212,783,807 |
|
| 112,487,000 |
| 5.248%-5.249% due 1/7/08(c) |
|
| 107,622,312 |
|
| 100,000,000 |
| 5.214% due 2/4/08(c) |
|
| 95,315,555 |
|
| 239,019,000 |
| Federal National Mortgage Association (FNMA), Discount Notes, |
|
|
|
|
|
|
| 5.229% due 2/1/08(c) |
|
| 227,887,520 |
|
|
|
| Total U.S. Government Agencies |
|
| 725,813,369 |
|
U.S. Government Obligation — 2.3% |
|
|
|
| |||
| 1,250,000,000 |
| U.S. Treasury Bills, 5.009%-5.082% due 8/30/07(c) |
|
| 1,218,807,851 |
|
|
|
| Total U.S. Government & Agency Obligations |
|
| 1,944,621,220 |
|
|
|
| TOTAL INVESTMENTS — 104.0% (Cost — $56,697,580,633#) |
|
| 56,697,580,633 |
|
|
|
| Liabilities in Excess of Other Assets — (4.0)% |
|
| (2,167,437,090 | ) |
|
|
| TOTAL NET ASSETS — 100.0% |
| $ | 54,530,143,543 |
|
|
|
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
| |
(b) | Variable rate security. Interest rate disclosed is that which is in effect at February 28, 2007. |
| |
(c) | Rate shown represents yield-to-maturity. |
| |
# | Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Financial Statements.
|
|
22 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
|
Liquid Reserves Portfolio |
Statement of Assets and Liabilities (February 28, 2007) (unaudited) |
|
|
|
|
|
ASSETS: |
|
|
|
|
Investments, at amortized cost |
| $ | 56,697,580,633 |
|
Cash |
|
| 93 |
|
Receivable for securities sold |
|
| 146,261,417 |
|
Interest receivable |
|
| 116,179,704 |
|
Receivable from manager |
|
| 486,584 |
|
Total Assets |
|
| 56,960,508,431 |
|
LIABILITIES: |
|
|
|
|
Payable for securities purchased |
|
| 2,425,035,310 |
|
Investment management fee payable |
|
| 4,234,496 |
|
Trustees’ fees payable |
|
| 948,232 |
|
Accrued expenses |
|
| 146,850 |
|
Total Liabilities |
|
| 2,430,364,888 |
|
Total Net Assets |
| $ | 54,530,143,543 |
|
REPRESENTED BY: |
|
|
|
|
Paid-in capital |
| $ | 54,530,143,543 |
|
See Notes to Financial Statements.
|
|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 23 |
|
Liquid Reserves Portfolio |
Statement of Operations (For the six months ended February 28, 2007) (unaudited) |
|
|
|
|
|
INVESTMENT INCOME: |
|
|
|
|
Interest (Note 1) |
| $ | 1,214,729,665 |
|
EXPENSES: |
|
|
|
|
Investment management fee (Note 2) |
|
| 22,694,190 |
|
Trustees’ fees (Notes 2 and 6) |
|
| 683,095 |
|
Legal fees |
|
| 177,114 |
|
Custody fees |
|
| 136,870 |
|
Audit and tax |
|
| 21,100 |
|
Miscellaneous expenses |
|
| 24,195 |
|
Total Expenses |
|
| 23,736,564 |
|
Less: Fee waivers and/or expense reimbursements (Notes 2 and 6) |
|
| (5,353,683 | ) |
Fees paid indirectly (Note 1) |
|
| (10,956 | ) |
Net Expenses |
|
| 18,371,925 |
|
Net Investment Income |
|
| 1,196,357,740 |
|
Net Realized Gain on Investments |
|
| 385,241 |
|
Increase in Net Assets From Operations |
| $ | 1,196,742,981 |
|
See Notes to Financial Statements.
|
|
24 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
|
Liquid Reserves Portfolio |
|
|
|
|
|
|
|
|
For the six months ended February 28, 2007 (unaudited) |
|
|
|
|
| ||
|
| 2007 |
| 2006 |
| ||
OPERATIONS: |
|
|
|
|
|
|
|
Net investment income |
| $ | 1,196,357,740 |
| $ | 1,647,359,372 |
|
Net realized gain (loss) |
|
| 385,241 |
|
| (7,271,827 | ) |
Increase in Net Assets From Operations |
|
| 1,196,742,981 |
|
| 1,640,087,545 |
|
CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
Net proceeds from sale of shares |
|
| 61,252,765,821 |
|
| 108,485,763,858 |
|
Cost of shares repurchased |
|
| (40,149,706,462 | ) |
| (122,684,334,964 | ) |
Increase (Decrease) in Net Assets From Capital Transactions |
|
| 21,103,059,359 |
|
| (14,198,571,106 | ) |
Increase (Decrease) in Net Assets |
|
| 22,299,802,340 |
|
| (12,558,483,561 | ) |
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
|
| 32,230,341,203 |
|
| 44,788,824,764 |
|
End of period |
| $ | 54,530,143,543 |
| $ | 32,230,341,203 |
|
See Notes to Financial Statements.
|
|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 25 |
|
Liquid Reserves Portfolio |
For the years ended August 31, unless otherwise noted:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2007(1) |
| 2006 |
| 2005 |
| 2004 |
| 2003 |
| 2002 |
| ||||||
Net Assets, End of Period (millions) |
| $ | 54,530 |
| $ | 32,230 |
| $ | 44,789 |
| $ | 37,587 |
| $ | 39,447 |
| $ | 45,007 |
|
Total Return(2) |
|
| 2.64 | % |
| 4.53 | % |
| 2.54 | % |
| 1.09 | % |
| 1.49 | % |
| 2.36 | % |
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
| 0.10 | %(3)(4) |
| 0.12 | % |
| 0.17 | % |
| 0.17 | % |
| 0.17 | % |
| 0.19 | % |
Net expenses(5)(6)(7) |
|
| 0.08 | (3)(4) |
| 0.09 |
|
| 0.10 |
|
| 0.10 |
|
| 0.10 |
|
| 0.10 |
|
Net investment income |
|
| 5.27 | (3) |
| 4.33 |
|
| 2.57 |
|
| 1.09 |
|
| 1.39 |
|
| 2.29 |
|
|
|
(1) | For the six months ended February 28, 2007 (unaudited). |
|
|
(2) | Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Total returns for periods of less than one year are not annualized. |
|
|
(3) | Annualized. |
|
|
(4) | Included in the expense ratios are certain non-recurring restructuring (and reorganization, if applicable) fees that were incurred by the Fund during the period. Without these fees, the gross and net expense ratios would not have changed (Note 6). |
|
|
(5) | As a result of a voluntary expense limitation, the ratio of expenses to average net assets, other than interest, brokerage, taxes and extraordinary fee, of the Portfolio will not exceed 0.10%. |
|
|
(6) | Reflects fee waivers and/or expense reimbursements. |
|
|
(7) | There was no impact to the expense ratio as a result of fees paid indirectly. |
See Notes to Financial Statements.
|
|
26 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited)
|
|
1. | Organization and Significant Accounting Policies |
Liquid Reserves Portfolio (the “Portfolio”) is registered under the U.S. Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, diversified, open-end management investment company which was organized as a trust under the laws of the State of New York. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At February 28, 2007, all investors in the Portfolio were funds advised by the manager of the fund and/or its affiliates.
Effective as of close of business, April 13, 2007, the Portfolio is a no-load diversified series of Master Portfolio Trust (the “New Trust”). The New Trust, a Maryland business trust, is registered under the 1940 Act, as an open-end management investment company.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.
(a) Investment Valuation. Money market instruments are valued at amortized cost, in accordance with Rule 2a-7 under the 1940 Act, which approximates market value. This method involves valuing portfolio securities at their cost and thereafter assuming a constant amortization to maturity of any discount or premium. The Portfolio’s use of amortized cost is subject to their compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.
(b) Interest Income and Expenses. Interest income consists of interest accrued and discount earned (including both original issue and market discount adjusted for amortization of premium) on the investments of the Portfolio. Expenses of the Portfolio are accrued daily. The Portfolio bears all costs of its operations other than expenses specifically assumed by the manager.
(c) Income Taxes. The Portfolio is classified as a partnership for Federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized gains and losses of the Portfolio. Therefore, no Federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of the subchapter M of the Internal Revenue Code.
(d) Fees Paid Indirectly. The Portfolio’s custodian calculates its fees based on the Portfolio’s average daily net assets. The fee is reduced according to a fee arrangement, which provides for custody fees to be reduced based on a formula developed to measure the value of cash deposited with the custodian by the Portfolio. This amount is shown as a reduction of expenses on the Statement of Operations.
(e) Other. Purchases, maturities and sales of money market instruments are accounted for on the date of the transaction. Realized gains and losses are calculated on the identified cost basis.
|
|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 27 |
Notes to Financial Statements (unaudited) (continued)
|
|
2. | Investment Management Agreement and Other Transactions with Affiliates |
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Portfolio pays investment management fees, calculated daily and paid monthly, at an annual rate of 0.10% of the Portfolio’s average daily net assets.
LMPFA provides administrative and certain oversight services to the Portfolio. LMPFA delegates to the subadviser the day-to-day portfolio management of the Portfolio. For its services, LMPFA pays Western Asset 70% of the net management fee it receives from the Portfolio.
During the six months ended February 28, 2007, the Portfolio had a voluntary expense limitation in place of 0.10% of the Portfolio’s average daily net assets.
During the six months ended February 28, 2007, LMPFA waived a portion of its fee in the amount of $4,867,099. In addition, during the six months ended February 28, 2007, the Fund was reimbursed for expenses amounting to $486,584.
The Portfolio pays no compensation directly to any Trustee or any officer who is affiliated with LMPFA, all of whom receive remuneration for their services to the Portfolio from Legg Mason or its affiliates.
During a special meeting in June 2006 the Portfolio’s Board approved a number of initiatives to streamline and restructure the fund complex. In that connection the Board voted to establish a mandatory retirement age of 75 for current Trustees, and 72 for all future Trustees, and to allow current Trustees to elect to retire as of the date which Trustees elected in accordance with the Joint Proxy Statement commence service as Trustees of the realigned and consolidated Board (the “Effective Date”).
On July 10, 2006, the Board also voted to amend its retirement plans to provide for the payment of certain benefits (in lieu of any other retirement payments under the plans) to Trustees who have not elected to retire as of the Effective Date. Under the amended plan, Trustees electing to receive benefits under the amendments must waive all rights under the plan prior to amendment. Each fund overseen by the Board (including the Portfolio) will pay a pro rata share (based upon asset size) of such benefits. As of February 28, 2007, the Portfolio’s allocable share of benefits under this amendment are $591,789.
Under the previous Retirement Plan (the “Plan”), all Trustees who were not “Interested Persons” of the Fund, within the meaning of the 1940 Act, were required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attained age 75. Trustees were able to retire under the Plan before attaining the mandatory retirement age. Trustees who had served as Trustee of the Portfolio or any of the investment companies associated with LMPFA for at least ten years when they retired were eligible to receive the maximum retirement benefit under the previous Plan, subject to the terms of the amended Plans. The maximum retirement benefit was an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the entirety of the calendar year of the Trustee’s retirement (assuming no change in relevant facts for the balance of the year following the Trustee’s retirement). Amounts owed under the Plan may be paid in
|
|
28 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
installments or in a lump sum (discounted to present value). Benefits under the Plan are unfunded. Two former Trustees are currently receiving payments under the Plan.
Certain officers and one Trustee of the Portfolio are employees of Legg Mason or its affiliates and do not receive compensation from the Portfolio.
|
|
3. | Regulatory Matters |
On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets (“CGM”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Affected Funds”).
The SEC order finds that SBFM and CGM willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGM knowingly or recklessly failed to disclose to the boards of the Affected Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Affected Funds’ then-existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that, at the time, included the Affected Funds’ investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange for, among other things, a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGM. The order also finds that SBFM and CGM willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Affected Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Affected Funds’ best interests and that no viable alternatives existed. SBFM and CGM do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGM and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Affected Funds, primarily through fee waivers. The remaining $183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan submitted for the approval of the SEC. At this time, there is no certainty as to how the above-described proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made.
The order also required that transfer agency fees received from the Affected Funds since December 1, 2004, less certain expenses be placed in escrow and provided that a portion of
|
|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 29 |
Notes to Financial Statements (unaudited) (continued)
such fees might be subsequently distributed in accordance with the terms of the order. On April 3, 2006, an aggregate amount of approximately $9 million was distributed to the Affected Funds.
The order required SBFM to recommend a new transfer agent contract to the Affected Funds’ boards within 180 days of the entry of the order; if a Citigroup affiliate submitted a proposal to serve as transfer agent or sub-transfer agent, SBFM and CGM would have been required, at their expense, to engage an independent monitor to oversee a competitive bidding process. On November 21, 2005, and within the specified timeframe, the Affected Funds’ Boards selected a new transfer agent for the Affected Funds. No Citigroup affiliate submitted a proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004.
Although there can be no assurance, the Portfolio’s manager does not believe that this matter will have a material adverse effect on the Portfolio.
This Portfolio is not one of the Affected Funds and therefore did not implement the transfer agent arrangement described above and therefore has not received and will not receive any portion of the distributions.
On December 1, 2005, Citigroup completed the sale of substantially all of its global asset management business, including SBFM, to Legg Mason.
|
|
4. | Legal Matters |
Beginning in August 2005, five class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM, (collectively, the “Defendants”) based on the May 31, 2005 settlement order issued against the Defendants by the SEC as described in Note 3. The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as the advisor for the Smith Barney family of funds, rescission of the Funds’ management and other contracts with SBFM, recovery of all fees paid to SBFM pursuant to such contracts, and an award of attorneys’ fees and litigation expenses.
On October 5, 2005, a motion to consolidate the five actions and any subsequently-filed, related action was filed. That motion contemplates that a consolidated amended complaint alleging substantially similar causes of action will be filed in the future.
As of the date of this report, the Portfolio’s manager believes that resolution of the pending lawsuit will not have a material effect on the financial position or results of operations of the Funds or the ability of the Portfolio’s manager and it affiliates to continue to render services to the Funds under their respective contracts.
|
|
5. | Other Matters |
On September 16, 2005, the staff of the SEC informed SBFM and Salomon Brothers Asset Management Inc (“SBAM”) that the staff is considering recommending that the SEC institute administrative proceedings against SBFM and SBAM for alleged violations of Section 19(a) and 34(b) of the 1940 Act (and related Rule 19a-1). The notification is a result of an industry wide inspection by the SEC and is based upon alleged deficiencies in disclosures regarding dividends and distributions paid to shareholders of certain funds. Section 19(a) and related Rule 19a-1 of the 1940 Act generally require funds that are making dividend and distribution payments to provide shareholders with a written statement disclosing the
|
|
30 | Liquid Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
source of the dividends and distributions, and, in particular, the portion of the payments made from each of net investment income, undistributed net profits and/ or paid-in capital. In connection with the contemplated proceedings, the staff may seek a cease and desist order and/or monetary damages from SBFM or SBAM.
Although there can be no assurance, the Portfolio’s manager believes that this matter is not likely to have a material adverse effect on the Portfolio.
|
|
6. | Special Investor Meeting and Reorganization |
Investors of the Portfolio approved a number of initiatives designed to streamline and restructure the fund complex. These matters generally are expected to be implemented in 2007. Legg Mason will pay for a portion of the costs related to these initiatives. The portions of the costs that are borne by the Portfolio will be recognized in the period during which the expense is incurred. Such expenses include obtaining investor votes for proposals relating to the initiatives noted above, the election of board members, and the retirement of board members. The portions of these costs borne by the Portfolio and reflected in the Statement of Operations are deemed extraordinary and, therefore, are not subject to the expense limitation agreements, if applicable.
|
|
7. | Recent Accounting Pronouncements |
During June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48” or the “Interpretation”), Accounting for Uncertainty in Income Taxes—an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained based solely on its technical merits. Management must be able to conclude that the tax law, regulations, case law, and other objective information regarding the technical merits sufficiently support the position’s sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006, which for this Portfolio will be September 1, 2007. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Fund is currently evaluating the impact that FIN 48 will have on the financial statements.
* * *
On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 Fair Value Measurements (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact on the financial statements has not yet been determined.
|
|
Liquid Reserves Portfolio 2007 Semi-Annual Report | 31 |
|
|
|
|
|
|
|
|
U.S. TREASURY RESERVES PORTFOLIO | |||||||
| Face |
| Security |
|
| Value |
|
SHORT-TERM INVESTMENTS (a) — 101.5% |
|
|
|
| |||
U.S. Treasury Bills — 101.5% |
|
|
|
| |||
$ | 50,000,000 |
| 5.099 - 5.103% due 3/1/07 |
| $ | 50,000,000 |
|
| 50,000,000 |
| 5.055% due 3/8/07 |
|
| 49,952,235 |
|
| 86,653,000 |
| 5.023 - 5.070% due 3/8/07 |
|
| 86,568,146 |
|
| 41,524,000 |
| 5.146% due 3/15/07 |
|
| 41,441,240 |
|
| 156,653,000 |
| 5.045 - 5.176% due 3/15/07 |
|
| 156,341,411 |
|
| 20,000,000 |
| 5.014% due 3/22/07 |
|
| 19,942,950 |
|
| 158,666,000 |
| 5.158 - 5.196% due 3/22/07 |
|
| 158,188,863 |
|
| 100,971,000 |
| 4.940 - 5.055% due 3/29/07 |
|
| 100,585,605 |
|
| 62,758,000 |
| 4.966 - 4.974% due 4/5/07 |
|
| 62,459,442 |
|
| 25,000,000 |
| 5.002% due 4/12/07 |
|
| 24,857,521 |
|
| 25,000,000 |
| 5.009% due 4/12/07 |
|
| 24,855,917 |
|
| 85,000,000 |
| 5.038 - 5.068% due 4/19/07 |
|
| 84,425,033 |
|
| 45,000,000 |
| 5.063 - 5.086% due 4/26/07 |
|
| 44,651,206 |
|
| 60,637,000 |
| 5.055 - 5.077% due 5/3/07 |
|
| 60,108,444 |
|
| 50,000,000 |
| 5.068 - 5.079% due 5/10/07 |
|
| 49,515,833 |
|
| 75,000,000 |
| 5.066 - 5.091% due 5/17/07 |
|
| 74,197,649 |
|
| 125,000,000 |
| 5.052 - 5.102% due 5/24/07 |
|
| 123,544,788 |
|
| 20,000,000 |
| 4.983% due 5/31/07 |
|
| 19,754,047 |
|
| 25,000,000 |
| 5.077% due 6/7/07 |
|
| 24,659,246 |
|
| 57,676,000 |
| 4.998 - 5.043% due 6/14/07 |
|
| 56,848,772 |
|
| 25,000,000 |
| 5.049% due 6/21/07 |
|
| 24,613,444 |
|
| 20,000,000 |
| 5.043% due 7/12/07 |
|
| 19,636,651 |
|
| 25,000,000 |
| 5.073% due 7/19/07 |
|
| 24,519,139 |
|
| 20,000,000 |
| 5.088% due 8/9/07 |
|
| 19,556,355 |
|
| 25,000,000 |
| 5.093% due 8/16/07 |
|
| 24,420,750 |
|
| 25,000,000 |
| 5.067% due 8/23/07 |
|
| 24,399,653 |
|
| 25,000,000 |
| 5.009% due 8/30/07 |
|
| 24,382,590 |
|
|
|
| TOTAL INVESTMENTS — 101.5% (Cost — $1,474,426,930#) |
|
| 1,474,426,930 |
|
|
|
| Liabilities in Excess of Other Assets — (1.5)% |
|
| (21,203,134 | ) |
|
|
| TOTAL NET ASSETS — 100.0% |
| $ | 1,453,223,796 |
|
|
|
(a) | Rate shown represents yield-to-maturity. |
|
|
# | Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Financial Statements.
|
|
16 | U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report |
See Notes to Financial Statements.
|
|
U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report | 17 |
See Notes to Financial Statements.
|
|
18 | U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report |
|
|
|
|
|
|
|
|
U.S. Treasury Reserves Portfolio |
|
|
|
|
| ||
|
|
|
|
| |||
For the six months ended February 28, 2007 (unaudited) | |||||||
|
|
|
|
|
| ||
|
| 2007 |
| 2006 |
| ||
OPERATIONS: |
|
|
|
|
|
|
|
Net investment income |
| $ | 34,871,081 |
| $ | 61,706,118 |
|
Net realized gain |
|
| 2,731 |
|
| 1,674 |
|
Increase in Net Assets From Operations |
|
| 34,873,812 |
|
| 61,707,792 |
|
CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from contributions |
|
| 2,533,103,679 |
|
| 6,479,872,855 |
|
Values of withdrawals |
|
| (2,605,239,556 | ) |
| (6,269,999,109 | ) |
Increase (Decrease) in Net Assets From Capital Transactions |
|
| (72,135,877 | ) |
| 209,873,746 |
|
Increase (Decrease) in Net Assets |
|
| (37,262,065 | ) |
| 271,581,538 |
|
|
|
|
|
|
|
|
|
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
|
| 1,490,485,861 |
|
| 1,218,904,323 |
|
End of period |
| $ | 1,453,223,796 |
| $ | 1,490,485,861 |
|
See Notes to Financial Statements.
|
|
U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report | 19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Reserves Portfolio | |||||||||||||||||||
For the years ended August 31, unless otherwise noted: | |||||||||||||||||||
|
| 2007(1) |
| 2006 |
| 2005 |
| 2004 |
| 2003 |
| 2002 |
| ||||||
Net Assets, End of Period (000s) |
| $ | 1,453,224 |
| $ | 1,490,486 |
| $ | 1,218,904 |
| $ | 1,562,711 |
| $ | 1,458,349 |
| $ | 1,953,165 |
|
Total Return(2) |
|
| 2.48 | % |
| 4.21 | % |
| 2.25 | % |
| 0.92 | % |
| 1.20 | % |
| 2.06 | % |
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
| 0.12 | % (3)(4) |
| 0.13 | % |
| 0.18 | % |
| 0.18 | % |
| 0.18 | % |
| 0.20 | % |
Net expenses(5)(6)(7) |
|
| 0.10 | (3)(4) |
| 0.10 |
|
| 0.10 |
|
| 0.10 |
|
| 0.10 |
|
| 0.10 |
|
Net investment income |
|
| 4.93 | (3) |
| 4.16 |
|
| 2.16 |
|
| 0.91 |
|
| 1.22 |
|
| 2.00 |
|
|
|
(1) | For the six months ended February 28, 2007 (unaudited). |
|
|
(2) | Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
|
|
(3) | Annualized. |
|
|
(4) | Included in the expense ratios are certain non-recurring restructuring (and reorganization, if applicable) fees that were incurred by the Fund during the period. Without these fees, the gross and net expense ratios would not have changed (Note 6). |
|
|
(5) | As a result of a voluntary expense limitation, the ratio of expenses to average net assets, other than interest, brokerage, taxes and extraordinary expenses, of the Portfolio will not exceed 0.10%. |
|
|
(6) | Reflects fee waivers and/or expense reimbursements. |
|
|
(7) | There was no impact to the expense ratio as a result of fees paid indirectly. |
See Notes to Financial Statements.
|
|
20 | U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited)
|
|
1. | Organization and Significant Accounting Policies |
U.S. Treasury Reserves Portfolio (the “Portfolio”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, diversified, open-end management investment company which was organized as a trust under the laws of the State of New York. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At February 28, 2007, all investors in the Portfolio were funds advised by the manager of the fund and/or its affiliates.
