Master Portfolio Trust N-CSR Certified annual shareholder report (management investment company)

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: 1-877-721-1926

Date of fiscal year end: August 31

Date of reporting period: August 31, 2011

ITEM 1. REPORT TO STOCKHOLDERS.

The Annual Report to Stockholders is filed herewith.

Tax Free Reserves Portfolio 2011 Annual Report 31

Schedule of investments

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Short-Term Investments — 100.2%
Alabama — 2.5%
Huntsville, AL, Health Care Authority, TECP:
Huntsville Hospital		0.120	%	9/8/11	$	20,100,000	$	20,100,000
Huntsville Hospital		0.180	%	10/3/11		20,440,000		20,440,000
Huntsville Hospital		0.160	%	10/11/11		30,600,000		30,600,000
Total Alabama								71,140,000
Alaska — 0.6%
Alaska Industrial Development & Export Authority Revenue, Greater Fairbanks Community Hospital Foundation Inc., LOC-Bank of Montreal		0.200	%	4/1/29		16,635,000		16,635,000	(a)(b)
Arizona — 2.0%
Ak-Chin Indian Community Revenue, AZ, LOC-Bank of America N.A.		0.310	%	4/1/23		13,200,000		13,200,000	(a)(b)
Arizona Health Facilities Authority Revenue, Banner Health System, LOC-JPMorgan Chase		0.170	%	1/1/29		3,200,000		3,200,000	(a)(b)
Maricopa County, AZ, IDA, MFH Revenue, Refunding, Sonora Vista II Apartments, LOC-Wells Fargo Bank N.A.		0.340	%	12/1/39		1,220,000		1,220,000	(a)(b)(c)
Phoenix, AZ, IDA, MFH Revenue, Refunding, Sunrise Vista Apartments-A, LOC-Wells Fargo Bank N.A.		0.340	%	6/1/31		2,075,000		2,075,000	(a)(b)(c)
Salt River Pima-Maricopa Indian Community Arizona, LOC-Bank of America NA		0.310	%	10/1/25		9,365,000		9,365,000	(a)(b)
Tempe, AZ, Transportation Excise Tax Revenue, SPA-Royal Bank of Canada		0.160	%	7/1/37		7,270,000		7,270,000	(a)(b)
Yavapai County, AZ, IDA, Hospital Facility Revenue, Northern Arizona Health Care, LOC-Banco Bilbao Vizcaya		0.400	%	12/1/39		21,000,000		21,000,000	(a)(b)
Total Arizona								57,330,000
California — 9.2%
ABAG Finance Authority for Nonprofit Corp., CA, Revenue:
Acacia Creek at Union Project, SPA-Bank of America N.A.		0.170	%	7/1/38		11,200,000		11,200,000	(a)(b)
Air Force Village West Inc., LOC-KBC Bank N.V.		0.260	%	5/15/35		1,300,000		1,300,000	(a)(b)
California Alumni Association Project, LOC-Bank of America N.A.		0.310	%	4/1/34		1,885,000		1,885,000	(a)(b)
Eskaton Village-Roseville, LOC-KBC Bank N.V.		0.260	%	12/1/37		9,935,000		9,935,000	(a)(b)
Sharp Healthcare, LOC-Bank of America N.A.		0.170	%	8/1/24		3,700,000		3,700,000	(a)(b)
Alameda County, CA, IDA Revenue, JMS Family Partnership, LOC-Wells Fargo Bank N.A.		0.200	%	10/1/25		1,200,000		1,200,000	(a)(b)(c)
California EFA Revenue, Chapman University, LOC-Bank of America N.A.		0.140	%	10/1/26		1,600,000		1,600,000	(a)(b)

See Notes to Financial Statements.

32 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
California — continued
California EFA, TECP, Stanford University		0.370	%	11/17/11	$	9,500,000	$	9,500,000
California Health Facilities Financing Authority Revenue:
St. Joseph Health Systems, LOC-Northern Trust Company		0.080	%	7/1/41		7,000,000		7,000,000	(a)(b)
St. Joseph Health Systems, LOC-U.S. Bank N.A.		0.080	%	7/1/41		3,200,000		3,200,000	(a)(b)
California Health Facilities Financing Authority, TECP, Kaiser Permanente		0.380	%	12/6/11		23,800,000		23,800,000
California Infrastructure & Economic Development Bank Revenue, Jserra Catholic High School, LOC-Comercia Bank		0.190	%	9/1/34		2,000,000		2,000,000	(a)(b)
California PCFA:
Athens Services Project, LOC-Wells Fargo Bank N.A.		0.230	%	5/1/21		4,600,000		4,600,000	(a)(b)(c)
BLT Enterprises, LOC-Wells Fargo Bank N.A.		0.230	%	4/1/29		700,000		700,000	(a)(b)(c)
Edco Disposal Corp. Project, LOC-Wells Fargo Bank N.A.		0.210	%	10/1/29		1,620,000		1,620,000	(a)(b)(c)
California PCFA, Solid Waste Disposal Revenue:
Bay Counties Waste Services Inc., LOC-Comerica Bank		0.260	%	8/1/41		2,700,000		2,700,000	(a)(b)(c)
Burrtec Waste Group Inc., LOC-U.S. Bank N.A.		0.210	%	10/1/38		6,300,000		6,300,000	(a)(b)(c)
Waste Connections Inc. Project, LOC-Bank of America N.A		0.320	%	8/1/18		3,800,000		3,800,000	(a)(b)(c)
California State, GO:
Kindergarten-University, LOC-Citibank N.A.		0.100	%	5/1/34		1,000,000		1,000,000	(a)(b)
LOC-Bank of Montreal		0.080	%	5/1/33		9,900,000		9,900,000	(a)(b)
California Statewide CDA Revenue, Rady Children’s Hospital, LOC-Wells Fargo Bank N.A.		0.060	%	8/15/47		1,700,000		1,700,000	(a)(b)
California Statewide CDA, TECP, Kaiser Permanente		0.390	%	9/7/11		10,200,000		10,200,000
California Statewide CDA, TECP, Kaiser Permanente		0.400	%	12/7/11		7,900,000		7,900,000
California Statewide CDA, TECP, Kaiser Permanente		0.380	%	2/8/12		15,000,000		15,000,000
Calleguas-Las Virgenes, CA, Public Financing Authority Revenue, Municipal Water District Project, LOC-Wells Fargo Bank N.A.		0.140	%	7/1/37		10,000,000		10,000,000	(a)(b)
Corona-Norco, CA, USD, GO, TRAN		2.000	%	9/28/11		11,100,000		11,111,668
East Bay, CA, MUD, TECP		0.300	%	10/6/11		14,700,000		14,700,000
Hesperia, CA, COP, Civic Plaza Financing, LOC-Bank of America N.A.		0.250	%	10/1/34		1,675,000		1,675,000	(a)(b)
Hesperia, CA, Public Financing Authority Revenue, 1993 Street Improvement Project, LOC-Bank of America N.A.		0.250	%	10/1/23		195,000		195,000	(a)(b)
Irvine, CA Improvement Bond Act of 1915, Assessment District 87-8, LOC-KBC Bank NV		0.230	%	9/2/24		200,000		200,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 33

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
California — continued
Irvine, CA, Improvement Bond Act of 1915, Revenue, Limited Obligation Assessment District 04-20, LOC-KBC Bank NV		0.230	%	9/2/30	$	600,000	$	600,000	(a)(b)
Los Angeles, CA, Department of Water & Power:
Subordinated, SPA-Bank of America		0.090	%	7/1/34		300,000		300,000	(a)(b)
Subordinated, SPA-Bank of America N.A.		0.120	%	7/1/34		1,300,000		1,300,000	(a)(b)
Metropolitan Water District of Southern California, SPA-Wells Fargo Bank N.A.		0.140	%	7/1/35		1,700,000		1,700,000	(a)(b)
Paramount, CA, USD:
COP, School Facility Bridge Funding, AGM, SPA-Wachovia Bank N.A.		0.190	%	9/1/31		3,695,000		3,695,000	(a)(b)
School Facility Bridge Funding Program, AGM, SPA-Wells Fargo Bank N.A.		0.190	%	9/1/30		5,700,000		5,700,000	(a)(b)��
Sacramento County, CA, Housing Authority, MFH Revenue:
Carlton Plaza Sacramento LLC, FNMA, LIQ-FNMA		0.210	%	5/15/36		6,100,000		6,100,000	(a)(b)(c)
Chesapeake Commons, Wasatch Pool Holdings LLC, FNMA, LIQ-FNMA		0.210	%	2/15/31		25,000,000		25,000,000	(a)(b)(c)
Logan Park Apartments, FHLMC, LIQ-FHLMC		0.210	%	5/1/42		14,500,000		14,500,000	(a)(b)(c)
Sacramento County, CA, Sanitation District Financing Authority Revenue, LOC-Bank of America N.A.		0.090	%	12/1/39		400,000		400,000	(a)(b)
San Diego County, CA, COP, Friends of Chabad, LOC-Comerica Bank		0.210	%	1/1/23		870,000		870,000	(a)(b)
San Jose, CA, MFH Revenue, Villa Monterey Apartments, FNMA, LIQ-FNMA		0.230	%	7/15/35		1,645,000		1,645,000	(a)(b)(c)
San Mateo, CA, Union High School District, GO, BAN		2.000	%	2/15/12		9,550,000		9,608,642
Santa Maria, CA, Joint Unified High School District, COP, LOC-Bank of America N.A.		0.310	%	6/1/33		600,000		600,000	(a)(b)
Southern California Public Power Authority, Project Revenue, LOC-KBC Bank N.V.		0.280	%	7/1/36		2,000,000		2,000,000	(a)(b)
Stockton, CA, Health Facilities Revenue, Dameron Hospital Association, LOC-Citibank N.A.		0.110	%	12/1/32		710,000		710,000	(a)(b)
Ventura County, CA, Public Financing Authority, TECP, LOC-Bank of Nova Scotia		0.290	%	9/9/11		3,600,000		3,600,000
Windsor, CA, Multi-Family Revenue, Oakmont Retirement Investors LLC, Fannie Mae, LIQ-Fannie Mae		0.220	%	8/1/25		500,000		500,000	(a)(b)(c)
Total California								258,450,310
Colorado — 2.8%
Colorado Educational & Cultural Facilities Authority Revenue:
Four Community Hillel House, National Jewish Federation, LOC- JPMorgan Chase		0.140	%	5/1/38		1,050,000		1,050,000	(a)(b)

See Notes to Financial Statements.

