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)
55 Water Street, New York, NY 10041
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code:
Funds Investor Services 1-800-822-5544
or
Institutional Shareholder Services 1-888-425-6432
Date of fiscal year end: August 31
Date of reporting period: February 28, 2010
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
16 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited)
February 28, 2010
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Tax Free Reserves Portfolio |
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Security |
| Rate |
| Maturity |
| Face |
| Value |
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Short-Term Investments — 99.9% |
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Alabama — 1.7% |
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Huntsville, AL, Health Care Authority, TECP, Huntsville Hospital |
| 0.350 | % |
| 3/2/10 |
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| $ 7,300,000 |
| $ | 7,300,000 |
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Huntsville, AL, Health Care Authority, TECP, Huntsville Hospital |
| 0.180 | % |
| 3/2/10 |
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| 3,700,000 |
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| 3,700,000 |
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Huntsville, AL, Health Care Authority, TECP, Huntsville Hospital |
| 0.280 | % |
| 4/6/10 |
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| 8,250,000 |
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| 8,250,000 |
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Huntsville, AL, Health Care Authority, TECP, Huntsville Hospital |
| 0.250 | % |
| 8/5/10 |
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| 11,800,000 |
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| 11,800,000 |
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Mobile, AL, Downtown Redevelopment Authority Revenue, |
| 0.180 | % |
| 3/4/10 |
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| 9,000,000 |
|
| 9,000,000 | (a) |
Total Alabama |
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| 40,050,000 |
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Alaska — 0.3% |
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Alaska Housing Finance Corp., Home Mortgage Revenue |
| 0.140 | % |
| 3/4/10 |
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| 2,580,000 |
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| 2,580,000 | (a) |
Alaska Industrial Development & Export Authority Revenue, |
| 0.180 | % |
| 3/4/10 |
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| 5,135,000 |
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| 5,135,000 | (a) |
Total Alaska |
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| 7,715,000 |
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Arizona — 1.3% |
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Glendale, AZ, IDA, TECP, LOC-Wells Fargo Bank N.A. |
| 0.280 | % |
| 4/27/10 |
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| 9,500,000 |
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| 9,500,000 |
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Maricopa County, AZ, IDA, MFH Revenue, Refunding, |
| 0.350 | % |
| 3/4/10 |
|
| 1,290,000 |
|
| 1,290,000 | (a)(b) |
Phoenix, AZ, Civic Improvement Corp., Airport Revenue, |
| 0.250 | % |
| 4/6/10 |
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| 9,430,000 |
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| 9,430,000 |
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Phoenix, AZ, IDA, MFH Revenue, Refunding, Sunrise Vista |
| 0.350 | % |
| 3/4/10 |
|
| 2,165,000 |
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| 2,165,000 | (a)(b) |
Tempe, AZ, Transportation Excise Tax Revenue, |
| 0.200 | % |
| 3/3/10 |
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| 7,555,000 |
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| 7,555,000 | (a) |
Yavapai County, AZ, Highway Construction Advancement |
| 0.270 | % |
| 3/4/10 |
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| 1,700,000 |
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| 1,700,000 | (a) |
Total Arizona |
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| 31,640,000 |
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California — 6.5% |
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ABAG Finance Authority for Nonprofit Corp., CA, |
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Revenue: |
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Acacia Creek at Union Project, SPA-Bank of America N.A. |
| 0.160 | % |
| 3/1/10 |
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| 15,600,000 |
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| 15,600,000 | (a) |
California Alumni Association Project, LOC-Bank of America N.A. |
| 0.170 | % |
| 3/4/10 |
|
| 2,015,000 |
|
| 2,015,000 | (a) |
Alameda, CA, Public Financing Authority, Multi-Family Revenue, |
| 0.180 | % |
| 3/4/10 |
|
| 4,215,000 |
|
| 4,215,000 | (a) |
California MFA Revenue, Gideon Hausner Jewish Day, |
| 0.180 | % |
| 3/4/10 |
|
| 1,500,000 |
|
| 1,500,000 | (a) |
California MFA Solid Waste Revenue, Allied Waste North |
| 0.250 | % |
| 3/4/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a)(b) |
California State Department of Water Resources, Power Supply |
| 0.160 | % |
| 3/4/10 |
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| 200,000 |
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| 200,000 | (a) |
California State, GO: |
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Kindergarten-University, LOC-Citibank N.A. |
| 0.110 | % |
| 3/1/10 |
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| 400,000 |
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| 400,000 | (a) |
Kindergarten-University, LOC-Citibank N.A. |
| 0.120 | % |
| 3/1/10 |
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| 8,100,000 |
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| 8,100,000 | (a) |
LOC-Bank of Montreal |
| 0.100 | % |
| 3/1/10 |
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| 5,000,000 |
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| 5,000,000 | (a) |
LOC-Landesbank Hessen-Thuringen |
| 0.140 | % |
| 3/1/10 |
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| 1,300,000 |
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| 1,300,000 | (a) |
California Statewide CDA Revenue: |
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Santa Barbara Cottage Hospital |
| 0.160 | % |
| 3/4/10 |
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| 900,000 |
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| 900,000 | (a) |
The Pegasus School, LOC-Bank of America N.A. |
| 0.170 | % |
| 3/4/10 |
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| 140,000 |
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| 140,000 | (a) |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 17
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Tax Free Reserves Portfolio |
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Security |
| Rate |
| Maturity |
| Face |
| Value |
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California — continued |
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California Statewide CDA, MFH Revenue, Avian Glen |
| 0.220 | % |
| 3/4/10 |
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| $ 790,000 |
| $ | 790,000 | (a)(b) |
California Statewide CDA, TECP, Kaiser Permanente |
| 0.250 | % |
| 5/19/10 |
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| 4,100,000 |
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| 4,100,000 |
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California Statewide CDA, TECP, Kaiser Permanente |
| 0.300 | % |
| 8/11/10 |
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| 5,700,000 |
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| 5,700,000 |
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California Statewide CDA, TECP, Kaiser Permanente |
| 0.320 | % |
| 3/11/10 |
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| 4,500,000 |
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| 4,500,000 |
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Contra Costa County, CA, MFH Revenue, Pleasant Hill |
| 0.200 | % |
| 3/4/10 |
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| 2,200,000 |
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| 2,200,000 | (a)(b) |
Daly City, CA, HFA, Multifamily Revenue, Serramonte Del Rey |
| 0.160 | % |
| 3/4/10 |
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| 4,900,000 |
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| 4,900,000 | (a) |
East Bay, CA, MUD Water Systems Revenue |
| 1.000 | % |
| 3/1/11 |
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| 4,800,000 |
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| 4,800,000 | (c) |
East Bay, CA, MUD Water Systems Revenue, TECP |
| 0.180 | % |
| 3/8/10 |
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| 4,300,000 |
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| 4,300,000 |
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East Bay, CA, MUD Water Systems Revenue, TECP |
| 0.220 | % |
| 3/9/10 |
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| 3,100,000 |
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| 3,100,000 |
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East Bay, CA, MUD Water Systems Revenue, TECP |
| 0.250 | % |
| 4/1/10 |
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| 5,100,000 |
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| 5,100,000 |
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East Bay, CA, MUD Water Systems Revenue, TECP |
| 0.300 | % |
| 4/7/10 |
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| 5,000,000 |
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| 5,000,000 |
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Hemet, CA, MFH Revenue, Sunwest Retirement, LIQ-FHLMC |
| 0.160 | % |
| 3/4/10 |
|
| 100,000 |
|
| 100,000 | (a) |
Hesperia, CA, Public Financing Authority Revenue, |
| 0.200 | % |
| 3/3/10 |
|
| 1,130,000 |
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| 1,130,000 | (a) |
Irvine, CA, Improvement Bond Act 1915, Revenue Limited |
| 0.160 | % |
| 3/1/10 |
|
| 6,022,000 |
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| 6,022,000 | (a) |
Los Angeles, CA, Department of Water & Power, |
| 0.130 | % |
| 3/1/10 |
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| 12,500,000 |
|
| 12,500,000 | (a) |
Los Angeles, CA, Regional Airports Improvement Corp. |
| 0.140 | % |
| 3/1/10 |
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| 14,700,000 |
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| 14,700,000 | (a) |
Metropolitan Water District of Southern California |
| 0.250 | % |
| 3/7/11 |
|
| 10,000,000 |
|
| 10,000,000 | (c) |
Morgan Hill, CA, RDA Tax Allocation, Ojo De Agua |
| 0.170 | % |
| 3/4/10 |
|
| 8,150,000 |
|
| 8,150,000 | (a) |
Orange County, CA, Apartment Development Revenue, |
| 0.170 | % |
| 3/4/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
Orange County, CA, Improvement Bond, Assessment District |
| 0.110 | % |
| 3/1/10 |
|
| 750,000 |
|
| 750,000 | (a) |
Riverside County, CA IDA, IDR, Spenuzza Inc. Project, |
| 0.500 | % |
| 3/4/10 |
|
| 2,060,000 |
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| 2,060,000 | (a)(b) |
Santa Maria, CA, Joint Unified High School District, |
| 0.500 | % |
| 3/4/10 |
|
| 765,000 |
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| 765,000 | (a) |
Southern California Public Power Authority Project Revenue, |
| 0.180 | % |
| 3/3/10 |
|
| 5,100,000 |
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| 5,100,000 | (a) |
Turlock, CA, COP, Capital Improvement & Refunding Project, |
| 0.110 | % |
| 3/1/10 |
|
| 1,835,000 |
|
| 1,835,000 | (a) |
West Basin, CA, Municipal Water District Revenue, COP, |
| 0.210 | % |
| 3/3/10 |
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| 6,685,000 |
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| 6,685,000 | (a) |
Total California |
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| 155,657,000 |
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Colorado — 1.9% |
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Colorado Educational & Cultural Facilities Authority |
| 0.170 | % |
| 3/1/10 |
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| 4,700,000 |
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| 4,700,000 | (a) |
Colorado Educational and Cultural Facilities, Nature Conservancy, |
| 0.200 | % |
| 3/4/10 |
|
| 800,000 |
|
| 800,000 | (a) |
See Notes to Financial Statements.
18 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited) (cont’d)
February 28, 2010
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Tax Free Reserves Portfolio |
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Security |
| Rate |
| Maturity |
| Face |
| Value |
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Colorado — continued |
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Colorado Health Facilities Authority Revenue: |
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Catholic Health, SPA-Landesbank Baden-Wurttemberg |
| 0.220 | % |
| 3/3/10 |
| $ | 3,100,000 |
| $ | 3,100,000 | (a) |
North Colorado Medical Center Inc. Project, |
| 0.130 | % |
| 3/1/10 |
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| 7,000,000 |
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| 7,000,000 | (a) |
Colorado HFA, EDR: |
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Lehman Communications Corp., LOC-Wells Fargo Bank N.A. |
| 0.350 | % |
| 3/4/10 |
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| 4,400,000 |
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| 4,400,000 | (a)(b) |
Warneke Paper Box Co. Project, LOC-Wells Fargo Bank N.A. |
| 0.350 | % |
| 3/4/10 |
|
| 1,020,000 |
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| 1,020,000 | (a)(b) |
Colorado HFA, MFH, SPA-FHLB |
| 0.210 | % |
| 3/3/10 |
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| 1,285,000 |
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| 1,285,000 | (a)(b) |
Colorado HFA, Multi-Family, Loretto, FNMA, LIQ- FNMA |
| 0.170 | % |
| 3/3/10 |
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| 900,000 |
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| 900,000 | (a) |
Colorado Housing & Finance Authority: |
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Multi-Family, SPA-FHLB |
| 0.270 | % |
| 3/3/10 |
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| 5,690,000 |
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| 5,690,000 | (a)(b) |
Single-Family Mortgage, SPA-FHLB |
| 0.220 | % |
| 3/3/10 |
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| 3,960,000 |
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| 3,960,000 | (a)(b) |
Colorado Springs, CO, Utilities Revenue: |
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SPA-Dexia Credit Local |
| 0.200 | % |
| 3/4/10 |
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| 2,595,000 |
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| 2,595,000 | (a) |
Subordinated Lien Improvement, SPA-Dexia Credit Local |
| 0.230 | % |
| 3/4/10 |
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| 2,900,000 |