Effective as of close of business, April 13, 2007, the Portfolio is a no-load, diversified series of Master Portfolio Trust (the “New Trust”). The New Trust, a Maryland business trust, is registered under the 1940 Act as an open-end management investment company.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.
(a) Investment Valuation. Money market instruments are valued at amortized cost, in accordance with Rule 2a-7 under the 1940 Act, which approximates market value. This method involves valuing portfolio securities at their cost and thereafter assuming a constant amortization to maturity of any discount or premium. The Portfolio’s use of amortized cost is subject to compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.
(b) Interest Income and Expenses. Interest income consists of interest accrued and discount earned including both original issue and market discount adjusted for amortization of premium on the investments of the Portfolio. Expenses of the Portfolio are accrued daily. The Portfolio bears all costs of its operations other than expenses specifically assumed by the manager.
(c) Fees Paid Indirectly. The Portfolio’s custodian calculates its fees based on the Portfolio’s average daily net assets. The fee is reduced according to a fee arrangement, which provides for custody fees to be reduced based on a formula developed to measure the value of cash deposited with the custodian by the Portfolio. This amount is shown as a reduction of expenses on the Statement of Operations.
(d) Income Taxes. The Portfolio is classified as a partnership for Federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized gains and losses of the Portfolio. Therefore, no Federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of the subchapter M of the Internal Revenue Code.
(e) Other. Purchases, maturities and sales of money market instruments are accounted for on the date of the transaction. Realized gains and losses are calculated on the identified cost basis.
|
|
U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report | 21 |
Notes to Financial Statements (unaudited) (continued)
|
|
2. | Investment Management Agreement and Other Transactions with Affiliates |
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Portfolio pays an investment management fee calculated daily, and paid monthly at an annual rate of 0.10% of the Portfolio’s average daily net assets.
LMPFA provides administrative and certain oversight services to the Portfolio. LMPFA delegates to the subadviser the day-to-day portfolio management of the Portfolio. For its services, LMPFA pays Western Asset 70% of the net management fee that it receives from the Portfolio.
During the six months ended February 28, 2007, the Portfolio had a voluntary expense limitation in place of 0.10% of the Portfolio’s average daily net assets.
During the six months ended February 28, 2007, LMPFA waived a portion of its fee in the amount of $99,443. In addition, the Portfolio was reimbursed for expenses amounting to $37,350.
The Portfolio pays no compensation directly to any Trustee or any officer who is affiliated with LMPFA, all of whom receive remuneration for their services to the Portfolio from Legg Mason or its affiliates.
During a special meeting in June 2006, the Portfolio’s Board approved a number of initiatives to streamline and restructure the fund complex. In that connection the Board voted to establish a mandatory retirement age of 75 for current Trustees, and 72 for all future Trustees and to allow current Trustees to elect to retire as of the date on which Trustees elected in accordance with the Joint Proxy Statement commence service as Trustees of the realigned and consolidated Board (the “Effective Date”).
On July 10, 2006, the Board also voted to amend its retirement plans to provide for the payment of certain benefits (in lieu of any other retirement payments under the plans) to Trustees who have not elected to retire as of the Effective Date. Under the amended plan, Trustees electing to receive benefits under the amendments must waive all rights under the plan prior to amendment. Each fund overseen by the Board (including the Portfolio) will pay a pro rata share (based upon asset size) of such benefits. As of February 28, 2007, the Portfolio’s allocable share of benefits under this amendment are $44,063.
Under the previous Retirement Plan (the “Plan”), all Trustees who were not “Interested Persons” of the Fund, within the meaning of the 1940 Act, were required to retire from the Board as of the last day of the calendar year in which the applicable Trustees attained age 75. Trustees were able to retire under the Plan before attaining the mandatory retirement age. Trustees who had served as Trustee of the Trust or any of the investment companies associated with LMPFA for at least ten years when they retired were eligible to receive the maximum retirement benefit under the previous Plan, subject to the terms of the amended plans. The maximum retirement benefit was an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the entirety of the calendar year of the Trustee’s retirement (assuming no change in relevant facts for the balance of the year follow-
|
|
22 | U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
ing the Trustee’s retirement). Amounts owed under the Plan may be paid in installments or in a lump sum (discounted to present value). Benefits under the Plan are unfunded. Two former Trustees are currently receiving payments under the Plan.
Certain officers and one Trustee of the Portfolio are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
|
|
3. | Regulatory Matters |
On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets Inc. (“CGM”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Affected Funds”).
The SEC order finds that SBFM and CGM willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGM knowingly or recklessly failed to disclose to the boards of the Affected Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Affected Funds’ then existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that, at the time, included the Affected Funds’ investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange for, among other things, a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGM. The order also finds that SBFM and CGM willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Affected Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Affected Funds’ best interests and that no viable alternatives existed. SBFM and CGM do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGM and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Affected Funds, primarily through fee waivers. The remaining $183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan submitted for approval by the SEC. At this time, there is no certainty as to how the proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made.
|
|
U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report | 23 |
Notes to Financial Statements (unaudited) (continued)
The order also requires that transfer agency fees received from the Affected Funds since December 1, 2004, less certain expenses, be placed in escrow and provides that a portion of such fees may be subsequently distributed in accordance with the terms of the order.
On April 3, 2006, an aggregate amount of approximately $9 million was distributed to the Affected Funds.
The order required SBFM to recommend a new transfer agent contract to the Affected Funds’ boards within 180 days of the entry of the order; if a Citigroup affiliate submitted a proposal to serve as transfer agent or sub-transfer agent, SBFM and CGM would have been required, at their expense, to engage an independent monitor to oversee a competitive bidding process. On November 21, 2005, and within the specified timeframe, the Portfolio’s Board selected a new transfer agent for the Portfolio. No Citigroup affiliate submitted a proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004.
Although there can be no assurance, the Portfolio’s manager does not believe that this matter will have a material adverse effect on the Affected Funds.
This Portfolio is not one of the Affected Funds and therefore did not implement the transfer agent arrangement described above and therefore will not receive any portion of the distributions.
On December 1, 2005, Citigroup completed the sale of substantially all of its global asset management business, including SBFM, to Legg Mason.
|
|
4. | Legal Matters |
Beginning in August 2005, five class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM (collectively, the “Defendants”) based on the May 31, 2005 settlement order issued against the Defendants by the SEC as described in Note 3. The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as the investment manager for the Smith Barney family of funds, rescission of the Fund’s management and other contracts with SBFM, recovery of all fees paid to SBFM pursuant to such contracts, and an award of attorneys’ fees and litigation expenses.
On October 5, 2005, a motion to consolidate the five actions and any subsequently filed, related action was filed. That motion contemplates that a consolidated amended complaint alleging substantially similar causes of action will be filed in the future.
As of the date of this report, the Portfolio’s manager believes that resolution of the pending lawsuit will not have a material effect on the financial position or results of operations of the Portfolio or the ability of the Portfolio’s manager and its affiliates to continue to render services to the Portfolio under their respective contracts.
|
|
5. | Other Matters |
On September 16, 2005, the staff of the SEC informed SBFM and Salomon Brothers Asset Management Inc (“SBAM”) that the staff is considering recommending that the SEC institute administrative proceedings against SBFM and SBAM for alleged violations of Section 19(a) and 34(b) of the 1940 Act (and related Rule 19a-1). The notification is a result of an industry wide inspection by the SEC and is based upon alleged deficiencies in disclosures regarding dividends and distributions paid to shareholders of certain funds. Section 19(a)
|
|
24 | U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
and related Rule 19a-1 of the 1940 Act generally require funds that are making dividend and distribution payments to provide shareholders with a written statement disclosing the source of the dividends and distributions, and, in particular, the portion of the payments made from each of net investment income, undistributed net profits and/or paid-in capital. In connection with the contemplated proceedings, the staff may seek a cease and desist order and/or monetary damages from SBFM or SBAM.
Although there can be no assurance, the Portfolio’s manager believes that this matter is not likely to have a material adverse effect on the Portfolio.
|
|
6. | Special Investor Meeting and Reorganization |
Investors of the Portfolio approved a number of initiatives designed to streamline and restructure the fund complex. These matters generally are expected to be implemented in 2007. Legg Mason will pay for a portion of the costs related to these initiatives. The portions of the costs that are borne by the Portfolio will be recognized in the period during which the expense is incurred. Such expenses include obtaining investor votes for proposals relating to the initiatives noted above, the election of board members, and the retirement of board members. The portions of these costs borne by the Portfolio and reflected in the Statement of Operations are deemed extraordinary and, therefore, are not subject to the expense limitation agreements, if applicable.
|
|
7. | Recent Accounting Pronouncements |
During June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48” or the “Interpretation”), Accounting for Uncertainty in Income Taxes-an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained based solely on its technical merits. Management must be able to conclude that the tax law, regulations, case law, and other objective information regarding the technical merits sufficiently support the position’s sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006, which for this Portfolio will be September 1, 2007. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Fund is currently evaluating the impact that FIN 48 will have on the financial statements.
* * *
On September 20, 2006, the FASB released Statement of Financial Accounting Standards No. 157 Fair Value Measurements (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact on the financial statements has not yet been determined.
|
|
U.S. Treasury Reserves Portfolio 2007 Semi-Annual Report | 25 |
|
|
PRIME CASH RESERVES PORTFOLIOhedule of Investments (February 28, 2007) (unaudited) |
|
|
|
|
|
|
|
|
|
| Face |
| Security |
| Value |
| ||
| SHORT-TERM INVESTMENTS —- 99.9% |
| ||||||
| Commercial Paper — 59.7% |
| ||||||
|
|
|
| Amstel Funding Corp.: |
|
|
|
|
| $ | 50,000,000 |
| 5.302% due 3/28/07 (a)(b) |
| $ | 49,806,125 |
|
|
| 50,000,000 |
| 5.291% due 4/17/07 (a)(b) |
|
| 49,661,208 |
|
|
|
|
| Anglesea Funding: |
|
|
|
|
|
| 73,000,000 |
| 5.331% due 6/6/07 (a) |
|
| 71,967,354 |
|
|
| 60,000,000 |
| 5.343% due 6/26/07 (a) |
|
| 58,981,125 |
|
|
| 60,000,000 |
| 5.361% due 8/6/07 (a) |
|
| 58,625,400 |
|
|
| 55,832,000 |
| Atlantis One Funding Corp., 5.346% due 3/28/07 (a) |
|
| 55,611,324 |
|
|
| 60,000,000 |
| Atomium Funding Corp., 5.323% due 5/11/07 (a) |
|
| 59,378,158 |
|
|
| 50,000,000 |
| Bank of Ireland, 5.275% due 5/8/07 (a) |
|
| 49,512,667 |
|
|
|
|
| Barclays Bank PLC: |
|
|
|
|
|
| 60,000,000 |
| 5.330% due 3/26/07 (a) |
|
| 59,780,833 |
|
|
| 60,000,000 |
| 5.330% due 3/27/07 (a) |
|
| 59,772,067 |
|
|
| 60,000,000 |
| 5.321% due 3/30/07 (a) |
|
| 59,746,250 |
|
|
|
|
| Bear Stearns Co.: |
|
|
|
|
|
| 50,000,000 |
| 5.393% due 3/1/07 (c) |
|
| 50,000,000 |
|
|
| 75,000,000 |
| 5.341% due 4/20/07 (a) |
|
| 74,457,292 |
|
|
|
|
| Beethoven Funding Corp.: |
|
|
|
|
|
| 70,000,000 |
| 5.341% due 3/14/07 (a) |
|
| 69,866,533 |
|
|
| 66,866,000 |
| 5.341% due 3/15/07 (a)(b) |
|
| 66,728,962 |
|
|
|
|
| Carrera Capital Financial Ltd.: |
|
|
|
|
|
| 33,400,000 |
| 5.332% due 3/12/07 (a)(b) |
|
| 33,346,421 |
|
|
| 64,000,000 |
| 5.329% due 4/27/07 (a)(b) |
|
| 63,466,987 |
|
|
|
|
| Chesham Finance LLC: |
|
|
|
|
|
| 60,000,000 |
| 5.332% due 3/1/07 (a)(b) |
|
| 60,000,000 |
|
|
| 50,000,000 |
| 5.320% - 5.361% due 4/12/07 (a)(b) |
|
| 49,695,500 |
|
|
| 60,000,000 |
| 5.287% due 8/28/07 (a) |
|
| 58,455,000 |
|
|
|
|
| Cheyne Finance LLC: |
|
|
|
|
|
| 70,000,000 |
| 5.337% due 3/20/07 (a)(b) |
|
| 69,806,042 |
|
|
| 50,000,000 |
| 5.331% due 4/3/07 (a)(b) |
|
| 49,762,125 |
|
|
| 50,000,000 |
| 5.302% due 4/23/07 (a)(b) |
|
| 49,612,806 |
|
|
| 48,000,000 |
| 5.330% due 5/3/07 (a)(b) |
|
| 47,558,160 |
|
|
|
|
| Cobbler Funding LLC: |
|
|
|
|
|
| 55,000,000 |
| 5.407% due 3/20/07 (a) |
|
| 54,847,314 |
|
|
| 46,533,000 |
| 5.353% due 7/19/07 (a) |
|
| 45,593,809 |
|
|
| 50,000,000 |
| East-Fleet Finance LLC, 5.302% due 3/14/07 (a)(b) |
|
| 49,904,486 |
|
|
|
|
| Ebbets PLC: |
|
|
|
|
|
| 60,000,000 |
| 5.339% due 3/30/07 (a)(b) |
|
| 59,745,767 |
|
|
| 50,000,000 |
| 5.343% due 4/17/07 (a)(b) |
|
| 49,657,292 |
|
|
| 60,000,000 |
| 5.330% due 5/2/07 (a)(b) |
|
| 59,456,467 |
|
|
| 33,100,000 |
| 5.303% due 9/4/07 (a)(b) |
|
| 32,212,810 |
|
|
|
|
| Ebury Finance Ltd.: |
|
|
|
|
|
| 50,000,000 |
| 5.382% due 3/19/07 (a)(b) |
|
| 49,869,000 |
|
|
| 44,000,000 |
| 5.341% due 4/17/07 (a) |
|
| 43,698,417 |
|
|
| 55,000,000 |
| 5.352% due 8/2/07 (a)(b) |
|
| 53,771,850 |
|
See Notes to Financial Statements.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 19 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
| ||||||||
| Face |
| Security |
| Value |
| ||
Commercial Paper — 59.7% (continued) | ||||||||
$ |
| 27,931,000 |
| Edison Asset Securitization LLC, 5.291% due 3/30/07 (a) |
| $ | 27,814,000 |
|
|
|
|
| Ford Credit Floorplan Motown: |
|
|
|
|
|
| 61,900,000 |
| 5.362% due 5/29/07 (a) |
|
| 61,090,469 |
|
|
|
|
| Master Owner Trust, Motown Notes: |
|
|
|
|
|
| 35,000,000 |
| Series 2002-1, 5.375% due 5/18/07 (a) |
|
| 34,598,083 |
|
|
| 75,000,000 |
| Series 2002-1A, 5.363% due 3/23/07 (a) |
|
| 74,757,542 |
|
|
|
|
| Greyhawk Capital Corp.: |
|
|
|
|
|
| 50,000,000 |
| 5.325% due 3/14/07 (a) |
|
| 49,905,208 |
|
|
| 38,902,000 |
| 5.334% due 3/16/07 (a) |
|
| 38,817,226 |
|
|
| 60,000,000 |
| 5.320% due 3/29/07 (a) |
|
| 59,758,267 |
|
|
|
|
| Hudson Thames Capital Ltd.: |
|
|
|
|
|
| 23,782,000 |
| 5.340% due 3/28/07 (a) |
|
| 23,688,180 |
|
|
| 25,144,000 |
| 5.324% due 5/14/07 (a)(b) |
|
| 24,872,654 |
|
|
| 50,000,000 |
| ING U.S. Funding LLC, 5.296% due 4/4/07 (a) |
|
| 49,754,444 |
|
|
| 75,252,000 |
| Ivory Funding Corp., 5.332% due 3/15/07 (a) |
|
| 75,097,775 |
|
|
| 60,000,000 |
| K2 USA LLC, 5.327% due 4/30/07 (a)(b) |
|
| 59,481,000 |
|
|
|
|
| Kaiserplatz Delaware: |
|
|
|
|
|
| 50,155,000 |
| 5.321% due 3/6/07 (a) |
|
| 50,118,429 |
|
|
| 50,000,000 |
| 5.344% due 3/16/07 (a) |
|
| 49,890,208 |
|
|
| 66,635,000 |
| 5.326% due 5/14/07 (a) |
|
| 65,915,213 |
|
|
| 60,000,000 |
| Kestrel Funding PLC, 5.333% due 3/1/07 (a)(b) |
|
| 60,000,000 |
|
|
| 50,000,000 |
| Lexington Parker Capital Corp., 5.302% due 4/12/07 (a) |
|
| 49,696,667 |
|
|
| 48,500,000 |
| Macquarie Bank Ltd., 5.335% due 6/8/07 (a) |
|
| 47,800,448 |
|
|
|
|
| Mica Funding LLC: |
|
|
|
|
|
| 51,310,000 |
| 5.320% due 4/16/07 (a)(b) |
|
| 50,965,140 |
|
|
| 50,000,000 |
| 5.361% due 8/9/07 (a)(b) |
|
| 48,832,750 |
|
|
| 60,584,000 |
| 5.330% due 8/15/07 (a)(b) |
|
| 59,122,579 |
|
|
|
|
| Morrigan TRR Funding LLC: |
|
|
|
|
|
| 60,000,000 |
| 5.342% due 3/2/07 (a)(b) |
|
| 59,991,217 |
|
|
| 80,000,000 |
| 5.321% due 3/14/07 (a)(b) |
|
| 79,846,600 |
|
|
| 50,000,000 |
| 5.320% due 5/4/07 (a)(b) |
|
| 49,539,555 |
|
|
| 60,000,000 |
| 5.329% due 8/28/07 (a)(b) |
|
| 58,443,000 |
|
|
| 50,000,000 |
| Natexis Banques Populaires U.S., 5.266% due 6/6/07 (a) |
|
| 49,312,243 |
|
|
|
|
| New Center Asset Trust: |
|
|
|
|
|
| 60,000,000 |
| 5.336% due 3/8/07 (a) |
|
| 59,938,633 |
|
|
| 50,000,000 |
| 5.349% due 3/20/07 (a) |
|
| 49,862,514 |
|
|
|
|
| North Sea Funding LLC: |
|
|
|
|
|
| 85,000,000 |
| 5.340% due 3/15/07 (a)(b) |
|
| 84,825,797 |
|
|
| 45,751,000 |
| 5.319% due 4/30/07 (a)(b) |
|
| 45,350,679 |
|
|
| 50,000,000 |
| Nyala Funding LLC, 5.340% due 5/15/07 (a) |
|
| 49,458,333 |
|
|
|
|
| Orion Financial LLC: |
|
|
|
|
|
| 35,000,000 |
| 5.328% due 3/1/07 (a)(b) |
|
| 35,000,000 |
|
|
| 45,000,000 |
| 5.380% due 5/23/07 (a)(b) |
|
| 44,459,255 |
|
|
| 40,000,000 |
| 5.333% due 6/13/07 (a)(b) |
|
| 39,394,489 |
|
|
| 50,000,000 |
| Paradigm Funding LLC, 5.370% due 3/26/07 (a) |
|
| 49,817,708 |
|
|
| 26,875,000 |
| Polonius Inc., 5.351% due 4/23/07 (a) |
|
| 26,667,279 |
|
See Notes to Financial Statements.