34 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Colorado — continued
National Jewish Federation Bond Program, LOC-Bank of America N.A.		0.180	%	8/1/27	$	1,535,000	$	1,535,000	(a)(b)
National Jewish Federation Bond, LOC-Bank of America N.A.		0.180	%	2/1/38		2,610,000		2,610,000	(a)(b)
Colorado Educational and Cultural Facilities, Nature Conservancy, Project A		0.200	%	7/1/27		564,000		564,000	(a)(b)
Colorado Health Facilities Authority Revenue:
Catholic Health Initiatives, SPA-Landesbank Hessen-Thuringen		0.320	%	3/1/23		1,100,000		1,100,000	(a)(b)
Catholic Health, SPA-Landesbank Baden-Wurttemberg		0.280	%	3/1/44		6,000,000		6,000,000	(a)(b)
Colorado HFA, Multi-Family, Greenwood, FNMA, LIQ-FNMA		0.150	%	10/15/16		10,000		10,000	(a)(b)
Colorado HFA Revenue, Multi-Family, SPA-FHLB		0.220	%	4/1/45		7,000,000		7,000,000	(a)(b)(c)
Colorado HFA, EDR, Lehman Communications Corp., LOC-Wells Fargo Bank N.A.		0.340	%	7/1/28		2,180,000		2,180,000	(a)(b)(c)
Colorado Housing & Finance Authority, Multi-Family, SPA-FHLB		0.210	%	10/1/21		5,630,000		5,630,000	(a)(b)(c)
Cornerstone Metropolitan District No. 2, CO, GO, Limited Tax, LOC-Bank of America N.A.		0.270	%	12/1/46		4,145,000		4,145,000	(a)(b)
Denver, CO, City & County, COP, SPA-JPMorgan Chase		0.140	%	12/1/31		35,800,000		35,800,000	(a)(b)
Fort Collins, CO, EDR, Custom Blending Inc., LOC-Wells Fargo Bank N.A.		0.340	%	6/1/33		3,575,000		3,575,000	(a)(b)(c)
Park 70 Metropolitan District, CO, GO, Limited Tax Convertible Unlimited Tax, LOC-U.S. Bank N.A.		0.800	%	12/1/11		2,690,000		2,690,000	(d)
University of Colorado Hospital Authority Revenue, LOC-Wells Fargo Bank N.A.		0.150	%	11/15/41		4,800,000		4,800,000	(a)(b)
Total Colorado								78,689,000
Connecticut — 1.3%
Capital City EDA, Parking & Energy Fee Revenue, SPA-Bank of America		0.240	%	6/15/34		9,600,000		9,600,000	(a)(b)
Connecticut State HEFA Revenue:
Choate Rosemary Hall, LOC-JPMorgan Chase		0.200	%	7/1/37		1,890,000		1,890,000	(a)(b)
Hoffman Summerwood Community, LOC-TD Banknorth N.A.		0.160	%	7/1/37		2,030,000		2,030,000	(a)(b)
Hotchkiss School, SPA-U.S. Bank N.A.		0.170	%	7/1/30		3,900,000		3,900,000	(a)(b)
St. Joseph College, LOC-Sovereign Bank FSB & Banco Santander SA		0.350	%	7/1/38		3,600,000		3,600,000	(a)(b)
Trinity College, LOC-JPMorgan Chase		0.180	%	7/1/34		200,000		200,000	(a)(b)
Westminster School, LOC-Bank of America N.A.		0.260	%	7/1/32		1,000,000		1,000,000	(a)(b)
Westover School, LOC-TD Banknorth		0.180	%	7/1/30		2,100,000		2,100,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 35

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Connecticut — continued
Yale University		0.100	%	7/1/33	$	185,000	$	185,000	(a)(b)
Yale University		0.050	%	7/1/35		500,000		500,000	(a)(b)
Yale University		0.070	%	7/1/36		4,215,000		4,215,000	(a)(b)
Connecticut State HFA:
Housing Mortgage Finance Program		0.450	%	11/15/11		700,000		700,000	(d)
Housing Mortgage Finance Program, AMBAC, SPA-FHLB		0.300	%	11/15/33		150,000		150,000	(a)(b)(c)
Housing Mortgage Finance Program, SPA-FHLB		0.300	%	5/15/31		990,000		990,000	(a)(b)(c)
Hartford Redevelopment Agency Mortgage Revenue, Housing Underwood Tower Project, AGM, SPA-Societe Generale		0.360	%	6/1/20		3,500,000		3,500,000	(a)(b)
Hartford, CT, GO, BAN		2.000	%	4/12/12		2,850,000		2,873,905
Total Connecticut								37,433,905
District of Columbia — 1.4%
District of Columbia Enterprise Zone Revenue, Crowell and Moring LLP Project, LOC-Wells Fargo Bank N.A.		0.320	%	1/1/13		1,800,000		1,800,000	(a)(b)(c)
District of Columbia Housing Finance Agency, MFH Revenue, Pentacle Apartments Project, FHLMC, LOC-FHLMC		0.190	%	11/1/38		3,760,000		3,760,000	(a)(b)
District of Columbia Revenue:
American Legacy Foundation		0.200	%	12/1/43		1,800,000		1,800,000	(a)(b)
American Psychological Association, LOC-Bank of America		0.380	%	3/1/28		245,000		245,000	(a)(b)
American Sociological Association, LOC-PNC Bank N.A.		0.210	%	12/1/37		2,015,000		2,015,000	(a)(b)
Henry J. Kaiser Foundation, SPA-JPMorgan Chase		0.210	%	7/1/41		14,000,000		14,000,000	(a)(b)
Jesuit Conference, LOC-PNC Bank		0.210	%	10/1/37		1,685,000		1,685,000	(a)(b)
Vestry Rock Creek Parish, LOC-PNC Bank N.A.		0.210	%	11/1/37		7,585,000		7,585,000	(a)(b)
Washington Center for Internships and Academic Seminars, LOC-Branch Banking & Trust		0.210	%	2/1/48		5,000,000		5,000,000	(a)(b)
Metropolitan Washington, DC, Airports Authority System Revenue		5.000	%	10/1/11		1,775,000		1,781,469	(c)
Total District of Columbia								39,671,469
Florida — 4.6%
Broward County, FL, EFA Revenue, Nova Southeastern University Inc., LOC-Bank of America N.A.		0.130	%	4/1/24		660,000		660,000	(a)(b)
Florida Housing Finance Agency, LIQ-FNMA		0.190	%	9/15/26		1,250,000		1,250,000	(a)(b)
Florida Housing Finance Corp., Multi-Family Mortgage Revenue, Cutler Riverside Preservation Apartments, FHLMC, LIQ-FHLMC		0.230	%	6/1/48		5,300,000		5,300,000	(a)(b)(c)

See Notes to Financial Statements.

36 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Florida — continued
Florida Housing Finance Corp., Multi-Family Revenue, St. Andrews Pointe Apartments, FNMA, LIQ-FNMA		0.230	%	6/15/36	$	2,915,000	$	2,915,000	(a)(b)(c)
Florida Municipal Loan Council, TECP, LOC Bank of America		0.230	%	9/15/11		6,300,000		6,300,000
Halifax, FL, Hospital Medical Center, LOC-JPMorgan Chase		0.190	%	6/1/48		20,400,000		20,400,000	(a)(b)
Hillsborough County, FL, IDA Revenue, Independent Day School Project of Tampa, LOC-Bank of America N.A.		0.450	%	9/1/26		400,000		400,000	(a)(b)
Hillsborough County, FL, School Board COP, Master Lease, NATL, LOC-Wells Fargo Bank N.A.		0.120	%	7/1/30		17,000,000		17,000,000	(a)(b)
Jacksonville, FL, Economic Development Commission Revenue, The YMCA of Florida’s First Coast Project, LOC-Bank of America		0.310	%	3/1/36		1,050,000		1,050,000	(a)(b)
Jacksonville, FL, Electric Authority Revenue, TECP, LOC-Landesbank Hessen-Thuringen		0.300	%	9/1/11		32,500,000		32,500,000
Jacksonville, FL, Electric Authority, TECP, LOC-Landsbank Hessen-Thuringen		0.210	%	10/4/11		6,500,000		6,500,000
Marion County, FL, HFA Revenue, Paddock Apartments, Fannie Mae, LIQ-Fannie Mae		0.180	%	10/15/32		1,180,000		1,180,000	(a)(b)
North Broward, FL, Hospital District Revenue, NATL, LOC-Wells Fargo Bank N.A.		0.150	%	1/15/27		6,900,000		6,900,000	(a)(b)
Orange County, FL, School Board COP, LOC-Wells Fargo Bank N.A.		0.120	%	8/1/22		2,200,000		2,200,000	(a)(b)
Palm Beach County, FL, Revenue, Palm Beach Day Academy Project, LOC-Wells Fargo Bank N.A.		0.190	%	1/1/37		5,000,000		5,000,000	(a)(b)
Pinellas County, FL, Health Facilities Authority Revenue, Health Systems Baycare, AGM, SPA-Morgan Stanley		0.270	%	11/15/33		20,895,000		20,895,000	(a)(b)
Total Florida								130,450,000
Georgia — 2.7%
Carroll County, GA, Development Authority Revenue, Royal Metal Productions Inc. Project, LOC-Branch Banking & Trust		0.280	%	1/1/27		3,200,000		3,200,000	(a)(b)(c)
Coweta County, GA, Development Authority Revenue, W.Y. Newnan Holding LLC Project, LOC-Wells Fargo Bank N.A.		0.340	%	4/1/32		4,540,000		4,540,000	(a)(b)(c)
De Kalb County, GA, Housing Authority, MFH Revenue, Friendly Heights LP, LOC-FHLMC		0.240	%	5/1/34		6,860,000		6,860,000	(a)(b)(c)
Douglas County, GA, Development Authority, IDR, Pandosia LLC Project, LOC-Wells Fargo Bank N.A.		0.240	%	12/1/27		3,900,000		3,900,000	(a)(b)(c)
Floyd County, GA, Development Authority Revenue:
Berry College Inc. Project, LOC-FHLB, SunTrust Bank		0.170	%	8/1/22		5,260,000		5,260,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 37