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| 2,900,000 | (a) |
Denver, CO, City & County COP, SPA-JPMorgan Chase |
| 0.120 | % |
| 3/1/10 |
|
| 430,000 |
|
| 430,000 | (a) |
Denver, CO, Urban Renewal Authority Tax Increment Revenue, |
| 0.200 | % |
| 3/4/10 |
|
| 1,470,000 |
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| 1,470,000 | (a) |
Englewood, CO, MFH Revenue, Marks West Apartments LLC, |
| 0.180 | % |
| 3/4/10 |
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| 1,050,000 |
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| 1,050,000 | (a) |
Fort Collins, CO, EDR, Custom Blending Inc., LOC-Wells Fargo |
| 0.350 | % |
| 3/4/10 |
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| 3,840,000 |
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| 3,840,000 | (a)(b) |
Total Colorado |
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| 45,140,000 |
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Connecticut — 0.4% |
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Branford, CT, GO, BAN |
| 2.000 | % |
| 9/8/10 |
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| 2,000,000 |
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| 2,015,406 |
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Connecticut State HEFA Revenue, Yale University |
| 0.120 | % |
| 3/1/10 |
|
| 800,000 |
|
| 800,000 | (a) |
Connecticut State HFA, Housing Mortgage Finance Program, |
| 0.250 | % |
| 3/4/10 |
|
| 2,100,000 |
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| 2,100,000 | (a)(b) |
New Haven, CT, TECP: |
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LOC-Landesbank Hessen-Thuringen |
| 0.230 | % |
| 3/8/10 |
|
| 1,918,000 |
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| 1,918,000 |
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LOC-Landesbank Hessen-Thuringen |
| 0.250 | % |
| 3/25/10 |
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| 1,500,000 |
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| 1,500,000 |
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LOC-Landesbank Hessen-Thuringen |
| 0.330 | % |
| 5/6/10 |
|
| 1,900,000 |
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| 1,900,000 |
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Total Connecticut |
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| 10,233,406 |
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Delaware — 0.6% |
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Delaware State Health Facilities Authority Revenue, |
| 0.190 | % |
| 3/4/10 |
|
| 4,820,000 |
|
| 4,820,000 | (a) |
University of Delaware Revenue, SPA-Bank of America |
| 0.120 | % |
| 3/1/10 |
|
| 10,600,000 |
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| 10,600,000 | (a) |
Total Delaware |
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| 15,420,000 |
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District of Columbia — 1.9% |
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District of Columbia Housing Finance Agency, MFH Revenue, |
| 0.210 | % |
| 3/4/10 |
|
| 3,860,000 |
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| 3,860,000 | (a) |
District of Columbia Revenue: |
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American Psychological Association, LOC-Bank of America |
| 0.220 | % |
| 3/4/10 |
|
| 255,000 |
|
| 255,000 | (a) |
George Washington University, LOC-Bank of America N.A. |
| 0.160 | % |
| 3/3/10 |
|
| 12,350,000 |
|
| 12,350,000 | (a) |
Metropolitan Washington, DC, Airports Authority, AGM, |
| 0.250 | % |
| 3/3/10 |
|
| 21,340,000 |
|
| 21,340,000 | (a)(b) |
Metropolitan Washington, DC, Airports Authority, TECP, |
| 0.330 | % |
| 8/11/10 |
|
| 6,400,000 |
|
| 6,400,000 |
|
Total District of Columbia |
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| 44,205,000 |
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See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 19
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Tax Free Reserves Portfolio |
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Security |
| Rate |
| Maturity |
| Face |
| Value |
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Florida — 9.3% |
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Alachua County, FL, Health Facilities Authority, Shands Teaching |
| 0.200 | % |
| 3/1/10 |
| $ | 21,250,000 |
| $ | 21,250,000 | (a) |
Broward County, FL, School Board, COP, AGM, SPA-Dexia |
| 0.200 | % |
| 3/4/10 |
|
| 4,000,000 |
|
| 4,000,000 | (a) |
Florida Municipal Loan Council, TECP, LOC-Bank of America |
| 0.200 | % |
| 3/1/10 |
|
| 3,800,000 |
|
| 3,800,000 |
|
Hillsborough County, FL, School Board COP, Master Lease, |
| 0.130 | % |
| 3/1/10 |
|
| 21,475,000 |
|
| 21,475,000 | (a) |
Jacksonville, FL, Economic Development Commission Hospital |
| 0.130 | % |
| 3/1/10 |
|
| 2,105,000 |
|
| 2,105,000 | (a) |
Jacksonville, FL, Economic Development Commission Revenue, |
| 0.500 | % |
| 3/4/10 |
|
| 1,135,000 |
|
| 1,135,000 | (a) |
Jacksonville, FL, Electric Authority, TECP: |
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LOC-Dexia Credit Local |
| 0.250 | % |
| 3/9/10 |
|
| 15,565,000 |
|
| 15,565,000 |
|
LOC-JPMorgan Chase |
| 0.170 | % |
| 3/2/10 |
|
| 16,500,000 |
|
| 16,500,000 |
|
LOC-JPMorgan Chase |
| 0.300 | % |
| 8/5/10 |
|
| 6,300,000 |
|
| 6,300,000 |
|
Jacksonville, FL, Health Facilities Authority: |
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Hospital Revenue, Baptist Medical Center Project |
| 0.130 | % |
| 3/1/10 |
|
| 11,900,000 |
|
| 11,900,000 | (a) |
Hospital Revenue, Baptist Medical Center Project, |
| 0.130 | % |
| 3/1/10 |
|
| 4,400,000 |
|
| 4,400,000 | (a) |
LOC-Bank of America |
| 0.130 | % |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
JEA District, FL, Electric System Revenue, |
| 0.130 | % |
| 3/1/10 |
|
| 14,525,000 |
|
| 14,525,000 | (a) |
JEA District, FL, TECP, LOC-Landesbank Hessen-Thuringen |
| 0.320 | % |
| 3/2/10 |
|
| 20,400,000 |
|
| 20,400,000 |
|
Lakeland, FL, Education Facilities Revenue, Florida Southern |
| 0.240 | % |
| 3/3/10 |
|
| 10,015,000 |
|
| 10,015,000 | (a)(e) |
Lee County, FL, IDA, North Fort Myers Utility Inc., |
| 0.420 | % |
| 3/3/10 |
|
| 5,100,000 |
|
| 5,100,000 | (a)(b) |
Orange County, FL, EFA Revenue, Rollins College Project, |
| 0.130 | % |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
Orange County, FL, Health Facilities Authority Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Hospitals, Orlando Regional Healthcare, AGM, |
| 0.150 | % |
| 3/1/10 |
|
| 8,300,000 |
|
| 8,300,000 | (a) |
Presbyterian Retirement Communities Inc., |
| 0.180 | % |
| 3/4/10 |
|
| 6,675,000 |
|
| 6,675,000 | (a) |
Orange County, FL, School Board COP, LOC-Wachovia Bank N.A. |
| 0.130 | % |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
Pinellas County, FL, Health Facilities Authority Revenue, |
| 0.200 | % |
| 3/1/10 |
|
| 22,000,000 |
|
| 22,000,000 | (a) |
Polk County, FL, IDA, IDR, Winter Haven Hospital Project, |
| 0.200 | % |
| 3/1/10 |
|
| 5,800,000 |
|
| 5,800,000 | (a) |
Seminole County, FL, IDA Revenue, Harvest Time International Inc. |
| 0.290 | % |
| 3/5/10 |
|
| 9,600,000 |
|
| 9,600,000 | (a) |
Sunshine State, FL, Governmental Financing Commission |
| 0.290 | % |
| 3/3/10 |
|
| 7,300,000 |
|
| 7,300,000 | (a) |
Total Florida |
|
|
|
|
|
|
|
|
|
| 221,145,000 |
|
Georgia — 3.0% |
|
|
|
|
|
|
|
|
|
|
|
|
Atlanta, GA Development Authority Revenue, Georgia |
| 0.190 | % |
| 3/3/10 |
|
| 5,000,000 |
|
| 5,000,000 | (a) |
Atlanta, GA, Urban Residential Finance Authority, MFH Revenue, |
| 0.420 | % |
| 3/3/10 |
|
| 4,725,000 |
|
| 4,725,000 | (a)(b) |
See Notes to Financial Statements.
20 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited) (cont’d)
February 28, 2010
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
|
|
| Face |
| Value |
| |||
Georgia — continued |
|
|
|
|
|
|
|
|
|
|
|
|
De Kalb County, GA, HFA, Dekalb Medical Center Inc. |
| 0.270 | % |
| 3/3/10 |
| $ | 2,510,000 |
| $ | 2,510,000 | (a) |
Douglas County, GA, Development Authority, IDR, |
| 0.250 | % |
| 3/4/10 |
|
| 2,645,000 |
|
| 2,645,000 | (a)(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Floyd County, GA, Development Authority Revenue, |
| 0.190 | % |
| 3/3/10 |
|
| 5,760,000 |
|
| 5,760,000 | (a) |
Fulton County, GA, Development Authority Revenue, |
| 0.200 | % |
| 3/3/10 |
|
| 28,600,000 |
|
| 28,600,000 | (a) |
Gainesville & Hall County, GA, Hospital Authority Revenue, |
| 0.130 | % |
| 3/1/10 |
|
| 7,400,000 |
|
| 7,400,000 | (a) |
Houston County, GA, Development Authority Sewer Facility |
| 0.340 | % |
| 3/3/10 |
|
| 5,350,000 |
|
| 5,350,000 | (a)(b) |
Municipal Electric Authority, GA, TECP, LOC-Landesbank |
| 0.350 | % |
| 3/2/10 |
|
| 6,150,000 |
|
| 6,150,000 |
|
Thomasville, GA, Hospital Authority Revenue, |
| 0.190 | % |
| 3/4/10 |
|
| 3,835,000 |
|
| 3,835,000 | (a) |
Total Georgia |
|
|
|
|
|
|
|
|
|
| 71,975,000 |
|
Illinois — 4.3% |
|
|
|
|
|
|
|
|
|
|
|
|
Aurora, IL, Keson Industries Inc. Project, LOC-Harris Trust and |
| 0.470 | % |
| 3/4/10 |
|
| 2,050,000 |
|
| 2,050,000 | (a)(b) |
Bloomington, IL, Normal Airport Authority, SPA-Bank One N.A. |
| 0.210 | % |
| 3/3/10 |
|
| 3,300,000 |
|
| 3,300,000 | (a) |
Chicago, IL, GO, SPA-JPMorgan Chase |
| 0.120 | % |
| 3/1/10 |
|
| 5,850,000 |
|
| 5,850,000 | (a) |
Chicago, IL, Midway Airport Revenue, TECP, LOC-JPMorgan Chase |
| 0.350 | % |
| 5/5/10 |
|
| 978,000 |
|
| 978,000 |
|
Chicago, IL, Renaissance Center LP, LOC-Harris Trust and |
| 0.470 | % |
| 3/4/10 |
|
| 2,450,000 |
|
| 2,450,000 | (a)(b) |
Chicago, IL, Wastewater Transmission Revenue, |
| 0.140 | % |
| 3/1/10 |
|
| 2,100,000 |
|
| 2,100,000 | (a) |
Chicago, IL, Water Revenue, SPA-JPMorgan Chase |
| 0.140 | % |
| 3/1/10 |
|
| 3,800,000 |
|
| 3,800,000 | (a) |
Cook County, IL, Community High School District No. 228 |
| 3.000 | % |
| 12/15/10 |
|
| 900,000 |
|
| 917,469 |
|
Du Page County, IL, Revenue, Morton Arboretum Project, |
| 0.200 | % |
| 3/4/10 |
|
| 750,000 |
|
| 750,000 | (a) |
Illinois Development Finance Authority Revenue, Evanston |
| 0.140 | % |
| 3/1/10 |
|
| 10,580,000 |
|
| 10,580,000 | (a) |
Illinois DFA: |
|
|
|
|
|
|
|
|
|
|
|
|
Chicago Educational Television Association, |
| 0.210 | % |
| 3/3/10 |
|
| 200,000 |
|
| 200,000 | (a) |
Glenwood School for Boys, LOC-Harris Bank |
| 0.200 | % |
| 3/4/10 |
|
| 4,500,000 |
|
| 4,500,000 | (a) |
PCR, Amoco Oil Co. Project |
| 0.110 | % |
| 3/1/10 |
|
| 6,500,000 |
|
| 6,500,000 | (a) |
Illinois Finance Authority, IDR, Transparent Container Project, |
| 1.750 | % |
| 3/4/10 |
|
| 1,130,000 |
|
| 1,130,000 | (a)(b) |
Illinois Finance Authority Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Central Dupage, LIQ-JPMorgan Chase |
| 0.140 | % |
| 3/1/10 |
|
| 17,815,000 |
|
| 17,815,000 | (a) |
Illinois College, LOC-U.S. Bank |
| 0.200 | % |
| 3/4/10 |
|
| 2,100,000 |
|
| 2,100,000 | (a) |
Loyola Academy, LOC-JPMorgan Chase |
| 0.250 | % |
| 3/3/10 |
|
| 10,000,000 |
|
| 10,000,000 | (a) |
Murphy Machine Products Inc, LOC-Bank of America N.A. |
| 0.350 | % |
| 3/4/10 |
|
| 3,740,000 |
|
| 3,740,000 | (a)(b) |
University of Chicago Medical Center, LOC-Bank of America N.A. |
| 0.120 | % |
| 3/1/10 |
|
| 2,700,000 |
|
| 2,700,000 | (a) |
University of Chicago Medical Center, LOC-Bank of Montreal |
| 0.120 | % |
| 3/1/10 |
|
| 4,175,000 |
|
| 4,175,000 | (a) |
University of Chicago Medical Center, LOC-JPMorgan Chase |
| 0.120 | % |
| 3/1/10 |
|
| 3,500,000 |
|
| 3,500,000 | (a) |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 21
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
| Maturity |
| Face |
| Value |
| |||
Illinois — continued |
|
|
|
|
|
|
|
|
|
|
|
|
Illinois Health Facilities Authority Revenue, Evanston |
| 0.190 | % |
| 3/4/10 |
| $ | 2,600,000 |
| $ | 2,600,000 | (a) |
Lake County, IL, MFH Revenue, Whispering Oaks Apartments |
| 0.200 | % |
| 3/4/10 |
|
| 3,250,000 |
|
| 3,250,000 | (a) |
Morton Grove, IL, Cultural Facilities Revenue, Illinois Holocaust |
| 0.190 | % |
| 3/4/10 |
|
| 1,800,000 |
|
| 1,800,000 | (a) |
Romeoville, IL, Revenue, Lewis University, LOC-JPMorgan Chase |
| 0.170 | % |
| 3/1/10 |
|
| 6,580,000 |
|
| 6,580,000 | (a) |
Total Illinois |
|
|
|
|
|
|
|
|
|
| 103,365,469 |
|
Indiana — 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
Fort Wayne, IN, Waterworks Utility Revenue, BAN |
| 0.600 | % |
| 2/10/11 |
|
| 900,000 |
|
| 900,000 |
|
Indiana Finance Authority Hospital Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Clarian Health Partners Inc., LOC-Branch Banking & Trust |
| 0.190 | % |
| 3/3/10 |
|
| 2,135,000 |
|
| 2,135,000 | (a) |
Floyd Memorial Hospital & Health Services, |
| 0.140 | % |
| 3/1/10 |
|
| 4,420,000 |
|
| 4,420,000 | (a) |
Indiana Health Facilities Financing Authority, Hospital Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Community Hospitals Project of Indiana Inc., |
| 0.200 | % |
| 3/4/10 |
|
| 375,000 |
|
| 375,000 | (a) |
Deaconess Hospital Inc., LOC-Fifth Third Bank |
| 0.280 | % |
| 3/3/10 |
|
| 4,775,000 |
|
| 4,775,000 | (a) |
Indiana State Finance Authority Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Lease Appropriation, SPA-JPMorgan Chase |
| 0.140 | % |
| 3/1/10 |
|
| 12,000,000 |
|
| 12,000,000 | (a) |
Marquette Project, LOC-Branch Banking & Trust |
| 0.210 | % |
| 3/4/10 |
|
| 5,100,000 |
|
| 5,100,000 | (a) |
St. Joseph County, IN, EFA Revenue, University of |
| 0.150 | % |
| 3/4/10 |
|
| 10,000,000 |
|
| 10,000,000 | (a) |
Whitley County, IN, EDR, Micopulse Inc. Project, |
| 0.350 | % |
| 3/4/10 |
|
| 3,055,000 |
|
| 3,055,000 | (a)(b) |
Total Indiana |
|
|
|
|
|
|
|
|
|
| 42,760,000 |
|
Iowa — 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
Iowa Finance Authority, Health Facilities Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Iowa Health System, LOC-JPMorgan Chase |
| 0.140 | % |
| 3/1/10 |
|
| 700,000 |
|
| 700,000 | (a) |
Iowa Health System, LOC-Wells Fargo Bank N.A. |
| 0.130 | % |
| 3/1/10 |
|
| 6,800,000 |
|
| 6,800,000 | (a) |
Iowa Finance Authority, IDR: |
|
|
|
|
|
|
|
|
|
|
|
|
Embria Health Sciences Project, LOC-Wells Fargo Bank |
| 0.350 | % |
| 3/4/10 |
|
| 3,200,000 |
|
| 3,200,000 | (a)(b) |
PowerFilm Inc. Project, LOC-Bank of America N.A. |
| 0.300 | % |
| 3/4/10 |
|
| 1,800,000 |
|
| 1,800,000 | (a)(b) |
Iowa Finance Authority, Single-Family Revenue, GNMA, |
| 0.200 | % |
| 3/4/10 |
|
| 2,575,000 |
|
| 2,575,000 | (a)(b) |
Iowa Higher Education Loan Authority Revenue, |
| 0.140 | % |
| 3/1/10 |
|
| 400,000 |
|
| 400,000 | (a) |
Total Iowa |
|
|
|
|
|
|
|
|
|
| 15,475,000 |
|
Kansas — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
Kansas State Department of Transportation Highway Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
SPA-Dexia Credit Local & Westdeutsche Landesbank |
| 0.180 | % |
| 3/4/10 |
|
| 2,000,000 |
|
| 2,000,000 | (a) |
SPA-JPMorgan Chase |
| 0.150 | % |
| 3/3/10 |
|
| 5,000,000 |
|
| 5,000,000 | (a) |
Total Kansas |
|
|
|
|
|
|
|
|
|
| 7,000,000 |
|
Kentucky — 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
Henderson County, KY, Hospital Facilities Revenue, Community |
| 0.290 | % |
| 3/5/10 |
|
| 4,019,000 |
|
| 4,019,000 | (a) |
Kentucky Economic Development Finance Authority, |
| 0.160 | % |
| 3/3/10 |
|
| 10,000,000 |
|
| 10,000,000 | (a) |
See Notes to Financial Statements.