|
|
20 | Prime Cash Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
| ||||||||
| Face |
| Security |
| Value |
| ||
| Commercial Paper — 59.7% (continued) |
| ||||||
|
|
|
| Premier Asset Collateralized Entity LLC: |
|
|
|
|
| $ | 100,000,000 |
| 5.335% due 5/15/07 (b)(c) |
| $ | 100,000,000 |
|
|
| 100,000,000 |
| 5.350% due 1/25/08 (b)(c) |
|
| 99,990,959 |
|
|
| 80,000,000 |
| Prudential PLC, 5.346% due 5/22/07 (a) |
|
| 79,052,444 |
|
|
| 50,000,000 |
| Silver Tower U.S. Funding, 5.396% due 4/27/07 (a) |
|
| 49,584,375 |
|
|
| 60,000,000 |
| Solitaire Funding LLC, 5.330% due 3/14/07 (a) |
|
| 59,886,033 |
|
|
| 100,000,000 |
| Tango Finance Corp., 5.323% due 6/21/07 (b)(c) |
|
| 99,996,931 |
|
|
|
|
| Tasman Funding Inc.: |
|
|
|
|
|
| 55,576,000 |
| 5.302% due 3/26/07 (a) |
|
| 55,372,221 |
|
|
| 70,000,000 |
| 5.328% due 3/30/07 (a) |
|
| 69,703,394 |
|
|
| 35,221,000 |
| 5.358% due 7/9/07 (a) |
|
| 34,554,540 |
|
|
| 60,000,000 |
| UBS Finance Delaware LLC, 5.270% due 7/30/07 (a) |
|
| 58,702,658 |
|
|
|
|
| Westpac Banking Corp.: |
|
|
|
|
|
| 60,000,000 |
| 5.300% due 7/9/07 (a) |
|
| 58,873,333 |
|
|
| 60,000,000 |
| 5.335% due 7/11/07 (a) |
|
| 58,851,600 |
|
|
|
|
| Total Commercial Paper |
|
| 4,542,807,623 |
|
| Liquidity Notes — 10.2% |
|
|
|
| |||
|
| 24,045,000 |
| Albis Capital Corp., 5.359% due 3/2/07 (a) |
|
| 24,041,467 |
|
|
| 230,966,000 |
| Foxboro Funding Ltd., 5.361% - 5.371% due 3/1/07 (a)(b) |
|
| 230,966,000 |
|
|
|
|
| Mint II LLC: |
|
|
|
|
|
| 53,000,000 |
| 5.400% due 3/29/07 (a)(b) |
|
| 52,782,759 |
|
|
| 30,000,000 |
| 5.364% due 3/30/07 (a)(b) |
|
| 29,872,641 |
|
|
| 50,000,000 |
| 5.326% due 4/26/07 (a)(b) |
|
| 49,590,111 |
|
|
| 50,000,000 |
| 5.343% due 5/30/07 (a)(b) |
|
| 49,342,500 |
|
|
| 60,000,000 |
| 5.394%, 5.355% due 6/28/07 (a)(b) |
|
| 58,956,767 |
|
|
| 114,893,000 |
| Park Granada LLC, 5.305% - 5.311% due 3/30/07 (a) |
|
| 114,405,949 |
|
|
|
|
| Park Sienna LLC: |
|
|
|
|
|
| 50,825,000 |
| 5.367% due 4/9/07 (a) |
|
| 50,534,281 |
|
|
| 63,000,000 |
| 5.332% due 5/3/07 (a) |
|
| 62,422,290 |
|
|
| 50,000,000 |
| Windsor Funding Trust, 5.357% due 3/23/07 (a)(b) |
|
| 49,838,514 |
|
|
|
|
| Total Liquidity Notes |
|
| 772,753,279 |
|
| Master Notes — 2.5% |
|
|
|
| |||
|
|
|
| Morgan Stanley Master Note: |
|
|
|
|
|
| 164,000,000 |
| 5.483% due 3/1/07 |
|
| 164,000,000 |
|
|
| 30,000,000 |
| 5.513% due 3/1/07 |
|
| 30,000,000 |
|
|
|
|
| Total Master Notes |
|
| 194,000,000 |
|
| Medium-Term Notes — 9.8% |
|
|
|
| |||
|
| 50,000,000 |
| Cheyne Finance LLC, 5.320% due 3/26/07 (b)(c) |
|
| 49,999,309 |
|
|
| 100,000,000 |
| K2 USA LLC, Medium-Term Notes, 5.325% due 8/15/07 (b)(c) |
|
| 99,995,425 |
|
|
| 130,000,000 |
| Links Finance LLC, 5.328% due 9/20/07 (b)(c) |
|
| 129,994,577 |
|
|
| 50,000,000 |
| Sigma Finance Inc., 5.337% due 6/29/07 (a)(b) |
|
| 49,130,000 |
|
|
|
|
| Stanfield Victoria Finance Ltd.: |
|
|
|
|
|
| 60,000,000 |
| 5.334% due 3/15/07 (a)(b) |
|
| 59,878,667 |
|
|
| 100,000,000 |
| Medium-Term Note, 5.320% due 5/15/07 (b)(c) |
|
| 99,996,943 |
|
See Notes to Financial Statements.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 21 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
| ||||||||
| Face |
| Security |
| Value |
| ||
| Medium-Term Notes — 9.8% (continued) |
|
|
|
| |||
|
|
|
| Whistlejacket Capital Ltd.: |
|
|
|
|
| $ | 30,000,000 |
| 5.320% due 6/12/07 (b)(c) |
| $ | 29,998,341 |
|
|
| 50,000,000 |
| 5.315% due 7/25/07 (b)(c) |
|
| 49,996,000 |
|
|
|
|
| White Pine Finance LLC: |
|
|
|
|
|
| 82,907,000 |
| 5.314% due 3/29/07 (a)(b) |
|
| 82,566,529 |
|
|
| 50,000,000 |
| 5.310% due 4/3/07 (b)(c) |
|
| 49,999,109 |
|
|
| 42,000,000 |
| 5.320% due 9/12/07 (b)(c) |
|
| 41,995,512 |
|
|
|
|
| Total Medium-Term Notes |
|
| 743,550,412 |
|
| Promissory Notes — 2.0% |
|
|
|
| |||
|
|
|
| Goldman Sachs Group LP: |
|
|
|
|
|
| 75,000,000 |
| 5.450% due 5/21/07 |
|
| 75,000,000 |
|
|
| 75,000,000 |
| 5.340% due 8/13/07 |
|
| 75,000,000 |
|
|
|
|
| Total Promissory Notes |
|
| 150,000,000 |
|
| Time Deposits — 15.7% |
|
|
|
| |||
|
| 100,000,000 |
| Calyon Grand Cayman, 5.350% due 3/1/07 |
|
| 100,000,000 |
|
|
| 281,044,000 |
| JPMorgan Chase Bank Grand Cayman, 5.250% due 3/1/07 |
|
| 281,044,000 |
|
|
| 270,000,000 |
| Key Bank USA NA, 5.375% due 3/1/07 |
|
| 270,000,000 |
|
|
| 270,000,000 |
| SunTrust Grand Cayman Inc., 5.375% due 3/1/07 |
|
| 270,000,000 |
|
|
| 275,000,000 |
| Wells Fargo Bank Grand Cayman, 5.250% due 3/1/07 |
|
| 275,000,000 |
|
|
|
|
| Total Time Deposits |
|
| 1,196,044,000 |
|
|
|
|
| TOTAL INVESTMENTS — 99.9% (Cost — $7,599,155,314#) |
|
| 7,599,155,314 |
|
|
|
|
| Other Assets in Excess of Liabilities — 0.1% |
|
| 6,465,196 |
|
|
|
|
| TOTAL NET ASSETS — 100.0% |
| $ | 7,605,620,510 |
|
|
|
(a) | Rate shown represents yield-to-maturity. |
| |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
| |
(c) | Variable rate security. Interest rate disclosed is that which is in effect at February 28, 2007. |
| |
# | Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Financial Statements.
|
|
22 | Prime Cash Reserves Portfolio 2007 Semi-Annual Report |
Prime Cash Reserves Portfolio
|
Statement of Assets and Liabilities (February 28, 2007) (unaudited) |
|
|
|
|
|
ASSETS: |
|
|
|
|
Investments, at amortized cost |
| $ | 7,599,155,314 |
|
Cash |
|
| 648 |
|
Receivable from manager |
|
| 93,422 |
|
Interest receivable |
|
| 7,193,079 |
|
Total Assets |
|
| 7,606,442,463 |
|
LIABILITIES: |
|
|
|
|
Investment management fee payable |
|
| 523,270 |
|
Trustees’ fees payable |
|
| 215,049 |
|
Accrued expenses |
|
| 83,634 |
|
Total Liabilities |
|
| 821,953 |
|
Total Net Assets |
| $ | 7,605,620,510 |
|
REPRESENTED BY: |
|
|
|
|
Paid-in capital |
| $ | 7,605,620,510 |
|
See Notes to Financial Statements.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 23 |
Prime Cash Reserves Portfolio
|
Statement of Operations (For the six months ended February 28, 2007) (unaudited) |
|
|
|
|
|
INVESTMENT INCOME: |
|
|
|
|
Interest (Note 1) |
| $ | 180,141,321 |
|
EXPENSES: |
|
|
|
|
Investment management fee (Note 2) |
|
| 3,356,043 |
|
Trustees’ fees (Notes 2 and 6) |
|
| 130,540 |
|
Legal fees |
|
| 87,123 |
|
Custody fees |
|
| 24,410 |
|
Audit and tax |
|
| 14,450 |
|
Miscellaneous expenses |
|
| 22,479 |
|
Total Expenses |
|
| 3,635,045 |
|
Less: Fee waivers and/or expense reimbursements (Notes 2 and 6) |
|
| (278,719 | ) |
Fees paid indirectly (Note 1) |
|
| (423 | ) |
Net Expenses |
|
| 3,355,903 |
|
Net Investment Income |
|
| 176,785,418 |
|
Net Realized Loss on Investments |
|
| (7,412 | ) |
Increase in Net Assets From Operations |
| $ | 176,778,006 |
|
See Notes to Financial Statements.
|
|
24 | Prime Cash Reserves Portfolio 2007 Semi-Annual Report |
Prime Cash Reserves Portfolio
|
|
|
|
|
|
|
|
For the six months ended February 28, 2007 (unaudited) |
| ||||||
|
| 2007 |
| 2006 |
| ||
OPERATIONS: |
|
|
|
|
|
|
|
Net investment income |
| $ | 176,785,418 |
| $ | 267,545,655 |
|
Net realized loss |
|
| (7,412 | ) |
| (42,465 | ) |
Increase in Net Assets From Operations |
|
| 176,778,006 |
|
| 267,503,190 |
|
CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from contributions |
|
| 15,258,702,958 |
|
| 28,986,057,153 |
|
Value of withdrawals |
|
| (14,750,400,188 | ) |
| (27,539,527,749 | ) |
Increase in Net Assets From Capital Transactions |
|
| 508,302,770 |
|
| 1,446,529,404 |
|
Increase in Net Assets |
|
| 685,080,776 |
|
| 1,714,032,594 |
|
| |||||||
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
|
| 6,920,539,734 |
|
| 5,206,507,140 |
|
End of period |
| $ | 7,605,620,510 |
| $ | 6,920,539,734 |
|
See Notes to Financial Statements.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 25 |
Prime Cash Reserves Portfolio
|
For the years ended August 31, unless otherwise noted: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2007(1) |
| 2006 |
| 2005 |
| 2004 |
| 2003 |
| 2002(2) |
| ||||||
Net Assets, |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
End of Period (millions) |
| $ | 7,606 |
| $ | 6,921 |
| $ | 5,207 |
| $ | 4,522 |
| $ | 2,686 |
| $ | 1,226 |
|
Total Return(3) |
|
| 2.68 | % |
| 4.57 | % |
| 2.54 | % |
| 1.07 | % |
| 1.33 | % |
| 2.08 | % |
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
| 0.11 | %(4) † |
| 0.11 | % |
| 0.12 | % |
| 0.13 | % |
| 0.19 | % |
| 0.20 | % (4) |
Net expenses(5)(6) |
|
| 0.10 | (4)(7) † |
| 0.10 | (7) |
| 0.10 | (7) |
| 0.10 | (7) |
| 0.11 |
|
| 0.15 |
|
Net investment income |
|
| 5.27 | (4) |
| 4.49 |
|
| 2.53 |
|
| 1.08 |
|
| 1.27 |
|
| 1.77 | (4) |
|
|
(1) | For the six months ended February 28, 2007 (unaudited). |
|
|
(2) | For the period June 3, 2002 (commencement of operations) to August 31, 2002. |
|
|
(3) | Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
|
|
(4) | Annualized. |
|
|
(5) | Reflects fee waivers and/or expense reimbursements. |
|
|
(6) | There was no impact to the expense ratio as a result of fees paid indirectly. |
|
|
(7) | As a result of a voluntary expense limitation, the ratio of expenses to average net assets other than interest, brokerage, taxes and extraordinary expenses, of the Portfolio will not exceed 0.10%. |
|
|
† | Included in the expense ratios are certain non-recurring restructuring (and reorganization, if applicable) fees that were incurred by the Fund during the period. Without these fees, the gross and net expense ratios would not have changed (Note 6). |
See Notes to Financial Statements.
|
|
26 | Prime Cash Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited)
|
|
1. | Organization and Significant Accounting Policies |
Prime Cash Reserves Portfolio (the “Portfolio”) is a separate diversified series of Institutional Portfolio (the “Trust”). The Trust is registered under the U.S. Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, diversified, open-end management investment company which was organized as a trust under the laws of the Commonwealth of Massachusetts. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At February 28, 2007, all investors in the Portfolio were funds advised by the manager of the Fund and/or its affiliates.
Effective as of close of business, April 13, 2007, the Portfolio is a separate diversified series of Master Portfolio Trust (the “New Trust”). The New Trust, a Maryland business trust, is registered under the 1940 Act, as an open-end management investment company.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.
(a) Investment Valuation. Money market instruments are valued at amortized cost, in accordance with Rule 2a-7 under the 1940 Act, which approximates market value. This method involves valuing portfolio securities at their cost and thereafter assuming a constant amortization to maturity of any discount or premium. The Portfolio’s use of amortized cost is subject to compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.
(b) Interest Income and Expenses. Interest income consists of interest accrued and discount earned (including both original issue and market discount adjusted for amortization of premium) on the investments of the Portfolio. Expenses of the Portfolio are accrued daily. The Portfolio bears all costs of its operations other than expenses specifically assumed by the manager.
(c) Fees Paid Indirectly. The Portfolio’s custodian calculates its fees based on the Portfolio’s average daily net assets. The fee is reduced according to a fee arrangement, which provides for custody fees to be reduced based on a formula developed to measure the value of cash deposited with the custodian by the Portfolio. This amount is shown as a reduction of expenses on the Statement of Operations.
(d) Income Taxes. The Portfolio is classified as a partnership for Federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized gains and losses of the Portfolio. Therefore, no Federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of the subchapter M of the Internal Revenue Code.
(e) Other. Purchases, maturities and sales of money market instruments are accounted for on the date of the transaction. Realized gains and losses are calculated on the identified cost basis.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 27 |
Notes to Financial Statements (unaudited) (continued)
|
|
2. | Investment Management Agreement and Other Transactions with Affiliates |
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Portfolio pays investment management fees calculated daily and paid monthly at an annual rate of 0.10% of the Portfolio’s average daily net assets.
LMPFA provides administrative and certain oversight services to the Portfolio. LMPFA delegates to the subadviser the day-to-day portfolio management of the Portfolio. For its services, LMPFA pays Western Asset 70% of the net management fee it receives from the Portfolio.
During the six months ended February 28, 2007, the Portfolio had a voluntary expense limitation in place of 0.10% of the Portfolio’s average daily net assets.
During the six months ended February 28, 2007, LMPFA waived a portion of its fee in the amount of $185,297. In addition, during the period ended February 28, 2007, the Portfolio was reimbursed for expenses amounting to $93,422.
The Portfolio pays no compensation directly to any Trustee or any officer who is affiliated with LMPFA, all of whom receive remuneration for their services to the Portfolio from Legg Mason or its affiliates.
During a special meeting in June 2006, the Portfolio’s Board approved a number of initiatives to streamline and restructure the fund complex. In that connection the Board voted to establish a mandatory retirement age of 75 for current Trustees, and 72 for all future Trustees and to allow current Trustees to elect to retire as of the date which Trustees elected in accordance with the Joint Proxy Statement commence service as Trustees of the realigned and consolidated Board (the “Effective Date”).
On July 10, 2006, the Board also voted to amend its retirement plans to provide for the payment of certain benefits (in lieu of any other retirement payments under the plans) to Trustees who have not elected to retire as of the Effective Date. Under the amended plan, Trustees electing to receive benefits under the amendments must waive all rights under the plan prior to amendment. Each fund overseen by the Board (including the Portfolio) will pay a pro rata share (based upon asset size) of such benefits. As of February 28, 2007, the Portfolio’s allocable share of benefits under this amendment are $114,617.
Under the previous Retirement Plan (“the “Plan”), all Trustees who were not “Interested Persons” of the Portfolio, within the meaning of the 1940 Act, were required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attained age 75. Trustees were able to retire under the Plan before attaining the mandatory retirement age. Trustees who had served as Trustee of the Portfolio or any of the investment companies associated with LMPFA for at least ten years when they retired were eligible to receive the maximum retirement benefit under the previous Plan, subject to terms of the amended Plans. The maximum retirement benefit was an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the entirety of the calendar year of the applicable Trustee’s retirement (assuming no change in relevant facts for the balance of the year following the Trustee’s retirement). Amounts owed under the Plan were
|
|
28 | Prime Cash Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
paid in installment or in a lump sum (discounted to present value). Benefits under the Plan are unfunded. Two former Trustees are currently receiving payments under the Plan.
Certain officers and one Trustee of the Portfolio are employees of Legg Mason or its affiliates and do not receive compensation from the Portfolio.
|
|
3. | Regulatory Matters |
On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets Inc. (“CGM”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Affected Funds”).
The SEC order finds that SBFM and CGM willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGM knowingly or recklessly failed to disclose to the boards of the Affected Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Affected Funds’ then existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that, at the time, included the Affected Funds’ investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange for, among other things, a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGM. The order also finds that SBFM and CGM willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Affected Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Affected Funds’ best interests and that no viable alternatives existed. SBFM and CGM do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGM and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Affected Funds, primarily through fee waivers. The remaining $183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan submitted for the approval of the SEC. At this time, there is no certainty as to how the above-described proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made.
The order also required that transfer agency fees received from the Affected Funds since December 1, 2004, less certain expenses, be placed in escrow and provided that a portion of such fees might be subsequently distributed in accordance with the terms of the order.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 29 |
Notes to Financial Statements (unaudited) (continued)
On April 3, 2006, an aggregate amount of approximately $9 million was distributed to the Affected Funds.
The order required SBFM to recommend a new transfer agent contract to the Affected Funds boards within 180 days of the entry of the order; if a Citigroup affiliate submitted a proposal to serve as transfer agent or sub-transfer agent, SBFM and CGM would have been required, at their expense, to engage an independent monitor to oversee a competitive bidding process. On November 21, 2005, and within the specified timeframe, the Affected Funds’ Board selected a new transfer agent for the Affected Funds. No Citigroup affiliate submitted a proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004.
Although there can be no assurance, the Portfolio’s manager does not believe that this matter will have a material adverse effect on the Portfolio.
This Portfolio is not one of the Affected Funds and therefore did not implement the transfer agent arrangement described above and therefore will not receive any portion of the distributions.
On December 1, 2005, Citigroup completed the sale of substantially all of its global asset management business, including SBFM, to Legg Mason.
|
|
4. | Legal Matters |
Beginning in August 2005, five class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM, (collectively, the “Defendants”) based on the May 31, 2005 settlement order issued against the Defendants by the SEC described as in Note 3. The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as the investment manager for the Smith Barney family of funds, rescission of the Portfolio’s management and other contracts with SBFM, recovery of all fees paid to SBFM pursuant to such contracts, and an award of attorneys’ fees and litigation expenses.
On October 5, 2005, a motion to consolidate the five actions and any subsequently filed, related action was filed. That motion contemplates that a consolidated amended complaint alleging substantially similar causes of action will be filed in the future.
As of the date of this report, the Portfolio’s manager believes that resolution of the pending lawsuit will not have a material effect on the financial position or results of operations of the Portfolio or the ability of the Portfolio’s manager and its affiliates to continue to render services to the Portfolio under their respective contracts.
|
|
5. | Other Matters |
On September 16, 2005, the staff of the SEC informed SBFM and Salomon Brothers Asset Management Inc (“SBAM”) that the staff is considering recommending that the SEC institute administrative proceedings against SBFM and SBAM for alleged violations of Section 19(a) and 34(b) of the 1940 Act (and related Rule 19a-1). The notification is a result of an industry wide inspection by the SEC and is based upon alleged deficiencies in disclosures regarding dividends and distributions paid to shareholders of certain funds. Section 19(a) and related Rule 19a-1 of the 1940 Act generally require funds that are making dividend and distribution payments to provide shareholders with a written statement disclosing the source of the dividends and distributions, and, in particular, the portion of the payments
|
|
30 | Prime Cash Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
made from each of net investment income, undistributed net profits and/or paid-in capital. In connection with the contemplated proceedings, the staff may seek a cease and desist order and/or monetary damages from SBFM or SBAM.
Although there can be no assurance, the Portfolio’s manager believes that this matter is not likely to have a material adverse effect on the Portfolio.
|
|
6. | Special Investor Meeting and Reorganization |
Investors of the Portfolio approved a number of initiatives designed to streamline and restructure the fund complex. These matters generally are expected to be implemented in 2007. Legg Mason will pay for a portion of the costs related to these initiatives. The portions of the costs that are borne by the Portfolio will be recognized in the period during which the expense is incurred. Such expenses include obtaining investor votes for proposals relating to the initiatives noted above, the election of board members and the retirement of board members. The portions of these costs borne by the Portfolio and reflected in the Statement of Operations are deemed extraordinary and, therefore, not subject to expense limitation agreements, if applicable.
|
|
7. | Recent Accounting Pronouncements |
During June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48” or the “Interpretation”), Accounting for Uncertainty in Income Taxes—an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained based solely on its technical merits. Management must be able to conclude that the tax law, regulations, case law, and other objective information regarding the technical merits sufficiently support the position’s sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006, which for this Fund will be September 1, 2007. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Portfolio has determined that adopting FIN 48 will not have a material impact on the Portfolio’s financial statements.