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Georgia — continued
Berry College Inc., LOC-FHLB, SunTrust Bank		0.170	%	6/1/38	$	6,295,000	$	6,295,000	(a)(b)
Fulton County, GA, Development Authority Revenue, Doris & Weber School Project, LOC-Branch Banking & Trust		0.210	%	12/1/30		1,995,000		1,995,000	(a)(b)
Gainesville & Hall County, GA, Development Authority Revenue, Senior Living Facility, Lanier Village Estates Inc., Radian, LOC-Bank of America N.A., SPA-LaSalle Bank N.A.		0.100	%	11/15/33		500,000		500,000	(a)(b)
Greene County, GA, Development Authority Sewer Facilities Revenue, Carey Station Welfare LLC Project, LOC-Wells Fargo Bank N.A.		0.340	%	9/1/24		3,930,000		3,930,000	(a)(b)(c)
Gwinnett County, GA, Development Authority, IDR, Barco Inc. Project, LOC-Branch Banking & Trust		0.280	%	11/1/20		8,675,000		8,675,000	(a)(b)(c)
Habersham County, GA, Development Authority, IDR, SteelCell of North America Inc., LOC-Bank of America N.A.		0.490	%	9/1/29		3,290,000		3,290,000	(a)(b)
Houston County, GA, Development Authority Sewer Facility Revenue, Perdue Farms Inc. Project, LOC-Rabobank Nederland		0.200	%	1/1/18		5,350,000		5,350,000	(a)(b)(c)
Kennesaw, GA, Development Authority, MFH Revenue, Walton Ridenour Apartments LP, LOC-FHLB, SunTrust Bank		0.200	%	4/1/37		4,800,000		4,800,000	(a)(b)(c)
Savannah, GA, EDA Revenue, Savannah Country Day School, LOC-Branch Banking & Trust		0.210	%	5/1/32		2,890,000		2,890,000	(a)(b)
Stephens County, GA, Development Authority, IDR, CMC of Georgia Inc. Project, LOC-Branch Banking & Trust		0.280	%	8/1/21		5,825,000		5,825,000	(a)(b)(c)
Thomasville, GA, Hospital Authority Revenue:
Anticipation CTFS, John Archbold Medical Center Inc., LOC-Branch Banking & Trust		0.210	%	11/1/23		2,915,000		2,915,000	(a)(b)
Anticipation CTFS, John D Archbold Memorial Hospital, LOC-Branch Banking & Trust		0.210	%	11/1/39		2,550,000		2,550,000	(a)(b)
Valdosta-Lowndes County, GA, IDA Revenue, Steeda Autosports Project, LOC-Bank of America N.A.		0.480	%	2/1/29		3,800,000		3,800,000	(a)(b)(c)
Total Georgia								76,575,000
Illinois — 6.7%
Aurora, IL, Keson Industries Inc. Project, LOC-Harris Trust and Savings Bank		0.350	%	7/1/26		1,895,000		1,895,000	(a)(b)(c)
Bloomington, IL, Normal Airport Authority, SPA-Bank One N.A.		0.180	%	1/1/23		3,200,000		3,200,000	(a)(b)
Channahon, IL, Revenue, Morris Hospital, LOC-U.S. Bank N.A.		0.200	%	12/1/34		3,000,000		3,000,000	(a)(b)
Chicago, IL, GO, SPA-Banco Bilbao Vizcaya		0.230	%	1/1/42		42,850,000		42,850,000	(a)(b)

See Notes to Financial Statements.

38 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Illinois — continued
Chicago, IL, Midway Airport Revenue, LOC-Bank of Montreal		0.240	%	1/1/35	$	5,675,000	$	5,675,000	(a)(b)(c)
Chicago, IL, Renaissance Center LP, LOC-Harris Trust and Savings Bank		0.350	%	10/1/34		2,590,000		2,590,000	(a)(b)(c)
Chicago, IL, Sales Tax Revenue, SPA-JPMorgan Chase		0.140	%	1/1/34		1,000,000		1,000,000	(a)(b)
Chicago, IL, Tax Increment Revenue, Tax Allocation Bonds, Near North Redevelopment Project, Senior Lien, LOC-Bank of New York		0.210	%	1/1/19		9,165,000		9,165,000	(a)(b)
Chicago, IL, Wastewater Transmission Revenue, LOC-Harris N.A.		0.130	%	1/1/39		17,100,000		17,100,000	(a)(b)
Cook County, IL, Catholic Theological University Project, LOC-Harris Trust and Savings Bank		0.210	%	2/1/35		1,000,000		1,000,000	(a)(b)
Du Page County, IL, Revenue, Morton Arboretum Project, LOC-Bank of America N.A.		0.310	%	10/15/38		750,000		750,000	(a)(b)
Illinois Development Finance Authority Revenue:
Evanston Northwestern, SPA-JPMorgan Chase		0.090	%	5/1/31		5,965,000		5,965,000	(a)(b)
Metropolitan Family Services, LOC-Bank of America N.A.		0.430	%	1/1/29		5,611,000		5,611,000	(a)(b)
Illinois Development Finance Authority, IDR, Elite Manufacturing Tech Inc. Project, LOC-LaSalle Bank N.A.		0.480	%	6/1/24		2,365,000		2,365,000	(a)(b)(c)
Illinois DFA:
Carmel High School Project, LOC-LaSalle Bank		0.260	%	7/1/38		2,000,000		2,000,000	(a)(b)
Glenwood School for Boys, LOC-Harris Bank		0.200	%	2/1/33		4,500,000		4,500,000	(a)(b)
Illinois DFA, IDR, Profile Packaging Inc. Project, LOC-LaSalle Bank N.A.		0.580	%	7/1/18		2,000,000		2,000,000	(a)(b)(c)
Illinois EFA Revenue, The Adler Planetarium, LOC-PNC Bank N.A.		0.140	%	4/1/31		6,000,000		6,000,000	(a)(b)
Illinois Finance Authority Revenue:
Illinois College, LOC-U.S. Bank		0.210	%	10/1/30		7,235,000		7,235,000	(a)(b)
Lake Forest Country Day School, LOC-Northern Trust Co.		0.190	%	7/1/35		4,000,000		4,000,000	(a)(b)
Landing at Plymouth Place Inc., LOC-Sovereign Bank FSB & Banco Santander SA		0.470	%	5/15/37		6,650,000		6,650,000	(a)(b)
Loyola Academy, LOC-JPMorgan Chase		0.190	%	11/1/37		900,000		900,000	(a)(b)
Murphy Machine Products Inc, LOC-Bank of America N.A.		0.340	%	11/1/33		3,570,000		3,570,000	(a)(b)(c)
OSF Healthcare System, LOC-Wells Fargo Bank N.A.		0.130	%	11/15/24		335,000		335,000	(a)(b)
Resurrection Health, LOC-JPMorgan Chase		0.140	%	5/15/35		7,225,000		7,225,000	(a)(b)
University of Chicago Medical Center, LOC-Bank of America N.A.		0.090	%	8/1/43		2,200,000		2,200,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 39

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Illinois — continued
Illinois Finance Authority, MFH Revenue, Liberty Towers Associates, LOC-Harris N.A.		0.220	%	10/1/39	$	5,010,000	$	5,010,000	(a)(b)
Illinois Housing Development Authority, MFH Revenue, Galesburg Towers Associates II, LOC-Harris N.A.		0.330	%	12/1/35		3,800,000		3,800,000	(a)(b)(c)
Illinois State Toll Highway Authority, Toll Highway Revenue, LOC-PNC Bank N.A.		0.170	%	7/1/30		10,300,000		10,300,000	(a)(b)
Libertyville, IL, Industrial Revenue, Fabrication Technologies, LOC-LaSalle Bank N.A.		0.610	%	12/1/28		1,840,000		1,840,000	(a)(b)(c)
University of Illinois, COP, PART, SPA-Bank of America		0.230	%	8/15/21		18,485,000		18,485,000	(a)(b)
Total Illinois								188,216,000
Indiana — 3.8%
Fort Wayne, IN, Waterworks Utility Revenue, BAN		0.650	%	2/8/12		9,840,000		9,840,000
Indiana Finance Authority Hospital Revenue, Floyd Memorial Hospital & Health Services, LOC-Branch Banking & Trust		0.120	%	3/1/36		4,265,000		4,265,000	(a)(b)
Indiana Finance Authority, Solid Waste Disposal Revenue, New Holland Dairy Leasing, LOC-LaSalle Bank N.A.		0.480	%	12/1/27		3,200,000		3,200,000	(a)(b)(c)
Indiana State Finance Authority Revenue:
Lease Appropriation, SPA-JPMorgan Chase		0.130	%	2/1/35		23,300,000		23,300,000	(a)(b)
Lease Appropriation, SPA-JPMorgan Chase		0.130	%	2/1/37		8,950,000		8,950,000	(a)(b)
Marquette Project, LOC-Branch Banking & Trust		0.230	%	3/1/39		4,930,000		4,930,000	(a)(b)
Indiana State Finance Authority, Environmental Revenue, Duke Energy Indiana Inc. Project, LOC-Bank of America N.A.		0.120	%	10/1/40		15,325,000		15,325,000	(a)(b)
Indianapolis, IN, MFH Revenue, Washington Pointe LP Project, FNMA, LIQ-FNMA		0.230	%	4/15/39		3,970,000		3,970,000	(a)(b)
St. Joseph County, IN, Educational Facilities Revenue, University of Notre Dame du Lac, SPA-Banco Bilbao Vizcaya		0.230	%	3/1/38		29,804,000		29,804,000	(a)(b)
Whitley County, IN, EDR, Micopulse Inc. Project, LOC-Wells Fargo Bank N.A.		0.340	%	2/1/28		2,315,000		2,315,000	(a)(b)(c)
Total Indiana								105,899,000
Iowa — 1.3%
Iowa Finance Authority Health Facilities Revenue, Iowa Health System, LOC-JPMorgan Chase		0.130	%	2/15/35		6,100,000		6,100,000	(a)(b)
Iowa Finance Authority, Health Facilities Revenue, Iowa Health System, LOC-JPMorgan Chase		0.130	%	2/15/35		675,000		675,000	(a)(b)
Iowa Finance Authority, IDR:
Embria Health Sciences Project, LOC-Wells Fargo Bank		0.340	%	6/1/32		2,400,000		2,400,000	(a)(b)(c)

See Notes to Financial Statements.