22 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
|
Schedule of investments (unaudited) (cont’d) |
February 28, 2010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
| Maturity |
| Face |
| Value |
| |||
Kentucky — continued |
|
|
|
|
|
|
|
|
|
|
|
|
Kentucky Housing Corp., Housing Revenue |
| 0.230 | % |
| 3/3/10 |
| $ | 9,800,000 |
| $ | 9,800,000 | (a)(b) |
Kentucky Housing Corp., Housing Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
SPA-Kentucky Housing Corp. |
| 0.230 | % |
| 3/3/10 |
|
| 1,800,000 |
|
| 1,800,000 | (a)(b) |
SPA-Kentucky Housing Corp. |
| 0.230 | % |
| 3/4/10 |
|
| 1,620,000 |
|
| 1,620,000 | (a)(b) |
Richmond, KY, League of Cities Funding Trust, |
| 0.180 | % |
| 3/5/10 |
|
| 8,490,000 |
|
| 8,490,000 | (a) |
Warren County, KY, Revenue, WKU Student Life Foundation Inc., |
| 0.160 | % |
| 3/4/10 |
|
| 980,000 |
|
| 980,000 | (a) |
Williamstown, KY, League of Cities Funding Trust Lease Revenue, |
| 0.180 | % |
| 3/5/10 |
|
| 4,500,000 |
|
| 4,500,000 | (a) |
Total Kentucky |
|
|
|
|
|
|
|
|
|
| 41,209,000 |
|
Louisiana — 3.9% |
|
|
|
|
|
|
|
|
|
|
|
|
Louisiana Local Government Environmental Facilities & CDA |
| 0.230 | % |
| 3/4/10 |
|
| 11,520,000 |
|
| 11,520,000 | (a) |
Louisiana PFA Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Tiger Atletic, LOC-Capital One N.A., FHLB |
| 0.180 | % |
| 3/4/10 |
|
| 14,000,000 |
|
| 14,000,000 | (a) |
Tiger Atletic, LOC-Capital One N.A., LOC-FHLB |
| 0.180 | % |
| 3/4/10 |
|
| 5,450,000 |
|
| 5,450,000 | (a) |
Louisiana State Offshore Terminal Authority, Deepwater Port Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Loop LLC Project, LOC-SunTrust Bank |
| 0.200 | % |
| 3/1/10 |
|
| 10,750,000 |
|
| 10,750,000 | (a) |
Loop LLC Project, LOC-SunTrust Bank |
| 0.260 | % |
| 3/3/10 |
|
| 34,100,000 |
|
| 34,100,000 | (a) |
St. James Parish, LA, Revenue, TECP |
| 0.240 | % |
| 3/11/10 |
|
| 4,700,000 |
|
| 4,700,000 |
|
St. Tammany Parish, LA, Development District Revenue, |
| 0.270 | % |
| 3/3/10 |
|
| 13,000,000 |
|
| 13,000,000 | (a) |
Total Louisiana |
|
|
|
|
|
|
|
|
|
| 93,520,000 |
|
Maryland — 6.8% |
|
|
|
|
|
|
|
|
|
|
|
|
Baltimore County, MD, EDR, Republic Services Inc. Project, |
| 0.300 | % |
| 3/4/10 |
|
| 1,100,000 |
|
| 1,100,000 | (a)(b) |
Howard County, MD, Revenue, Refunding, |
| 0.190 | % |
| 3/5/10 |
|
| 3,015,000 |
|
| 3,015,000 | (a) |
John Hopkins University Revenue, TECP |
| 0.300 | % |
| 3/4/10 |
|
| 1,000,000 |
|
| 1,000,000 |
|
John Hopkins University Revenue, TECP |
| 0.330 | % |
| 3/8/10 |
|
| 4,353,000 |
|
| 4,353,000 |
|
John Hopkins University Revenue, TECP |
| 0.300 | % |
| 3/9/10 |
|
| 10,000,000 |
|
| 10,000,000 |
|
John Hopkins University Revenue, TECP |
| 0.340 | % |
| 4/6/10 |
|
| 2,000,000 |
|
| 2,000,000 |
|
John Hopkins University Revenue, TECP |
| 0.350 | % |
| 4/7/10 |
|
| 12,000,000 |
|
| 12,000,000 |
|
Maryland Health & Higher EFA, TECP |
| 0.190 | % |
| 3/11/10 |
|
| 5,300,000 |
|
| 5,300,000 |
|
Maryland Health & Higher EFA, TECP |
| 0.240 | % |
| 5/6/10 |
|
| 1,900,000 |
|
| 1,900,000 |
|
Maryland Health & Higher EFA, TECP |
| 0.270 | % |
| 8/10/10 |
|
| 5,000,000 |
|
| 5,000,000 |
|
Maryland Health & Higher EFA, TECP |
| 0.270 | % |
| 8/11/10 |
|
| 1,900,000 |
|
| 1,900,000 |
|
Maryland Industrial Development Financing Authority, EDR, |
| 0.270 | % |
| 3/5/10 |
|
| 6,500,000 |
|
| 6,500,000 | (a)(b) |
Maryland State Economic Development Corp. Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Santa Barbara Court LLC Project, LOC-PNC Bank N.A. |
| 0.270 | % |
| 3/5/10 |
|
| 6,500,000 |
|
| 6,500,000 | (a)(b) |
Your Public Radio Corp. Project, LOC-PNC Bank |
| 0.190 | % |
| 3/5/10 |
|
| 3,855,000 |
|
| 3,855,000 | (a) |
Maryland State Health & Higher EFA Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Holton-Arms School, LOC-SunTrust Bank |
| 0.270 | % |
| 3/3/10 |
|
| 4,800,000 |
|
| 4,800,000 | (a) |
John Hopkins University Stone Ridge School of the |
| 0.270 | % |
| 3/3/10 |
|
| 11,200,000 |
|
| 11,200,000 | (a) |
University of Maryland Medical System LOC-PNC Bank N.A. |
| 0.170 | % |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 23
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Maturity |
| Face |
|
|
|
| ||
Security |
| Rate |
| Date |
| Amount |
| Value |
| |||
Maryland — continued |
|
|
|
|
|
|
|
|
|
|
|
|
Maryland State Stadium Authority Sports Facilities Lease, |
| 0.250 | % |
| 3/3/10 |
| $ | 28,285,000 |
| $ | 28,285,000 | (a)(b) |
Maryland State Stadium Authority Sports Facilities Lease |
| 0.200 | % |
| 3/4/10 |
|
| 9,235,000 |
|
| 9,235,000 | (a) |
Montgomery County, MD, Housing Opportunities Commission |
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Family Revenue, Housing Development, |
| 0.230 | % |
| 3/4/10 |
|
| 13,150,000 |
|
| 13,150,000 | (a)(b) |
Washington County, MD, EDR, St. James School Project, |
| 0.190 | % |
| 3/4/10 |
|
| 3,100,000 |
|
| 3,100,000 | (a) |
Washington Suburban Sanitation District, MD, GO: |
|
|
|
|
|
|
|
|
|
|
|
|
BAN, SPA-Helaba |
| 0.260 | % |
| 3/3/10 |
|
| 19,600,000 |
|
| 19,600,000 | (a) |
BAN, SPA-Landesbank Hessen-Thuringen |
| 0.250 | % |
| 3/3/10 |
|
| 7,200,000 |
|
| 7,200,000 | (a) |
Total Maryland |
|
|
|
|
|
|
|
|
|
| 161,993,000 |
|
Massachusetts — 2.8% |
|
|
|
|
|
|
|
|
|
|
|
|
Malden, MA, GO, BAN |
| 1.750 | % |
| 4/30/10 |
|
| 10,000,000 |
|
| 10,018,789 |
|
Massachusetts Bay Transportation Authority, TECP, BAN, |
|
|
|
|
|
|
|
|
|
|
|
|
LOC-Fortis Bank |
| 0.290 | % |
| 8/12/10 |
|
| 8,900,000 |
|
| 8,900,000 |
|
Massachusetts Health & Education University Revenue, TECP |
| 0.300 | % |
| 8/9/10 |
|
| 10,111,000 |
|
| 10,111,000 |
|
Massachusetts State DFA Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Boston University, LOC-Bank of America N.A. |
| 0.140 | % |
| 3/1/10 |
|
| 450,000 |
|
| 450,000 | (a) |
College of the Holy Cross, LOC-Bank of America N.A. |
| 0.150 | % |
| 3/1/10 |
|
| 780,000 |
|
| 780,000 | (a)(e) |
Harvard University |
| 0.170 | % |
| 3/4/10 |
|
| 500,000 |
|
| 500,000 | (a) |
Marine Biological Laboratory, LOC-JPMorgan Chase |
| 0.190 | % |
| 3/4/10 |
|
| 4,780,000 |
|
| 4,780,000 | (a) |
Notre Dame Health Care Center, LOC-KBC Bank NV |
| 0.250 | % |
| 3/4/10 |
|
| 4,750,000 |
|
| 4,750,000 | (a) |
Phillips Academy, SPA-Bank of New York |
| 0.180 | % |
| 3/4/10 |
|
| 3,310,000 |
|
| 3,310,000 | (a) |
Wentworth Institute of Technology, LOC-JPMorgan Chase |
| 0.190 | % |
| 3/4/10 |
|
| 6,120,000 |
|
| 6,120,000 | (a) |
Massachusetts State HEFA Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
Museum of Fine Arts, SPA-Bank of America N.A. |
| 0.120 | % |
| 3/1/10 |
|
| 100,000 |
|
| 100,000 | (a) |
Partners Healthcare Systems |
| 0.100 | % |
| 3/1/10 |
|
| 270,000 |
|
| 270,000 | (a) |
Partners Healthcare Systems, SPA-Bank of America |
| 0.150 | % |
| 3/4/10 |
|
| 700,000 |
|
| 700,000 | (a) |
Refunding, Fairview Extended, LOC-Bank of America |
| 0.180 | % |
| 3/4/10 |
|
| 1,100,000 |
|
| 1,100,000 | (a) |
Williams College |
| 0.190 | % |
| 3/3/10 |
|
| 1,400,000 |
|
| 1,400,000 | (a) |
Massachusetts State HFA Housing Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
AGM, SPA-Dexia Credit Local |
| 0.310 | % |
| 3/3/10 |
|
| 895,000 |
|
| 895,000 | (a)(b) |
LOC-Lloyds TSB Bank PLC |
| 0.200 | % |
| 3/4/10 |
|
| 490,000 |
|
| 490,000 | (a)(b) |
Massachusetts State, GO: |
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated Loan, SPA-Bank of America N.A. |
| 0.150 | % |
| 3/1/10 |
|
| 1,270,000 |
|
| 1,270,000 | (a) |
Refunding, SPA-Landesbank Hessen-Thuringen |
| 0.190 | % |
| 3/4/10 |
|
| 4,500,000 |
|
| 4,500,000 | (a) |
Quincy, MA, GO, BAN |
| 1.250 | % |
| 1/28/11 |
|
| 4,500,000 |
|
| 4,532,687 |
|
Worcester, MA, GO, BAN |
| 1.250 | % |
| 11/5/10 |
|
| 1,825,000 |
|
| 1,833,686 |
|
Total Massachusetts |
|
|
|
|
|
|
|
|
|
| 66,811,162 |
|
Michigan — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
Michigan Higher Education Facilities Authority, Ltd. |
| 0.170 | % |
| 3/1/10 |
|
| 12,445,000 |
|
| 12,445,000 | (a) |
Michigan State, GO |
| 2.000 | % |
| 9/30/10 |
|
| 3,300,000 |
|
| 3,328,188 |
|
Milan, MI, Area Schools, GO, Refunding, Q-SBLF, |
| 0.180 | % |
| 3/4/10 |
|
| 1,645,000 |
|
| 1,645,000 | (a) |
University of Michigan Revenue, SPA-U.S. Bank N.A. |
| 0.120 | % |
| 3/1/10 |
|
| 500,000 |
|
| 500,000 | (a) |
See Notes to Financial Statements.