* * *
On September 20, 2006, FASB released Statement of Financial Accounting Standards No. 157 Fair Value Measurements (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact on the financial statements has not yet been determined.
|
|
Prime Cash Reserves Portfolio 2007 Semi-Annual Report | 31 |
|
|
TAX FREE RESERVES PORTFOLIO |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| SHORT-TERM INVESTMENTS — 98.0% |
|
|
|
| |||||
| Alabama — 0.1% |
|
|
|
|
|
| |||
| $ | 1,500,000 |
| A-1+ |
| Stevenson, AL, IDB, Environmental Improvement Revenue, Mead Corp. Project, LOC-JPMorgan Chase, 3.600%, 3/7/07 (a) |
| $ | 1,500,000 |
|
| Alaska — 0.3% |
|
|
|
|
|
| |||
|
| 4,435,000 |
| A-1+ |
| Alaska State Housing Finance Corp., Certificates, Series 1999-BB, LIQ-Bank of America, 3.800%, 3/1/07 (a) |
|
| 4,435,000 |
|
| Arizona — 1.6% |
|
|
|
|
|
| |||
|
| 2,100,000 |
| A-1+ |
| Arizona Health Facilities Authority Revenue, Refunding Banner Health, Series C, FGIC-Insured, |
|
| 2,100,000 |
|
|
| 8,700,000 |
| A-1+ |
| McAllister Academic Village Revenue, Arizona State University Project, Series A, AMBAC-Insured, SPA-State Street Bank & Trust, 3.490%, 3/7/07 (a) |
|
| 8,700,000 |
|
|
| 15,905,000 |
| A-1 |
| Pine Ridge Village/Campus Heights LLC Arizona Revenue, Northern Arizona University Projects, FGIC-Insured, 3.530%, 3/7/07 (a) |
|
| 15,905,000 |
|
|
|
|
|
|
| Total Arizona |
|
| 26,705,000 |
|
| Arkansas — 0.3% |
|
|
|
|
|
| |||
|
| 5,100,000 |
| A-1 |
| Osceola, AR Solid Waste District Revenue, Plum Point Energy Associates LLC Project, LOC-Credit Suisse, 3.690%, 3/1/07 (a) |
|
| 5,100,000 |
|
| Colorado — 3.8% |
|
|
|
|
|
| |||
|
|
|
|
|
| Colorado Educational & Cultural Facilities Authority: |
|
|
|
|
|
| 1,050,000 |
| VMIG1(b) |
| Akiba Academy of Dallas, LOC-Bank of America, |
|
| 1,050,000 |
|
|
| 5,215,000 |
| VMIG1(b) |
| Daughters of Israel Inc., LOC-Bank of America, |
|
| 5,215,000 |
|
|
| 225,000 |
| VMIG1(b) |
| JFMC Facilities Corp., LOC-Bank of America, |
|
| 225,000 |
|
|
| 1,135,000 |
| VMIG1(b) |
| Milwaukee Jewish Federation Inc., LOC-U.S. Bank NA, |
|
| 1,135,000 |
|
|
|
|
|
|
| National Jewish Federal Program: |
|
|
|
|
|
| 100,000 |
| P-1(b) |
| Series A-8, LOC-Bank of America, 3.640%, 3/1/07 (a) |
|
| 100,000 |
|
|
| 2,100,000 |
| VMIG1(b) |
| Series B-3, LOC-National City Bank, |
|
| 2,100,000 |
|
|
|
|
|
|
| Colorado Educational & Cultural Facilities Authority Revenue: |
|
|
|
|
|
| 1,500,000 |
| A-1+ |
| National Jewish Federal Building Project, Series C-2, LOC-U.S. Bank N.A., 3.650%, 3/1/07 (a) |
|
| 1,500,000 |
|
|
|
|
|
|
| National Jewish Federation Bond Program: |
|
|
|
|
|
| 3,125,000 |
| VMIG1(b) |
| Series A-1, LOC-Bank of America, 3.640%, 3/1/07 (a) |
|
| 3,125,000 |
|
|
| 700,000 |
| VMIG1(b) |
| Series A-7, LOC-Bank of America, 3.640%, 3/1/07 (a) |
|
| 700,000 |
|
|
|
|
|
|
| Refunding: |
|
|
|
|
|
| 2,400,000 |
| VMIG1(b) |
| National Jewish Federal Building, Series D-1, LOC-JPMorgan Chase, 3.640%, 3/1/07 (a) |
|
| 2,400,000 |
|
|
| 4,750,000 |
| VMIG1(b) |
| National Jewish Federation Bond Program, Series C-3, LOC-U.S. Bank NA, 3.640%, 3/1/07 (a) |
|
| 4,750,000 |
|
|
| 1,570,000 |
| VMIG1(b) |
| Colorado Educational & Cultural Facilities Authority, Revenue, National Jewish Federal Bond Program, LOC-Bank of America, 3.640%, 3/1/07 (a) |
|
| 1,570,000 |
|
See Notes to Financial Statements.
|
|
16 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Colorado — 3.8% (continued) |
|
|
|
| |||||
|
|
|
|
|
| Colorado Health Facilities Authority Revenue: |
|
|
|
|
$ | 19,400,000 |
| A-1+ |
| Catholic Health, Series B-3, SPA-Landesbank Hessen-Thuringen, 3.520%, 3/7/07 (a) |
| $ | 19,400,000 |
| |
|
| 20,000,000 |
| A-1+ |
| Sisters of Charity, 3.500%, 3/7/07 (a) |
|
| 20,000,000 |
|
|
|
|
|
|
| Total Colorado |
|
| 63,270,000 |
|
| Delaware — 1.2% |
|
|
|
|
|
| |||
|
| 18,000,000 |
| VMIG1(b) |
| Delaware State Health Facilities Authority Revenue, Beebe Medical Center Project, |
|
| 18,000,000 |
|
|
| 1,005,000 |
| A-1+ |
| Kent County, DE, Delaware State University Student Housing, Series B, LOC-Wachovia Bank NA, |
|
| 1,005,000 |
|
|
| 1,500,000 |
| A-1+ |
| University of Delaware Revenue, Refunding, SPA-Landesbank Hessen-Thuringen, 3.640%, 3/1/07 (a) |
|
| 1,500,000 |
|
|
|
|
|
|
| Total Delaware |
|
| 20,505,000 |
|
| District of Columbia — 2.9% |
|
|
|
| |||||
|
| 2,450,000 |
| VMIG1(b) |
| District of Columbia Enterprise Zone Revenue, Crowell and Moring LLP Project, LOC-Wachovia Bank, |
|
| 2,450,000 |
|
|
|
|
|
|
| District of Columbia Revenue: |
|
|
|
|
|
| 11,500,000 |
| NR |
| 3.580% due 3/8/07 |
|
| 11,500,000 |
|
|
| 265,000 |
| A-1+ |
| American Psychological Association, LOC-Bank of America, 3.690%, 3/1/07 (a) |
|
| 265,000 |
|
|
| 1,600,000 |
| VMIG1(b) |
| National Public Radio Inc., LOC-SunTrust Bank, |
|
| 1,600,000 |
|
|
| 9,000,000 |
| A-1+ |
| District of Columbia, GO, Series D-3, SPA-Depfa Bank PLC, FSA-Insured, 3.550%, 3/7/07 (a) |
|
| 9,000,000 |
|
|
|
|
|
|
| Metropolitan Washington Airports Authority: |
|
|
|
|
|
| 12,000,000 |
| NR |
| 3.720% due 6/7/07 |
|
| 12,000,000 |
|
|
| 12,000,000 |
| NR |
| Series 2005-C, 3.680% due 3/20/07 |
|
| 12,000,000 |
|
|
|
|
|
|
| Total District of Columbia |
|
| 48,815,000 |
|
| Florida — 4.7% |
|
|
|
|
|
| |||
|
| 850,000 |
| VMIG1(b) |
| Florida Housing Finance Corp. Multi-Family Revenue, Refunding Mortgage Victoria Park, Series J-1, LIQ-FNMA, 3.650%, 3/1/07 (a) |
|
| 849,992 |
|
|
| 7,400,000 |
| A-1+ |
| Florida State Department of Environmental Protection, Preservation Revenue, Everglades Restoration, Series B, AMBAC-Insured, SPA-State of Florida, Department of Financial Services, Division of Treasury, |
|
| 7,400,000 |
|
|
| 15,000,000 |
| A-1+ |
| Highlands County, FL, Health Facilities Authority Revenue, Refunding, Hospital Adventist Health, Series A, FSA-Insured, SPA-Dexia Credit Local, 3.650%, 3/1/07 (a) |
|
| 15,000,000 |
|
|
| 7,000,000 |
| VMIG1(b) |
| Hillsborough County, FL, School Board COP, Series E, MBIA-Insured, SPA-Bank of America, |
|
| 7,000,000 |
|
|
| 505,000 |
| A-1+ |
| Jacksonville, FL, Health Facilities Authority, Hospital Revenue, Baptist Medical Center Project, |
|
| 505,000 |
|
|
| 3,300,000 |
| VMIG1(b) |
| Jacksonville, FL, HFA, MFH, Revenue, Refunding, St. Augustine Apartments, LIQ-FNMA, 3.520%, 3/7/07 (a) |
|
| 3,300,000 |
|
|
| 10,500,000 |
| VMIG1(b) |
| Lee County, FL, IDA, EFA, Canterbury School Inc. Project, LOC-SunTrust Bank, 3.520%, 3/7/07 (a) |
|
| 10,500,000 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 17 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Florida — 4.7% (continued) |
|
|
|
|
|
| |||
|
|
|
|
|
| Miami Dade County, FL: |
|
|
|
|
| $ | 10,000,000 |
| NR |
| 3.650% due 6/1/07 |
| $ | 10,000,000 |
|
|
| 5,150,000 |
| AAA |
| School Board, Series A, AMBAC-Insured, |
|
| 5,156,254 |
|
|
| 6,000,000 |
| F1+(d) |
| Palm Beach County, FL, EFA, Lynn University Project, LOC-Bank of America, 3.670%, 3/1/07 (a) |
|
| 6,000,000 |
|
|
| 12,600,000 |
| A-1+ |
| West Orange, FL, Healthcare District, Series B, LOC-SunTrust Bank, 3.650%, 3/1/07 (a) |
|
| 12,600,000 |
|
|
|
|
|
|
| Total Florida |
|
| 78,311,246 |
|
| Georgia — 4.9% |
|
|
|
|
|
| |||
|
|
|
|
|
| Atlanta, GA: |
|
|
|
|
|
|
|
|
|
| Airport Revenue: |
|
|
|
|
|
| 2,500,000 |
| A-1+ |
| Refunding, General Series, MBIA-Insured, SPA-Landesbank Baden-Wurttemberg, |
|
| 2,500,000 |
|
|
| 4,420,000 |
| VMIG1(b) |
| Series 1626-X, FSA-Insured, LIQ-Morgan Stanley, 3.720%, 3/1/07 (a)(c) |
|
| 4,420,000 |
|
|
| 7,000,000 |
| NR |
| Water & Waste Water Revenue, 3.660% due 11/2/07 |
|
| 7,000,000 |
|
|
| 7,500,000 |
| VMIG1(b) |
| Coweta County, GA, Development Authority Revenue, Metro Atlanta YMCA Project, LOC-SunTrust Bank, 3.520%, 3/7/07 (a) |
|
| 7,500,000 |
|
|
| 6,000,000 |
| VMIG1(b) |
| De Kalb County, GA, Development Authority, IDR, The Paideia School Inc. Project, LOC-SunTrust Bank, 3.660%, 3/7/07 (a) |
|
| 6,000,000 |
|
|
| 6,600,000 |
| VMIG1(b) |
| Floyd County, GA, Development Authority Revenue, Berry College Project, LOC-SunTrust Bank, |
|
| 6,600,000 |
|
|
|
|
|
|
| Fulton County, GA, Development Authority Revenue: |
|
|
|
|
|
| 18,000,000 |
| A-1+ |
| Piedmont Healthcare Inc., SPA-SunTrust Bank, |
|
| 18,000,000 |
|
|
| 18,000,000 |
| VMIG1(b) |
| Shepherd Center Inc. Project, LOC-SunTrust Bank, 3.520%, 3/7/07 (a) |
|
| 18,000,000 |
|
|
| 9,000,000 |
| VMIG1(b) |
| Westminster Schools Inc. Project, LOC-SunTrust Bank, 3.520%, 3/7/07 (a) |
|
| 9,000,000 |
|
|
| 2,720,000 |
| VMIG1(b) |
| Liberty County, GA, Industrial Authority, Refunding, Millennium Realty Project, LOC-SunTrust Bank, 3.620%, 3/7/07 (a)(e) |
|
| 2,720,000 |
|
|
|
|
|
|
| Total Georgia |
|
| 81,740,000 |
|
| Illinois — 11.7% |
|
|
|
|
| ||||
|
|
|
|
|
| Aurora, IL: |
|
|
|
|
|
| 2,680,000 |
| VMIG1(b) |
| Keson Industries Inc. Project, LOC-Harris Trust & Savings Bank, 3.810%, 3/1/07 (a) |
|
| 2,680,000 |
|
|
| 5,000,000 |
| A-1 |
| IDR, Diamond Envelope Corp., LOC-Lasalle Bank N.A., 3.760%, 3/1/07 (a) |
|
| 5,000,000 |
|
|
|
|
|
|
| Chicago, IL: |
|
|
|
|
|
| 4,040,000 |
| A-1+ |
| John Hofuelster & Son Inc., 3.810%, 3/1/07 (a) |
|
| 4,040,000 |
|
|
| 2,620,000 |
| A-1+ |
| Renaissance Center LP, Series A, LOC-Harris Trust & Savings Bank, 3.810%, 3/1/07 (a) |
|
| 2,620,000 |
|
|
| 1,300,000 |
| A-1+ |
| Renaissance Center LP, Series B, LOC-Harris Bank, 3.810%, 3/1/07 (a) |
|
| 1,300,000 |
|
|
|
|
|
|
| GO: |
|
|
|
|
|
| 29,996,000 |
| VMIG1(b) |
| Certificates, Series ZC-1, FGIC-Insured, |
|
| 29,996,000 |
|
|
| 3,415,000 |
| A-1+ |
| Neighborhoods Alive Project, Series 21-B, MBIA-Insured, SPA-Lloyds Bank PLC, 3.650%, 3/1/07 (a) |
|
| 3,415,000 |
|
|
| 10,000,000 |
| A-1+ |
| Series B, FGIC-Insured, SPA-Landesbank Baden-Wurttemberg, 3.680%, 3/1/07 (a) |
|
| 10,000,000 |
|
See Notes to Financial Statements.
|
|
18 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Illinois — 11.7% (continued) |
|
|
|
|
|
| |||
| $ | 21,320,000 |
| A-1+ |
| Multifamily Housing Revenue, Central Station Project, Series A, LIQ FAC-Fannie Mae, |
| $ | 21,320,000 |
|
|
| 1,330,000 |
| F1+(d) |
| O’Hare International Airport Revenue, PT-98, 3.730%, 3/1/07 (a)(c)(e) |
|
| 1,330,000 |
|
|
| 3,000,000 |
|
|
| Park District, Corp. Purpose TAN, 4.500% due 3/15/07 |
|
| 3,000,869 |
|
|
| 8,100,000 |
| A-1+ |
| Cook County, IL, GO, Capital Improvement Series E, SPA-Depfa Bank PLC, |
|
| 8,100,000 |
|
|
| 9,360,000 |
| A-1 |
| Du Page County, IL, Revenue, Benet Academy Capital Building Project, LOC-LaSalle Bank NA, |
|
| 9,360,000 |
|
|
| 4,130,000 |
| A-1+ |
| Elmhurst, IL, Joint Community Accured Health Center, 3.660%, 3/1/07 (a) |
|
| 4,130,000 |
|
|
| 3,375,000 |
| A-1+ |
| Fulton, IL, Drives-Inc., 3.810%, 3/1/07 (a) |
|
| 3,375,000 |
|
|
| 2,100,000 |
| VMIG1(b) |
| Grundy Kendall & Will Counties, IL, Community High School District 111, GO, Series B, AMBAC-Insured, SPA-JPMorgan Chase, 3.550%, 3/7/07 (a) |
|
| 2,100,000 |
|
|
| 2,200,000 |
| VMIG1(b) |
| Illinois EFA, Field Museum of Natural History, |
|
| 2,200,000 |
|
|
|
|
|
|
| Illinois Finance Authority: |
|
|
|
|
|
| 1,000,000 |
| VMIG1(b) |
| Alexian Brothers Health Systems C, FSA-Insured, SPA-Harris Bank, 3.600%, 3/1/07 (a) |
|
| 1,000,000 |
|
|
| 8,000,000 |
| A-1 |
| Saint Xavier University Project, LOC-Lasalle Bank N.A., 3.680%, 3/1/07 (a) |
|
| 8,000,000 |
|
|
|
|
|
|
| Illinois Finance Authority Revenue: |
|
|
|
|
|
| 4,125,000 |
| VMIG1(b) |
| GO, Latin School Project, Series B, LOC-JPMorgan Chase, 3.700%, 3/1/07 (a) |
|
| 4,125,000 |
|
|
| 19,000,000 |
| VMIG1(b) |
| Loyola University Health, Series C, LOC-Charter One Bank FSB, 3.500%, 3/7/07 (a) |
|
| 19,000,000 |
|
|
| 9,905,000 |
| A-1 |
| Resurrection Health, Series C, LOC-Lasalle Bank N.A., 3.630%, 3/1/07 (a) |
|
| 9,905,000 |
|
|
| 1,625,000 |
| A-1 |
| Illinois Health Facilities Authority, Swedish Covenant Hospital, Series B, LOC-LaSalle Bank, |
|
| 1,625,000 |
|
|
| 1,600,000 |
| A-1+ |
| Illinois Housing Development Authority, Multifamily Housing, Camelot, 3.570%, 3/7/07 (a)(e) |
|
| 1,600,000 |
|
|
| 1,000,000 |
| A-1+ |
| Illinois Housing Development Authority Revenue, Danbury Court Apartment-Phase II-B, LOC-Federal Home Loan Bank, 3.730%, 3/1/07 (a) |
|
| 1,000,000 |
|
|
| 10,250,000 |
| A-1 |
| Illinois State, GO, Series 534, FGIC-Insured, |
|
| 10,250,000 |
|
|
| 5,855,000 |
| F1+(d) |
| Northern Illinois University, GO, P-Floats, PT-2640, FGIC-Insured, Credit Enhanced by Merrill Lynch Capital Services Inc., 3.720%, 3/1/07 (a)(c) |
|
| 5,855,000 |
|
|
| 14,975,000 |
| VMIG1(b) |
| Springfield, IL, Electric Revenue Municipal Building, Series 1618, MBIA-Insured, LIQ-Morgan Stanley, 3.690%, 3/1/07 (a)(c) |
|
| 14,975,000 |
|
|
| 5,000,000 |
| A-1+ |
| University of Illinois, University Revenue, Refunding, UIC South Campus Project, Series A, FGIC-Insured, SPA-Dexia Credit Local, 3.500%, 3/7/07 (a) |
|
| 5,000,000 |
|
|
|
|
|
|
| Total Illinois |
|
| 196,301,869 |
|
| Indiana — 2.9% |
|
|
|
|
|
| |||
|
| 6,000,000 |
| A-1+ |
| Indiana Health Facilities Financing Authority Revenue, Ascension Health, Series A-2, 3.620%, 6/1/07 (a) |
|
| 6,000,000 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 19 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Indiana — 2.9% (continued) |
|
|
|
| |||||
| $ | 10,900,000 |
| A-1+ |
| Indiana State Finance Authority Environmental Revenue, Refunding, Improvement Ispat Inland Inc., LOC-Royal Bank of Scotland, 3.520%, 3/7/07 (a) |
| $ | 10,900,000 |
|
|
| 21,980,000 |
| A-1+ |
| Indianapolis, IN, Local Public Improvement Bond Bank, Waterworks Project, Series G-3, MBIA-Insured, SPA-Depfa Bank PLC, 3.660%, 3/1/07 (a) |
|
| 21,980,000 |
|
|
| 5,965,000 |
| A-1+ |
| Mitchell, IN, School Building Corp., GO, P-Floats PT-2727, MBIA-Insured, SPA-Merrill Lynch Capital Services Inc., 3.720%, 3/1/07 (a)(c) |
|
| 5,965,000 |
|
|
| 3,000,000 |
| A-1+ |
| Whitley County, IN, EDR, Micopulse Inc. Project, LOC-Wells Fargo Bank N.A., 3.750%, 3/1/07 (a) |
|
| 3,000,000 |
|
|
|
|
|
|
| Total Indiana |
|
| 47,845,000 |
|
| Iowa — 0.6% |
|
|
|
|
|
| |||
| 2,500,000 |
| A-1+ |
| Iowa Finance Authority, Single Family Mortgage Bonds, 2004 Series B, 3.710%, 3/1/07 (a) |
|
| 2,500,000 |
| |
|
| 7,000,000 |
| SP-1+ |
| Iowa State, GO, 4.250% due 6/29/07 |
|
| 7,016,280 |
|
|
|
|
|
|
| Total Iowa |
|
| 9,516,280 |
|
| Kansas — 0.6% |
|
|
|
|
|
| |||
|
|
|
|
|
| Kansas State Department of Transportation, Highway Revenue: |
|
|
|
|
|
| 3,875,000 |
| A-1+ |
| Series B-1, LIQ-Pooled Money Investment Board, 3.630%, 3/1/07 (a) |
|
| 3,875,000 |
|
|
| 7,000,000 |
| A-1+ |
| Series B-2, 3.630%, 3/1/07 (a) |
|
| 7,000,000 |
|
|
|
|
|
|
| Total Kansas |
|
| 10,875,000 |
|
| Kentucky — 0.9% |
|
|
|
|
|
| |||
|
|
|
|
|
| Berea, KY, Educational Facilities Revenue, Berea College Project: |
|
|
|
|
|
| 2,600,000 |
| VMIG1(b) |
| Series A, 3.660%, 3/1/07 (a) |
|
| 2,600,000 |
|
|
| 1,180,000 |
| VMIG1(b) |
| Series B, 3.660%, 3/1/07 (a) |
|
| 1,180,000 |
|
|
| 11,115,000 |
| VMIG1(b) |
| Boyle County, KY, Hospital Revenue, Ephraim McDowell Health Project, LOC-Fifth Third Bank, 3.670%, 3/1/07 (a) |
|
| 11,115,000 |
|
|
|
|
|
|
| Total Kentucky |
|
| 14,895,000 |
|
| Louisiana — 0.4% |
|
|
|
|
|
| |||
|
| 3,400,000 |
| P-1(b) |
| Calcasieu Parish Inc. Louisiana Industrial Development Board Revenue, Refunding-Hydroserve Westlake, LOC-JPMorgan Chase, 3.630%, 3/7/07 (a)(e) |
|
| 3,400,000 |
|
|
| 4,100,000 |
| A-1+ |
| Calcasieu Parish, LA, Public Trust Authority Solid Waste Disposal Revenue, WPT Corp. Project, LOC-Bank of America, 3.630%, 3/7/07 (a) |
|
| 4,100,000 |
|
|
|
|
|
|
| Total Louisiana |
|
| 7,500,000 |
|
| Maine — 0.1% |
|
|
|
|
|
| |||
|
| 2,060,000 |
| A-1+ |
| Maine Health & Higher EFA Revenue, Series B, AMBAC-Insured, SPA-KBC Bank N.V., 3.530%, 3/7/07 (a) |
|
| 2,060,000 |
|
| Maryland — 1.7% |
|
|
|
|
|
| |||
|
| 10,000,000 |
| NR |
| Anne Arundel County, MD, BAN, GO, TECP, Series A, SPA-Westdeutsche Landesbank, 3.600% due 4/5/07 |
|
| 10,000,000 |
|
|
| 10,000,000 |
| NR |
| Baltimore County, MD, GO, Public Improvement, BAN, Series 95, TECP, LIQ-Westdeutsche Landesbank Girozentrale, 3.620% due 4/3/07 |
|
| 10,000,000 |
|
See Notes to Financial Statements.