40 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Iowa — continued
PowerFilm Inc. Project, LOC-Bank of America N.A.		0.480	%	6/1/28	$	1,715,000	$	1,715,000	(a)(b)(c)
Iowa Finance Authority, MFH Revenue, Windsor on the River LLC, LOC-Wells Fargo Bank N.A.		0.230	%	5/1/42		7,000,000		7,000,000	(a)(b)(c)
Iowa Finance Authority, Retirement Community Revenue:
Edgewater A Wesley Active Life Community LLC, LOC-Sovereign Bank FSB & Banco Santander SA		0.470	%	11/1/42		13,600,000		13,600,000	(a)(b)
Edgewater A Wesley Active Life Community LLC, LOC-Sovereign Bank FSB & Banco Santander SA		0.470	%	11/1/42		4,000,000		4,000,000	(a)(b)
Iowa Higher Education Loan Authority Revenue, Private College, University of Dubuque, LOC-Northern Trust Co.		0.120	%	4/1/35		320,000		320,000	(a)(b)
Total Iowa								35,810,000
Kentucky — 1.8%
Boone County, KY, Industrial Building Revenue, Kiswel Inc. Project, LOC-Branch Banking & Trust		0.280	%	5/1/27		6,440,000		6,440,000	(a)(b)(c)
Boyle County, KY, Hospital Revenue, Ephraim McDowell Health Project, LOC-Branch Banking & Trust		0.200	%	4/1/36		2,600,000		2,600,000	(a)(b)
Carroll County, KY, Solid Waste Disposal Revenue, North American Stainless Project, LOC-PNC Bank N.A.		0.250	%	1/1/31		8,300,000		8,300,000	(a)(b)(c)
Christian County, KY, Association of Counties Leasing Trust Lease Program, LOC-U.S. Bank N.A.		0.130	%	6/1/38		4,335,000		4,335,000	(a)(b)
Christian County, KY, Association of County Leasing Trust Lease Program, LOC-U.S. Bank N.A		0.130	%	4/1/37		4,355,000		4,355,000	(a)(b)
Kentucky Economic Development Finance Authority, Hospital Facilities Revenue:
Baptist Healthcare System, LOC-Branch Banking & Trust		0.200	%	8/15/38		8,000,000		8,000,000	(a)(b)
Baptist Healthcare System, LOC-JPMorgan Chase		0.130	%	8/15/38		3,330,000		3,330,000	(a)(b)
Richmond, KY, League of Cities Funding Trust, Lease Program Revenue, LOC-U.S. Bank		0.200	%	3/1/36		8,390,000		8,390,000	(a)(b)
Trimble County, KY, Association of Counties Leasing Trust, Lease Program Revenue, LOC-U.S. Bank N.A.		0.130	%	12/1/38		1,905,000		1,905,000	(a)(b)
Williamstown, KY, League of Cities Funding Trust Lease Revenue, LOC-U.S. Bank N.A.		0.200	%	7/1/38		1,905,000		1,905,000	(a)(b)
Total Kentucky								49,560,000
Louisiana — 2.1%
Louisiana PFA Revenue:
C-Port LLC Project, LOC-Bank of America N.A.		0.310	%	10/1/28		4,800,000		4,800,000	(a)(b)
Tiger Athletic, LOC-Capital One N.A., FHLB		0.210	%	9/2/33		6,545,000		6,545,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 41

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Louisiana — continued
Tiger Athletic, LOC-Capital One N.A., FHLB		0.210	%	9/2/39	$	5,320,000	$	5,320,000	(a)(b)
St. James Parish, LA, PCR, Texaco Inc. Project		0.070	%	7/1/12		13,035,000		13,035,000	(a)(b)
St. James Parish, LA, Revenue, Nustar Logistics LP Project, LOC-JPMorgan Chase		0.180	%	12/1/40		30,600,000		30,600,000	(a)(b)
Total Louisiana								60,300,000
Maryland — 1.4%
Baltimore County, MD, EDR, Republic Services Inc. Project, LOC-Bank of America		0.370	%	9/1/20		4,120,000		4,120,000	(a)(b)(c)
Howard County, MD, Revenue, Glenelg Country School, LOC-PNC Bank N.A.		0.200	%	7/1/26		2,780,000		2,780,000	(a)(b)
Maryland State Economic Development Corp. Revenue:
Santa Barbara Court LLC Project, LOC-PNC Bank N.A.		0.250	%	4/1/26		6,195,000		6,195,000	(a)(b)(c)
Your Public Radio Corp. Project, LOC-PNC Bank		0.210	%	11/15/22		4,765,000		4,765,000	(a)(b)
Maryland State Health & Higher EFA Revenue, Upper Chesapeake Medical Center Inc., LOC-Branch Banking & Trust		0.170	%	1/1/43		2,090,000		2,090,000	(a)(b)
Washington County, MD, EDR, St. James School Project, LOC-PNC Bank NA		0.210	%	11/1/29		2,100,000		2,100,000	(a)(b)
Washington Suburban Sanitation District, MD, GO, BAN, SPA-Landesbank Hessen-Thuringen		0.220	%	6/1/23		17,100,000		17,100,000	(a)(b)
Total Maryland								39,150,000
Massachusetts — 3.3%
Amesbury, MA, GO, BAN		1.250	%	12/16/11		2,000,000		2,001,957
East Longmeadow, MA, GO, BAN		1.125	%	10/13/11		2,508,000		2,510,246
Gloucester, MA, GO:
BAN		1.300	%	9/16/11		4,400,000		4,401,743
BAN		1.500	%	9/16/11		4,200,000		4,201,050
Holyoke, MA, GO, BAN		1.250	%	2/24/12		3,392,100		3,398,251
Lawrence, MA, GO:
BAN		1.250	%	12/1/11		3,900,000		3,903,753
BAN		1.500	%	12/1/11		2,234,350		2,237,604
BAN, St. Aid Withholding		1.500	%	9/1/12		3,000,000		3,009,780
Malden, MA, GO, BAN		1.000	%	12/16/11		3,540,870		3,545,051
Massachusetts State DFA, ISO New England Inc., LOC-Key Bank N.A.		0.190	%	2/1/32		4,045,000		4,045,000	(a)(b)
Massachusetts State DFA Revenue:
Clark University, LOC-TD Banknorth N.A.		0.150	%	10/1/38		500,000		500,000	(a)(b)
Eaglebrook School, LOC-Bank of America N.A.		0.230	%	5/1/37		2,685,000		2,685,000	(a)(b)

See Notes to Financial Statements.

42 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Massachusetts — continued
Horner Millwork Corp., LOC-Bank of America		0.550	%	3/1/27	$	1,410,000	$	1,410,000	(a)(b)(c)
Judge Rotenburg Educational Center, LOC-Fleet National Bank, Bank of America N.A.		0.230	%	6/1/23		100,000		100,000	(a)(b)
Marine Biological Laboratory, LOC-JPMorgan Chase		0.200	%	10/1/36		760,000		760,000	(a)(b)
Partners Healthcare Systems Inc., SPA-Wells Fargo Bank N.A.		0.150	%	7/1/46		10,000,000		10,000,000	(a)(b)
Smith College		0.160	%	7/1/29		100,000		100,000	(a)(b)
Thayer Academy, Assured Guaranty, SPA-TD Bank N.A.		0.200	%	7/1/37		5,100,000		5,100,000	(a)(b)
Wentworth Institute of Technology, LOC-JPMorgan Chase		0.210	%	10/1/33		1,000,000		1,000,000	(a)(b)
Massachusetts State DFA, MFH, Archstone Readstone, LOC-Bank of America N.A.		0.240	%	12/1/37		2,200,000		2,200,000	(a)(b)(c)
Massachusetts State HEFA Revenue:
Baystate Medical Center Inc., LOC-JPMorgan Chase		0.140	%	7/1/44		490,000		490,000	(a)(b)
Children’s Hospital Corp., LOC-JPMorgan Chase		0.130	%	10/1/49		4,300,000		4,300,000	(a)(b)
Fairview Extended, LOC-Bank of America		0.330	%	1/1/27		1,035,000		1,035,000	(a)(b)
Museum of Fine Arts, SPA-Bank of America N.A.		0.180	%	12/1/37		19,450,000		19,450,000	(a)(b)
Partners Healthcare Systems, SPA-JPMorgan Chase		0.170	%	7/1/38		1,570,000		1,570,000	(a)(b)
Pool Loan Program, LOC-TD Banknorth N.A.		0.100	%	2/1/38		200,000		200,000	(a)(b)
Massachusetts State, GO, SPA-Landesbank Hessen-Thuringen		0.260	%	1/1/21		2,000,000		2,000,000	(a)(b)
Newburyport, MA, GO, BAN		1.500	%	1/20/12		766,000		768,113
Pittsfield, MA, GO, BAN		1.250	%	1/27/12		3,791,067		3,796,246
Salem, MA, GO, State Aid Anticipation Notes		1.000	%	10/21/11		2,000,000		2,000,868
Total Massachusetts								92,719,662
Michigan — 1.7%
Michigan State Housing Development Authority, SPA-KBC Bank N.V.		0.400	%	12/1/38		35,000,000		35,000,000	(a)(b)(c)
Michigan State Strategic Fund Limited Obligation Revenue, Transnav Technologies Inc., LOC-LaSalle Bank Midwest		0.480	%	12/1/27		3,955,000		3,955,000	(a)(b)(c)
Michigan State Strategic Fund Ltd. Obligation Revenue, Kroger Co. Recovery Zone, LOC-Bank of Tokyo-Mitsubishi UFJ		0.210	%	1/1/26		3,000,000		3,000,000	(a)(b)
Waterford, MI, School District, GO, BAN		1.500	%	9/23/11		7,000,000		7,001,921
Total Michigan								48,956,921