24 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
|
Schedule of investments (unaudited) (cont’d) |
February 28, 2010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Maturity |
| Face |
|
|
|
| |
Security |
| Rate |
| Date |
| Amount |
| Value |
| |||
Michigan — continued |
|
|
|
|
|
|
|
|
|
|
|
|
University of Michigan, TECP |
| 0.270 | % |
| 3/1/10 |
| $ | 5,200,000 |
| $ | 5,200,000 |
|
Total Michigan |
|
|
|
|
|
|
|
|
|
| 23,118,188 |
|
Minnesota — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
Minnesota State Housing Finance Agency, Residential |
| 0.200 | % |
| 3/4/10 |
|
| 6,415,000 |
|
| 6,415,000 | (a)(b) |
Rochester, MN, GO, TECP, LOC-U.S. Bank Trust N.A. |
| 0.280 | % |
| 6/2/10 |
|
| 1,600,000 |
|
| 1,600,000 |
|
Total Minnesota |
|
|
|
|
|
|
|
|
|
| 8,015,000 |
|
Mississippi — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
Mississippi Business Finance Corp., Chrome Deposit Corp. |
| 0.190 | % |
| 3/4/10 |
|
| 5,000,000 |
|
| 5,000,000 | (a) |
Mississippi Development Bank, Special Obligation, Harrison, |
| 0.200 | % |
| 3/4/10 |
|
| 21,100,000 |
|
| 21,100,000 | (a) |
Total Mississippi |
|
|
|
|
|
|
|
|
|
| 26,100,000 |
|
Missouri — 2.6% |
|
|
|
|
|
|
|
|
|
|
|
|
Missouri State HEFA Educational Facilities Revenue, |
| 0.120 | % |
| 3/1/10 |
|
| 3,550,000 |
|
| 3,550,000 | (a) |
Missouri State HEFA Health Facilities Revenue, |
| 0.180 | % |
| 3/1/10 |
|
| 10,320,000 |
|
| 10,320,000 | (a) |
Missouri State HEFA Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
BJC Health Systems, SPA-Bank of Nova Scotia & |
| 0.140 | % |
| 3/1/10 |
|
| 13,760,000 |
|
| 13,760,000 | (a) |
SSM Health Care Corp., AGM, SPA-Dexia Credit Local |
| 0.180 | % |
| 3/1/10 |
|
| 1,600,000 |
|
| 1,600,000 | (a) |
St. Francis Medical Center, LOC-Bank of America N.A. |
| 0.140 | % |
| 3/1/10 |
|
| 5,590,000 |
|
| 5,590,000 | (a) |
Washington University, SPA-JPMorgan Chase |
| 0.120 | % |
| 3/1/10 |
|
| 3,300,000 |
|
| 3,300,000 | (a) |
Washington University, SPA-Wells Fargo Bank N.A. |
| 0.130 | % |
| 3/1/10 |
|
| 8,780,000 |
|
| 8,780,000 | (a) |
Missouri State HEFA, TECP, LOC-Bank of Nova Scotia |
| 0.250 | % |
| 8/5/10 |
|
| 1,700,000 |
|
| 1,700,000 |
|
Springfield, MO, IDA Revenue, McIntosh Holdings LLC Project, |
| 0.250 | % |
| 3/4/10 |
|
| 2,005,000 |
|
| 2,005,000 | (a)(b) |
St. Louis, MO, IDA, MFH Revenue, St. Luke’s Plaza Apartments, |
| 0.230 | % |
| 3/4/10 |
|
| 5,400,000 |
|
| 5,400,000 | (a) |
Washington, MO, Industrial Revenue, Pauwels Transformers Inc. |
| 0.300 | % |
| 3/4/10 |
|
| 6,200,000 |
|
| 6,200,000 | (a)(b) |
Total Missouri |
|
|
|
|
|
|
|
|
|
| 62,205,000 |
|
Montana — 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
Montana State Board of Investment, Municipal Finance |
| 0.500 | % |
| 3/1/11 |
|
| 900,000 |
|
| 900,000 | (c) |
Nebraska — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
Nebraska Investment Finance Authority, Single-Family |
| 0.240 | % |
| 3/3/10 |
|
| 5,450,000 |
|
| 5,450,000 | (a)(b) |
Nebraska Public Power District, TECP: |
|
|
|
|
|
|
|
|
|
|
|
|
LIQ-Bank of Nova Scotia |
| 0.200 | % |
| 3/11/10 |
|
| 1,200,000 |
|
| 1,200,000 |
|
LIQ-Bank of Nova Scotia |
| 0.250 | % |
| 5/6/10 |
|
| 13,100,000 |
|
| 13,100,000 |
|
LIQ-Bank of Nova Scotia |
| 0.250 | % |
| 5/13/10 |
|
| 2,500,000 |
|
| 2,500,000 |
|
Omaha, NE, Public Power District, TECP: |
|
|
|
|
|
|
|
|
|
|
|
|
LOC-JPMorgan Chase |
| 0.180 | % |
| 3/2/10 |
|
| 1,200,000 |
|
| 1,200,000 |
|
LOC-JPMorgan Chase |
| 0.250 | % |
| 5/6/10 |
|
| 4,500,000 |
|
| 4,500,000 |
|
Total Nebraska |
|
|
|
|
|
|
|
|
|
| 27,950,000 |
|
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 25
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio | |||||||||
| |||||||||
Security |
| Rate |
| Maturity |
| Face |
| Value |
|
Nevada — 2.1% |
|
|
|
|
|
|
|
|
|
Clark County, NV, Airport Revenue: |
|
|
|
|
|
|
|
|
|
AGM, SPA-Dexia Credit Local |
| 0.220% |
| 3/3/10 |
| $ 7,000,000 |
| $ 7,000,000 | (a)(b) |
AGM, SPA-Dexia Credit Local |
| 0.230% |
| 3/3/10 |
| 12,000,000 |
| 12,000,000 | (a)(b) |
Clark County, NV, Highway Revenue, TECP, LOC-BNP Paribas |
| 0.230% |
| 4/6/10 |
| 1,300,000 |
| 1,300,000 |
|
Clark County, NV, School District, AGM, SPA-State Street |
| 0.130% |
| 3/1/10 |
| 7,300,000 |
| 7,300,000 | (a) |
Las Vegas, NV, GO, LOC-Lloyds TSB Bank PLC |
| 0.130% |
| 3/1/10 |
| 3,300,000 |
| 3,300,000 | (a) |
Reno, NV, Sales Tax Revenue, Reno Project, |
| 0.140% |
| 3/1/10 |
| 5,775,000 |
| 5,775,000 | (a) |
Truckee Meadows, NV, Water Authority Revenue, TECP: |
|
|
|
|
|
|
|
|
|
LOC-Lloyds TSB Bank PLC |
| 0.320% |
| 3/4/10 |
| 3,150,000 |
| 3,150,000 |
|
LOC-Lloyds TSB Bank PLC |
| 0.210% |
| 4/6/10 |
| 1,700,000 |
| 1,700,000 |
|
LOC-Lloyds TSB Bank PLC |
| 0.290% |
| 4/6/10 |
| 1,500,000 |
| 1,500,000 |
|
LOC-Lloyds TSB Bank PLC |
| 0.300% |
| 4/8/10 |
| 4,500,000 |
| 4,500,000 |
|
LOC-Lloyds TSB Bank PLC |
| 0.250% |
| 5/12/10 |
| 3,600,000 |
| 3,600,000 |
|
Total Nevada |
|
|
|
|
|
|
| 51,125,000 |
|
New Hampshire — 0.5% |
|
|
|
|
|
|
|
|
|
New Hampshire HEFA Revenue, Phillips Exeter Academy, |
| 0.180% |
| 3/4/10 |
| 5,000,000 |
| 5,000,000 | (a) |
New Hampshire State Business Finance Authority Revenue, |
| 0.130% |
| 3/1/10 |
| 7,725,000 |
| 7,725,000 | (a) |
Total New Hampshire |
|
|
|
|
|
|
| 12,725,000 |
|
New Jersey — 3.3% |
|
|
|
|
|
|
|
|
|
Clifton, NJ, GO |
| 3.000% |
| 7/15/10 |
| 350,000 |
| 353,289 |
|
Delaware River Port Authority of Pennsylvania & New Jersey |
| 0.160% |
| 3/4/10 |
| 11,140,000 |
| 11,140,000 | (a) |
East Brunswick Township, NJ, GO, BAN |
| 1.400% |
| 1/7/11 |
| 5,900,000 |
| 5,946,339 |
|
Ewing Township, NJ, GO, BAN |
| 1.250% |
| 11/5/10 |
| 1,057,000 |
| 1,058,067 |
|
Franklin Lakes, NJ, GO, BAN |
| 1.000% |
| 10/28/10 |
| 1,842,000 |
| 1,845,378 |
|
Glassboro, NJ, GO, BAN |
| 1.500% |
| 1/26/11 |
| 1,144,024 |
| 1,150,703 |
|
Hudson County, NJ, Improvement Authority: |
|
|
|
|
|
|
|
|
|
County-GTD Pooled Notes |
| 1.750% |
| 9/3/10 |
| 20,000,000 |
| 20,075,626 |
|
County-GTD Pooled Notes |
| 1.250% |
| 1/19/11 |
| 1,200,000 |
| 1,206,024 |
|
Hunterdon County, NJ, GO |
| 1.000% |
| 5/1/10 |
| 630,000 |
| 630,703 |
|
Monroe Township, NJ, Middlesex County, GO, BAN |
| 1.000% |
| 2/9/11 |
| 6,700,000 |
| 6,736,514 |
|
Montclair Township, NJ, GO, BAN |
| 1.500% |
| 12/17/10 |
| 7,900,000 |
| 7,969,157 |
|
New Jersey Health Care Facilities Financing Authority Revenue, |
| 0.170% |
| 3/4/10 |
| 5,000,000 |
| 5,000,000 | (a) |
New Jersey State Turnpike Authority Revenue, AGM, |
| 0.220% |
| 3/3/10 |
| 6,075,000 |
| 6,075,000 | (a) |
Ocean Township, NJ, GO, BAN |
| 1.500% |
| 3/8/10 |
| 2,224,500 |
| 2,224,800 |
|
Pemberton Township, NJ, GO, BAN |
| 1.250% |
| 1/5/11 |
| 640,000 |
| 640,801 |
|
Ringwood Boro, NJ, GO, BAN |
| 1.250% |
| 11/5/10 |
| 2,022,750 |
| 2,026,710 |
|
South Orange Village Township, NJ, GO, BAN |
| 1.250% |
| 2/1/11 |
| 1,190,000 |
| 1,198,417 |
|
Trenton, NJ, GO: |
|
|
|
|
|
|
|
|
|
BAN |
| 3.000% |
| 7/15/10 |
| 444,000 |
| 445,065 |
|
BAN |
| 3.500% |
| 7/15/10 |
| 735,000 |
| 737,434 | (b) |
BAN |
| 3.500% |
| 12/10/10 |
| 748,000 |
| 753,101 |
|
See Notes to Financial Statements.
26 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio | |||||||||
| |||||||||
Security |
| Rate |
| Maturity |
| Face |
| Value |
|
New Jersey — continued |
|
|
|
|
|
|
|
|
|
Verona Township, NJ, GO, BAN |
| 1.500% |
| 12/15/10 |
| $ 1,300,000 |
| $ 1,311,271 |
|
Total New Jersey |
|
|
|
|
|
|
| 78,524,399 |
|
New Mexico — 1.5% |
|
|
|
|
|
|
|
|
|
Hurley, NM, PCR, Kennecott Santa Fe |
| 0.110% |
| 3/1/10 |
| 1,000,000 |
| 1,000,000 | (a) |
New Mexico Educational Assistance Foundation, |
| 0.230% |
| 3/3/10 |
| 20,000,000 |
| 20,000,000 | (a)(b) |
New Mexico Municipal Energy Acquisition Authority Gas Supply, |
| 0.190% |
| 3/4/10 |
| 14,500,000 |
| 14,500,000 | (a) |
Total New Mexico |
|
|
|
|
|
|
| 35,500,000 |
|
New York — 6.2% |
|
|
|
|
|
|
|
|
|
MTA, NY, Revenue, Transportation, |
| 0.130% |
| 3/1/10 |
| 14,000,000 |
| 14,000,000 | (a) |
MTA, NY, TECP, BAN, LOC-ABN AMRO Bank N.V. |
| 0.280% |
| 4/6/10 |
| 16,350,000 |
| 16,350,000 |
|
New York City, NY, GO: |
|
|
|
|
|
|
|
|
|
SPA-Dexia Credit Local |
| 0.120% |
| 3/1/10 |
| 19,400,000 |
| 19,400,000 | (a) |
SPA-Landesbank Hessen-Thuringen |
| 0.140% |
| 3/1/10 |
| 4,700,000 |
| 4,700,000 | (a) |
New York City, NY, MFA Water & Sewer System Revenue, |
| 0.120% |
| 3/1/10 |
| 5,000,000 |
| 5,000,000 | (a) |
New York City, NY, Municipal Water Finance Authority: |
|
|
|
|
|
|
|
|
|
Water & Sewer System Revenue, Second Generation |
| 0.140% |
| 3/1/10 |
| 1,400,000 |
| 1,400,000 | (a) |
Water & Sewer System Revenue, SPA-Bank of America N.A. |
| 0.120% |
| 3/1/10 |
| 2,800,000 |
| 2,800,000 | (a) |
Water & Sewer System Revenue, SPA-Landesbank |
| 0.120% |
| 3/1/10 |
| 8,200,000 |
| 8,200,000 | (a) |
Water & Sewer System Revenue, SPA-Landesbank |
| 0.130% |
| 3/1/10 |
| 6,100,000 |
| 6,100,000 | (a) |
Water & Sewer System Revenue, SPA-Lloyds TSB Bank PLC |
| 0.140% |
| 3/1/10 |
| 2,500,000 |
| 2,500,000 | (a) |
New York City, NY, NATL, SPA-Bank of Nova Scotia |
| 0.120% |
| 3/1/10 |
| 4,100,000 |
| 4,100,000 | (a) |
New York City, NY, TFA: |
|
|
|
|
|
|
|
|
|
Future Tax Secured, SPA-Citibank N.A. |
| 0.120% |
| 3/1/10 |
| 2,600,000 |
| 2,600,000 | (a) |
Future Tax Secured, Subordinated, SPA-Landesbank |
| 0.140% |
| 3/1/10 |
| 3,700,000 |
| 3,700,000 | (a) |
New York City Recovery Project Revenue, |
| 0.120% |
| 3/1/10 |
| 20,400,000 |
| 20,400,000 | (a) |
New York City Recovery Project Revenue, Subordinated, |
| 0.140% |
| 3/1/10 |
| 900,000 |
| 900,000 | (a) |
New York City Recovery Project Revenue, Subordinated, |
| 0.200% |
| 3/3/10 |
| 7,400,000 |
| 7,400,000 | (a) |
New York City, NY, Trust for Cultural Resources Revenue, |
| 0.120% |
| 3/1/10 |
| 1,100,000 |
| 1,100,000 | (a) |
New York State Housing Finance Agency Revenue: |
|
|
|
|
|
|
|
|
|
316 11th Avenue Housing, LIQ-FNMA |
| 0.150% |
| 3/3/10 |
| 5,075,000 |
| 5,075,000 | (a) |
88 Leonard Street Housing, LOC-Landesbank Hessen-Thuringen |
| 0.180% |
| 3/3/10 |
| 9,500,000 |
| 9,500,000 | (a) |
New York, NY, GO, LOC-Landesbank Baden-Wurttemberg |
| 0.190% |
| 3/1/10 |
| 10,300,000 |
| 10,300,000 | (a) |
Triborough Bridge & Tunnel Authority, NY Revenue: |
|
|
|
|
|
|
|
|
|
LOC-State Street Bank & Trust Co. |
| 0.160% |
| 3/3/10 |
| 200,000 |
| 200,000 | (a) |
Refunding, Gem Subordinated, SPA-Bank of America |
| 0.250% |
| 3/4/10 |
| 1,400,000 |
| 1,400,000 | (a) |
Total New York |
|
|
|
|
|
|
| 147,125,000 |
|
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 27
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio | |||||||||
| |||||||||
Security |
| Rate |
| Maturity |
| Face |
| Value |
|
North Carolina — 1.8% |
|
|
|
|
|
|
|
|
|
Charlotte-Mecklenburg Hospital Authority, NC, Health Care |
| 0.230% |
| 3/4/10 |
| $ 1,200,000 |
| $ 1,200,000 | (a) |
Forsyth County, NC, Industrial Facilities & Pollution Control |
| 0.330% |
| 3/5/10 |
| 6,880,000 |
| 6,880,000 | (a)(b) |
Mecklenburg County, NC, COP-Branch Banking & Trust Corp. |
| 0.170% |
| 3/4/10 |
| 6,125,000 |
| 6,125,000 | (a) |
Mecklenburg County, NC, GO, SPA-Wells Fargo Bank N.A. |
| 0.180% |
| 3/4/10 |
| 12,535,000 |
| 12,535,000 | (a) |
New Hanover County, NC, Hospital Revenue, Refunding, |
| 0.200% |
| 3/3/10 |
| 1,600,000 |
| 1,600,000 | (a) |
North Carolina Capital Facilities Finance Agency: |
|
|
|
|
|
|
|
|
|
Educational Facilities Revenue Guilford College Project, |
| 0.190% |
| 3/4/10 |
| 3,765,000 |
| 3,765,000 | (a) |
Lees-McRae College, LOC-Branch Banking & Trust Corp. |
| 0.280% |
| 3/4/10 |
| 2,880,000 |
| 2,880,000 | (a) |
North Carolina Capital Facilities Finance Agency Revenue, |
| 0.180% |
| 3/4/10 |
| 850,000 |
| 850,000 | (a) |
North Carolina Capital Facilities Finance Agency, Recreational |
| 0.180% |
| 3/4/10 |
| 830,000 |
| 830,000 | (a) |
North Carolina Educational Facilities Finance Agency Revenue, |
| 0.180% |
| 3/4/10 |
| 885,000 |
| 885,000 | (a) |
North Carolina Medical Care Commission, Health Care |
| 0.130% |
| 3/1/10 |
| 3,915,000 |
| 3,915,000 | (a) |
Winston Salem, NC, COP, SPA-Dexia Credit Local |
| 0.180% |
| 3/4/10 |
| 1,500,000 |
| 1,500,000 | (a) |
Total North Carolina |
|
|
|
|
|
|
| 42,965,000 |
|
North Dakota — 0.1% |
|
|
|
|
|
|
|
|
|
North Dakota State Housing Finance Agency Revenue, |
|
|
|
|
|
|
|
|
|
Housing Finance Program, Home Mortgage Finance, |
| 0.240% |
| 3/3/10 |
| 1,660,000 |
| 1,660,000 | (a)(b) |
Ohio — 2.6% |
|
|
|
|
|
|
|
|
|
Columbus, OH, Regional Airport Authority, TECP, LOC-Calyon Bank |
| 0.210% |
| 3/11/10 |
| 1,300,000 |
| 1,300,000 |
|
Hamilton County, OH, Hospital Facilities Revenue, Children’s |
| 0.160% |
| 3/4/10 |
| 5,000,000 |
| 5,000,000 | (a) |
Montgomery County, OH, Revenue Bonds, TECP, Ketterling |
|
|
|
|
|
|
|
|
|
Medical Center, LOC-Dexia Credit Local |
| 0.250% |
| 3/2/10 |
| 20,300,000 |
| 20,300,000 |
|
Ohio State Higher Educational Facilities, Marietta College |
| 0.190% |
| 3/4/10 |
| 6,370,000 |
| 6,370,000 | (a) |
Ohio State University General Receipts |
| 0.160% |
| 3/3/10 |
| 1,600,000 |
| 1,600,000 | (a) |
Ohio State University, TECP |
| 0.350% |
| 4/6/10 |
| 1,800,000 |
| 1,800,000 |
|
Ohio State Water Nuclear Development Authority PCR, |
| 0.130% |
| 3/1/10 |
| 2,800,000 |
| 2,800,000 | (a) |
Ohio State, GO: |
|
|
|
|
|
|
|
|
|
Common Schools |
| 0.180% |
| 3/3/10 |
| 715,000 |
| 715,000 | (a) |
Refunding and Improvement Infrastructure |
| 0.190% |
| 3/3/10 |
| 400,000 |
| 400,000 | (a) |
Summit County, OH, Port Authority Facilities Revenue, |
| 0.430% |
| 3/3/10 |
| 11,675,000 |
| 11,675,000 | (a) |
Summit County, OH, Revenue, Goodwill Industries of Akron Inc., |
| 0.280% |
| 3/3/10 |
| 4,400,000 |
| 4,400,000 | (a) |
University of Cincinnati, OH, General Receipts, BAN |
| 1.500% |
| 12/16/10 |
| 1,400,000 |
| 1,410,838 |
|
Washington County, OH, Hospital Revenue, Marietta Area |
| 0.240% |
| 3/5/10 |
| 3,527,000 |
| 3,527,000 | (a) |
Total Ohio |
|
|
|
|
|
|
| 61,297,838 |
|
See Notes to Financial Statements.