|
|
20 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Maryland — 1.7% (continued) |
|
|
|
| |||||
| $ | 5,710,000 |
| VMIG1(b) |
| Howard County, MD, Multi-Family Revenue, Sherwood Crossing Apartments, LIQ-FNMA, |
| $ | 5,710,000 |
|
|
| 2,000,000 |
| A-1+ |
| Maryland State Stadium Authority Lease Revenue, Refunding-Baltimore Convention, SPA-Bank of New York, 3.640%, 3/1/07 (a) |
|
| 2,000,000 |
|
|
|
|
|
|
| Total Maryland |
|
| 27,710,000 |
|
| Massachusetts — 0.3% |
|
|
|
| |||||
|
| 3,000,000 |
| AAA |
| Massachusetts Municipal Wholesale Electric Co. Power Supply System Revenue, Series A, MBIA-Insured, Project 6, 5.000%, 7/1/07 (a) |
|
| 3,012,062 |
|
|
| 1,000,000 |
| A-1 |
| Massachusetts State DFA Revenue, Brooksby Village Inc. Project, LOC-LaSalle Bank, 3.630%, 3/1/07 (a) |
|
| 1,000,000 |
|
|
| 1,015,000 |
| A-1+ |
| Massachusetts State HEFA, Revenue, Williams College, Series J, 3.600%, 3/1/07 (a) |
|
| 1,015,000 |
|
|
|
|
|
|
| Total Massachusetts |
|
| 5,027,062 |
|
| Michigan — 1.1% |
|
|
|
| |||||
|
|
|
|
|
| Detroit, MI: |
|
|
|
|
|
| 5,000,000 |
| A-1+ |
| Sewer Disposal, Revenue, Systems Second Lien, Series A, FGIC-Insured, SPA-Depfa Bank PLC, |
|
| 5,000,000 |
|
|
|
|
|
|
| City School District GO: |
|
|
|
|
|
| 1,960,000 |
| A-1+ |
| P Floats PT-3126, FSA-Insured, LIQ-Merrill Lynch Capital Services Inc., 3.710%, 3/1/07 (a)(c) |
|
| 1,960,000 |
|
|
| 1,735,000 |
| A-1+ |
| Series 388, FGIC-Insured, 3.720%, 3/1/07 (a)(c) |
|
| 1,735,000 |
|
|
| 1,000,000 |
| A-1+ |
| Ecorse, MI, Public School District GO, P Floats Pt-2680, |
|
|
|
|
|
|
|
|
|
| FSA/Q-SBLF-Insured, Credit Enhanced by Merrill Lynch Capital Services Inc., 3.710%, 3/1/07 (a)(c) |
|
| 1,000,000 |
|
|
| 6,865,000 |
| F1+(d) |
| Michigan State Building Authority, P-Floats PT-2807, AMBAC-Insured, SPA-Merrill Lynch Capital Services Inc., 3.710%, 3/1/07 (a)(c) |
|
| 6,865,000 |
|
|
| 1,195,000 |
| A-1 |
| Royal Oak Michigan Hospital Finance Authority Revenue, Refunding, William Beaumont, Series U, AMBAC-Insured, SPA-Morgan Stanley, 3.640%, 3/1/07 (a) |
|
| 1,195,000 |
|
|
|
|
|
|
| Total Michigan |
|
| 17,755,000 |
|
| Minnesota — 2.9% |
|
|
|
| |||||
|
| 4,805,000 |
| A-1+ |
| Minneapolis City, MN, Health Care System Revenue, Fairview Health Services, Series B, AMBAC-Insured, SPA-Royal Bank of Canada, 3.500%, 3/7/07 (a) |
|
| 4,805,000 |
|
|
| 16,619,000 |
| NR |
| Minneapolis St. Paul Metropolitan Airport Commission, MN, TECP, Series A, 3.550% due 3/8/07 |
|
| 16,619,000 |
|
|
| 5,000,000 |
| VMIG1(b) |
| Minnetonka, MN, MFH Revenue, Refunding-Minnetonka Hills Apartments, LIQ-Fannie Mae, 3.670%, 3/1/07 (a) |
|
| 5,000,000 |
|
|
| 3,725,000 |
| VMIG1(b) |
| Oak Park Heights, MN, MFH Revenue, Refunding Housing Boutwells Landing, LIQ-Freddie Mac, 3.670%, 3/1/07 (a) |
|
| 3,725,000 |
|
|
| 17,500,000 |
| A-1 |
| University of Minnesota, Series A, SPA-Landesbank Hessen-Thuringen, 3.500%, 3/7/07 (a) |
|
| 17,500,000 |
|
|
|
|
|
|
| Total Minnesota |
|
| 47,649,000 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 21 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Mississippi — 0.6% |
|
|
|
| |||||
| $ | 9,400,000 |
| A-1+ |
| Mississippi Development Bank Special Obligation, Wilkinson County Correction Facility, Series B, FGIC-Insured, SPA-Royal Bank of Canada, 3.660%, 3/1/07 (a) |
| $ | 9,400,000 |
|
| Missouri — 0.2% |
|
|
|
|
| ||||
|
| 2,500,000 |
| A-1 |
| Kansas City, MO, IDA, MFH Revenue, Clay Terrace Apartments Project, LOC-Lasalle Bank N.A., |
|
| 2,500,000 |
|
|
| 1,000,000 |
| A-1+ |
| Missouri State HEFA, Washington University, Series B, SPA-Dexia Credit Local, 3.640%, 3/1/07 (a) |
|
| 1,000,000 |
|
|
|
|
|
|
| Total Missouri |
|
| 3,500,000 |
|
| Nebraska — 3.0% |
|
|
|
| |||||
|
| 1,320,000 |
| A-1+ |
| Nebraska Investment Finance Authority Single Family Housing Revenue, Series C, SPA-FHLB, |
|
| 1,320,000 |
|
|
| 12,000,000 |
| NR |
| Nebraska Public Power District, Series A, |
|
| 12,000,000 |
|
|
| 36,700,000 |
| NR |
| Omaha Public Power District, 3.580% due 3/2/07 |
|
| 36,700,000 |
|
|
|
|
|
|
| Total Nebraska |
|
| 50,020,000 |
|
| Nevada — 2.4% |
|
|
|
| |||||
|
| 32,900,000 |
| NR |
| Las Vegas Valley Water District, 3.630% due 3/5/07 |
|
| 32,900,000 |
|
|
| 6,500,000 |
| VMIG1(b) |
| Nevada Housing Division, Multi-Family Unit Housing, Mesquite Apartments B, 3.580%, 3/7/07 (a) |
|
| 6,500,000 |
|
|
|
|
|
|
| Total Nevada |
|
| 39,400,000 |
|
| New Jersey — 1.7% |
|
|
|
| |||||
|
| 5,985,000 |
| F1+(d) |
| Moorestown Township, NJ School District, GO, P-Floats PT-2777, MBIA-Insured, SPA-Merrill Lynch Capital Services Inc., 3.680%, 3/1/07 (a)(c) |
|
| 5,985,000 |
|
|
| 4,605,500 |
| F1+(d) |
| New Jersey Health Care Facilities Financing Authority Revenue, Series 961, FGIC-Insured, |
|
| 4,605,500 |
|
|
| 4,953,500 |
| F1+(d) |
| New Jersey Transportation Trust Fund Authority, Floaters, Series 941D, FSA-CR-Insured, Credit Enhanced by Morgan Stanley, 3.670%, 3/1/07 (a)(c) |
|
| 4,953,500 |
|
|
| 13,600,000 |
| VMIG1(b) |
| University Medicine & Dentistry, NJ, Series B, AMBAC-Insured, LOC-Bank of America, 3.650%, 3/1/07 (a) |
|
| 13,600,000 |
|
|
|
|
|
|
| Total New Jersey |
|
| 29,144,000 |
|
| New York — 0.8% |
|
|
|
| |||||
|
| 975,000 |
| A-1+ |
| Metropolitan Transportation Authority of New York Revenue, Refunding, Series D-1, FSA-Insured, SPA-Westdeutsche Landesbank, 3.610%, 3/1/07 (a) |
|
| 975,000 |
|
|
|
|
|
|
| New York City, NY, TFA: |
|
|
|
|
|
|
|
|
|
| New York City Recovery Project Revenue, Series 1: |
|
|
|
|
|
| 5,735,000 |
| A-1+ |
| Subordinated 1A, LIQ-Landesbank Hessen-Thuringen, 3.500%, 3/7/07 (a) |
|
| 5,735,000 |
|
|
| 300,000 |
| A-1+ |
| Subordinated Series 1-C, LIQ-JPMorgan Chase, 3.600%, 3/1/07 (a) |
|
| 300,000 |
|
|
| 200,000 |
| A-1+ |
| Subordinated Series 2-F, LIQ-Bayerische Landesbank, 3.610%, 3/1/07 (a) |
|
| 200,000 |
|
See Notes to Financial Statements.
|
|
22 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| New York — 0.8% (continued) |
|
|
|
| |||||
| $ | 2,200,000 |
| VMIG1(b) |
| New York State Housing Finance Agency, 750 Sixth Avenue, Series A, FNMA-Collateralized, |
| $ | 2,200,000 |
|
|
| 3,985,000 |
| A-1+ |
| New York, NY, TFA Revenue, Future Tax Secured, Series A-2, SPA-JPMorgan Chase, 3.500%, 3/7/07 (a) |
|
| 3,985,000 |
|
|
|
|
|
|
| Total New York |
|
| 13,395,000 |
|
| North Carolina — 5.2% |
|
|
|
| |||||
|
| 3,000,000 |
| A-1+ |
| Charlotte, NC, GO, SPA-KBC Bank NV, 3.650%, 3/1/07 (a) |
|
| 3,000,000 |
|
|
| 20,000,000 |
| A-1+ |
| Charlotte, NC, Water & Sewer System Revenue, Series B, SPA-Depfa Bank PLC, 3.640%, 3/1/07 (a) |
|
| 20,000,000 |
|
|
|
|
|
|
| Mecklenburg County, NC, COP: |
|
|
|
|
|
| 6,500,000 |
| A-1 |
| Series A, LOC-Landesbank Hessen-Thuringen, |
|
| 6,500,000 |
|
|
| 3,800,000 |
| A-1+ |
| SPA-Depfa Bank PLC, 3.640%, 3/1/07 (a) |
|
| 3,800,000 |
|
|
|
|
|
|
| New Hanover County, NC: |
|
|
|
|
|
| 6,750,000 |
| A-1+ |
| GO, SPA-Wachovia Bank, 3.700%, 3/1/07 (a) |
|
| 6,750,000 |
|
|
| 9,700,000 |
| A-1+ |
| Hospital Revenue, Refunding, New Hanover Regional, Series A-1, FSA-Insured, SPA-Wachovia Bank, |
|
| 9,700,000 |
|
|
| 15,000,000 |
| A-1+ |
| North Carolina State Education Assistance Authority, Student Loan, Series A-1, AMBAC-Insured, SPA-Royal Bank of Canada, 3.700%, 3/1/07 (a) |
|
| 15,000,000 |
|
|
| 1,118,000 |
| A-1+ |
| North Carolina State, GO, Public Improvement Series D, SPA-Landesbank Hessen-Thuringen, 3.530%, 3/7/07 (a) |
|
| 1,118,000 |
|
|
| 20,850,000 |
| A-1+ |
| Wake County, NC, GO, Series B, SPA-Landesbank Hessen-Thuringen, 3.640%, 3/1/07 (a) |
|
| 20,850,000 |
|
|
|
|
|
|
| Total North Carolina |
|
| 86,718,000 |
|
| Ohio — 3.9% |
|
|
|
| |||||
|
| 830,000 |
| A-1+ |
| Cleveland-Cuyahoga County, OH, Port Authority Revenue, 96th Research Building Project, LOC-Fifth Third Bank, 3.550%, 3/7/07 (a) |
|
| 830,000 |
|
|
|
|
|
|
| Franklin County, OH, Hospital Revenue, The Childrens Hospital Project: |
|
|
|
|
|
| 10,000,000 |
| VMIG1(b) |
| AMBAC-Insured, 3.650%, 3/1/07 (a) |
|
| 10,000,000 |
|
|
| 17,245,000 |
| VMIG1(b) |
| AMBAC-Insured, SPA-National City Bank, |
|
| 17,245,000 |
|
|
| 4,900,000 |
| VMIG1(b) |
| Greene County, OH, Sewer System Revenue, Series 1610, AMBAC-Insured, LIQ-Morgan Stanley, |
|
| 4,900,000 |
|
|
| 7,500,000 |
| A-1+ |
| Montgomery County, OH, Revenue, Catholic Health, Series B-2, 3.500%, 3/7/07 (a) |
|
| 7,500,000 |
|
|
| 7,850,000 |
| A-1+ |
| Ohio State, Air Quality Development Authority, PCR, Refunding, LOC-KeyBank, 3.520%, 3/7/07 (a) |
|
| 7,850,000 |
|
|
|
|
|
|
| Ohio State, Air Quality Development Authority Revenue: |
|
|
|
|
|
| 9,000,000 |
| A-1+ |
| Akron Steel, Series A, LOC-ABN AMRO Bank NV, 3.610%, 3/7/07 (a)(e) |
|
| 9,000,000 |
|
|
| 2,000,000 |
| A-1+ |
| Refunding Ohio Edison Project, Series A, LOC-Wachovia Bank N.A., 3.530%, 3/7/07 (a) |
|
| 2,000,000 |
|
|
| 3,535,000 |
| A-1+ |
| Ohio State, GO, Common Schools, Series A, |
|
| 3,535,000 |
|
|
| 3,000,000 |
| A-1+ |
| University Toledo OH General Receipts Bonds, FGIC-Insured, SPA-U.S. Bank NA, 3.640%, 3/1/07 (a) |
|
| 3,000,000 |
|
|
|
|
|
|
| Total Ohio |
|
| 65,860,000 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 23 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Oklahoma — 1.0% |
|
|
|
|
|
| |||
| $ | 4,300,000 |
| A-2 |
| Oklahoma Development Finance Authority Revenue, ConocoPhillips Co. Project, 3.600%, 12/1/07 (a) |
| $ | 4,300,000 |
|
|
| 12,000,000 |
| A-1+ |
| Oklahoma State Student Loan Authority Revenue, Student Loan Bonds & Notes, Series A, MBIA-Insured, |
|
| 12,000,000 |
|
|
|
|
|
|
| Total Oklahoma |
|
| 16,300,000 |
|
| Oregon — 0.6% |
|
|
|
|
|
|
| ||
|
| 2,800,000 |
| A-1+ |
| Oregon State, GO, Veterans Welfare, Series 86, SPA-Dexia Credit Local, 3.630%, 3/1/07 (a) |
|
| 2,800,000 |
|
|
| 6,800,000 |
| A-1+ |
| Port of Portland Special Obligation Revenue, Horizon Air Insurance Inc. Project, LOC-Bank of America NA, 3.710%, 3/1/07 (a)(e) |
|
| 6,800,000 |
|
|
|
|
|
|
| Total Oregon |
|
| 9,600,000 |
|
| Pennsylvania — 9.6% |
|
|
|
|
|
| |||
|
| 6,650,000 |
| A-1+ |
| Allegheny County, PA, Higher Education Building Authority University Revenue, Carnegie Mellon University, SPA-Landesbank Hessen-Thuringen, 3.640%, 3/1/07 (a) |
|
| 6,650,000 |
|
|
| 6,500,000 |
| VMIG1(b) |
| Central York School District, GO, Series A, FSA-Insured, 3.670%, 3/1/07 (a) |
|
| 6,500,000 |
|
|
| 2,100,000 |
| VMIG1(b) |
| Chester County, PA, IDA Revenue, Archdiocese of Philadelphia, 3.640%, 3/1/07 (a) |
|
| 2,100,000 |
|
|
| 12,215,000 |
| F1+(d) |
| Cumberland County, PA, Municipal Authority Revenue, Refunding, Asbury Obligated Group, LOC-KBC Bank N.V., 3.670%, 3/1/07 (a) |
|
| 12,215,000 |
|
|
| 4,725,000 |
| A-1+ |
| Delaware County Authority, PA, Dunwoody Village Inc., LOC-Citizens Bank of PA, 3.660%, 3/1/07 (a) |
|
| 4,725,000 |
|
|
| 6,500,000 |
| A-1+ |
| Harrisburg, PA, Authority School Revenue, Harrisburg Project, AMBAC-Insured, SPA-Westdeutsche Landesbank AG, 3.650%, 3/1/07 (a) |
|
| 6,500,000 |
|
|
| 1,925,000 |
| VMIG1(b) |
| Lancaster County, PA, GO, FSA-Insured, |
|
| 1,924,996 |
|
|
| 8,000,000 |
| A-1 |
| Luzerne County, PA, IDA, Lease Revenue, GTD, LOC-PNC Bank N.A., 3.670%, 3/1/07 (a) |
|
| 8,000,000 |
|
|
| 6,950,000 |
| VMIG1(b) |
| Middletown, PA, Area School District, FSA-Insured, SPA-RBC Centura Bank, 3.670%, 3/1/07 (a) |
|
| 6,950,000 |
|
|
|
|
|
|
| Montgomery County, PA IDA Revenue, Philadelphia Presbyterian Homes: |
|
|
|
|
|
| 5,890,000 |
| A-1+ |
| Series A, LOC-Wachovia Bank N.A., 3.680%, 3/1/07 (a) |
|
| 5,890,000 |
|
|
| 5,400,000 |
| A-1+ |
| Series B, LOC-Wachovia Bank N.A., 3.680%, 3/1/07 (a) |
|
| 5,400,000 |
|
|
| 6,785,000 |
| A-1+ |
| New Garden, PA, General Authority Revenue, Pooled Financing Program, Series II, FSA-Insured, SPA-Bank of Nova Scotia, 3.630%, 3/1/07 (a) |
|
| 6,785,000 |
|
|
| 4,260,000 |
| VMIG1(b) |
| North Pennsylvania Water Authority, FGIC-Insured, SPA-Depfa Bank PLC, 3.670%, 3/1/07 (a) |
|
| 4,260,000 |
|
|
| 6,000,000 |
| A-1 |
| Pennsylvania Economic Development Financing Authority, Exempt Facilities Revenue, Shippingport Project, Series A, LOC-PNC Bank, 3.610%, 3/7/07 (a) |
|
| 6,000,000 |
|
|
| 2,500,000 |
| A-1 |
| Pennsylvania Economic Development Financing Authority Revenue, Series C-1, LOC-PNC Bank N.A., |
|
| 2,500,000 |
|
|
| 6,745,000 |
| A-1+ |
| Pennsylvania State GO, PA 895, FGIC-Insured, |
|
| 6,745,000 |
|
|
| 4,995,000 |
| A-1+ |
| Pennsylvania State Turnpike Community Oil Franchise Tax Revenue, Series 366, MBIA-Insured, |
|
| 4,995,000 |
|
See Notes to Financial Statements.