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 43

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Mississippi — 0.4%
Mississippi Business Finance Corp., Gulf Opportunity Zone, Revenue, Petal Gas Storage LLC, LOC-SunTrust Bank		0.180	%	8/1/34	$	10,000,000	$	10,000,000	(a)(b)
Mississippi Business Finance Corp., IDR, Central Mississippi Banking Co. LLP, LOC-Bank of America N.A.		0.480	%	11/1/25		655,000		655,000	(a)(b)(c)
Total Mississippi								10,655,000
Missouri — 0.9%
Kansas City, MO, IDA Revenue, Ewing Marion Kauffman		0.120	%	4/1/27		3,800,000		3,800,000	(a)(b)
Missouri State HEFA Revenue, Bethesda Health Group Inc., LOC-U.S. Bank N.A.		0.120	%	8/1/41		1,975,000		1,975,000	(a)(b)
Missouri State HEFA, Educational Facilities Revenue:
Ranken Technical College, LOC-Northern Trust Co.		0.120	%	11/15/31		5,350,000		5,350,000	(a)(b)
St. Louis Priory School Project, LOC-U.S. Bank N.A.		0.250	%	2/1/33		1,500,000		1,500,000	(a)(b)
St. Louis University, LOC-Bank of America N.A.		0.130	%	10/1/35		1,235,000		1,235,000	(a)(b)
Missouri State HEFA, Health Facilities Revenue, SSM Health Care Corp., LOC-PNC Bank N.A.		0.100	%	6/1/45		4,075,000		4,075,000	(a)(b)
Missouri State HEFA, Washington University, SPA-JPMorgan Chase		0.060	%	2/15/33		100,000		100,000	(a)(b)
Springfield, MO, IDA Revenue, McIntosh Holdings LLC Project, LOC-U.S. Bank N.A.		0.270	%	9/1/26		1,925,000		1,925,000	(a)(b)(c)
University of Missouri, University Revenues:
System Facilities		0.110	%	11/1/30		400,000		400,000	(a)(b)
System Facilities		0.110	%	11/1/31		395,000		395,000	(a)(b)
Washington, MO, Industrial Revenue, Pauwels Transformers Inc. Project, LOC-Bank of America N.A.		0.430	%	12/1/28		6,000,000		6,000,000	(a)(b)(c)
Total Missouri								26,755,000
Nebraska — 0.2%
Saline County, NE, Hospital Authority No.1 Revenue, Bryanlgh Medical Center, LOC-U.S. Bank N.A.		0.180	%	6/1/31		5,190,000		5,190,000	(a)(b)
Nevada — 1.8%
Clark County, NV, Airport Revenue:
AGM, SPA-Banco Bilbao Vizcaya		0.550	%	7/1/22		9,700,000		9,700,000	(a)(b)(c)
LOC-Citibank N.A.		0.190	%	7/1/22		8,000,000		8,000,000	(a)(b)(c)
LOC-Royal Bank of Canada		0.180	%	7/1/22		10,000,000		10,000,000	(a)(b)(c)
Clark County, NV, Highway Revenue, TECP, LOC-BNP Paribas		0.220	%	10/5/11		5,600,000		5,600,000
Nevada Housing Division:
Multi-Family Unit Housing, Mesquite Apartments B, LOC-U.S. Bank N.A.		0.230	%	5/1/28		5,390,000		5,390,000	(a)(b)(c)

See Notes to Financial Statements.

44 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Nevada — continued
Single-Family Mortgage Revenue, GNMA, FNMA, FHLMC, SPA-JPMorgan Chase		0.230	%	4/1/42	$	3,200,000	$	3,200,000	(a)(b)(c)
Reno, NV, Sales Tax Revenue, Reno Project, LOC-Bank of New York		0.130	%	6/1/42		6,380,000		6,380,000	(a)(b)
Truckee Meadows, NV, Water Authority Revenue, TECP, LOC-Lloyds TSB Bank		0.200	%	11/7/11		2,500,000		2,500,000
Total Nevada								50,770,000
New Hampshire — 1.1%
New Hampshire HEFA Revenue, Dartmouth College, SPA-JPMorgan Chase		0.100	%	6/1/41		7,200,000		7,200,000	(a)(b)
New Hampshire State Business Finance Authority:
Lonza Biologies Inc. Project, LOC-Landesbank Hessen-Thuringen		0.480	%	11/1/22		14,000,000		14,000,000	(a)(b)(c)
Luminescent Systems Inc., LOC-HSBC Holding PLC		0.300	%	6/1/18		1,200,000		1,200,000	(a)(b)(c)
New Hampshire State Business Finance Authority Revenue:
Littleton Regional Hospital, LOC-TD Banknorth N.A.		0.150	%	10/1/37		7,650,000		7,650,000	(a)(b)
The Mark H. Wentworth Home, LOC-TD Banknorth N.A.		0.210	%	12/1/36		1,900,000		1,900,000	(a)(b)
Total New Hampshire								31,950,000
New Jersey — 3.3%
Camden County, NJ, Improvement Authority Revenue, County Guaranteed Loan Notes, Capital Program		1.500	%	12/28/11		3,300,000		3,309,222
Clifton, NJ, GO, BAN		1.000	%	11/15/11		2,613,000		2,614,757
Elizabeth, NJ, GO, BAN		1.500	%	4/13/12		2,000,000		2,004,488
Hudson County, NJ, Improvement Authority, County-GTD Pooled Notes		2.000	%	1/9/12		17,562,500		17,633,816
Hudson County, NJ, Improvement Authority Revenue, County-GTD Pooled Notes		2.000	%	8/17/12		14,000,000		14,173,269
Livingston Township, NJ, GO, BAN		1.000	%	1/19/12		13,200,000		13,219,597
Montclair Township, NJ, GO, BAN		1.250	%	12/15/11		7,669,000		7,673,579
New Jersey EDA, EDR:
Passaic Hebrew Institute, LOC-Sovereign Bank FSB & Banco Santander SA		0.440	%	3/1/36		4,000,000		4,000,000	(a)(b)
The Frisch School Project, LOC-Sovereign Bank FSB & Banco Santander SA		0.440	%	5/1/36		4,400,000		4,400,000	(a)(b)
New Jersey EDA, Gas Facilities Revenue, Pivotal Utility Holdings Project, LOC-Bank of Tokyo-Mitsubishi UFJ		0.110	%	10/1/22		7,000,000		7,000,000	(a)(b)
Pompton Lakes Borough, NJ, GO, BAN		1.250	%	1/20/12		1,899,000		1,901,678
River Vale, NJ, GO, BAN		1.000	%	8/15/12		1,650,000		1,656,246

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 45

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
New Jersey — continued
South Orange Village Township, NJ, GO:
BAN		2.000	%	9/8/11	$	2,400,753	$	2,401,347
BAN		2.000	%	1/31/12		5,830,000		5,863,942
Verona Township, NJ, GO:
BAN		1.000	%	12/14/11		2,179,000		2,181,092
BAN		1.000	%	8/10/12		3,762,000		3,776,040
Total New Jersey								93,809,073
New York — 12.1%
Arlington, NY, CSD, GO, BAN		1.000	%	11/17/11		1,000,400		1,001,048
Baldwinsville, NY, CSD, GO, BAN		1.000	%	10/14/11		4,800,000		4,802,302
Berne-Knox-Westerlo, NY, CSD, GO, BAN		1.000	%	12/30/11		3,500,000		3,502,048
Brookhaven, NY, GO, BAN		1.250	%	9/28/11		29,614,000		29,628,840
Canandaigua, NY, GO, BAN		1.000	%	12/30/11		2,800,000		2,804,921
Clarence, NY, GO, BAN		1.000	%	7/26/12		5,390,000		5,412,166
Dunkirk, NY, GO, BAN		1.500	%	3/29/12		3,600,000		3,609,403
East Irondequoit, NY, CSD, GO, BAN, St. Aid Withholding		0.750	%	6/19/12		20,200,000		20,209,129
East Ramapo, NY, CSD, GO:
BAN, St. Aid Withholding		1.250	%	6/15/12		8,545,000		8,589,757
TAN, St. Aid Withholding		1.250	%	6/15/12		3,500,000		3,518,340
Essex County, NY, GO, BAN		1.000	%	11/18/11		1,700,000		1,701,006
Gates Chili, NY, CSD, GO, BAN		0.750	%	6/29/12		4,600,000		4,602,315
Guilderland, NY, CSD, GO, BAN, St. Aid Withholding		1.000	%	7/19/12		1,534,918		1,540,009
Hamburg Village, NY, GO, BAN		1.000	%	7/19/12		2,250,000		2,254,697
Iroquois, NY, CSD, GO, BAN, St. Aid Withholding		0.750	%	6/26/12		7,265,000		7,271,019
Jordan-Elbridge, NY, CSD, GO, BAN, St. Aid Withholding		1.000	%	7/27/12		5,000,000		5,003,843
Katonah-Lewisboro, NY, Union Free School District, GO, BAN, St. Aid Withholding		1.000	%	7/13/12		1,120,000		1,121,726
Kings Point, NY, GO, BAN		1.000	%	8/3/12		1,975,000		1,985,485
Lancaster, NY, CSD, GO, BAN, St. Aid Withholding		1.000	%	6/15/12		9,100,000		9,141,334
Locust Valley, NY, CSD, GO, TAN		1.000	%	6/21/12		3,100,000		3,114,373
Middletown, NY, GO, BAN		1.500	%	2/23/12		2,000,000		2,004,345
MTA, NY, Revenue, Transportation, LOC-Landesbank Hessen-Thuringen		0.450	%	11/1/35		1,300,000		1,300,000	(a)(b)
Nassau County, NY, Interim Finance Authority, LIQ-Bank of America N.A.		0.230	%	11/15/17		470,000		470,000	(a)(b)
New York City, NY, GO:
LOC-JPMorgan Chase		0.100	%	8/1/17		500,000		500,000	(a)(b)

See Notes to Financial Statements.