28 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited) (cont’d)
February 28, 2010
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
| Maturity |
| Face |
| Value |
| |||
Oklahoma — 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
Oklahoma Development Finance Authority Revenue, |
| 0.170 | % |
| 3/1/10 |
| $ | 1,300,000 |
| $ | 1,300,000 | (a) |
Oklahoma Development Finance Authority, Health System |
| 0.220 | % |
| 3/4/10 |
|
| 3,900,000 |
|
| 3,900,000 |
|
Oklahoma State Turnpike Authority Revenue, |
| 0.140 | % |
| 3/1/10 |
|
| 14,900,000 |
|
| 14,900,000 | (a) |
Total Oklahoma |
|
|
|
|
|
|
|
|
|
| 20,100,000 |
|
Oregon — 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
Clackamas County, OR, Hospital Facility Authority, TECP: |
|
|
|
|
|
|
|
|
|
|
|
|
Providence Health System |
| 0.300 | % |
| 6/2/10 |
|
| 10,000,000 |
|
| 10,000,000 |
|
Providence Health System |
| 0.270 | % |
| 6/10/10 |
|
| 4,900,000 |
|
| 4,900,000 |
|
Providence Health System |
| 0.330 | % |
| 7/14/10 |
|
| 2,400,000 |
|
| 2,400,000 |
|
Medford, OR, Hospital Facilities Authority Revenue, |
| 0.170 | % |
|
|
|
|
|
|
|
|
|
3/1/10 |
|
| 4,330,000 |
|
| 4,330,000 | (a) | |||||
Oregon State Department of Transportation Highway User Tax |
| 0.180 | % |
| 3/4/10 |
|
| 11,100,000 |
|
| 11,100,000 | (a) |
Salem, OR, Hospital Facilities Authority Revenue, |
| 0.230 | % |
| 3/4/10 |
|
| 3,235,000 |
|
| 3,235,000 | (a) |
Washington County, OR, Housing Authority Revenue, |
| 0.350 | % |
| 3/4/10 |
|
| 4,685,000 |
|
| 4,685,000 | (a)(b) |
Total Oregon |
|
|
|
|
|
|
|
|
|
| 40,650,000 |
|
Pennsylvania — 6.7% |
|
|
|
|
|
|
|
|
|
|
|
|
Allegheny County, PA, Higher Education Building Authority, |
| 0.130 | % |
| 3/1/10 |
|
| 10,000,000 |
|
| 10,000,000 | (a) |
Allegheny County, PA, IDA Health & Housing Facilities Revenue, |
| 0.130 | % |
| 3/1/10 |
|
| 1,200,000 |
|
| 1,200,000 | (a) |
Chester County, PA, IDA Revenue, Archdiocese of Philadelphia |
| 0.150 | % |
| 3/1/10 |
|
| 450,000 |
|
| 450,000 | (a) |
Crawford County, PA, IDA College Revenue, Allegheny College, |
| 0.190 | % |
| 3/4/10 |
|
| 2,000,000 |
|
| 2,000,000 | (a) |
Dauphin County, PA, GO, SPA-PNC Bank N.A. |
| 0.160 | % |
| 3/4/10 |
|
| 6,920,000 |
|
| 6,920,000 | (a) |
Delaware County, PA, Authority Revenue, Elwyn Inc. Project, |
| 0.130 | % |
| 3/1/10 |
|
| 1,405,000 |
|
| 1,405,000 | (a) |
Geisinger Authority, PA, Health System, Geisinger Health |
| 0.120 | % |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
Geisinger Authority, PA, Health System Revenue, Geisinger |
| 0.120 | % |
| 3/1/10 |
|
| 2,100,000 |
|
| 2,100,000 | (a) |
Lancaster County, PA, Hospital Authority Revenue, |
| 0.130 | % |
| 3/1/10 |
|
| 1,900,000 |
|
| 1,900,000 | (a) |
Manheim Township, PA, School District, GO, AGM, |
| 0.320 | % |
| 3/4/10 |
|
| 1,805,000 |
|
| 1,805,000 | (a) |
Middletown, PA, Area School District, AGM, St. Aid Withholding, |
| 0.320 | % |
| 3/4/10 |
|
| 7,415,000 |
|
| 7,415,000 | (a) |
Montgomery County, PA, IDA Revenue, Lasalle College |
| 0.190 | % |
| 3/4/10 |
|
| 1,875,000 |
|
| 1,875,000 | (a) |
New Castle, PA, Area Hospital Authority, Jameson Memorial |
| 0.190 | % |
| 3/4/10 |
|
| 2,670,000 |
|
| 2,670,000 | (a) |
Northampton County, PA, General Purpose Authority Revenue, |
| 0.160 | % |
| 3/4/10 |
|
| 1,200,000 |
|
| 1,200,000 | (a) |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 29
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
| Maturity |
| Face |
| Value |
| |||
Pennsylvania — continued |
|
|
|
|
|
|
|
|
|
|
|
|
Pennsylvania Economic Development Financing Authority Revenue: |
|
|
|
|
|
|
|
|
|
|
|
|
LOC-PNC Bank N.A. |
| 0.260 | % |
| 3/4/10 |
| $ | 1,875,000 |
| $ | 1,875,000 | (a)(b) |
NHS-AVS LLC, LOC-Commerce Bank |
| 0.130 | % |
| 3/1/10 |
|
| 20,245,000 |
|
| 20,245,000 | (a) |
York Water Co. Project, LOC-PNC Bank N.A. |
| 0.230 | % |
| 3/4/10 |
|
| 5,000,000 |
|
| 5,000,000 | (a)(b) |
Pennsylvania Economic Development Financing Authority, |
| 0.620 | % |
| 9/1/10 |
|
| 5,000,000 |
|
| 5,000,000 | (d) |
Pennsylvania Housing Finance Agency: |
|
|
|
|
|
|
|
|
|
|
|
|
Building Development, SPA-PNC Bank N.A. |
| 0.190 | % |
| 3/4/10 |
|
| 2,100,000 |
|
| 2,100,000 | (a) |
SPA-Dexia Credit Local |
| 0.220 | % |
| 3/3/10 |
|
| 8,545,000 |
|
| 8,545,000 | (a)(b) |
Pennsylvania Housing Finance Agency, Single-Family |
| 0.210 | % |
| 3/3/10 |
|
| 28,450,000 |
|
| 28,450,000 | (a)(b) |
Philadelphia, PA, Authority for IDR: |
|
|
|
|
|
|
|
|
|
|
|
|
Newcourtland Elder Services Project, LOC-PNC Bank N.A. |
| 0.130 | % |
| 3/1/10 |
|
| 2,400,000 |
|
| 2,400,000 | (a) |
Springside School, LOC-PNC Bank |
| 0.190 | % |
| 3/4/10 |
|
| 3,000,000 |
|
| 3,000,000 | (a) |
Philadelphia, PA, School District, GO: |
|
|
|
|
|
|
|
|
|
|
|
|
LOC-Commerce Bank N.A. |
| 0.160 | % |
| 3/4/10 |
|
| 2,800,000 |
|
| 2,800,000 | (a) |
TAN |
| 2.500 | % |
| 6/30/10 |
|
| 12,100,000 |
|
| 12,170,876 |
|
Philadelphia, PA, TRAN |
| 2.500 | % |
| 6/30/10 |
|
| 11,800,000 |
|
| 11,869,281 |
|
Pittsburgh & Allegheny County, PA, Sports & Exhibition |
| 0.190 | % |
| 3/4/10 |
|
| 4,535,000 |
|
| 4,535,000 | (a) |
Saint Mary Hospital Authority Bucks County, Catholic Health |
| 0.200 | % |
| 3/3/10 |
|
| 900,000 |
|
| 900,000 | (a) |
State Public School Building Authority, Albert Gallatin Area |
| 0.200 | % |
| 3/4/10 |
|
| 9,275,000 |
|
| 9,275,000 | (a) |
Total Pennsylvania |
|
|
|
|
|
|
|
|
|
| 160,105,157 |
|
Puerto Rico — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
Commonwealth of Puerto Rico, GO: |
|
|
|
|
|
|
|
|
|
|
|
|
AGM, SPA-Dexia Credit Local |
| 0.220 | % |
| 3/4/10 |
|
| 1,500,000 |
|
| 1,500,000 | (a) |
Public Improvements, AGM, SPA-Dexia Bank |
| 0.230 | % |
| 3/4/10 |
|
| 3,700,000 |
|
| 3,700,000 | (a) |
Refunding, Public Improvements, AGM, |
| 0.120 | % |
| 3/1/10 |
|
| 1,100,000 |
|
| 1,100,000 | (a) |
Total Puerto Rico |
|
|
|
|
|
|
|
|
|
| 6,300,000 |
|
South Carolina — 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
South Carolina Association of Governmental Organizations, COP |
| 1.500 | % |
| 3/1/10 |
|
| 9,540,000 |
|
| 9,540,000 |
|
South Carolina Jobs EDA Revenue, Executive Kitchens Inc. |
| 0.420 | % |
| 3/3/10 |
|
| 4,910,000 |
|
| 4,910,000 | (a)(b) |
South Carolina, EFA, Private Non-Profit Institutions: |
|
|
|
|
|
|
|
|
|
|
|
|
Newberry College, LOC-Branch Banking & Trust |
| 0.190 | % |
| 3/4/10 |
|
| 2,000,000 |
|
| 2,000,000 | (a) |
Refunding & Improvement, Anderson, LOC-Bank of America N.A. |
| 0.200 | % |
| 3/4/10 |
|
| 1,035,000 |
|
| 1,035,000 | (a) |
Three Rivers, SC, Solid Waste Disposal Facilities, COP, |
| 0.600 | % |
| 4/1/10 |
|
| 5,685,000 |
|
| 5,685,000 | (b)(d) |
Total South Carolina |
|
|
|
|
|
|
|
|
|
| 23,170,000 |
|
South Dakota — 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
South Dakota Housing Development Authority: |
|
|
|
|
|
|
|
|
|
|
|
|
Homeownership Mortgage, LOC-FHLB |
| 0.190 | % |
| 3/4/10 |
|
| 4,500,000 |
|
| 4,500,000 | (a) |
Homeownership Mortgage, SPA-Landesbank Hessen-Thuringen |
| 0.200 | % |
| 3/3/10 |
|
| 1,590,000 |
|
| 1,590,000 | (a) |
Homeownership Mortgage, SPA-Landesbank Hessen-Thuringen |
| 0.200 | % |
| 3/4/10 |
|
| 10,000,000 |
|
| 10,000,000 | (a) |
Total South Dakota |
|
|
|
|
|
|
|
|
|
| 16,090,000 |
|
See Notes to Financial Statements.