|
|
24 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Pennsylvania — 9.6% (continued) |
|
|
|
| |||||
|
|
|
|
|
| Philadelphia, PA: |
|
|
|
|
| $ | 1,200,000 |
| A-1 |
| Authority for Industrial Development Facilities Revenue, Marketplace Redwood Project A, AMBAC-Insured,SPA-Landesbank Baden-Wurttemberg, 3.710%, 3/1/07 (a)(e) |
| $ | 1,200,000 |
|
|
|
|
|
|
| Authority for Industrial Development Revenue: |
|
|
|
|
|
| 4,880,000 |
| VMIG1(b) |
| Newcourtland Elder Services Project, LOC-PNC Bank N.A., 3.640%, 3/1/07 (a) |
|
| 4,880,000 |
|
|
| 3,400,000 |
| VMIG1(b) |
| The Franklin Institute Project, LOC-Bank of America, 3.670%, 3/1/07 (a) |
|
| 3,400,000 |
|
|
| 17,000,000 |
| A-1+ |
| Gas Works Revenue, Sixth Series, SPA-JPMorgan Chase, Bank of Nova Scotia, Wachovia Bank, |
|
| 17,000,000 |
|
|
|
|
|
|
| Hospitals and Higher EFA: |
|
|
|
|
|
| 1,700,000 |
| A-1+ |
| Children’s Hospital Project, Series A, SPA-JPMorgan Chase & Westdeutsche Landesbank, |
|
| 1,700,000 |
|
|
| 10,750,000 |
| A-1 |
| Hospital Revenue, Temple University Health, Series B, LOC-PNC Bank, 3.680%, 3/1/07 (a) |
|
| 10,750,000 |
|
|
| 14,500,000 |
| A-1+ |
| Temple University Health, Series A, LOC-Wachovia Bank, 3.710%, 3/1/07 (a) |
|
| 14,500,000 |
|
|
| 6,230,000 |
| VMIG1(b) |
| Phoenixville, PA, Area School District, GO, FSA-Insured, SPA-Wachovia Bank N.A., 3.670%, 3/1/07 (a) |
|
| 6,230,000 |
|
|
| 3,300,000 |
| A-1+ |
| Saint Mary Hospital Authority Bucks County, Catholic Health, Series C, 3.500%, 3/7/07 (a) |
|
| 3,300,000 |
|
|
|
|
|
|
| Total Pennsylvania |
|
| 161,099,996 |
|
| South Carolina — 2.0% |
|
|
|
|
|
| |||
|
| 6,700,000 |
| A-1+ |
| Oconee County, SC, PCR, Refunding-Facilities Duke, Remarketed 11/03/03, LOC-SunTrust Bank, |
|
| 6,700,000 |
|
|
| 8,700,000 |
| F1+(d) |
| South Carolina EFA for Private Non Profit Institutions, Columbia College Project, LOC-Bank of America, 3.720%, 3/1/07 (a) |
|
| 8,700,000 |
|
|
|
|
|
|
| South Carolina Jobs EDA: |
|
|
|
|
|
| 4,875,000 |
| A-1+ |
| Hospital Facilities Revenue, Sisters Charity Providence Hospital, LOC-Wachovia Bank, 3.670%, 3/1/07 (a) |
|
| 4,875,000 |
|
|
| 7,000,000 |
| VMIG1(b) |
| Revenue, Executive Kitchens Inc. Project, LOC-SunTrust Bank, 3.570%, 3/7/07 (a)(e) |
|
| 7,000,000 |
|
|
| 3,745,000 |
| A-1+ |
| South Carolina State Housing Finance & Development Authority Multi-Family Revenue, Rental Housing, Rocky Creek, LOC-Wachovia Bank, 3.720%, 3/1/07 (a) |
|
| 3,745,000 |
|
|
| 2,470,000 |
| A-1 |
| South Carolina Transportation Infrastructure Bank Revenue, Series 316, AMBAC-Insured, |
|
| 2,470,000 |
|
|
|
|
|
|
| Total South Carolina |
|
| 33,490,000 |
|
| South Dakota — 0.4% |
|
|
|
|
|
| |||
|
| 6,210,000 |
| A-1+ |
| South Dakota Economic Development Finance Authority, Hastings Filters Inc., 3.810%, 3/1/07 (a) |
|
| 6,210,000 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 25 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Tennessee — 3.6% |
|
|
|
| |||||
|
|
|
|
|
| Blount County, TN, Public Building Authority, Local Government Public Improvement: |
|
|
|
|
| $ | 1,000,000 |
| VMIG1(b) |
| Series A-1B, AMBAC-Insured, LOC-KBC Bank NV, 3.640%, 3/1/07 (a) |
| $ | 1,000,000 |
|
|
| 1,470,000 |
| VMIG1(b) |
| Series A-2F, LOC-KBC Bank NV, 3.640%, 3/1/07 (a) |
|
| 1,470,000 |
|
|
| 1,600,000 |
| VMIG1(b) |
| Series A-3A, AMBAC-Insured, SPA-Landesbank Baden-Wurttemberg, 3.640%, 3/1/07 (a) |
|
| 1,600,000 |
|
|
| 2,100,000 |
| VMIG1(b) |
| Series A-1-F, AMBAC-Insured, LOC-KBC Bank NV, 3.640%, 3/1/07 (a) |
|
| 2,100,000 |
|
|
| 2,630,000 |
| VMIG1(b) |
| Jackson, TN, Energy Authority, Gas System Revenue, LIQ-SunTrust Bank, FSA-Insured, 3.510%, 3/7/07 (a) |
|
| 2,630,000 |
|
|
| 2,000,000 |
| AA |
| Knoxville, TN, GO, Refunding Series B, 5.000% due 5/1/07 |
|
| 2,004,894 |
|
|
| 8,500,000 |
| A-1+ |
| Marion County, TN, Industrial & Environmental Development Board, Valmont Industries Inc. Project, LOC-Wachovia Bank N.A., 3.720%, 3/1/07 (a) |
|
| 8,500,000 |
|
|
| 13,790,000 |
| A-1+ |
| Memphis, TN, Electric Systems Revenue, Series 378, MBIA-Insured, LIQ-JPMorgan Chase, |
|
| 13,790,000 |
|
|
| 2,390,000 |
| VMIG1(b) |
| Metropolitan Government Nashville & Davidson County, TN, Health & Educational Facilities Board, Revenue, Educational Facilities, Belmont University Project, LOC-SunTrust Bank, 3.510%, 3/7/07 (a) |
|
| 2,390,000 |
|
|
| 4,250,000 |
| VMIG1(b) |
| Morristown, TN, Industrial Development Board Revenue, Industrial Automotive Products, LOC-Landesbank Baden, 3.760%, 3/1/07 (a)(e) |
|
| 4,250,000 |
|
|
| 6,600,000 |
| VMIG1(b) |
| Sevier County, TN, Public Building Authority, Local Government Public Improvement, Series VI, Class D-2, 3.640%, 3/1/07 (a) |
|
| 6,600,000 |
|
|
| 7,000,000 |
| VMIG1(b) |
| Sumner County, TN, GO, Jail Capital Outlay Extension Notes, LOC-SunTrust Bank, 3.510%, 3/7/07 (a) |
|
| 7,000,000 |
|
|
| 7,230,000 |
| VMIG1(b) |
| Tusculum, TN, Health, Educational & Housing Facilities Board Revenue, Tusculum College Project, LOC-SunTrust Bank, 3.520%, 3/7/07 (a) |
|
| 7,230,000 |
|
|
|
|
|
|
| Total Tennessee |
|
| 60,564,894 |
|
| Texas — 12.2% |
|
|
|
| |||||
|
| 8,625,000 |
| A-1+ |
| Austin, TX, Water & Wastewater System Revenue, FSA-Insured, SPA-Landesbank Baden-Wurttemberg, |
|
| 8,625,000 |
|
|
|
|
|
|
| Dallas, TX, Area Rapid Transit: |
|
|
|
|
|
| 15,595,000 |
| NR |
| 3.600% due 3/8/07 |
|
| 15,595,000 |
|
|
| 25,000,000 |
| NR |
| 3.720% due 3/8/07 |
|
| 25,000,000 |
|
|
| 15,300,000 |
| A-1+ |
| Denton, TX, ISD, GO, School Building, Series B, SPA-Bank of America N.A., 3.680%, 3/1/07 (a) |
|
| 15,300,000 |
|
|
| 2,265,000 |
| F1+(d) |
| Garland, TX Electric System Revenue, P Floats Pt-2677, FSA-Insured, LIQ-Merrill Lynch Capital Services Inc., 3.720%, 3/1/07 (a)(c) |
|
| 2,265,000 |
|
|
| 1,700,000 |
| VMIG1(b) |
| Harris County, TX, Health Facilities Development Corp. Revenue, YMCA of Greater Houston Area, LOC-JPMorgan Chase, 3.640%, 3/1/07 (a) |
|
| 1,700,000 |
|
|
| 14,000,000 |
|
|
| Houston, TX, TECP, Series A, 3.550% due 3/13/07 |
|
| 14,000,000 |
|
|
| 15,520,000 |
| VMIG1(b) |
| Houston, TX, Utilities System Revenue, Series 1613, MBIA-Insured, LIQ-Morgan Stanley Municipal Funding Inc., 3.690%, 3/1/07 (a)(c) |
|
| 15,520,000 |
|
|
| 5,545,000 |
| F1+(d) |
| McKinney, TX GO, P-Floats PT-2722, 3.720%, 3/1/07 (a)(c) |
|
| 5,545,000 |
|
|
| 15,700,000 |
| A-1+ |
| North Texas Throughway Authority Dallas North Throughway System Revenue, Series B, FSA-Insured, 3.550%, 3/7/07 (a) |
|
| 15,700,000 |
|
|
| 10,000,000 |
| A-1+ |
| North Texas Tollway Authority, Dallas North Thruway Systems Authority, Series C, FGIC-Insured, SPA-Depfa Bank PLC, 3.550%, 3/7/07 (a) |
|
| 10,000,000 |
|
See Notes to Financial Statements.
|
|
26 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Texas — 12.2% (continued) |
|
|
|
| |||||
| $ | 7,270,000 |
| A-1+ |
| Nueces River Authority, Water Supply Revenue, Pt-2821, FSA-Insured, SPA-Merrill Lynch Capital Services Inc., 3.720%, 3/1/07 (a)(c) |
| $ | 7,270,000 |
|
|
| 635,000 |
| A-1+ |
| Tarrant County, TX, Health Facilities Development Corp. Revenue, Adventist/Sunbelt, Series A, LOC-SunTrust Bank, 3.650%, 3/1/07 (a) |
|
| 635,000 |
|
|
| 5,500,000 |
| NR |
| Texas State, PFA, TECP, Series 2002A, 3.600% due 3/6/07 |
|
| 5,500,000 |
|
|
| 17,110,000 |
| SP-1+ |
| Texas State, TRAN, GO, 4.500% due 8/31/07 |
|
| 17,188,539 |
|
|
| 1,650,000 |
| NR |
| Texas Technical University Revenue Financing System, TECP, Series A, 3.600% due 4/4/07 |
|
| 1,650,000 |
|
|
| 13,145,000 |
| F1+(d) |
| University of North Texas University Revenue, Series 1587, MBIA-Insured, LIQ-Morgan Stanley, 3.690%, 3/1/07 (a)(c) |
|
| 13,145,000 |
|
|
| 10,000,000 |
| F1+(d) |
| Waxahachie, TX, ISD, GO, Series 1604, PSF-Insured, LIQ-Morgan Stanley, 3.690%, 3/1/07 (a)(c) |
|
| 10,000,000 |
|
|
| 20,000,000 |
| A-1+ |
| Weatherford, TX, ISD, Series A, PSF-GTD-Insured, SPA-Depfa Bank PLC, 3.820%, 8/1/07 (a) |
|
| 20,000,000 |
|
|
|
|
|
|
| Total Texas |
|
| 204,638,539 |
|
| Utah — 4.4% |
|
|
|
| |||||
|
|
|
|
|
| Murray City, UT, Hospital Revenue, IHC Health Services Inc.: |
|
|
|
|
|
| 2,300,000 |
| A-1+ |
| Series A, SPA-JPMorgan Chase, 3.640%, 3/1/07 (a) |
|
| 2,300,000 |
|
|
| 4,100,000 |
| A-1+ |
| Series B, 3.650%, 3/1/07 (a) |
|
| 4,100,000 |
|
|
|
|
|
|
| Utah Housing Corp. Single Family Mortgage Revenue: |
|
|
|
|
|
| 8,270,000 |
| A-1+ |
| Series A-1, Class I, SPA-Westdeutsche Landesbank, 3.580%, 3/7/07 (a) |
|
| 8,270,000 |
|
|
| 2,185,000 |
| A-1+ |
| Series B, Class I, SPA-Westdeutsche Landesbank, 3.580%, 3/7/07 (a) |
|
| 2,185,000 |
|
|
| 4,905,000 |
| A-1+ |
| Series D, Class 1, LIQ-Bayerische Landesbank, |
|
| 4,905,000 |
|
|
| 7,360,000 |
| VMIG1(b) |
| Series D-1, Class I, SPA-FHLB, 3.580%, 3/7/07 (a) |
|
| 7,360,000 |
|
|
| 4,160,000 |
| A-1+ |
| Series F-1, Class 1, SPA-Depfa Bank PLC, |
|
| 4,160,000 |
|
|
| 2,400,000 |
| VMIG1(b) |
| Series F-1, Class I, SPA-FHLB, 3.580%, 3/7/07 (a)(e) |
|
| 2,400,000 |
|
|
| 9,765,000 |
| A-1+ |
| Series G, LIQ-Depfa Bank PLC, 3.580%, 3/7/07 (a) |
|
| 9,765,000 |
|
|
| 13,080,000 |
| A-1+ |
| Series I, LIQ-Bayerische Landesbank, 3.580%, 3/7/07 (a) |
|
| 13,080,000 |
|
|
| 1,885,000 |
| A-1+ |
| Utah State Housing Finance Agency, Single Family Mortgage, Series F-2, Class I, SPA-Bayerische Landesbank, 3.580%, 3/7/07 (a) |
|
| 1,885,000 |
|
|
| 7,685,000 |
| F1+(d) |
| Utah Water Finance Agency Revenue, P-Floats PT-2740, AMBAC-Insured, SPA-Merrill Lynch Capital Services Inc., 3.720%, 3/1/07 (a)(c) |
|
| 7,685,000 |
|
|
| 5,175,000 |
| A-1+ |
| Weber County, UT, Hospital Revenue, IHC Health Services Inc., Series B, SPA-Westdeutsche Landesbank, |
|
| 5,175,000 |
|
|
|
|
|
|
| Total Utah |
|
| 73,270,000 |
|
| Virginia — 0.4% |
|
|
|
| |||||
|
|
|
|
|
| Virginia College Building Authority, VA, Educational Facilities Revenue: |
|
|
|
|
|
| 1,710,000 |
| A-1+ |
| 21st Century College, Series C, SPA-Wachovia Bank N.A., 3.600%, 3/1/07 (a) |
|
| 1,710,000 |
|
|
| 4,935,000 |
| A-1 |
| Series 134, FSA-Insured, 3.700%, 3/1/07 (a)(c) |
|
| 4,935,000 |
|
|
|
|
|
|
| Total Virginia |
|
| 6,645,000 |
|
| Washington — 0.9% |
|
|
|
| |||||
|
| 2,600,000 |
| F1+(d) |
| Everett, WA, GO, LOC-Bank of America, 3.720%, 3/1/07 (a) |
|
| 2,600,000 |
|
|
| 4,825,000 |
| F1+(d) |
| Pierce County, WA, GO, Series 2840, AMBAC-Insured, SPA-Merrill Lynch Capital Services Inc., |
|
| 4,825,000 |
|
|
| 3,300,000 |
| F1+(d) |
| Washington State GO, Series 438Z, MBIA-Insured, |
|
| 3,300,000 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 27 |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
|
|
|
|
|
|
|
|
| Face |
| Rating‡ |
| Security |
| Value |
| ||
| Washington — 0.9% (continued) |
|
|
|
| |||||
| $ | 1,300,000 |
| A-1+ |
| Washington State Health Care Facilities Authority Revenue, Catholic Health, Series B, SPA-JPMorgan Chase, |
| $ | 1,300,000 |
|
|
| 3,500,000 |
| VMIG1(b) |
| Washington State Housing Finance Commission Non-Profit Revenue, Eastside Catholic School, Series A, LOC-Keybank N.A., 3.690%, 3/1/07 (a) |
|
| 3,500,000 |
|
|
|
|
|
|
| Total Washington |
|
| 15,525,000 |
|
| West Virginia — 0.0% |
|
|
|
| |||||
|
| 400,000 |
| A-1+ |
| Marshall County, WV, PCR, Updates, Mountaineer Carbon Co., 3.640%, 3/1/07 (a) |
|
| 400,000 |
|
| Wisconsin — 1.6% |
|
|
|
| |||||
|
| 5,910,000 |
| F1+(d) |
| D C Everest, WI, Area School District, GO, P-Floats Pt-2772, FSA-Insured, SPA-Merrill Lynch Capital Services Inc., 3.720%, 3/1/07 (a)(c) |
|
| 5,910,000 |
|
|
| 4,995,000 |
| A-1+ |
| Verona, WI, IDR, Latitude Corp. Project, LOC-US Bank N.A., 3.790%, 3/1/07 (a)(e) |
|
| 4,995,000 |
|
|
| 7,600,000 |
| A-1 |
| Wisconsin HEFA, AMBAC-Insured, SPA-Morgan Stanley, 3.650%, 3/1/07 (a) |
|
| 7,600,000 |
|
|
| 7,500,000 |
| VMIG1(b) |
| Wisconsin State, HEFA Revenue, Jewish Home and Care Center, LOC-JPMorgan Chase, 3.700%, 3/1/07 (a) |
|
| 7,500,000 |
|
|
|
|
|
|
| Total Wisconsin |
|
| 26,005,000 |
|
| Wyoming — 0.5% |
|
|
|
| |||||
|
| 8,000,000 |
| VMIG1(b) |
| Sweetwater, WY, Memorial Hospital Project, LOC-Keybank NA, 3.540%, 3/7/07 (a) |
|
| 8,000,000 |
|
|
|
|
|
|
| TOTAL INVESTMENTS — 98.0% |
|
| 1,636,700,886 |
|
|
|
|
|
|
| Other Assets in Excess of Liabilities — 2.0% |
|
| 34,210,428 |
|
|
|
|
|
|
| TOTAL NET ASSETS — 100.0% |
| $ | 1,670,911,314 |
|
|
|
‡ | All ratings are by Standard & Poor’s Ratings Service, unless otherwise noted. |
|
|
(a) | Variable rate demand obligations have a demand feature under which the Portfolio can tender them back to the issuer on no more than 7 days notice. Date shown is the date of the next interest rate change. |
|
|
(b) | Rating by Moody’s Investors Service. |
|
|
(c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
|
|
(d) | Rating by Fitch Ratings Service. |
|
|
(e) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”). |
|
|
# | Aggregate cost for federal income tax purposes is substantially the same. |
|
|
| Please see pages 30 and 31 for definitions of ratings. |
|
|
|
Abbreviations used in this schedule: | ||
AMBAC | — | Ambac Assurance Corporation |
BAN | — | Bond Anticipation Notes |
COP | — | Certificate of Participation |
DFA | — | Development Finance Agency |
EDA | — | Economic Development Authority |
EDR | — | Economic Development Revenue |
EFA | — | Educational Facilities Authority |
FGIC | — | Financial Guaranty Insurance Company |
FHLB | — | Federal Home Loan Bank |
FNMA | — | Federal National Mortgage Association |
FSA | — | Financial Security Assurance |
GO | — | General Obligation |
See Notes to Financial Statements.
|
|
28 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
|
|
|
GTD | — | Guaranteed |
HEFA | — | Health & Educational Facilities Authority |
HFA | — | Housing Finance Authority |
IDA | — | Industrial Development Authority |
IDB | — | Industrial Development Board |
IDR | — | Industrial Development Revenue |
ISD | — | Independent School District |
LIQ | — | Liquidity Facility |
LOC | — | Letter of Credit |
MBIA | — | Municipal Bond Investors Assurance Corporation |
MFH | — | Multi-Family Housing |
PCR | — | Pollution Control Revenue |
PFA | — | Public Facilities Authority |
PSF | — | Permanent School Fund |
Q-SBLF | — | Qualified School Board Loan Fund |
SPA | — | Standby Bond Purchase Agreement |
TAN | — | Tax Anticipation Notes |
TECP | — | Tax Exempt Commercial Paper |
TFA | — | Transitional Finance Authority |
TRAN | — | Tax and Revenue Anticipation Notes |
|
Summary of Investments by Industry* (unaudited) |
|
|
|
|
|
Hospitals |
|
| 16.8 | % |
General Obligation |
|
| 15.3 |
|
Education |
|
| 14.9 |
|
Transportation |
|
| 10.0 |
|
Industrial Development |
|
| 7.1 |
|
Water & Sewer |
|
| 7.1 |
|
Miscellaneous |
|
| 6.8 |
|
Utilities |
|
| 5.0 |
|
Housing: Multi-Family |
|
| 4.0 |
|
Housing: Single-Family |
|
| 3.8 |
|
Public Facilities |
|
| 3.4 |
|
Life Care Systems |
|
| 1.7 |
|
Pollution Control |
|
| 1.6 |
|
Finance |
|
| 0.9 |
|
Electric |
|
| 0.8 |
|
Solid Waste |
|
| 0.6 |
|
Tax Allocation |
|
| 0.2 |
|
|
|
| 100.0 | % |
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 29 |
Bond Ratings (unaudited)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (–) sign to show relative standings within the major rating categories.
|
|
|
AAA | — | Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong. |
|
|
|
AA | — | Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. |
|
|
|
A | — | Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. |
|
|
|
BBB | — | Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. |
|
|
|
BB, B, |
|
|
CCC, CC |
|
|
and C | — | Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. |
|
|
|
D | — | Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. |
|
|
|
Moody’s Investors Service (“Moody’s”)—Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category. | ||
|
|
|
Aaa | — | Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. |
|
|
|
Aa | — | Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. |
|
|
|
A | — | Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. |
|
|
|
Baa | — | Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. |
|
|
|
Ba | — | Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. |
|
|
|
B | — | Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. |
|
|
|
Caa | — | Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest. |
|
|
|
Ca | — | Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings. |
|
|
30 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
Bond Ratings (unaudited) (continued)
|
|
|
C | — | Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. |
|
|
|
NR | — | Indicates that the bond is not rated by Standard & Poor’s or Moody’s. |
Short-Term Security Ratings (unaudited)
|
|
|
The definitions of the applicable ratings symbols are set forth below: | ||
|
|
|
SP-1 | — | Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. |
|
|
|
A-1 | — | Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. |
|
|
|
VMIG 1 | — | Moody’s highest rating for issues having a demand feature—VRDO. |
|
|
|
MIG1 | — | Moody’s highest rating for short-term municipal obligations. |
|
|
|
P-1 | — | Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating. |
|
|
|
F1 | — | Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+)sign. |
|
|
|
NR | — | Indicates that the bond is not rated by Standard & Poor’s, Moody’s or Fitch Ratings Service. |
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 31 |
|
Statement of Assets and Liabilities (February 28, 2007) (unaudited) |
|
|
|
|
|
ASSETS: |
|
|
|
|
Investments, at amortized cost |
| $ | 1,636,700,886 |
|
Cash |
|
| 2,014 |
|
Receivable for securities sold |
|
| 27,414,479 |
|
Interest receivable |
|
| 7,107,136 |
|
Receivable from manager |
|
| 45,111 |
|
Total Assets |
|
| 1,671,269,626 |
|
LIABILITIES: |
|
|
|
|
Investment management fee payable |
|
| 177,536 |
|
Trustees’ fees payable |
|
| 106,603 |
|
Accrued expenses |
|
| 74,173 |
|
Total Liabilities |
|
| 358,312 |
|
Total Net Assets |
| $ | 1,670,911,314 |
|
REPRESENTED BY: |
|
|
|
|
Paid-in capital |
| $ | 1,670,911,314 |
|
See Notes to Financial Statements.
|
|
32 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
Statement of Operations (For the six months ended February 28, 2007) (unaudited) |
|
|
|
|
|
INVESTMENT INCOME: |
|
|
|
|
Interest (Note 1) |
| $ | 27,041,817 |
|
EXPENSES: |
|
|
|
|
Investment management fee (Note 2) |
|
| 1,131,323 |
|
Trustees’ fees (Notes 2 and 6) |
|
| 59,140 |
|
Legal fees |
|
| 54,044 |
|
Audit and tax |
|
| 13,967 |
|
Custody fees |
|
| 6,924 |
|
Shareholder reports |
|
| 1,375 |
|
Miscellaneous expenses |
|
| 2,253 |
|
Total Expenses |
|
| 1,269,026 |
|
Less: Fee waivers and/or expense reimbursements (Notes 2 and 6) |
|
| (137,069 | ) |
Fees paid indirectly (Note 1) |
|
| (659 | ) |
Net Expenses |
|
| 1,131,298 |
|
Net Investment Income |
|
| 25,910,519 |
|
Net Realized Gain on Investments |
|
| 10,015 |
|
Increase in Net Assets From Operations |
| $ | 25,920,534 |
|
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 33 |
|
|
|
|
|
|
|
|
|
For the six months ended February 28, 2007 (unaudited) |
| ||||||
|
| 2007 |
| 2006 |
| ||
OPERATIONS: |
|
|
|
|
|
|
|
Net investment income |
| $ | 25,910,519 |
| $ | 62,504,695 |
|
Net realized gain (loss) |
|
| 10,015 |
|
| (33,798 | ) |
Increase in Net Assets From Operations |
|
| 25,920,534 |
|
| 62,470,897 |
|
CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from contributions |
|
| 1,840,618,753 |
|
| 6,170,239,041 |
|
Value of withdrawals |
|
| (1,875,632,852 | ) |
| (6,813,869,686 | ) |
Decrease in Net Assets From Capital Transactions |
|
| (35,014,099 | ) |
| (643,630,645 | ) |
Decrease in Net Assets |
|
| (9,093,565 | ) |
| (581,159,748 | ) |
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
|
| 1,680,004,879 |
|
| 2,261,164,627 |
|
End of period |
| $ | 1,670,911,314 |
| $ | 1,680,004,879 |
|
See Notes to Financial Statements.
|
|
34 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| |||||||||||||||||||
For the years ended August 31, unless otherwise noted: |
| ||||||||||||||||||
| |||||||||||||||||||
|
| 2007(1) |
| 2006 |
| 2005 |
| 2004 |
| 2003 |
| 2002 |
| ||||||
Net Assets, End of Period (000s) |
| $ | 1,671 |
| $ | 1,680 |
| $ | 2,261 |
| $ | 1,515 |
| $ | 1,511 |
| $ | 1,465 |
|
Total Return(2) |
|
| 1.97 | % |
| 3.05 | % |
| 1.88 | % |
| 0.91 | % |
| 1.17 | % |
| 1.72 | % |
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
| 0.17 | %(3)(4) |
| 0.17 | % |
| 0.23 | % |
| 0.23 | % |
| 0.24 | % |
| 0.24 | % |
Net expenses(5)(6)(7) |
|
| 0.15 | (3)(4) |
| 0.15 |
|
| 0.15 |
|
| 0.15 |
|
| 0.15 |
|
| 0.15 |
|
Net investment income |
|
| 3.44 | (3) |
| 2.99 |
|
| 1.95 |
|
| 0.90 |
|
| 1.14 |
|
| 1.64 |
|
|
|
(1) | For the six months ended February 28, 2007 (unaudited). |
|
|
(2) | Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
|
|
(3) | Annualized. |
|
|
(4) | Included in the expense ratios are certain non-recurring restructuring (and reorganization, if applicable) fees that were incurred by the Fund during the period. Without these fees, the gross and net expense ratios would have been 0.16% and 0.15%, respectively (Note 6). |
|
|
(5) | As a result of a voluntary expense limitation, the ratio of expenses to average net assets other than interest, brokerage, taxes and extraordinary expenses, of the Portfolio will not exceed 0.15%. |
|
|
(6) | Reflects fee waivers and/or expense reimbursements. |
|
|
(7) | There was no impact to the expense ratio as a result of fees paid indirectly. |
See Notes to Financial Statements.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 35 |
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Tax Free Reserves Portfolio (the “Portfolio”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, non-diversified, open-end management investment company which was organized as a trust under the laws of the State of New York. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At February 28, 2007, all investors in the Portfolio were funds advised by the manager of the fund or its affiliates.