46 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
New York — continued
LOC-Landesbank Hessen-Thuringen		0.250	%	8/1/24	$	6,100,000	$	6,100,000	(a)(b)
SPA-Wells Fargo Bank N.A.		0.070	%	4/1/32		8,510,000		8,510,000	(a)(b)
New York City, NY, HDC, MFH Rent Revenue, Balton LLC, FHLMC, LOC- Bank of America N.A.		0.180	%	9/1/49		14,875,000		14,875,000	(a)(b)
New York City, NY, Municipal Finance Authority, Water & Sewer System Revenue, SPA-Bank of America N.A.		0.070	%	6/15/33		2,000,000		2,000,000	(a)(b)
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:
SPA-Landesbank Hessen-Thuringen		0.150	%	6/15/39		3,300,000		3,300,000	(a)(b)
SPA-Landesbank Hessen-Thuringen		0.230	%	6/15/39		3,200,000		3,200,000	(a)(b)
New York City, NY, TFA, New York City Recovery Project Revenue, SPA-Royal Bank of Canada		0.060	%	11/1/22		300,000		300,000	(a)(b)
New York State Dormitory Authority Revenue:
Non-State Supported Debt, North Shore Long Island Jewish Medical Center, LOC-Bank of America N.A.		0.180	%	7/1/39		10,900,000		10,900,000	(a)(b)
State Supported Debt, City University of New York, LOC-TD Bank N.A.		0.170	%	7/1/31		1,000,000		1,000,000	(a)(b)
New York State Dormitory Authority Revenue, TECP, Cornell University Program		0.270	%	10/6/11		3,945,000		3,945,000
New York State Housing Finance Agency Revenue:
350 West 43rd Street Housing, LOC-Landesbank Hessen-Thuringen		0.370	%	11/1/34		33,800,000		33,800,000	(a)(b)(c)
West 37th Street, LOC-Landesbank Hessen-Thuringen		0.320	%	5/1/42		33,300,000		33,300,000	(a)(b)
New York, NY, GO:
LOC-Landesbank Hessen-Thuringen		0.300	%	2/15/20		16,200,000		16,200,000	(a)(b)
SPA-Landesbank Hessen-Thuringen		0.220	%	8/15/23		1,000,000		1,000,000	(a)(b)
North Salem, NY, CSD, GO, BAN, St. Aid Withholding		1.100	%	6/22/12		700,000		700,430
Oyster Bay, NY, GO, BAN		3.000	%	8/10/12		36,700,000		37,550,494
Oyster Bay-East Norwich, NY, CDS, GO, TAN, St. Aid Withholding		1.000	%	6/22/12		2,300,000		2,309,786
Plattsburgh, NY, GO, BAN		1.250	%	9/23/11		4,600,000		4,600,851
Taconic Hills, NY, School District at Craryville, GO, BAN		1.000	%	7/6/12		3,200,000		3,208,561
Tarrytowns, NY, Union Free School District, GO:
BAN		1.000	%	2/17/12		6,145,000		6,155,727
BAN		1.000	%	8/10/12		7,000,000		7,036,681
Tonawanda Town, NY, GO, BAN		1.000	%	9/6/12		6,700,000		6,730,485
Union Endicott, NY, CSD, GO, BAN, St. Aid Withholding		1.000	%	6/28/12		1,550,000		1,554,551

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 47

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
New York — continued
Valhalla, NY, UFSD, GO, TAN, St. Aid Withholding		1.000	%	2/15/12	$	2,100,000	$	2,104,903
West Seneca, NY, GO, BAN		1.000	%	12/21/11		2,858,000		2,860,668
Yorktown, NY, CSD, GO, BAN		1.250	%	6/29/12		1,100,000		1,104,411
Total New York								339,435,654
North Carolina — 3.4%
Mecklenburg County, NC, COP, SPA-Branch Banking and Trust		0.210	%	2/1/26		900,000		900,000	(a)(b)
Mecklenburg County, NC, GO, SPA-Landesbank Hessen		0.190	%	2/1/24		19,130,000		19,130,000	(a)(b)
North Carolina Capital Facilities Finance Agency:
Educational Facilities Revenue Guilford College Project, LOC-Branch Banking & Trust		0.210	%	5/1/24		3,415,000		3,415,000	(a)(b)
Lees-McRae College, LOC-Branch Banking & Trust Corp.		0.290	%	2/1/25		2,700,000		2,700,000	(a)(b)
North Carolina Capital Facilities Finance Agency, Educational Facilities Revenue, High Point University Project, LOC-Branch Banking & Trust		0.210	%	5/1/30		1,550,000		1,550,000	(a)(b)
North Carolina Capital Facilities Finance Agency, Student Revenue, UNCP University Foundation Inc., LOC-Wells Fargo Bank N.A.		0.190	%	7/1/31		1,000,000		1,000,000	(a)(b)
North Carolina Medical Care Commission:
Southeastern Regional Medical Center, LOC-BB&T Corp.		0.210	%	6/1/37		2,500,000		2,500,000	(a)(b)
St. Josephs Health System Inc., SPA-BB&T Corp		0.360	%	10/1/18		10,405,000		10,405,000	(a)(b)
North Carolina Medical Care Commission Hospital Revenue, Pooled Equipment Financing Project, LOC-KBC Bank N.V.		0.250	%	12/1/25		12,200,000		12,200,000	(a)(b)
North Carolina Medical Care Commission, Health Care Facilities Revenue, University Health Systems of Eastern Carolina Inc., LOC-Branch Banking & Trust		0.170	%	12/1/36		3,700,000		3,700,000	(a)(b)
North Carolina State Medical Care Commission Health Care Facilities Revenue, Southminster Inc., LOC-Sovereign Bank FSB & Banco Santander SA		0.470	%	10/1/15		3,490,000		3,490,000	(a)(b)
North Carolina State Ports Authority Facilities Revenue, LOC-Branch Banking & Trust		0.210	%	6/1/36		3,900,000		3,900,000	(a)(b)
North Carolina State, GO, Public Improvement, SPA-Landesbank Hessen-Thuringen		0.300	%	5/1/21		4,900,000		4,900,000	(a)(b)
Raleigh, NC, Combined Enterprise System Revenue, SPA-Wells Fargo Bank N.A.		0.150	%	3/1/35		400,000		400,000	(a)(b)
Raleigh, NC, COP, Downtown Improvement Project, SPA-Wells Fargo Bank N.A.		0.150	%	2/1/34		25,000,000		25,000,000	(a)(b)
Union County, NC, GO, SPA-Dexia Credit Local		0.150	%	3/1/33		1,565,000		1,565,000	(a)(b)
Total North Carolina								96,755,000

See Notes to Financial Statements.

48 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Ohio — 2.7%
Akron, OH, GO, BAN		1.125	%	12/8/11	$	3,400,000	$	3,404,756
Cleveland, OH, Airport System Revenue:
LOC-PNC Bank N.A.		0.180	%	1/1/24		11,000,000		11,000,000	(a)(b)
LOC-PNC Bank N.A.		0.180	%	1/1/24		7,950,000		7,950,000	(a)(b)
Franklin County, OH, Hospital Revenue, Ohiohealth Corp., SPA-Barclays Bank PLC		0.130	%	11/15/41		1,500,000		1,500,000	(a)(b)
Montgomery County, OH, Revenue, Miami Valley Hospital, SPA-JPMorgan Chase		0.090	%	11/15/45		4,000,000		4,000,000	(a)(b)
Ohio Housing Finance Agency, Mortgage Revenue, Residential Mortgage, GNMA, FNMA, SPA-KBC Bank N.V.		0.350	%	9/1/38		9,575,000		9,575,000	(a)(b)(c)
Ohio State Higher Educational Facilities, Marietta College Project, LOC-JPMorgan Chase		0.200	%	12/1/24		5,865,000		5,865,000	(a)(b)
Ohio State Housing Finance Agency, Residential Mortgage Revenue:
Mortgage-Backed Securities Program, LIQ-KBC Bank N.V.		0.180	%	9/1/32		12,325,000		12,325,000	(a)(b)
Mortgage-Backed Securities Program, LIQ-KBC Bank N.V.		0.180	%	9/1/32		170,000		170,000	(a)(b)
Mortgage-Backed Securities Program, LIQ-KBC Bank N.V.		0.180	%	3/1/38		8,530,000		8,530,000	(a)(b)
Toledo-Lucas County, OH, Port Authority Revenue, Franciscan Communities St. Mary of The Woods Inc., LOC-Sovereign Bank FSB, LOC-BANCO Santander SA		0.410	%	5/15/38		11,245,000		11,245,000	(a)(b)
Total Ohio								75,564,756
Oklahoma — 0.3%
Oklahoma State Turnpike Authority Revenue, SPA-JPMorgan Chase		0.130	%	1/1/28		7,600,000		7,600,000	(a)(b)
Oregon — 1.7%
Clackamas County, OR, Hospital Facility Authority, TECP:
Providence Health System		0.190	%	9/19/11		6,800,000		6,800,000
Providence Health System		0.180	%	10/3/11		7,000,000		7,000,000
Medford, OR, Hospital Facilities Authority Revenue, Rogue Valley Manor Project, LOC-Wells Fargo Bank N.A.		0.090	%	8/15/32		100,000		100,000	(a)(b)
Multnomah County, OR, Hospital Facilities Authority Revenue, Oregon Baptist Retirement Homes, LOC-U.S. Bank N.A.		0.160	%	11/1/34		4,035,000		4,035,000	(a)(b)
Oregon State Housing & Community Services Department, Mortgage Revenue, Single-Family Mortgage Program		0.190	%	7/1/36		5,185,000		5,185,000	(a)(b)(c)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 49