30 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited) (cont’d)
February 28, 2010
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
| Maturity |
| Face |
| Value |
| |||
Tennessee — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
Blount County, TN, Public Building Authority, Local Government |
| 0.190 | % |
| 3/3/10 |
| $ | 5,600,000 |
| $ | 5,600,000 | (a) |
Chattanooga, TN, IDB Revenue, Tennessee Aquarium Project, |
| 0.200 | % |
| 3/4/10 |
|
| 3,740,000 |
|
| 3,740,000 | (a) |
Hamilton County, TN, TECP, LIQ-SunTrust Bank |
| 0.250 | % |
| 3/4/10 |
|
| 1,200,000 |
|
| 1,200,000 |
|
Jackson, TN, Energy Authority Electric System Revenue, |
| 0.290 | % |
| 3/5/10 |
|
| 9,600,000 |
|
| 9,600,000 | (a) |
Metropolitan Government Nashville & Davidson County, TN, |
| 0.260 | % |
| 3/3/10 |
|
| 3,596,000 |
|
| 3,596,000 | (a)(b)(e) |
Metropolitan Government Nashville & Davidson County, TN, |
| 0.400 | % |
| 3/9/10 |
|
| 5,000,000 |
|
| 5,000,000 |
|
Total Tennessee |
|
|
|
|
|
|
|
|
|
| 28,736,000 |
|
Texas — 5.3% |
|
|
|
|
|
|
|
|
|
|
|
|
Austin, TX, ISD, TECP: |
|
|
|
|
|
|
|
|
|
|
|
|
LOC-Bank of America N.A. |
| 0.350 | % |
| 4/6/10 |
|
| 4,600,000 |
|
| 4,600,000 |
|
LOC-Bank of America N.A. |
| 0.350 | % |
| 4/7/10 |
|
| 3,400,000 |
|
| 3,400,000 |
|
Austin, TX, Utility System Revenue, Water & Wastewater |
| 0.250 | % |
| 3/4/10 |
|
| 1,125,000 |
|
| 1,125,000 | (a) |
Dallas, TX, Performing Arts Cultural Facilities Corp. Revenue, |
| 0.140 | % |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
Gulf Coast IDA, Marine Term Revenue, BP Amoco Oil Co. Project |
| 0.405 | % |
| 6/1/10 |
|
| 2,000,000 |
|
| 2,000,000 | (d) |
Harris County, TX, Cultural Education Facilities Finance Corp. |
| 0.120 | % |
| 3/1/10 |
|
| 3,000,000 |
|
| 3,000,000 | (a) |
Harris County, TX, Cultural Education Facilities Finance Corp. |
| 0.140 | % |
| 3/1/10 |
|
| 2,735,000 |
|
| 2,735,000 | (a) |
Harris County, TX, Cultural Educational Facilities Finance Corp., |
| 0.350 | % |
| 6/30/10 |
|
| 5,100,000 |
|
| 5,100,000 |
|
Harris County, TX, Flood Control District, TECP, LOC-Helaba |
| 0.220 | % |
| 3/8/10 |
|
| 8,850,000 |
|
| 8,850,000 |
|
Harris County, TX, Health Facilities Development Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
Baylor College of Medicine, LOC-JPMorgan Chase |
| 0.140 | % |
| 3/1/10 |
|
| 3,100,000 |
|
| 3,100,000 | (a) |
Memorial Hermann Healthcare Systems, AGM, SPA-Dexia |
| 0.300 | % |
| 3/3/10 |
|
| 18,400,000 |
|
| 18,400,000 | (a) |
Houston, TX Higher Education Finance Corp. TECP, Rice University |
| 0.300 | % |
| 3/9/10 |
|
| 1,300,000 |
|
| 1,300,000 |
|
Houston, TX, Airport Systems Revenue, TECP, LOC-Dexia |
| 0.300 | % |
| 5/6/10 |
|
| 1,400,000 |
|
| 1,400,000 |
|
Houston, TX, GO, TECP: |
|
|
|
|
|
|
|
|
|
|
|
|
LOC-Banco Bilbao Vizcaya |
| 0.250 | % |
| 4/7/10 |
|
| 2,360,000 |
|
| 2,360,000 |
|
LOC-Banco Bilbao Vizcaya |
| 0.220 | % |
| 5/25/10 |
|
| 2,400,000 |
|
| 2,400,000 |
|
Houston, TX, Higher Education Finance Corp. Revenue, |
| 0.140 | % |
| 3/1/10 |
|
| 5,500,000 |
|
| 5,500,000 | (a) |
Houston, TX, Higher Education Finance Corp., TECP |
| 0.270 | % |
| 6/1/10 |
|
| 2,400,000 |
|
| 2,400,000 |
|
Houston, TX, Higher Education Finance Corp., TECP |
| 0.280 | % |
| 6/10/10 |
|
| 2,500,000 |
|
| 2,500,000 |
|
Houston, TX, TECP, Hotel Occupancy Tax & Parking Revenue, |
| 0.180 | % |
| 3/10/10 |
|
| 400,000 |
|
| 400,000 |
|
North Texas Higher Education Authority, Student Loan Revenue, |
| 0.200 | % |
| 3/3/10 |
|
| 10,800,000 |
|
| 10,800,000 | (a)(b) |
San Antonio, TX, Electric and Gas, TECP, LOC-State Street |
| 0.240 | % |
| 4/7/10 |
|
| 4,200,000 |
|
| 4,200,000 |
|
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 31
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Security |
| Rate |
| Maturity |
| Face |
| Value |
| ||
Texas — continued |
|
|
|
|
|
|
|
|
|
|
|
San Antonio, TX, IDA, IDR, Tindall Corp. Project, |
|
|
|
|
|
|
|
|
|
|
|
LOC-Wachovia Bank N.A. |
| 0.250% |
| 3/4/10 |
| $ | 745,000 |
| $ | 745,000 | (a)(b) |
Splendora, TX, Higher Education Facilities Corp. Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Fellowship Christian Project, LOC-Bank of America N.A. |
| 0.200% |
| 3/4/10 |
|
| 5,360,000 |
|
| 5,360,000 | (a) |
Texas Public Finance Authority, GO, TECP |
| 0.300% |
| 3/1/10 |
|
| 800,000 |
|
| 800,000 |
|
Texas Public Finance Authority, GO, TECP |
| 0.300% |
| 6/15/10 |
|
| 2,700,000 |
|
| 2,700,000 |
|
Texas Public Finance Authority, TECP, LOC-Texas Comptroller |
|
|
|
|
|
|
|
|
|
|
|
of Public Accounts |
| 0.280% |
| 8/10/10 |
|
| 600,000 |
|
| 600,000 |
|
Texas Technical University Revenue Financing System, TECP |
| 0.180% |
| 3/9/10 |
|
| 4,950,000 |
|
| 4,950,000 |
|
Texas Technical University Revenue, TECP |
| 0.400% |
| 3/9/10 |
|
| 5,390,000 |
|
| 5,390,000 |
|
Trinity River Authority, TX, Solid Waste Disposal Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Community Waste Disposal Project, LOC-Wells Fargo Bank N.A. |
| 0.250% |
| 3/4/10 |
|
| 3,615,000 |
|
| 3,615,000 | (a)(b) |
University of North Texas, TECP |
| 0.350% |
| 3/2/10 |
|
| 881,000 |
|
| 881,000 |
|
University of Texas System Revenue, TECP |
| 0.240% |
| 4/1/10 |
|
| 5,100,000 |
|
| 5,100,000 |
|
University of Texas System Revenue, TECP |
| 0.300% |
| 8/9/10 |
|
| 8,600,000 |
|
| 8,600,000 |
|
Total Texas |
|
|
|
|
|
|
|
|
| 125,311,000 |
|
Utah — 1.2% |
|
|
|
|
|
|
|
|
|
|
|
Central Utah Water Conservancy District, GO, LIQ-Helaba |
| 0.210% |
| 3/3/10 |
|
| 14,700,000 |
|
| 14,700,000 | (a) |
Central Utah Water Conservancy District, Water Revenue, BAN |
| 2.000% |
| 7/22/10 |
|
| 6,000,000 |
|
| 6,018,627 |
|
Utah Housing Corp. Single Family Mortgage Revenue, SPA-FHLB |
| 0.260% |
| 3/3/10 |
|
| 5,300,000 |
|
| 5,300,000 | (a)(b) |
Utah Transit Authority, Sales Tax Revenue, LOC-Fortis Bank SA/NV |
| 0.100% |
| 3/1/10 |
|
| 2,800,000 |
|
| 2,800,000 | (a) |
Total Utah |
|
|
|
|
|
|
|
|
| 28,818,627 |
|
Vermont — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
Vermont Student Assistance Corp. Education Loan Revenue, |
|
|
|
|
|
|
|
|
|
|
|
SPA-Bank of New York |
| 0.220% |
| 3/4/10 |
|
| 26,085,000 |
|
| 26,085,000 | (a)(b) |
Virginia — 2.1% |
|
|
|
|
|
|
|
|
|
|
|
Albemarle County, VA, EDA Hospital Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Martha Jefferson Hospital, LOC-Wachovia Bank N.A. |
| 0.130% |
| 3/1/10 |
|
| 1,000,000 |
|
| 1,000,000 | (a) |
Caroline County, VA, IDA, EDR, Meadow Event Park, |
|
|
|
|
|
|
|
|
|
|
|
LOC-AgFirst Farm Credit Bank |
| 0.220% |
| 3/4/10 |
|
| 7,500,000 |
|
| 7,500,000 | (a) |
Fairfax County, VA, IDA Revenue, Inova Health Care |
| 0.230% |
| 5/3/10 |
|
| 1,200,000 |
|
| 1,200,000 | (c) |
Roanoke, VA, IDA, Hospital Revenue, Carilion Health Systems, |
|
|
|
|
|
|
|
|
|
|
|
AGM, SPA-Wachovia Bank N.A. |
| 0.130% |
| 3/1/10 |
|
| 5,700,000 |
|
| 5,700,000 | (a) |
Virginia College Building Authority, VA, Educational Facilities |
|
|
|
|
|
|
|
|
|
|
|
Revenue, 21st Century College, SPA-Wachovia Bank |
| 0.130% |
| 3/1/10 |
|
| 16,930,000 |
|
| 16,930,000 | (a) |
Virginia College Building Authority, VA, Various Shenandoah |
|
|
|
|
|
|
|
|
|
|
|
University Projects, LOC-Branch Banking & Trust |
| 0.150% |
| 3/1/10 |
|
| 8,530,000 |
|
| 8,530,000 | (a) |
Virginia Commonwealth University: |
|
|
|
|
|
|
|
|
|
|
|
Health System Authority Revenue, AMBAC, |
|
|
|
|
|
|
|
|
|
|
|
LOC-Wachovia Bank N.A. |
| 0.130% |
| 3/1/10 |
|
| 3,825,000 |
|
| 3,825,000 | (a) |
VA, AMBAC, LOC-Wachovia Bank N.A. |
|
|
|
|
|
|
|
|
|
|
|
SPA-Wachovia Bank N.A. |
| 0.160% |
| 3/1/10 |
|
| 1,700,000 |
|
| 1,700,000 | (a) |
Virginia Small Business Financing Authority Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Children’s Hospital of the King’s Daughters Inc., |
|
|
|
|
|
|
|
|
|
|
|
LOC-Wachovia Bank N.A. |
| 0.190% |
| 3/4/10 |
|
| 2,500,000 |
|
| 2,500,000 | (a) |
Total Virginia |
|
|
|
|
|
|
|
|
| 48,885,000 |
|
Washington — 1.1% |
|
|
|
|
|
|
|
|
|
|
|
Vancouver, WA, Housing Authority Revenue, LIQ-FHLMC |
| 0.180% |
| 3/4/10 |
|
| 3,990,000 |
|
| 3,990,000 | (a) |
Washington Public Power Supply System, Nuclear Project No. 1, |
|
|
|
|
|
|
|
|
|
|
|
LOC - Bank of America N.A. |
| 0.180% |
| 3/3/10 |
|
| 900,000 |
|
| 900,000 | (a) |
See Notes to Financial Statements.
32 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited) (cont’d)
February 28, 2010
|
|
|
|
|
|
|
|
|
|
|
|
Tax Free Reserves Portfolio | |||||||||||
|
|
|
|
|
|
|
|
|
| ||
Security |
| Rate |
| Maturity |
| Face |
| Value |
| ||
Washington — continued |
|
|
|
|
|
|
|
|
|
|
|
Washington State Health Care Facilities Authority Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Multicare Health Systems, AGM, SPA-U.S. Bank N.A. |
| 0.130% |
| 3/1/10 |
| $ | 7,025,000 |
| $ | 7,025,000 | (a) |
Washington State HFC, MFH Revenue: |
|
|
|
|
|
|
|
|
|
|
|
Cambridge Apartments, LIQ-FNMA |
| 0.190% |
| 3/4/10 |
|
| 1,200,000 |
|
| 1,200,000 | (a) |
The Lodge at Eagle Ridge LLC, LOC-Bank of America N.A. |
| 0.250% |
| 3/4/10 |
|
| 2,200,000 |
|
| 2,200,000 | (a)(b) |
Washington State HFC, Non-Profit Housing Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Panorama City Project, LOC-Wells Fargo Bank N.A. |
| 0.180% |
| 3/4/10 |
|
| 10,300,000 |
|
| 10,300,000 | (a) |
Total Washington |
|
|
|
|
|
|
|
|
| 25,615,000 |
|
West Virginia — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
Brooke County, WV, County Commission Commercial |
|
|
|
|
|
|
|
|
|
|
|
Development Revenue, Bethany College Project, |
|
|
|
|
|
|
|
|
|
|
|
LOC-PNC Bank N.A. |
| 0.190% |
| 3/4/10 |
|
| 4,050,000 |
|
| 4,050,000 | (a) |
West Virginia State Hospital Finance Authority |
|
|
|
|
|
|
|
|
|
|
|
Hospital Revenue, United Hospital Center Inc., |
|
|
|
|
|
|
|
|
|
|
|
LOC-Branch Banking & Trust |
| 0.180% |
| 3/4/10 |
|
| 2,985,000 |
|
| 2,985,000 | (a) |
Total West Virginia |
|
|
|
|
|
|
|
|
| 7,035,000 |
|
Wisconsin — 2.9% |
|
|
|
|
|
|
|
|
|
|
|
Milwaukee, WI, TECP: |
|
|
|
|
|
|
|
|
|
|
|
LOC-State Street Bank & Trust Co. |
| 0.340% |
| 5/4/10 |
|
| 2,000,000 |
|
| 2,000,000 |
|
LOC-State Street Bank & Trust Co. |
| 0.340% |
| 5/6/10 |
|
| 5,200,000 |
|
| 5,200,000 |
|
Wisconsin Housing & EDA, Housing Revenue, AGM, SPA-FHLB |
| 0.240% |
| 3/3/10 |
|
| 8,385,000 |
|
| 8,385,000 | (a)(b) |
Wisconsin State HEFA Revenue, Froedtert & Community Health, |
|
|
|
|
|
|
|
|
|
|
|
LOC-U.S. Bank N.A. |
| 0.120% |
| 3/1/10 |
|
| 34,950,000 |
|
| 34,950,000 | (a) |
Wisconsin State, GO, TECP |
| 0.220% |
| 3/4/10 |
|
| 11,800,000 |
|
| 11,800,000 |
|
Wisconsin State, GO, TECP |
| 0.180% |
| 3/8/10 |
|
| 3,000,000 |
|
| 3,000,000 |
|
Wisconsin State, GO, TECP |
| 0.320% |
| 5/24/10 |
|
| 4,700,000 |
|
| 4,700,000 |
|
Total Wisconsin |
|
|
|
|
|
|
|
|
| 70,035,000 |
|
Wyoming — 0.1% |
|
|
|
|
|
|
|
|
|
|
|
Sweetwater County, WY, Environmental Important Revenue, |
|
|
|
|
|
|
|
|
|
|
|
Simplot Phosphates LLC, LOC-Rabobank Nederland |
| 0.340% |
| 3/3/10 |
|
| 1,300,000 |
|
| 1,300,000 | (a)(b) |
Total Investments — 99.9% (Cost — $2,382,760,246#) |
|
|
|
|
|
|
|
|
| 2,382,760,246 |
|
Other Assets in Excess of Liabilities — 0.1% |
|
|
|
|
|
|
|
|
| 3,447,764 |
|
Total Net Assets — 100.0% |
|
|
|
|
|
|
|
| $ | 2,386,208,010 |
|
|
|
(a) | Variable rate demand obligations have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. Date shown is the date of the next interest rate change. |
|
|
(b) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”). |
|
|
(c) | Maturity date shown represents the mandatory tender date. |
|
|
(d) | Variable rate security. Interest rate disclosed is that which is in effect at February 28, 2010. |
|
|
(e) | 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. |
|
|
# | Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 33
|
|
Tax Free Reserves Portfolio | |
| |
Abbreviations used in this schedule: | |
ABAG | — Association of Bay Area Governor |
AGM | — Assured Guaranty Municipal Corporation — Insured Bonds |
BAN | — Bond Anticipation Notes |
CDA | — Community Development Authority |
COP | — Certificate of Participation |
CTFS | — Certificates |
DFA | — Development Finance Agency |
EDA | — Economic Development Authority |
EDR | — Economic Development Revenue |
EFA | — Educational Facilities Authority |
FHA | — Federal Housing Administration |
FHLB | — Federal Home Loan Bank |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
GNMA | — Government National Mortgage Association |
GO | — General Obligation |
GTD | — Guaranteed |
HEFA | — Health & Educational Facilities Authority |
HFA | — Housing Finance Authority |
HFC | — Housing Finance Commission |
IDA | — Industrial Development Authority |
IDB | — Industrial Development Board |
IDR | — Industrial Development Revenue |
ISD | — Independent School District |
LIQ | — Liquidity Facility |
LOC | — Letter of Credit |
MFA | — Municipal Finance Authority |
MFH | — Multi-Family Housing |
MTA | — Metropolitan Transportation Authority |
MUD | — Municipal Utilities District |
NATL | — National Public Finance Guarantee Corporation — Insured Bonds |
PCR | — Pollution Control Revenue |
PFA | — Public Facilities Authority |
Q-SBLF | — Qualified School Board Loan Fund |
Radian | — Radian Asset Assurance — Insured Bonds |
RDA | — Redevelopment Agency |
SPA | — Standby Bond Purchase Agreement — Insured Bonds |
TAN | — Tax Anticipation Notes |
TECP | — Tax Exempt Commercial Paper |
TFA | — Transitional Finance Authority |
TRAN | — Tax and Revenue Anticipation Notes |
See Notes to Financial Statements.