Effective as of close of business, April 13, 2007, the Portfolio is a no-load, non-diversified series of Master Portfolio Trust (the “New Trust”). The New Trust, a Maryland business trust, is registered under the 1940 Act as an open-end management investment company.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.
(a) Investment Valuation. Money market instruments are valued at amortized cost, in accordance with Rule 2a-7 under the 1940 Act, which approximates market value. This method involves valuing portfolio securities at their cost and thereafter assuming a constant amortization to maturity of any discount or premium. The Portfolio’s use of amortized cost is subject to compliance with certain conditions as specified under Rule 2a-7 of the 1940 Act.
(b) Interest Income and Expenses. Interest income consists of interest accrued and discount earned (including both original issue and market discount adjusted for amortization of premium) on the investments of the Portfolio. Expenses of the Portfolio are accrued daily. The Portfolio bears all costs of its operations, other than expenses specifically assumed by the manager.
(c) Fees Paid Indirectly. The Portfolio’s custodian calculates its fees based on the Portfolio’s average daily net assets. The fee is reduced according to a fee arrangement, which provides for custody fees to be reduced based on a formula developed to measure the value of cash deposited with the custodian by the Portfolio. This amount is shown as a reduction of expenses in the Statement of Operations.
(d) Income Taxes. The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized gains and losses of the Portfolio. Therefore, no federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of the subchapter M of the Internal Revenue Code.
(e) Other. Purchases, maturities and sales of money market instruments are accounted for on the date of the transaction. Realized gains and losses are calculated on the identified cost basis.
|
|
36 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
2. Investment Management Agreement and Other Transactions with Affiliates
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Portfolio pays investment management fees calculated daily and paid monthly at an annual rate of 0.15% of the Portfolio’s average daily net assets.
LMPFA provides administrative and certain oversight services to the Portfolio. LMPFA has delegated to the subadviser the day-to-day portfolio management of the Portfolio. For its services LMPFA pays Western Asset 70% of the net management fee it receives from the Portfolio.
During the six months ended February 28, 2007, the Portfolio had a voluntary expense limitation in place of 0.15% of the Portfolio’s average daily net assets.
During the six months ended February 28, 2007, LMPFA waived a portion of its fee in the amount of $91,958. In addition, during the six months ended February 28, 2007, the Portfolio was reimbursed for expenses amounting to $45,111.
The Portfolio pays no compensation directly to any Trustee or any officer who is affiliated with LMPFA, all of whom receive remuneration for their services to the Portfolio from Legg Mason or its affiliates.
During a special meeting in June 2006, the Portfolio’s Board approved a number of initiatives to streamline and restructure the fund complex. In that connection, the Board voted to establish a mandatory retirement age of 75 for current Trustees, and 72 for all future Trustees and to allow current Trustees to elect to retire as of the date which Trustees elected in accordance with the Joint Proxy Statement commence service as Trustees of the realigned and consolidated Board (the “Effective Date”).
On July 10, 2006, the Board also voted to amend its retirement plans to provide for the payment of certain benefits (in lieu of any other retirement payments under the plans) to Trustees who have not elected to retire as of the Effective Date. Under the amended plan, Trustees electing to receive benefits under the amendments must waive all rights under the plan prior to amendment. Each fund overseen by the Board (including the Portfolio) will pay a pro rata share (based upon asset size) of such benefits. As of February 28, 2007, the Portfolio’s allocable share of benefits under this amendment is $61,492.
Under the previous Retirement Plan (the “Plan”), all Trustees who were not “Interested Persons” of the Portfolio, within the meaning of the 1940 Act, were required to retire from the Board as of the last day of the calendar year in which the applicable Trustee attained age 75. Trustees were able to retire under the Plan before attaining the mandatory retirement age. Trustees who had served as Trustee of the Trust or any of the investment companies associated with LMPFA for at least ten years when they retired were eligible to receive the maximum retirement benefit under the previous Plan, subject to the terms of the amended plans. The maximum retirement benefit was an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the entirety of the calendar year of the Trustee’s retirement (assuming no change in relevant facts for the balance of the year following the Trustee’s retirement). Amounts owed under the Plan may be paid in
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 37 |
Notes to Financial Statements (unaudited) (continued)
installments or in a lump sum (discounted to present value). Benefits under the Plan are unfunded. Two former Trustees are currently receiving payments under the Plan.
Certain officers and one Trustee of the Portfolio are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
3. Regulatory Matters
On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and Citigroup Global Markets Inc. (“CGM”) relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Affected Funds”).
The SEC order finds that SBFM and CGM willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGM knowingly or recklessly failed to disclose to the boards of the Affected Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Affected Funds’ then existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that, at the time, included the Affected Funds’ investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange for, among other things, a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGM. The order also finds that SBFM and CGM willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Affected Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Affected Funds’ best interests and that no viable alternatives existed. SBFM and CGM do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGM and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Affected Funds, primarily through fee waivers. The remaining $183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan submitted for approval by the SEC. At this time, there is no certainty as to how the proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made.
The order also requires that transfer agency fees received from the Affected Funds since December 1, 2004, less certain expenses, be placed in escrow and provides that a portion of such fees may be subsequently distributed in accordance with the terms of the order. On April 3, 2006, an aggregate amount of approximately $9 million was distributed to the Affected Funds.
|
|
38 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
Notes to Financial Statements (unaudited) (continued)
The order required SBFM to recommend a new transfer agent contract to the Affected Funds’ boards within 180 days of the entry of the order; if a Citigroup affiliate submitted a proposal to serve as transfer agent or sub-transfer agent, SBFM and CGM would have been required, at their expense, to engage an independent monitor to oversee a competitive bidding process. On November 21, 2005, and within the specified timeframe, the Affected Fund’s Boards selected a new transfer agent for the Affected Funds. No Citigroup affiliate submitted a proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004.
Although there can be no assurance, the Portfolio’s manager does not believe that this matter will have a material adverse effect on the Portfolio.
This Portfolio is not one of the Affected Funds and therefore did not implement the transfer agent arrangement described above and therefore will not receive any portion of the distributions.
On December 1, 2005, Citigroup completed the sale of substantially all of its global asset management business, including SBFM, to Legg Mason.
4. Legal Matters
Beginning in August 2005, five class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM (collectively, the “Defendants”) based on the May 31, 2005 settlement order issued against the Defendants by the SEC as described in Note 3. The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as the investment manager for the Smith Barney family of funds, rescission of the Portfolio’s management and other contracts with SBFM, recovery of all fees paid to SBFM pursuant to such contracts, and an award of attorneys’ fees and litigation expenses.
On October 5, 2005, a motion to consolidate the five actions and any subsequently filed, related action was filed. That motion contemplates that a consolidated amended complaint alleging substantially similar causes of action will be filed in the future.
As of the date of this report, the Portfolio’s manager believes that resolution of the pending lawsuit will not have a material effect on the financial position or results of operations of the Funds or the ability of the Portfolio’s manager and its affiliates to continue to render services to the Funds under their respective contracts.
5. Other Matters
On September 16, 2005, the staff of the SEC informed SBFM and Salomon Brothers Asset Management Inc (“SBAM”) that the staff is considering recommending that the SEC institute administrative proceedings against SBFM and SBAM for alleged violations of Section 19(a) and 34(b) of the 1940 Act (and related Rule 19a-1). The notification is a result of an industry wide inspection by the SEC and is based upon alleged deficiencies in disclosures regarding dividends and distributions paid to shareholders of certain funds. Section 19(a) and related Rule 19a-1 of the 1940 Act generally require funds that are making dividend and distribution payments to provide shareholders with a written statement disclosing the source of the dividends and distributions, and, in particular, the portion of the payments made from each of net investment income, undistributed net profits and/or paid-in capital. In connection with the contemplated proceedings, the staff may seek a cease and desist order and/or monetary damages from SBFM or SBAM.
|
|
Tax Free Reserves Portfolio 2007 Semi-Annual Report | 39 |
Notes to Financial Statements (unaudited) (continued)
Although there can be no assurance, the Portfolio’s manager believes that this matter is not likely to have a material adverse effect on the Portfolio.
6. Special Investor Meeting and Reorganization
Investors of the Portfolio approved a number of initiatives designed to streamline and restructure the fund complex. These matters generally are expected to be implemented in 2007. Legg Mason will pay for a portion of the costs related to these initiatives. The portions of the costs that are borne by the Portfolio will be recognized in the period during which the expense is incurred. Such expenses include obtaining investor votes for proposals relating to the initiatives noted above, the election of board members, and the retirement of board members. The portions of these costs borne by the Portfolio and reflected in the Statement of Operations are deemed extraordinary and, therefore, not subject to expense limitation agreements, if applicable.
7. Recent Accounting Pronouncements
During June 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Interpretation 48 (“FIN 48” or the “Interpretation”), Accounting for Uncertainty in Income Taxes—an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is “more likely than not” to be sustained based solely on its technical merits. Management must be able to conclude that the tax law, regulations, case law, and other objective information regarding the technical merits sufficiently support the position’s sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006, which for this Fund will be September 1, 2007. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Portfolio has determined that adopting FIN 48 will not have a material impact on the Portfolio’s financial statements.
* * *
On September 20, 2006, FASB released Statement of Financial Accounting Standards No. 157 Fair Value Measurements (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact on the financial statements has not yet been determined.
|
|
40 | Tax Free Reserves Portfolio 2007 Semi-Annual Report |
Schedule of Investments (February 28, 2007) (unaudited) |
INSTITUTIONAL ENHANCED PORTFOLIO
Face | ||||||
Security | Value | |||||
ASSET-BACKED SECURITIES — 32.4% | ||||||
Home Equity — 30.4% | ||||||
$ 2,504,034 | ACE Securities Corp., Series 2006-ASL1, Class A, 5.460% due 3/25/07 (a) | $ | 2,505,788 | |||
1,690,084 | American Home Mortgage Investment Trust, Series 2005-02, Class 5A2, | |||||
5.470% due 3/25/07 (a) | 1,691,301 | |||||
665,512 | Argent Securities Inc., Series 2006-W4, Class A2A, 5.380% due 3/25/07 (a) | 665,976 | ||||
2,000,000 | Bayview Financial Acquisition Trust, Series 2003-G, Class A1, 5.920% due | |||||
3/28/07 (a) | 2,002,734 | |||||
1,875,446 | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-06, | |||||
Class 2A2, 5.610% due 3/25/07 (a) | 1,879,062 | |||||
1,456,571 | Countrywide Asset-Backed Certificates, Series 2005-11, Class AF1, 5.500% | |||||
due 3/25/07 (a) | 1,457,820 | |||||
Countrywide Home Equity Loan Trust: | ||||||
1,452,895 | Series 2002-B, Class A1, 5.570% due 3/15/07 (a) | 1,453,861 | ||||
2,288,863 | Series 2003-B, Class A, 5.630% due 3/15/07 (a) | 2,293,861 | ||||
2,988,486 | Series 2005-F, Class 2A, 5.560% due 3/15/07 (a) | 2,993,966 | ||||
964,610 | Series 2005-L, Class A, 5.540% due 3/15/07 (a) | 965,347 | ||||
2,699,453 | FBR Securitization Trust, Series 2005-01, Class A2, 5.560% due 3/28/07 (a) | 2,702,214 | ||||
653,178 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2004-FF10, | |||||
Class A2, 5.720% due 3/25/07 (a) | 654,421 | |||||
GMAC Mortgage Corp. Loan Trust: | ||||||
1,000,000 | Series 2006-HE1, Class A, 5.530% due 3/25/07 (a) | 1,001,060 | ||||
1,900,000 | Series 2006-HE4, Class A1, 5.390% due 3/25/07 (a) | 1,902,259 | ||||
GSAMP Trust: | ||||||
751,233 | Series 2006-S2, Class A2, 5.420% due 3/25/07 (a) | 751,702 | ||||
764,619 | Series 2006-S3, Class A1, 6.085% due 3/1/07 | 763,921 | ||||
2,136,704 | Series 2006-SEA1, Class A, 5.620% due 3/25/07 (a)(b) | 2,134,397 | ||||
1,318,985 | Indymac Home Equity Loan Asset-Backed Trust, Series 2006-H1, Class A, | |||||
5.490% due 3/25/07 (a) | 1,319,806 | |||||
611,956 | IXIS Real Estate Capital Trust, Series 2006-HE1, Class A1, 5.410% due | |||||
3/25/07 (a) | 612,377 | |||||
2,424,847 | Lehman XS Trust, Series 2005-02, Class 2A1A, 5.470% due 3/25/07 (a) | 2,427,359 | ||||
Morgan Stanley Mortgage Loan Trust: | ||||||
2,181,702 | Series 2006-12XS, Class A1, 5.440% due 3/25/07 (a) | 2,183,219 | ||||
2,405,641 | Series 2006-17XS, Class A1, 5.440% due 3/25/07 (a) | 2,408,167 | ||||
2,500,000 | Series 2007-3XS, Class 2A1B, 5.490% due 3/25/07 (a) | 2,500,000 | ||||
1,530,000 | New Century Home Equity Loan Trust, Series 2005-B, Class A2B, 5.500% | |||||
due 3/25/07 (a) | 1,531,354 | |||||
397,740 | Novastar Home Equity Loan, Series 2003-02, Class A1, 5.625% | |||||
due 3/25/07 (a) | 398,253 | |||||
794,419 | Popular ABS Mortgage Pass-Through Trust, Series 2004-04, Class AF1, | |||||
5.570% due 3/25/07 (a) | 795,121 | |||||
RAAC: | ||||||
1,512,852 | Series 2006-RP2, Class A, 5.570% due 3/25/07 (a)(b) | 1,513,792 | ||||
1,931,707 | Series 2006-RP3, Class A, 5.590% due 3/25/07 (a)(b) | 1,931,707 | ||||
118,464 | Residential Asset Securities Corp., Series 2003-KS1, Class A2, 6.060% due | |||||
3/25/07 (a) | 118,592 | |||||
SACO I Trust: | ||||||
3,163,126 | Series 2005-08, Class A1, 5.600% due 3/25/07 (a) | 3,165,958 | ||||
1,116,446 | Series 2005-WM2, Class A1, 5.600% due 3/25/07 (a) | 1,117,394 | ||||
2,852,331 | Series 2006-01, Class A, 5.490% due 3/25/07 (a) | 2,854,503 | ||||
1,963,030 | Series 2006-05, Class 1A, 5.470% due 3/25/07 (a) | 1,964,425 | ||||
1,280,166 | Series 2006-07, Class A1, 5.450% due 3/25/07 (a) | 1,280,963 | ||||
78,343 | Specialty Underwriting & Residential Finance, Series 2003-BC3, Class A, | |||||
5.670% due 3/25/07 (a) | 78,494 | |||||
1,599,382 | Structured Asset Investment Loan Trust, Series 2004-08, Class A8, 5.820% | |||||
due 3/25/07 (a) | 1,601,802 |
Page 1
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
Face | ||||||
Security | Value | |||||
Home Equity — 30.4% (continued) | ||||||
$ 1,733,873 | Structured Asset Securities Corp., Series 2003-28XS, Class A4, 5.160% due | |||||
3/1/07 | $ | 1,721,016 | ||||
985,211 | Truman Capital Mortgage Loan Trust, Series 2005-01, Class A, 5.750% due | |||||
3/25/07 (a)(b) | 985,211 | |||||
2,333,076 | Wachovia Asset Securitization Inc., Series 2002-HE2, Class A, 5.750% due | |||||
3/25/07 (a) | 2,336,924 | |||||
Total Home Equity | 62,666,127 | |||||
Credit Card — 1.1% | ||||||
2,264,143 | Compucredit Acquired Portfolio Voltage Master Trust, Series 2006-1A, Class | |||||
A1, 5.490% due 3/15/07 (a)(b) | 2,271,841 | |||||
Automobiles — 0.9% | ||||||
1,448,021 | Drivetime Auto Owner Trust, Series 2006-A, Class A2, 5.422% | |||||
due 3/15/07 (b) | 1,448,926 | |||||
400,000 | Hertz Vehicle Financing LLC, Series 2005-2A, Class A3, 5.520% | |||||
due 3/25/07 (a) (b) | 400,456 | |||||
Total Automobiles | 1,849,382 | |||||
TOTAL ASSET-BACKED SECURITIES | ||||||
(Cost — $66,753,006) | 66,787,350 | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 26.4% | ||||||
2,591,739 | American Home Mortgage Assets, Series 2006-04, Class 1A12, 5.530% due | |||||
3/25/07 (a) | 2,597,324 | |||||
2,055,677 | American Home Mortgage Investment Trust, Series 2005-03, Class 3A2, | |||||
5.500% due 3/25/07 (a) | 2,057,071 | |||||
1,034,954 | Banc of America Mortgage Securities, Series 2003-01, Class 1A5, 5.750% | |||||
due 3/1/07 | 1,033,680 | |||||
Countrywide Alternative Loan Trust: | ||||||
173,479 | Series 2004-J13, Class 1A1, 5.620% due 3/25/07 (a) | 173,697 | ||||
1,265,733 | Series 2005-24, Class 4A1, 5.550% due 3/20/07 (a) | 1,269,130 | ||||
900,907 | Series 2006-OA01, Class 1A1, 5.530% due 3/20/07 (a) | 899,619 | ||||
962,761 | Series 2006-OA02, Class A5, 5.550% due 3/20/07 (a) | 964,401 | ||||
Series 2006-OA17: | ||||||
2,578,587 | Class 1A1A, 5.515% due 3/20/07 (a) | 2,577,608 | ||||
2,136,108 | Class 2A1, 5.858% due 3/20/07 (a) | 2,137,971 | ||||
Harborview Mortgage Loan Trust: | ||||||
2,352,478 | Series 2006-07, Class 2A1A, 5.520% due 3/19/07 (a) | 2,353,930 | ||||
2,484,765 | Series 2006-14, Class 2A1A, 5.470% due 3/19/07 (a) | 2,484,952 | ||||
2,127,647 | IMPAC Secured Assets Corp., Series 2005-02, Class A1, 5.640% | |||||
due 3/25/07 (a) | 2,135,521 | |||||
Indymac Index Mortgage Loan Trust: | ||||||
1,965,377 | Series 2004-AR5, Class 2A1A, 5.750% due 3/25/07 (a) | 1,969,642 | ||||
1,517,392 | Series 2005-AR02, Class 2A2A, 5.660% due 3/25/07 (a) | 1,522,702 | ||||
1,498,882 | Series 2005-AR10, Class A1, 5.580% due 3/25/07 (a) | 1,502,971 | ||||
Lehman XS Trust: | ||||||
889,280 | Series 2006-04N, Class A2A, 5.540% due 3/25/07 (a) | 890,547 | ||||
2,440,839 | Series 2006-10N, Class 2A2, 5.420% due 3/25/07 (a) | 2,439,582 | ||||
2,880,462 | Novastar Mortgage-Backed Notes, Series 2006-MTA1, Class 2A1A, 5.510% | |||||
due 3/25/07 (a) | 2,883,194 | |||||
Residential Accredit Loans Inc.: | ||||||
1,497,654 | Series 2003-QA1, Class A1, 5.660% due 3/25/07 (a) | 1,500,970 | ||||
1,788,283 | Series 2006-QO5, Class 3A1, 5.390% due 3/25/07 (a) | 1,788,734 | ||||
2,496,536 | Series 2006-QO10, Class A1, 5.480% due 3/25/07 (a) | 2,496,536 | ||||
1,468,539 | Residential Funding Mortgage Securities II Inc., Series 2006-HI1, Class A1, | |||||
5.430% due 3/25/07 (a) | 1,469,660 | |||||
1,822,229 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-10, Class A1, | |||||
5.520% due 3/25/07 (a) | 1,823,547 |
Page 2
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
Face | ||||||
Security | Value | |||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 26.4% (continued) | ||||||
Thornburg Mortgage Securities Trust | ||||||
$ 2,219,684 | Series 2004-02, Class A1, 5.630% due 3/25/07 (a) | $ | 2,222,905 | |||
1,279,609 | Series 2004-03, Class A, 5.690% due 3/25/07 (a) | 1,283,818 | ||||
2,920,013 | Series 2005-03, Class A4, 5.590% due 3/25/07 (a) | 2,919,032 | ||||
2,507,584 | Series 2006-01, Class A3, 5.490% due 3/25/07 (a) | 2,505,997 | ||||
Series 2006-03: | ||||||
1,030,380 | Class A2, 5.425% due 3/25/07 (a) | 1,029,225 | ||||
740,132 | Class A3, 5.430% due 3/25/07 (a) | 739,133 | ||||
Washington Mutual Inc.: | ||||||
1,089,832 | Series 2005-AR13, Class A1A1, 5.610% due 3/25/07 (a) | 1,091,911 | ||||
808,867 | Series 2005-AR15, Class A1A1, 5.580% due 3/25/07 (a) | 811,720 | ||||
803,902 | WMALT Mortgage Pass-Through Certificates, Series 2006-AR1, Class A1A, | |||||
5.570% due 3/25/07 (a) | 806,945 | |||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||
(Cost — $54,401,449) | 54,383,675 | |||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | ||||||
(Cost — $121,154,455) | 121,171,025 | |||||
SHORT-TERM INVESTMENTS — 65.4% | ||||||
Commercial Paper — 55.7% | ||||||
Albis Capital Corp.: | ||||||
7,000,000 | 5.370% due 3/2/07 (c) | 6,998,969 | ||||
2,500,000 | 5.370% due 4/20/07 (c) | 2,481,597 | ||||
2,500,000 | 5.371% due 4/26/07 (c) | 2,479,389 | ||||
5,000,000 | Anglesea Funding, 5.349% due 7/10/07 (c) | 4,904,500 | ||||
7,500,000 | Barclays Bank PLC NY, 5.390% due 2/4/08 | 7,511,025 | ||||
8,157,000 | Berkeley Square Finance LLC, 5.371% due 3/1/07 (c) | 8,157,000 | ||||
5,000,000 | Cheyne Finance LLC, 5.392% due 3/1/07 (b)(c) | 5,000,000 | ||||
5,000,000 | Cobbler Funding LLC, 5.448% due 4/25/07 (c) | 4,959,743 | ||||
7,000,000 | Ebury Finance Ltd., 5.380% due 7/24/07 (b)(c) | 6,852,370 | ||||
10,000,000 | Fenway Funding LLC, 5.410% due 10/26/07 (b)(c) | 9,657,400 | ||||
Ford Credit Floorplan Motown, Master Owner Trust, Motown Notes, | ||||||
Series 2002-01: | ||||||
5,000,000 | 5.372% due 5/7/07 (c) | 4,951,000 | ||||
5,000,000 | 5.375% due 5/18/07 (c) | 4,943,050 | ||||
5,000,000 | Hannover Funding Co. LLC, 5.320% due 4/6/07 (c) | 4,973,550 | ||||
3,117,000 | Hudson Thames Capital Ltd., 5.382% due 8/20/07 (b)(c) | 3,038,964 | ||||
3,000,000 | Indymac Bank FSB, 5.332% due 3/9/07 (c) | 2,996,460 | ||||
2,500,000 | Mint II LLC, 5.343% due 4/23/07 (b)(c) | 2,480,493 | ||||
Morrigan TRR Funding LLC: | ||||||
7,000,000 | 5.368% due 7/24/07 (b)(c) | 6,852,370 | ||||
3,000,000 | 5.403% due 8/31/07 (b)(c) | 2,920,590 | ||||
5,000,000 | 5.389% due 11/5/07 (b)(c) | 4,821,850 | ||||
4,645,000 | Park Sienna LLC, 5.340% due 3/29/07 (c) | 4,625,925 | ||||
10,000,000 | Societe Generale NY, 5.250% due 2/27/08 | 10,000,000 | ||||
3,184,000 | Windsor Funding Trust, 5.349% due 4/10/07 (b)(c) | 3,165,321 | ||||
Total Commercial Paper | ||||||
114,771,566 | ||||||
Master Note — 4.8% | ||||||
10,000,000 | Morgan Stanley Master Note, 5.483% due 3/1/07 | |||||
10,000,000 | ||||||
Page 3
Schedule of Investments (February 28, 2007) (unaudited) (continued) |
Face | ||||||
Security | Value | |||||
U.S. Government Agency — 4.9% | ||||||
$ 10,000,000 | Federal Home Loan Mortgage Corp. (FHLMC), Notes, 5.500% due 2/13/09 | $ | 10,001,180 | |||
TOTAL SHORT-TERM INVESTMENTS | ||||||
(Cost — $134,758,386) | 134,772,746 | |||||
TOTAL INVESTMENTS — 124.2% (Cost — $255,912,841#) | 255,943,771 | |||||
Liabilities in Excess of Other Assets — (24.2)% | (49,877,598 | ) | ||||
TOTAL NET ASSETS — 100.0% | $ | 206,066,173 | ||||
(a) | Variable rate security. Interest rate disclosed is that which is in effect at February 28, 2007. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
(c) | Rate shown represents yield-to-maturity. |
# | Aggregate cost for federal income tax purposes is substantially the same. |
Page 4
![](https://capedge.com/proxy/N-CSRS/0000930413-07-004180/c48238_bar.jpg)
Page 5
Institutional Enhanced Portfolio
Statement of Assets and Liabilities (February 28, 2007) (unaudited) | |||||
ASSETS: | |||||
Investments, at value (Cost - $255,912,841) | $ | 255,943,771 | |||
Cash | 63,638 | ||||
Receivable from manager | 4,012 | ||||
Interest receivable | 181,956 | ||||
Total Assets | 256,193,377 | ||||
LIABILITIES: | |||||
Payable for Fund shares repurchased | 50,082,951 | ||||
Investment management fee payable | 4,688 | ||||
Trustees' fees payable | 5,012 | ||||
Accrued expenses | 34,553 | ||||
Total Liabilities | 50,127,204 | ||||
Total Net Assets | $ | 206,066,173 | |||
REPRESENTED BY: | |||||
Paid-in capital | $ | 206,066,173 | |||
See Notes to Financial Statements.