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Oregon — continued
Salem, OR, Hospital Facilities Authority Revenue:
Capital Manor Inc. Project, LOC-Bank of America		0.310	%	5/1/37	$	3,900,000	$	3,900,000	(a)(b)
Capital Manor Inc. Project, LOC-Bank of America N.A.		0.310	%	5/1/34		8,510,000		8,510,000	(a)(b)
Washington County, OR, Housing Authority Revenue, Refunding-Bethany Meadows II Project, LOC-U.S. Bank N.A.		0.340	%	9/1/27		4,615,000		4,615,000	(a)(b)(c)
Yamhill County, OR, Hospital Authority Revenue, Friendsview Community, LOC-US Bank N.A.		0.120	%	12/1/34		7,400,000		7,400,000	(a)(b)
Total Oregon								47,545,000
Pennsylvania — 5.5%
Adams County, PA, IDA Revenue, LOC-PNC Bank N.A.		0.220	%	6/1/32		3,970,000		3,970,000	(a)(b)
Allegheny County, PA, Higher Education Building Authority, University Revenue, Carnegie Mellon University, SPA-Bank of New York		0.110	%	12/1/37		13,500,000		13,500,000	(a)(b)
Butler County, PA, General Authority Revenue, GO, Canon-Mcmillan School District Project, AGM, SPA-PNC Bank N.A.		0.280	%	12/1/33		8,200,000		8,200,000	(a)(b)
Central Dauphin, PA, School District, GO, St. Aid Withholding		2.000	%	12/1/11		1,175,000		1,179,365
Cumberland County, PA, Municipal Authority Revenue, Asbury Obligated Group, LOC-KBC Bank N.V.		0.210	%	1/1/41		800,000		800,000	(a)(b)
Delaware County, PA, Authority Hospital Revenue, Crozer-Chester Medical Center, LOC-Wells Fargo Bank N.A.		0.190	%	12/15/31		5,035,000		5,035,000	(a)(b)
Emmaus, PA, General Authority Revenue:
Local Government, LOC-U.S. Bank N.A.		0.170	%	3/1/24		1,400,000		1,400,000	(a)(b)
Local Government, LOC-U.S. Bank N.A.		0.180	%	3/1/24		1,200,000		1,200,000	(a)(b)
Geisinger Authority, PA, Health Systems, SPA-Bank of America N.A.		0.080	%	5/15/35		5,100,000		5,100,000	(a)(b)
Lancaster, PA, IDA Revenue, Hospice Lancaster County Project, LOC-PNC Bank N.A.		0.210	%	7/1/37		11,605,000		11,605,000	(a)(b)
Luzerne County, PA, GO, Notes, AGM, SPA-JPMorgan Chase		0.200	%	11/15/26		23,200,000		23,200,000	(a)(b)
Luzerne County, PA, IDA, Lease Revenue, GTD, LOC-PNC Bank N.A.		0.210	%	11/1/26		8,000,000		8,000,000	(a)(b)
Montgomery County, PA , GO, SPA-PNC Bank N.A.		0.110	%	8/15/24		19,095,000		19,095,000	(a)(b)
Montgomery County, PA, IDA Revenue, LaSalle College, LOC-PNC Bank N.A.		0.210	%	11/1/37		1,500,000		1,500,000	(a)(b)
Pennsylvania Economic Development Financing Authority, Fitzpatrick Container Co., LOC-PNC Bank N.A.		0.280	%	8/1/26		1,000,000		1,000,000	(a)(b)

See Notes to Financial Statements.

50 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Pennsylvania — continued
Pennsylvania Economic Development Financing Authority Revenue:
LOC-PNC Bank N.A.		0.250	%	12/1/13	$	1,700,000	$	1,700,000	(a)(b)(c)
NHS-AVS LLC, LOC-Commerce Bank		0.150	%	12/1/38		16,070,000		16,070,000	(a)(b)
Pennsylvania Housing Finance Agency, Building Development, SPA-PNC Bank N.A.		0.210	%	1/1/34		7,650,000		7,650,000	(a)(b)
Pennsylvania State Higher EFA Revenue, Association Independent Colleges & Universities, Waynesburg College, LOC-PNC Bank N.A.		0.230	%	11/1/18		1,600,000		1,600,000	(a)(b)
Pennsylvania State Turnpike Commission, Registration Fee Revenue, Refunding, AGM, SPA-JPMorgan Chase		0.210	%	7/15/41		3,975,000		3,975,000	(a)(b)
Philadelphia, PA, Authority For Industrial Development, Gift of Life Donor Programme Project, LOC-Commerce Bank N.A.		0.230	%	12/1/34		2,600,000		2,600,000	(a)(b)
Pittsburgh & Allegheny County, PA, Sports & Exhibition Authority, AGM, SPA-PNC Bank		0.250	%	11/1/38		13,000,000		13,000,000	(a)(b)
State Public School Building Authority, Albert Gallatin Area Schools, AGM, SPA-PNC Bank		0.280	%	9/1/24		2,050,000		2,050,000	(a)(b)
Total Pennsylvania								153,429,365
South Carolina — 1.4%
Florence County, SC, Hospital Revenue, McLeod Regional Medical Center of The Pee Dee Inc., LOC-Wells Fargo Bank N.A.		0.190	%	11/1/40		4,300,000		4,300,000	(a)(b)
Lexington, SC, GO, BAN		1.500	%	6/29/12		1,000,000		1,006,139
Piedmont, SC, Municipal Power Agency Electric Revenue, LOC-TD Bank N.A.		0.170	%	1/1/34		10,900,000		10,900,000	(a)(b)
Rock Hill, SC, Utility System Revenue, RAN		1.250	%	12/16/11		8,650,000		8,660,953
South Carolina Jobs EDA Revenue:
Ashley Hall Foundation Project, LOC-Bank of America N.A.		0.330	%	12/1/36		2,000,000		2,000,000	(a)(b)
Southeastern Fly Ash Co. Inc. Project, LOC-Wells Fargo Bank N.A.		0.240	%	1/1/14		3,000,000		3,000,000	(a)(b)(c)
South Carolina Jobs EDA, IDR, South Carolina Electric & Gas Co., LOC-Branch Banking & Trust		0.250	%	12/1/38		7,000,000		7,000,000	(a)(b)(c)
South Carolina, EFA, Private Non-Profit Institutions, Newberry College, LOC-Branch Banking & Trust		0.210	%	6/1/35		3,250,000		3,250,000	(a)(b)
Total South Carolina								40,117,092
South Dakota — 0.3%
South Dakota Housing Development Authority, Homeownership Mortgage, SPA-Landesbank Hessen-Thuringen		0.380	%	5/1/34		7,500,000		7,500,000	(a)(b)(c)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 51

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Tennessee — 1.3%
Blount County, TN, Public Building Authority:
Local Government Public Improvement, LOC-Branch Banking & Trust		0.180	%	6/1/39	$	1,000,000	$	1,000,000	(a)(b)
Local Government Public Improvement, LOC-KBC Bank N.V.		0.230	%	6/1/27		18,970,000		18,970,000	(a)(b)
Chattanooga, TN, Health Educational & Housing Facility Board Revenue, Southern Adventist University, LOC-Bank of America N.A.		0.350	%	12/1/30		4,340,000		4,340,000	(a)(b)
Johnson City, TN, Health & Educational Facilities Board, Hospital Revenue, Mountain States Health Alliance, LOC-U.S. Bank N.A.		0.140	%	7/1/38		3,000,000		3,000,000	(a)(b)
Metropolitan Government of Nashville & Davidson County, TN:
Health & Educational Facilities Board Revenue Old Hickory Towers, LOC-Wells Fargo Bank N.A.		0.190	%	1/1/30		4,596,000		4,596,000	(a)(b)(c)
Industrial Development Board Revenue, YMCA Projects, LOC-Bank of America N.A.		0.380	%	12/1/18		1,135,000		1,135,000	(a)(b)
Sevier County, TN, Public Building Authority, Local Government Public Improvement, LOC-KBC Bank N.V.		0.280	%	6/1/36		3,400,000		3,400,000	(a)(b)
Total Tennessee								36,441,000
Texas — 6.7%
Austin, TX, Airport Systems Revenue, AGM, LOC-KBC Bank N.V.		0.230	%	11/15/25		7,200,000		7,200,000	(a)(b)(c)
Dickinson, TX, ISD, GO, PSF, SPA-JPMorgan Chase		0.500	%	8/1/12		3,700,000		3,700,000	(d)
Harris County, TX, Cultural Education Facilities Finance Corp. Special Facilities Revenue, Texas Medical Center, LOC-JPMorgan Chase		0.130	%	9/1/31		1,700,000		1,700,000	(a)(b)
Harris County, TX, Cultural Educational Facilities Finance Corp., TECP:
Methodist Hospital System		0.400	%	11/3/11		13,350,000		13,350,000
Methodist Hospital System		0.380	%	2/2/12		23,700,000		23,700,000
Houston, TX, Higher Education Finance Corp. Revenue, William Marsh Rice University Project		0.070	%	5/15/48		2,270,000		2,270,000	(a)(b)
Houston, TX, Higher Education Finance Corp., TECP:
Rice University		0.170	%	9/7/11		6,700,000		6,700,000
Rice University		0.130	%	9/8/11		6,700,000		6,700,000
Metropolitan Higher Education Authority, TX, Revenue, University of Dallas, LOC-JPMorgan Chase		0.200	%	8/1/38		100,000		100,000	(a)(b)
North Texas Tollway Authority Revenue, LOC-Morgan Stanley		0.160	%	1/1/51		6,700,000		6,700,000	(a)(b)

See Notes to Financial Statements.