34 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Schedule of investments (unaudited) (cont’d)
February 28, 2010
|
|
|
|
|
Tax Free Reserves Portfolio |
|
|
|
|
|
|
|
|
|
Summary of Investments by Industry * |
|
|
|
|
Health care |
| 22.4 | % |
|
Education |
| 18.8 |
|
|
General obligation |
| 10.2 |
|
|
Transportation |
| 9.7 |
|
|
Industrial revenue |
| 5.9 |
|
|
Housing: single family |
| 4.8 |
|
|
Miscellaneous |
| 4.6 |
|
|
Water & sewer |
| 4.4 |
|
|
Housing: multi-family |
| 3.8 |
|
|
Finance |
| 3.6 |
|
|
Utilities |
| 3.5 |
|
|
Power |
| 3.3 |
|
|
Public facilities |
| 2.3 |
|
|
Tax allocation |
| 1.5 |
|
|
Pollution control |
| 0.8 |
|
|
Solid waste/resource recovery |
| 0.4 |
|
|
|
| 100.0 | % |
|
| ||||
* As a percentage of total investments. Please note that Fund holdings are as of February 28, 2010 and are subject to change. | ||||
|
|
|
|
|
Ratings Table† |
|
|
|
|
S&P/Moody’s/Fitch‡ |
|
|
|
|
A-1 |
| 65.7 | % |
|
VMIG 1 |
| 24.3 |
|
|
P-1 |
| 2.7 |
|
|
F1 |
| 2.1 |
|
|
SP-1 |
| 1.7 |
|
|
NR |
| 1.3 |
|
|
MIG 1 |
| 1.3 |
|
|
AA/Aa |
| 0.8 |
|
|
AAA/Aaa |
| 0.1 |
|
|
|
| 100.0 | % |
|
|
|
† | As a percentage of total investments. |
|
|
‡ | S&P primary rating; Moody’s secondary, then Fitch. |
|
|
| See pages 35 and 36 for definitions of ratings. |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 35
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, | — | 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 can be visualized as 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. |
36 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Bond Ratings (unaudited) (cont’d)
|
|
|
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. |
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. |
| ||
Fitch Ratings Service (“Fitch”)—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 Fitch. 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, | — | 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. |
NR | — | Indicates that the bond is not rated by Standard & Poor’s, Moody’s or Fitch. |
|
|
|
Short-Term Security Ratings (unaudited) | ||
|
|
|
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. |
MIG 1 | — | 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. |
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 37
Statement of assets and liabilities (unaudited)
February 28, 2010
|
|
|
|
|
Assets: |
|
|
|
|
Investments, at value |
|
| $2,382,760,246 |
|
Cash |
|
| 26,036 |
|
Receivable for securities sold |
|
| 10,100,119 |
|
Interest receivable |
|
| 1,460,184 |
|
Total Assets |
|
| 2,394,346,585 |
|
|
|
|
|
|
Liabilities: |
|
|
|
|
Payable for securities purchased |
|
| 7,817,469 |
|
Investment management fee payable |
|
| 259,164 |
|
Trustees’ fees payable |
|
| 8,327 |
|
Accrued expenses |
|
| 53,615 |
|
Total Liabilities |
|
| 8,138,575 |
|
Total Net Assets |
|
| $2,386,208,010 |
|
|
|
|
|
|
Represented by: |
|
|
|
|
Paid-in Capital |
|
| $2,386,208,010 |
|
See Notes to Financial Statements.
38 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Statement of operations (unaudited)
For the Six Months Ended February 28, 2010
|
|
|
|
|
Investment Income: |
|
|
|
|
Interest |
|
| $4,094,159 |
|
|
|
|
|
|
Expenses: |
|
|
|
|
Investment management fee (Note 2) |
|
| 1,839,282 |
|
Legal fees |
|
| 53,105 |
|
Trustees’ fees |
|
| 20,099 |
|
Audit and tax |
|
| 13,776 |
|
Custody fees |
|
| 7,150 |
|
Miscellaneous expenses |
|
| 23,164 |
|
Total Expenses |
|
| 1,956,576 |
|
Less: Fee waivers and/or expense reimbursements (Note 2) |
|
| (117,294 | ) |
Net Expenses |
|
| 1,839,282 |
|
Net Investment Income |
|
| 2,254,877 |
|
Increase in Net Assets From Operations |
| $2,254,877 |
| |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 39
Statements of changes in net assets
|
|
|
|
|
|
|
|
For the Six Months Ended February 28, 2010 (unaudited) |
| 2010 |
| 2009 |
| ||
|
|
|
|
|
| ||
Operations: |
|
|
|
|
|
|
|
Net investment income |
| $ | 2,254,877 |
| $ | 31,958,928 |
|
Net realized loss |
|
| — |
|
| (157,574 | ) |
Increase in Net Assets From Operations |
|
| 2,254,877 |
|
| 31,801,354 |
|
|
|
|
|
|
|
|
|
Capital Transactions: |
|
|
|
|
|
|
|
Proceeds from contributions |
|
| 1,391,919,948 |
|
| 3,289,263,233 |
|
Value of withdrawals |
|
| (1,616,475,568 | ) |
| (3,422,266,912 | ) |
Decrease in Net Assets From Capital Transactions |
|
| (224,555,620 | ) |
| (133,003,679 | ) |
Decrease in Net Assets |
|
| (222,300,743 | ) |
| (101,202,325 | ) |
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
Beginning of period |
|
| 2,608,508,753 |
|
| 2,709,711,078 |
|
End of period |
| $ | 2,386,208,010 |
| $ | 2,608,508,753 |
|
See Notes to Financial Statements.
40 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
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|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
For years ended August 31, unless otherwise noted: |
| ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20101 |
|
| 2009 |
|
| 2008 |
|
| 2007 |
|
| 2006 |
|
| 2005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (millions) |
|
| $2,386 |
|
| $2,609 |
|
| $2,710 |
|
| $1,835 |
|
| $1,680 |
|
| $2,261 |
|
Total return2 |
|
| 0.10 | % |
| 1.22 | % |
| 2.54 | % |
| 3.56 | % |
| 3.05 | % |
| 1.88 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
| 0.16 | %3 |
| 0.16 | % |
| 0.16 | % |
| 0.16 | %4 |
| 0.17 | % |
| 0.23 | % |
Net expenses5, 6, 7 |
|
| 0.15 | 3 |
| 0.15 |
|
| 0.15 |
|
| 0.15 | 4 |
| 0.15 |
|
| 0.15 |
|
Net investment income |
|
| 0.18 | 3 |
| 1.23 |
|
| 2.49 |
|
| 3.51 |
|
| 2.99 |
|
| 1.95 |
|
|
|
1 | For the six months ended February 28, 2010 (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 Portfolio during the period. Without these fees, the gross and net expense ratios would have been 0.16% and 0.15%, respectively. |
|
|
5 | As a result of a voluntary expense limitation, the ratio of expenses, other than interest, brokerage, taxes and extraordinary expenses, to average net assets of the Portfolio will not exceed 0.15%. |
|
|
6 | Reflects fee waivers and/or expense reimbursements. |
|
|
7 | The impact to the expense ratio was less than 0.01% as a result of compensating balance agreements. |
See Notes to Financial Statements.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 41
Notes to financial statements (unaudited)
1. Organization and significant accounting policies
Tax Free Reserves Portfolio (the “Portfolio”) is a separate, non-diversified investment series of Master Portfolio Trust (the “Trust”). The Trust, a Maryland business Trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At February 28, 2010, all investors in the Portfolio were funds advised or administered by the manager of the Portfolio and/or its affiliates.
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. Subsequent events have been evaluated through the issuance date of the financial statements.
(a) Investment valuation. In accordance with Rule 2a-7 under the 1940 Act, money market instruments are valued at amortized cost, 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 its compliance with certain conditions as specified by Rule 2a-7 under the 1940 Act.
The Portfolio has adopted Financial Accounting Standards Board Codification Topic 820 (formerly, Statement of Financial Accounting Standards No. 157) (“ASC Topic 820”). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Portfolio’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
|
|
• | Level 1 — quoted prices in active markets for identical investments |
|
|
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
|
|
• | Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Portfolio uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of the security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to convert future amounts to a single present amount.
The following is a summary of the inputs used in valuing the Portfolio’s assets carried at fair value:
|
|
|
|
|
|
|
|
|
|
Description |
| Quoted Prices |
| Other |
| Significant |
| Total |
|
Short-term investments† |
| — |
| $2,382,760,246 |
| — |
| $2,382,760,246 |
|
† See Schedule of Investments for additional detailed categorizations.
(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.
42 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Notes to financial statements (unaudited) (cont’d)
(c) Credit and market risk. The Portfolio may invest in instruments specifically structured so that they are eligible for purchase by money market funds, including securities that have demand, tender or put features, or interest rate reset features. Structured instruments may take the form of participation interests or receipts in underlying securities or other assets, and in some cases are backed by a financial institution serving as a liquidity provider. Some of these instruments may have an interest rate swap feature which substitutes a floating or variable interest rate for the fixed interest rate on an underlying security, and some may be asset-backed or mortgage-backed securities. Structured instruments are a type of derivative instrument and the payment and credit qualities of these instruments derive from the assets embedded in the structure.
(d) Compensating balance agreements. The Portfolio has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Portfolio’s cash deposit with the bank.
(e) 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 and unrealized 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 Subchapter M of the Internal Revenue Code.
Management has analyzed the Portfolio’s tax positions taken on federal income tax returns for all open tax years and has concluded that as of February 28, 2010, no provision for income tax would be required in the Portfolio’s financial statements. The Portfolio’s federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by Internal Revenue Service and state departments of revenue.
(f) 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.
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 0.15% 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, 2010, 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, 2010, LMPFA waived a portion of its fee in the amount of $117,294.
The manager is permitted to recapture amounts previously forgone or reimbursed to the Portfolio during the same fiscal year if the Portfolio’s total annual operating expenses have fallen to a level below an expense limitation (“expense cap”). In no case will the manager recapture any amount that would result, on any particular business day of the Portfolio, in the Portfolio’s total annual operating expenses exceeding the expense cap.
Certain officers and one Trustee of the Trust are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 43
3. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 (formerly, Statement of Financial Accounting Standards No. 161) (“ASC Topic 815”) requires enhanced disclosure about an entity’s derivative and hedging activities.
During the six months ended February 28, 2010, the Portfolio did not invest in swaps, options, or futures and does not have any intention to do so in the future.
4. Legal matters
Beginning in May 2004, class action lawsuits alleging violations of the federal securities laws were filed against Citigroup Global Markets Inc. (“CGM”), a former distributor of the Fund, and other affiliated funds (collectively, the “Funds”) and a number of its then affiliates, including Smith Barney Fund Management LLC (“SBFM”) and Salomon Brothers Asset Management Inc. (“SBAM”), which were then investment adviser or manager to certain of the Funds (the “Managers”), substantially all of the mutual funds then managed by the Managers (the “Defendant Funds”), and Board members of the Defendant Funds (collectively, the “Defendants”). The complaints alleged, among other things, that CGM created various undisclosed incentives for its brokers to sell Smith Barney and Salomon Brothers funds. In addition, according to the complaints, the Managers caused the Defendant Funds to pay excessive brokerage commissions to CGM for steering clients towards proprietary funds. The complaints also alleged that the Defendants breached their fiduciary duty to the Defendant Funds by improperly charging Rule 12b-1 fees and by drawing on fund assets to make undisclosed payments of soft dollars and excessive brokerage commissions. The complaints also alleged that the Defendant Funds failed to adequately disclose certain of the allegedly wrongful conduct. The complaints sought injunctive relief and compensatory and punitive damages, rescission of the Defendant Funds’ contracts with the Managers, recovery of all fees paid to the Managers pursuant to such contracts and an award of attorneys’ fees and litigation expenses.
On December 15, 2004, a consolidated amended complaint (the “Complaint”) was filed alleging substantially similar causes of action. On May 27, 2005, all of the Defendants filed motions to dismiss the Complaint. On July 26, 2006, the court issued a decision and order (1) finding that plaintiffs lacked standing to sue on behalf of the shareholders of the Funds in which none of the plaintiffs had invested and dismissing those Funds from the case (although stating that they could be brought back into the case if standing as to them could be established), and (2) other than one stayed claim, dismissing all of the causes of action against the remaining Defendants, with prejudice, except for the cause of action under Section 36(b) of the 1940 Act, which the court granted plaintiffs leave to replead as a derivative claim.
On October 16, 2006, plaintiffs filed their Second Consolidated Amended Complaint (“Second Amended Complaint”) which alleges derivative claims on behalf of nine funds identified in the Second Amended Complaint, under Section 36(b) of the 1940 Act, against Citigroup Asset Management (“CAM”), SBAM and SBFM as investment advisers to the identified funds, as well as CGM as a distributor for the identified funds (collectively, the “Second Amended Complaint Defendants”). The Fund was not identified in the Second Amended Complaint. The Second Amended Complaint alleges no claims against any of the funds or any of their Board Members. Under Section 36(b), the Second Amended Complaint alleges similar facts and seeks similar relief against the Second Amended Complaint Defendants as the Complaint.
On December 3, 2007, the court granted the Defendants’ motion to dismiss, with prejudice. On January 2, 2008, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. The appeal was fully briefed and oral argument before the U.S. Court of Appeals for the Second Circuit took place on March 5, 2009. The parties currently are awaiting a decision from the U.S. Court of Appeals for the Second Circuit.
Additional lawsuits arising out of these circumstances and presenting similar allegations and requests for relief may be filed in the future.
* * *
44 | Tax Free Reserves Portfolio 2010 Semi-Annual Report
Notes to financial statements (unaudited) (cont’d)
Beginning in August 2005, five class action lawsuits alleging violations of federal securities laws and state law were filed against CGM and SBFM based on the May 31, 2005 settlement order issued against CGM and SBFM by the U.S. Securities and Exchange Commission (“SEC”). The complaints seek injunctive relief and compensatory and punitive damages, removal of SBFM as the adviser 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.
The five actions were subsequently consolidated, and a consolidated complaint was filed. On September 26, 2007, the U.S. District Court for the Southern District of New York issued an order dismissing the consolidated complaint, and judgment was entered. An appeal was filed with the U.S. Court of Appeals for the Second Circuit. After full briefing, oral argument before the U.S. Court of Appeals for the Second Circuit took place on March 4, 2009. On February 16, 2010, the U.S. Court of Appeals for the Second Circuit issued its opinion affirming the dismissal, in part, and vacating and remanding, in part. The opinion affirmed the dismissal with prejudice of plaintiffs’ claim pursuant to Section 36(b) of the Investment Company Act but vacated the dismissal of the Section 10(b) securities fraud claim. The case has been remanded to Judge Pauley of the U.S. District Court for the Southern District of New York.