Page 6
Statement of Operations (For the six months ended February 28, 2007) (unaudited) | |||||
INVESTMENT INCOME: | |||||
Interest (Note 1) | $ | 8,952,855 | |||
EXPENSES: | |||||
Investment management fee (Note 2) | 164,423 | ||||
Audit and tax | 11,450 | ||||
Trustees' fees (Notes 2 and 7) | 8,488 | ||||
Legal fees | 7,323 | ||||
Custody fees | 5,011 | ||||
Shareholder reports | 33 | ||||
Miscellaneous expenses | 1,051 | ||||
Total Expenses | 197,779 | ||||
Less: Fee waivers and/or expense reimbursements (Notes 2 and 7) | (114,698 | ) | |||
Fees paid indirectly (Note 1) | (390 | ) | |||
Net Expenses | 82,691 | ||||
Net Investment Income | 8,870,164 | ||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | |||||
(NOTES 1 AND 3): | |||||
Net Realized Loss From Investment Transactions | (16,708 | ) | |||
Change in Net Unrealized Appreciation/Depreciation From | |||||
Investments | 103,699 | ||||
Net Gain on Investments | 86,991 | ||||
Increase in Net Assets From Operations | $ | 8,957,155 | |||
See Notes to Financial Statements.
Page 7
Institutional Enhanced Portfolio
Statement of Changes in Net Assets | For the six months ended February 28, 2007 (unaudited) and the year ended August 31, 2006 | ||||||||
OPERATIONS: | |||||||||
Net investment income | $ | 8,870,164 | $ | 14,093,272 | |||||
Net realized loss | (16,708 | ) | (1,055,683 | ) | |||||
Change in net unrealized appreciation | 103,699 | 218,116 | |||||||
Increase in Net Assets From Operations | 8,957,155 | 13,255,705 | |||||||
CAPITAL TRANSACTIONS: | |||||||||
Proceeds from contributions | 663,105,030 | 551,485,782 | |||||||
Value of withdrawals | (671,377,721 | ) | (929,400,987 | ) | |||||
Decrease in Net Assets From Capital Transactions | (8,272,691 | ) | (377,915,205 | ) | |||||
Increase (Decrease) in Net Assets | 684,464 | (364,659,500 | ) | ||||||
NET ASSETS: | |||||||||
Beginning of period | 205,381,709 | 570,041,209 | |||||||
End of period | $ | 206,066,173 | $ | 205,381,709 | |||||
See Notes to Financial Statements.
Page 8
Institutional Enhanced Portfolio
Financial Highlights | |||||||||||||||||||||
For the years ended August 31, unless otherwise noted: | |||||||||||||||||||||
2006 | |||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 206,066 | $ | 205,382 | $ | 570,041 | $ | 3,996 | $ | 12,928 | |||||||||||
Total Return(3) | 2.66 | % | 4.07 | % | 2.76 | % | 1.32 | % | 0.69 | % | |||||||||||
Ratios to Average Net Assets: | |||||||||||||||||||||
Gross expenses | 0.12 | %(4)(8) | 0.14 | % | 0.17 | % | 1.15 | % | 1.03 | %(4) | |||||||||||
Net expenses(5)(6) | 0.05 | (4)(7)(8) | 0.05 | (7) | 0.05 | (7) | 0.10 | 0.10 | (4) | ||||||||||||
Net investment income | 5.39 | (4) | 4.30 | 3.23 | 1.18 | 1.28 | (4) | ||||||||||||||
Portfolio Turnover Rate | 116 | % | 208 | % | 124 | % | 56 | % | 228 | % |
(1) | For the six months ended February 28, 2007 (unaudited). |
(2) | For the period March 11, 2003 (commencement of operations) to August 31, 2003. |
(3) | Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Total returns for periods of less than one year are not annualized. |
(4) | Annualized. |
(5) | Reflects fee waivers and/or expense reimbursements. |
(6) | There was no impact to the expense ratio as a result of fees paid indirectly. |
(7) | As a result of a voluntary expense limitation, the ratio of expenses to average net asset, other than interest, brokerage, taxes and extraordinary expenses, of the Portfolio will not exceed 0.05%. |
(8) | Included in the expense ratios are certain non-recurring restructuring (and reorganization, if applicable) fees that were incurred by the Fund during the period. Without these fees, the gross and net expense ratios would have been 0.12% and 0.05%, respectively (Note 7). |
See Notes to Financial Statements.
Page 9
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Institutional Enhanced Portfolio (the “Portfolio”) is a separate diversified series of Institutional Portfolio (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company which was organized as a trust under the laws of the Commonwealth of Massachusetts. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At February 28, 2007, all investors in the Portfolio were funds advised by the manager of the fund and/or its affiliates.
Effective as of close of business, April 13, 2007, the Portfolio is a separate diversified series of Master Portfolio Trust (the “New Trust”). The New Trust, a Maryland business trust, is registered under the 1940 Act as an open-end management investment company.
The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.
(a) Investment Valuation. Short-term obligation instruments with less than 60 days remaining to maturity when acquired by the Portfolio are valued at amortized cost, which the Trustees have determined in good faith constitutes fair value. Debt securities are valued on the basis of valuations furnished by a pricing service which utilizes both dealer-supplied valuations and electronic data processing techniques.
(b) Interest Income and Expenses. Interest income consists of interest accrued and discount earned (including both original issue and market discount adjusted for amortization of premium) on the investments of the Portfolio. Expenses of the Portfolio are accrued daily. The Portfolio bears all costs of its operations other than expenses specifically assumed by the manager.
(c) Income Taxes. The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized gains and losses of the Portfolio. Therefore, no federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of the subchapter M of the Internal Revenue Code.
(d) Fees Paid Indirectly. The Portfolio’s custodian calculates its fees based on the Portfolio’s average daily net assets. The fee is reduced according to a fee arrangement, which provides for custody fees to be reduced based on a formula developed to measure the value of cash deposited with the custodian by the Portfolio. This amount is shown as a reduction of expenses on the Statement of Operations.
(e) Other. Purchases, maturities and sales of money market instruments are accounted for on the date of the transaction. Realized gains and losses are calculated on the identified cost basis.
Page 10
Notes to Financial Statements (unaudited) (continued)
2. Investment Management Agreement and Other Transactions with Affiliates
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Portfolio’s investment manager and Western Asset Management Company (“Western Asset”) is the Portfolio’s subadviser. LMPFA and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
Under the investment management agreement, the Portfolio pays investment management fees calculated daily and paid monthly at an annual rate of 0.10% of the Portfolio’s average daily net assets.
LMPFA provides administrative and certain oversight services to the Portfolio. LMPFA delegates to the subadviser the day-to-day portfolio management of the Portfolio. For its services, LMPFA pays Western Asset 70% of the net management fee it receives from the Portfolio.
During the six months ended February 28, 2007, the Portfolio had a voluntary expense limitation in place of 0.05% of the Portfolio’s average daily net assets.
During the six months ended February 28, 2007, LMPFA waived a portion of its fee in the amount of $110,686. In addition, during the six months ended February 28, 2007, the Portfolio was reimbursed for expenses amounting to $4,012.
Citigroup Global Markets Inc. (“CGM”) and Legg Mason Investor Services, LLC (“LMIS”) serve as co-distributors of the Portfolio. LMIS is a wholly-owned broker-dealer subsidiary of Legg Mason.
The Trust and the New Trust pay no compensation directly to any Trustee or any officer who is affiliated with LMPFA, all of whom receive remuneration for their services to the Portfolio from Legg Mason or its affiliates.
During a special meeting in June 2006, the Portfolio’s Board approved a number of initiatives to streamline and restructure the fund complex. In that connection, the Board voted to establish a mandatory retirement age of 75 for current Trustees, and 72 for all future Trustees and to allow current Trustees to elect to retire as of the date which Trustees elected in accordance with the Joint Proxy Statement commence service as Trustees of the realigned and consolidated Board (the “Effective Date”).
On July 10, 2006, the Board also voted to amend its retirement plans to provide for the payment of certain benefits (in lieu of any other retirement payments under the plans) to Trustees who have not elected to retire as of the Effective Date. Under the amended plan, Trustees electing to receive benefits under the amendments must waive all rights under the plan prior to amendment. Each fund overseen by the Board (including the Portfolio) will pay a pro rata share (based upon asset size) of such benefits. As of February 28, 2007, the Portfolio’s allocable share of benefits under this amendment are $4,904.
Under the previous Retirement Plan (the “Plan”), all Trustees who were not “Interested Persons” of the Fund, within the meaning of the 1940 Act, were required to retire from the Board as of the last day of the calendar year in which the applicable Trustees attained age 75. Trustees were able to retire under the Plan before attaining the mandatory retirement age. Trustees who had served as Trustee of the Portfolio or any of the investment companies associated with LMPFA for at least ten years when they retired were eligible to receive the maximum retirement benefit under the previous Plan, subject to the terms of the amended plans. The maximum retirement benefit was an amount equal to five times the amount of retainer and regular meeting fees payable to a Trustee during the entirety of the calendar year of the applicable Trustee’s
Page 11
Notes to Financial Statements (unaudited) (continued)
retirement (assuming no change in relevant facts for the balance of the year following the Trustee’s retirement). Amounts owed under the Plan were paid in installments or in a lump sum (discounted to present value). Benefits under the Plan are unfunded. Two former Trustees are currently receiving payments under the Plan.
Certain officers and one Trustee of the Trust and the New Trust are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
3. Investments
At February 28, 2007, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation | $ | 93,851 | |
Gross unrealized depreciation | (62,921 | ) | |
Net unrealized appreciation | $ | 30,930 |
4. Regulatory Matters
On May 31, 2005, the U.S. Securities and Exchange Commission (“SEC”) issued an order in connection with the settlement of an administrative proceeding against Smith Barney Fund Management LLC (“SBFM”) and CGM relating to the appointment of an affiliated transfer agent for the Smith Barney family of mutual funds (the “Affected Funds”).
The SEC order finds that SBFM and CGM willfully violated Section 206(1) of the Investment Advisers Act of 1940 (“Advisers Act”). Specifically, the order finds that SBFM and CGM knowingly or recklessly failed to disclose to the boards of the Affected Funds in 1999 when proposing a new transfer agent arrangement with an affiliated transfer agent that: First Data Investors Services Group (“First Data”), the Affected Funds’ then existing transfer agent, had offered to continue as transfer agent and do the same work for substantially less money than before; and that Citigroup Asset Management (“CAM”), the Citigroup business unit that, at the time, included the Affected Funds’ investment manager and other investment advisory companies, had entered into a side letter with First Data under which CAM agreed to recommend the appointment of First Data as sub-transfer agent to the affiliated transfer agent in exchange for, among other things, a guarantee by First Data of specified amounts of asset management and investment banking fees to CAM and CGM. The order also finds that SBFM and CGM willfully violated Section 206(2) of the Advisers Act by virtue of the omissions discussed above and other misrepresentations and omissions in the materials provided to the Affected Funds’ boards, including the failure to make clear that the affiliated transfer agent would earn a high profit for performing limited functions while First Data continued to perform almost all of the transfer agent functions, and the suggestion that the proposed arrangement was in the Affected Funds’ best interests and that no viable alternatives existed. SBFM and CGM do not admit or deny any wrongdoing or liability. The settlement does not establish wrongdoing or liability for purposes of any other proceeding.
The SEC censured SBFM and CGM and ordered them to cease and desist from violations of Sections 206(1) and 206(2) of the Advisers Act. The order requires Citigroup to pay $208.1 million, including $109 million in disgorgement of profits, $19.1 million in interest, and a civil money penalty of $80 million. Approximately $24.4 million has already been paid to the Affected Funds, primarily through fee waivers. The remaining
Page 12
Notes to Financial Statements (unaudited) (continued)
$183.7 million, including the penalty, has been paid to the U.S. Treasury and will be distributed pursuant to a plan submitted for the approval of the SEC. At this time, there is no certainty as to how the above-described proceeds of the settlement will be distributed, to whom such distributions will be made, the methodology by which such distributions will be allocated, and when such distributions will be made.
The order also required that transfer agency fees received from the Affected Funds since December 1, 2004, less certain expenses, be placed in escrow and provided that a portion of such fees might be subsequently distributed in accordance with the terms of the order.
On April 3, 2006, an aggregate amount of approximately $9 million was distributed to the Affected Funds.
The order required SBFM to recommend a new transfer agent contract to the Affected Funds’ boards within 180 days of the entry of the order; if a Citigroup affiliate submitted a proposal to serve as transfer agent or sub-transfer agent, SBFM and CGM would have been required, at their expense, to engage an independent monitor to oversee a competitive bidding process. On November 21, 2005, and within the specified timeframe, the Affected Funds’ Boards selected a new transfer agent for the Affected Funds. No Citigroup affiliate submitted a proposal to serve as transfer agent. Under the order, SBFM also must comply with an amended version of a vendor policy that Citigroup instituted in August 2004. Although there can be no assurance, the Portfolio’s manager does not believe that this matter will have a material adverse effect on the Fund.
This Portfolio is not one of the Affected Funds and therefore did not implement the transfer agent arrangement described above and therefore will not receive any portion of the distributions.
On December 1, 2005, Citigroup completed the sale of substantially all of its global asset management business, including SBFM, to Legg Mason.
5. Legal Matters
Beginning in August 2005, five class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM, (collectively, the “Defendants”) based on the May 31, 2005 settlement order issued against the Defendants by the SEC as described in Note 4. The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as the investment manager for the Smith Barney family of funds, rescission of the Funds’ management and other contracts with SBFM, recovery of all fees paid to SBFM pursuant to such contracts, and an award of attorneys’ fees and litigation expenses.
On October 5, 2005, a motion to consolidate the five actions and any subsequently filed, related action was filed. That motion contemplates that a consolidated amended complaint alleging substantially similar causes of action will be filed in the future.
As of the date of this report, the Portfolio’s manager believes that resolution of the pending lawsuit will not have a material effect on the financial position or results of operations of the Portfolio or the ability of the Portfolio’s manager and its affiliates to continue to render services to the Funds under their respective contracts.
6. Other Matters
On September 16, 2005, the staff of the SEC informed SBFM and Salomon Brothers Asset Management Inc. (‘‘SBAM’’) that the staff is considering recommending that the SEC institute administrative proceedings against SBFM and SBAM for alleged violations of Section 19(a) and 34(b) of the 1940 Act (and related Rule 19a-1). The notification is a result of an industry wide inspection by the SEC and is based upon alleged deficiencies in disclosures regarding dividends and distributions paid to shareholders of certain funds.
Page 13
Notes to Financial Statements (unaudited) (continued)
Section 19(a) and related Rule 19a-1 of the 1940 Act generally require funds that are making dividend and distribution payments to provide shareholders with a written statement disclosing the source of the dividends and distributions, and, in particular, the portion of the payments made from each of net investment income, undistributed net profits and/or paid-in capital. In connection with the contemplated proceedings, the staff may seek a cease and desist order and/or monetary damages from SBFM or SBAM.
Although there can be no assurance, the Fund’s manager believes that this matter is not likely to have a material adverse effect on the Fund.
7. Special Investor Meeting and Reorganization
Investors of the Portfolio approved a number of initiatives designed to streamline and restructure the fund complex. These matters generally are expected to be implemented in 2007. Legg Mason will pay for a portion of the costs related to these initiatives. The portions of the costs that are borne by the Portfolio will be recognized in the period during which the expense is incurred. Such expenses include obtaining investor votes for proposals relating to the initiatives noted above, the election of board members, and the retirement of board members. The portions of these costs borne by the Portfolio and reflected in the Statement of Operations are deemed extraordinary and, therefore, are not subject to the expense limitation agreements, if applicable.
8. Recent Accounting Pronouncements
During June 2006, the Financial Accounting Standards Board (‘‘FASB’’) issued FASB Interpretation 48 (‘‘FIN 48’’ or the ‘‘Interpretation’’), Accounting for Uncertainty in Income Taxes – an interpretation of FASB Statement 109. FIN 48 supplements FASB Statement 109, Accounting for Income Taxes, by defining the confidence level that a tax position must meet in order to be recognized in the financial statements. FIN 48 prescribes a comprehensive model for how a fund should recognize, measure, present, and disclose in its financial statements uncertain tax positions that the fund has taken or expects to take on a tax return. FIN 48 requires that the tax effects of a position be recognized only if it is ‘‘more likely than not’’ to be sustained based solely on its technical merits. Management must be able to conclude that the tax law, regulations, case law, and other objective information regarding the technical merits sufficiently support the position’s sustainability with a likelihood of more than 50 percent. FIN 48 is effective for fiscal periods beginning after December 15, 2006, which for this Portfolio will be September 1, 2007. At adoption, the financial statements must be adjusted to reflect only those tax positions that are more likely than not to be sustained as of the adoption date. Management of the Portfolio has determined that adopting FIN 48 will not have a material impact on the Portfolio’s financial statements.
* * *
On September 20, 2006, FASB released Statement of Financial Accounting Standards No. 157 Fair Value Measurements (‘‘FAS 157’’). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. At this time, management is evaluating the implications of FAS 157 and its impact on the financial statements has not yet been determined.
Page 14
ITEM 2. | CODE OF ETHICS. | |
Not applicable. | ||
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
Not applicable. | ||
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
Not applicable. | ||
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
Not applicable. | ||
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
Included herein under Item 1. | ||
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. | |
Not applicable. | ||
ITEM 11. | CONTROLS AND PROCEDURES. | |
(a) | The registrant’s principal executive officer and principal financial officer 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”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. | |
(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) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. | |
ITEM 12. | EXHIBITS. |
(a) (1) Not applicable. | |
Exhibit 99.CODE ETH | |
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.CERT | |
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.906CERT |
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, there unto duly authorized.
Master Portfolio Trust
By: | /s/ R. Jay Gerken |
R. Jay Gerken | |
Chief Executive Officer of | |
Master Portfolio Trust | |
Date: | May 4, 2007 |
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/ R. Jay Gerken |
R. Jay Gerken | |
Chief Executive Officer of | |
Master Portfolio Trust | |
Date: | May 4, 2007 |
By: | /s/ Frances M. Guggino |
Frances M. Guggino | |
Chief Financial Officer of | |
Master Portfolio Trust | |
Date: | May 4, 2007 |