5. Other matters
On or about May 30, 2006, John Halebian, a purported shareholder of Western Asset New York Tax Free Money Market Fund (known as Western Asset New York Tax Free Money Market Fund effective May 31, 2010, prior to May 31, 2010, the Fund is known as Western Asset / CitiSM New York Tax Free Reserves, and prior to June 1, 2009, formerly known as CitiSM New York Tax Free Reserves), a series of Legg Mason Partners Money Market Trust, formerly a series of CitiFunds Trust III (the “Subject Trust”), filed a complaint in the United States District Court for the Southern District of New York against the independent trustees of the Subject Trust (Elliott J. Berv, Donald M. Carlton, A. Benton Cocanougher, Mark T. Finn, Stephen Randolph Gross, Diana R. Harrington, Susan B. Kerley, Alan G. Merten and R. Richardson Pettit).
The Subject Trust is also named in the complaint as a nominal defendant. The complaint alleges both derivative claims on behalf of the Subject Trust and class claims on behalf of a putative class of shareholders of the Subject Trust in connection with the 2005 sale of Citigroup’s asset management business to Legg Mason and the related approval of new investment advisory agreements by the trustees and shareholders. In the derivative claim, the plaintiff alleges, among other things, that the independent trustees breached their fiduciary duty to the Subject Trust and its shareholders by failing to negotiate lower fees or seek competing bids from other qualified investment advisers in connection with Citigroup’s sale to Legg Mason. In the claims brought on behalf of the putative class of shareholders, the plaintiff alleges that the independent trustees violated the proxy solicitation requirements of the 1940 Act, and breached their fiduciary duty to shareholders, by virtue of the voting procedures, including “echo voting,” used to obtain approval of the new investment advisory agreements and statements made in a proxy statement regarding those voting procedures. The plaintiff alleges that the proxy statement was misleading because it failed to disclose that the voting procedures violated the 1940 Act. The relief sought includes an award of damages, rescission of the advisory agreement, and an award of costs and attorney fees.
In advance of filing the complaint, Mr. Halebian’s lawyers made written demand for relief on the Board of the Subject Trust, and the Board’s independent trustees formed a demand review committee to investigate the matters raised in the demand, and subsequently in the complaint, and recommend a course of action to the Board. The committee, after a thorough review, determined that the independent trustees did not breach their fiduciary duties as alleged by Mr. Halebian and that the action demanded by Mr. Halebian would not be in the best interests of the Subject Trust. The Board of the Subject Trust (the trustee who is an “interested person” of the Subject Trust, within the meaning of the 1940 Act, having recused himself from the matter), after receiving and considering the committee’s report and
Tax Free Reserves Portfolio 2010 Semi-Annual Report | 45
based upon the findings of the committee, subsequently also determined and, adopting the recommendation of the committee, directed counsel to move to dismiss Mr. Halebian’s complaint. A motion to dismiss was filed on October 23, 2006. Opposition papers were filed on or about December 7, 2006. The complaint was dismissed on July 31, 2007. Mr. Halebian filed an appeal in the U.S. Court of Appeals for the Second Circuit. On December 29, 2009, the U.S. Court of Appeals for the Second Circuit ruled that the propriety of the district court’s dismissal depended upon an unsettled question of Massachusetts state law better addressed by a Massachusetts court and certified the question to the Massachusetts Supreme Judicial Court. Briefing and oral argument are expected to occur during 2010.
46 | Tax Free Reserves Portfolio
Board approval of management and subadvisory agreements (unaudited)
At an in-person meeting of the Board of Trustees of Master Portfolio Trust (the “Trust”) held on November 9-10, 2009, the Board, including the Trustees who are not considered to be “interested persons” of the Trust (the “Independent Trustees”) under the Investment Company Act of 1940, as amended (the “1940 Act”), approved for an annual period the continuation of the management agreement (the “Management Agreement”) between the Trust and Legg Mason Partners Fund Advisor, LLC (the “Manager”) with respect to the Tax Free Reserves Portfolio, a series of the Trust (the “Fund”), and the sub-advisory agreement (the “Sub-Advisory Agreement”) between the Manager and Western Asset Management Company (the “Subadviser”), an affiliate of the Manager, with respect to the Fund.
Background
The Board received information in advance of the meeting from the Manager to assist it in its consideration of the Management Agreement and the Sub-Advisory Agreement and was given the opportunity to ask questions and request additional information from management. In addition, the Independent Trustees submitted questions to management before the Meeting and considered the responses provided by management before the Meeting. The Board received and considered a variety of information about the Manager and the Subadviser, as well as the management and sub-advisory arrangements for the Fund and other funds overseen by the Board, certain portions of which are discussed below. The Board noted that the Fund is a “master fund” in a “master-feeder” structure, whereby each feeder fund has the same investment objective and policies as the Fund and invests substantially all of its assets in the Fund. The presentation made to the Board encompassed the Fund and all funds for which the Board has responsibility, including the following feeder funds in the Fund (each a “Feeder Fund”): Western Asset / Citi Tax Free Reserves, a series of Legg Mason Partners Money Market Trust, and Western Asset / Citi Institutional Tax Free Reserves, a series of Legg Mason Partners Institutional Trust. The discussion below covers both the advisory and the administrative functions being rendered by the Manager, both of which functions are encompassed by the Management Agreement, as well as the advisory functions rendered by the Subadviser pursuant to the Sub-Advisory Agreement.
Board approval of management agreement and sub-advisory agreement
The Independent Trustees were advised by separate independent legal counsel throughout the process. Prior to voting, the Independent Trustees received a memorandum from their independent legal counsel discussing the legal standards for their consideration of the proposed continuation of the Management Agreement and the Sub-Advisory Agreement. The Independent Trustees also discussed the proposed continuation of the Management Agreement and the Sub-Advisory Agreement in private sessions with their independent legal counsel at which no representatives of the Manager or Subadviser were present. In approving the Management Agreement and Sub-Advisory Agreement, the Board, including the Independent Trustees, considered a variety of factors, including those factors discussed below. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Management Agreement and the Sub-Advisory Agreement, and each Trustee may have attributed different weight to the various factors.
Nature, extent and quality of the services under the management agreement and sub-advisory agreement
The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by the Manager and the Subadviser under the Management Agreement and the Sub-Advisory Agreement, respectively, during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager in its management of the Fund’s affairs and the Manager’s role in coordinating the activities of the Fund’s other service providers. The Board’s evaluation of the services provided by the Manager and the Subadviser took into account the Board’s knowledge and familiarity gained as Trustees of funds in the
Tax Free Reserves Portfolio | 47
Legg Mason fund complex, including the scope and quality of the investment management and other capabilities of the Manager and the Subadviser, and the quality of the Manager’s administrative and other services. The Board observed that the scope of services provided by the Manager and the Subadviser had continued to expand as a result of regulatory, market and other developments, including maintaining and monitoring their own and the Fund’s compliance programs. The Board also noted that on a regular basis it received and reviewed information from the Manager and the Subadviser regarding the Fund’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
The Board reviewed the qualifications, backgrounds and responsibilities of the Fund’s senior personnel and the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered, based on its knowledge of the Manager and its affiliates, the financial resources of Legg Mason, Inc., the parent organization of the Manager and the Subadviser. The Board recognized the importance of having a money fund manager with significant resources.
The Board considered the division of responsibilities between the Manager and the Subadviser and the oversight provided by the Manager. The Board also considered the Manager’s and the Subadviser’s brokerage policies and practices. In addition, management also reported to the Board on, among other things, its business plans and organizational changes. The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement and the Sub-Advisory Agreement were satisfactory.
Fund performance
In considering the performance of the Fund, the Board received and considered performance information for each Feeder Fund as well as for a group of funds (the “Performance Universe”) selected by Lipper, Inc. (“Lipper”), an independent provider of investment company data, for each Feeder Fund. The Board noted that each Feeder Fund’s performance was the same as the performance of the Fund (except for the effect of fees at the Feeder Fund level), and therefore relevant to the Board’s conclusions regarding the Fund’s performance. The Board was provided with a description of the methodology Lipper used to determine the similarity of each Feeder Fund with the funds included in its Performance Universe. The Board also noted that it had received and discussed with management information throughout the year at periodic intervals comparing each Feeder Fund’s performance against its benchmark and against its peers. In addition, the Board considered the Feeder Funds’ performance in light of overall financial market conditions.
The information comparing the Western Asset / Citi Institutional Tax Free Reserves’ performance to that of its Performance Universe, consisting of all funds classified as institutional tax-exempt money market funds by Lipper, showed, among other data, that the Fund’s performance for the 1-, 3-, 5- and 10-year periods ended June 30, 2009 was above the median. The information comparing Western Asset / Citi Tax Free Reserves’ performance to that of its Performance Universe, consisting of all retail funds classified as tax-exempt money market funds by Lipper, showed, among other data, that its performance for the 1-year period ended June 30, 2009 was slightly above the median and that its performance for the 3-, 5-and 10-year periods ended June 30, 2009 was slightly below the median. The Board noted the explanations from the Manager and the Subadviser concerning Western Asset / Citi Tax Free Reserves’ underperformance versus the peer group for the 3-, 5-, and 10-year periods.
Based on its review, which included careful consideration of all of the factors noted above, the Board concluded that the overall performance of the Fund was satisfactory.
Management fees and expense ratios
The Board reviewed and considered the contractual management fee payable by the Fund to the Manager in light of the nature, extent and quality of the management and sub-advisory services
48 | Tax Free Reserves Portfolio
Board approval of management and subadvisory agreements (unaudited) (cont’d)
provided by the Manager and the Subadviser. The Board also considered that fee waiver and/or expense reimbursement arrangements are currently in place for the Feeder Funds and are expected to continue through December 2011. In addition, the Board noted that the compensation paid to the Subadviser is paid by the Manager, not the Fund, and, accordingly, that the retention of the Subadviser does not increase the fees or expenses otherwise incurred by the Fund’s shareholders.
The Board also received and considered information comparing each Feeder Fund’s contractual management fee (each, a “Contractual Management Fee”) and the actual fee rate (after taking waivers and reimbursements into account) (each, an “Actual Management Fee”) and each Feeder Fund’s total actual expenses with those of funds in both the relevant expense group and a broader group of funds, each selected and provided by Lipper. The Board noted that the Feeder Funds’ assets represented a significant portion of the Fund’s assets. The Board noted that each Feeder Fund’s expense information reflected both management fees and total expenses payable by the Feeder Fund as well as management fees and total expenses payable by the Fund, and therefore was relevant to the Board’s conclusions regarding the Fund’s expenses. The Board also reviewed information regarding fees charged by the Manager to other U.S. clients investing primarily in an asset class similar to that of the Fund, including, where applicable, separate accounts.
The Manager reviewed with the Board the differences in the scope of services provided to the Fund and to these other clients, noting that the Fund is provided with administrative services (including services related to the preparation and maintenance of the Fund’s registration statement and shareholder reports, as well as calculation of the Fund’s net asset value on a daily basis), office facilities, Fund officers (including the Fund’s chief executive, chief financial and chief compliance officers), and that the Manager coordinates and oversees the provision of services to the Fund by other Fund service providers. The Board considered the fee comparisons in light of the differences required to manage these different types of accounts. The Board also considered and discussed information about the Subadviser’s fees, including the amount of the management fees retained by the Manager after payment of the subadvisory fee. The Board also received an analysis of complex-wide management fees provided by the Manager, which, among other things, set out a framework of fees based on asset classes.
The information comparing each Feeder Fund’s Contractual Management Fee and its Actual Management Fee (which reflects a fee waiver) as well as its actual total expense ratio to its Lipper expense group, consisting of a group (including the Feeder Fund) of either retail no-load funds classified as tax-exempt money market funds or funds classified as institutional tax-exempt money market funds and chosen by Lipper to be comparable to the Feeder Fund, showed the following:
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• | For Western Asset / Citi Tax Free Reserves, the Fund’s Contractual Management Fee was above the median, its Actual Management Fee was below the median, and its actual total expense ratio was slightly below the median. |
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• | For Western Asset / Citi Institutional Tax Free Reserves, the Fund’s Contractual Management Fee, Actual Management Fee, and actual total expense ratio were below the median. |
Taking all of the above into consideration, the Board determined that the management fee and the subadvisory fees for the Fund were reasonable in light of the nature, extent and quality of the services provided to the Fund under the Management Agreement and the Sub-Advisory Agreement.
Manager profitability
The Board received and considered an analysis of the profitability of the Manager and its affiliates in providing services to the Fund. The Board also received profitability information with respect to the Legg Mason fund complex as a whole. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. It was noted that the
Tax Free Reserves Portfolio | 49
allocation methodologies had been reviewed by an outside consultant two years ago. The profitability of the Manager and its affiliates was considered by the Board not excessive in light of the nature, extent and quality of the services provided to the Fund and the type of fund it represented.
Economies of scale
The Board received and discussed information concerning whether the Manager realizes economies of scale as the Fund’s assets grow. The Board noted that, among other things, Western Asset / Citi Tax Free Reserves had not reached the specified asset level at which a breakpoint to its Contractual Management Fee would be triggered and that Western Asset / Citi Institutional Tax Free Reserves had reached such a specified asset level. In addition, with respect to Western Asset / Citi Institutional Tax Free Reserves, the Board noted that the Contractual Management Fee is approximately equivalent to the range of the average of the management fees paid by the other funds in its Lipper expense group at all asset levels. With respect to Western Asset / Citi Tax Free Reserves, the Board noted that the Fund’s Actual Management Fee, which reflects a fee waiver, was below the median of its Expense Group. The Board also considered whether the breakpoint fee structure was a reasonable means of sharing any economies of scale or other efficiencies that might accrue from increases in the Feeder Funds’ asset levels.
The Board determined that the management fee structure for the Fund was reasonable.
Other benefits to the manager and the subadviser
The Board considered other benefits received by the Manager, the Subadviser and their affiliates as a result of their relationship with the Fund, including the opportunity to offer additional products and services to Fund shareholders.
In light of the costs of providing investment management and other services to the Fund and the ongoing commitment of the Manager and the Subadviser to the Fund, the Board considered that the ancillary benefits that the Manager and its affiliates received were reasonable.
* * *
In light of all of the foregoing, the Board determined that the continuation of each of the Management Agreement and Sub-Advisory Agreement would be in the best interests of the Fund’s shareholders and approved the continuation of such agreements for another year.
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ITEM 2. | CODE OF ETHICS. | |
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| Not applicable. | |
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ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
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| Not applicable. | |
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ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
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| Not applicable. | |
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ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
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| Not applicable. | |
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ITEM 6. | SCHEDULE OF INVESTMENTS. | |
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| Included herein under Item 1. | |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
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| Not applicable. | |
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ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
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| Not applicable. | |
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ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
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| Not applicable. | |
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ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. | |
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| Not applicable. | |
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ITEM 11. | CONTROLS AND PROCEDURES. | |
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| (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. |
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| (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. |
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ITEM 12. | EXHIBITS. | |
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| (a) (1) Not applicable. | |
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| (a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
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| (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Master Portfolio Trust
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By: | /s/ R. Jay Gerken |
| R. Jay Gerken |
| Chief Executive Officer of |
| Master Portfolio Trust |
Date: April 28, 2010
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.
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By: | /s/ R. Jay Gerken |
| R. Jay Gerken |
| Chief Executive Officer of |
| Master Portfolio Trust |
Date: April 28, 2010
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By: | /s/ Frances M. Guggino |
| Frances M. Guggino |
| Chief Financial Officer of |
| Master Portfolio Trust |
Date: April 28, 2010