52 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Texas — continued
San Antonio, TX, IDA, IDR, Tindall Corp. Project, LOC-Wells Fargo Bank N.A.		0.240	%	1/1/29	$	4,250,000	$	4,250,000	(a)(b)(c)
Splendora, TX, Higher Education Facilities Corp. Revenue, Fellowship Christian Project, LOC-Bank of America N.A.		0.450	%	1/1/17		3,100,000		3,100,000	(a)(b)
Tarrant County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Methodist Hospital of Dallas, LOC-JPMorgan Chase		0.130	%	10/1/41		3,100,000		3,100,000	(a)(b)
Texas State Transportation Commission Revenue, First Tier, SPA-Banco Bilbao Vizcaya		0.500	%	4/1/26		56,485,000		56,485,000	(a)(b)
Trinity River Authority, TX, Solid Waste Disposal Revenue, Community Waste Disposal Project, LOC-Wells Fargo Bank N.A.		0.240	%	5/1/26		10,750,000		10,750,000	(a)(b)(c)
Tyler, TX, Health Facilities Development Corp., Hospital Revenue, Mother Frances Hospital, LOC-Bank of America		0.380	%	7/1/20		4,900,000		4,900,000	(a)(b)
University of North Texas, TECP		0.240	%	9/7/11		11,200,000		11,200,000
University of North Texas, TECP		0.170	%	9/8/11		5,790,000		5,790,000
University of North Texas, TECP		0.220	%	9/9/11		4,300,000		4,300,000
University of North Texas, TECP		0.250	%	10/6/11		1,600,000		1,600,000
University of North Texas, TECP		0.320	%	10/11/11		5,700,000		5,700,000
Weslaco, TX, Health Facilities Development Corp., Knapp Medical Center, LOC-Compass Bank		0.890	%	6/1/31		4,300,000		4,300,000	(a)(b)
Total Texas								187,595,000
Utah — 0.3%
Utah State Board of Regents, Student Loan Revenue		3.000	%	11/1/11		1,250,000		1,254,114	(c)
Utah Transit Authority, Sales Tax Revenue, LOC-Fortis Bank SA		0.140	%	6/15/36		5,100,000		5,100,000	(a)(b)
Weber County, UT, Hospital Revenue, IHC Health Services Inc., SPA-Landesbank Hessen-Thuringen		0.160	%	2/15/31		1,700,000		1,700,000	(a)(b)
Total Utah								8,054,114
Vermont — 0.0%
Vermont Educational & Health Buildings Financing Agency Revenue, Southwestern Vermont Medical Center, LOC-TD Banknorth N.A.		0.120	%	10/1/38		900,000		900,000	(a)(b)
Virginia — 5.0%
Albemarle County, VA, EDA, Hospital Revenue:
Martha Jefferson Hospital, LOC-Branch Banking & Trust		0.190	%	10/1/48		6,000,000		6,000,000	(a)(b)
Martha Jefferson Hospital, LOC-Wells Fargo Bank N.A.		0.120	%	10/1/48		6,665,000		6,665,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 53

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Virginia — continued
Caroline County, VA, IDA, EDR:
Meadow Event Park, LOC-AgFirst Farm Credit Bank		0.260	%	12/1/37	$	9,100,000	$	9,100,000	(a)(b)
Meadow Event Park, LOC-AgFirst Farm Credit Bank		0.260	%	12/1/37		5,865,000		5,865,000	(a)(b)
Fauquier County, VA, IDA Revenue, Highland School Project, LOC-Branch Banking & Trust		0.210	%	12/1/33		4,250,000		4,250,000	(a)(b)
Harrisonburg,VA, IDA Revenue, Virginia Mennonite Retirement Community Inc., LOC-Sovereign Bank FSB & Banco Santander SA		0.470	%	4/1/36		8,800,000		8,800,000	(a)(b)
Lynchburg, VA, IDA Revenue:
Centra Health Inc., NATL, LOC-Branch Banking & Trust		0.210	%	1/1/35		4,500,000		4,500,000	(a)(b)
Central Health, NATL, LOC-Branch Banking & Trust		0.210	%	1/1/35		2,700,000		2,700,000	(a)(b)
Montgomery County, VA, IDA Revenue, Virginia Tech Foundation, LOC-Bank of America		0.170	%	6/1/35		945,000		945,000	(a)(b)
Virginia College Building Authority, VA, Various Shenandoah University Projects, LOC-Branch Banking & Trust		0.130	%	11/1/36		2,645,000		2,645,000	(a)(b)
Virginia College Building Authority, VA, Educational Facilities Revenue:
21st Century College, SPA-Wells Fargo Bank N.A.		0.120	%	2/1/26		20,915,000		20,915,000	(a)(b)
21st Century College, SPA-Wells Fargo Bank N.A.		0.120	%	2/1/26		11,725,000		11,725,000	(a)(b)
21st Century College, SPA-Wells Fargo Bank N.A. Refunding, University Richmond Project, SPA-SunTrust Bank		0.120	%	11/1/36		10,280,000		10,280,000	(a)(b)
Virginia Commonwealth University, Health System Authority Revenue, LOC-Wells Fargo Bank N.A.		0.100	%	7/1/37		20,600,000		20,600,000	(a)(b)
Virginia Small Business Financing Authority, Hospital Revenue, Carilion Clinic Obligation, LOC-PNC Bank N.A.		0.110	%	7/1/42		24,680,000		24,680,000	(a)(b)
Total Virginia								139,670,000
Washington — 1.5%
King County, WA, Housing Authority Revenue:
Greenbridge Redevelopment, Salmon, LOC-Bank of America N.A.		0.300	%	12/1/42		4,205,000		4,205,000	(a)(b)(c)
Landmark Apartments Project, LOC-Bank of America N.A.		0.310	%	7/1/42		16,700,000		16,700,000	(a)(b)
Olympia, WA, EDA, Spring Air Northwest Project, LOC-U.S. Bank		0.220	%	11/1/23		1,360,000		1,360,000	(a)(b)(c)
Vancouver, WA, Housing Authority Revenue, LIQ-FHLMC		0.190	%	12/1/38		3,965,000		3,965,000	(a)(b)

See Notes to Financial Statements.

54 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Security	Rate			Maturity Date	Face Amount		Value
Washington — continued
Washington State Health Care Facilities Authority, Fred Hutchinson Cancer Research Center, LOC-JPMorgan Chase		0.200	%	1/1/41	$	7,905,000	$	7,905,000	(a)(b)
Washington State Health Care Facilities Authority Revenue, Multicare Health Systems, AGM, SPA-U.S. Bank N.A.		0.120	%	8/15/41		1,850,000		1,850,000	(a)(b)
Washington State HFC, Non-Profit Housing Revenue, Panorama City Project, LOC-Wells Fargo Bank N.A.		0.190	%	1/1/27		3,470,000		3,470,000	(a)(b)
Washington State Housing Finance Commission, Multi-Family Revenue, Pioneer Human Services, LOC-U.S. Bank N.A.		0.180	%	7/1/29		1,385,000		1,385,000	(a)(b)
Total Washington								40,840,000
West Virginia — 0.1%
West Virginia State Hospital Finance Authority Hospital Revenue, United Hospital Center Inc., LOC-Branch Banking & Trust		0.210	%	6/1/32		2,880,000		2,880,000	(a)(b)
Wisconsin — 1.0%
Ladysmith, WI, IDR, Indeck Ladysmith LLC Project, LOC-Wells Fargo Bank N.A.		0.190	%	8/1/27		7,750,000		7,750,000	(a)(b)
Luxemburg-Casco, WI, School District, Brown & Kewaunee Counties, BAN		2.000	%	12/12/11		1,840,000		1,844,954
Public Finance Authority, WI, Continuing Care Retirement Community Revenue, Glenridge Palmer Ranch, LOC-Bank of Scotland		0.120	%	6/1/41		7,000,000		7,000,000	(a)(b)
Racine, WI, Anticipation Notes		1.500	%	12/28/11		2,475,000		2,482,293
Waukesha, WI, GO, Anticipation Notes		1.750	%	8/1/12		1,300,000		1,304,014
Wisconsin State HEFA Revenue:
Aspirus Wausau Hospital Inc., LOC-JPMorgan Chase		0.100	%	8/15/36		400,000		400,000	(a)(b)
Froedtert & Community Health, LOC-U.S. Bank N.A.		0.100	%	4/1/35		8,100,000		8,100,000	(a)(b)
Total Wisconsin								28,881,261
Total Investments — 100.2% (Cost — $2,819,323,582#)								2,819,323,582
Liabilities in Excess of Other Assets — (0.2)%								(4,402,689	)
Total Net Assets — 100.0%							$	2,814,920,893

^(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.

^(b)  Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity.

^(c)  Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”).

^(d)  Maturity date shown represents the mandatory tender date.

# Aggregate cost for federal income tax purposes is substantially the same.

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 55

Tax Free Reserves Portfolio

Abbreviations used in this schedule:
ABAG	— Association of Bay Area Governments
AGM	— Assured Guaranty Municipal Corporation — Insured Bonds
AMBAC	— American Municipal Bond Assurance Corporation — Insured Bonds
BAN	— Bond Anticipation Notes
CDA	— Communities Development Authority
COP	— Certificates of Participation
CSD	— Central School District
CTFS	— Certificates
DFA	— Development Finance Agency
EDA	— Economic Development Authority
EDR	— Economic Development Revenue
EFA	— Educational Facilities Authority
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
HDC	— Housing Development Corporation
HEFA	— Health & Educational Facilities Authority
HFA	— Housing Finance Authority
HFC	— Housing Finance Commission
IDA	— Industrial Development Authority
IDR	— Industrial Development Revenue
ISD	— Independent School District
ISO	— Independent System Operator
LIQ	— Liquidity Facility
LOC	— Letter of Credit
MFH	— Multi-Family Housing
MTA	— Metropolitan Transportation Authority
MUD	— Municipal Utility District
NATL	— National Public Finance Guarantee Corporation — Insured Bonds
PART	— Partnership Structure
PCFA	— Pollution Control Financing Authority
PCR	— Pollution Control Revenue
PFA	— Public Facilities Authority
PSF	— Permanent School Fund
Radian	— Radian Asset Assurance — Insured Bonds
RAN	— Revenue Anticipation Notes
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 Note
UFSD	— Unified Free School District
USD	— Unified School District

See Notes to Financial Statements.

56 Tax Free Reserves Portfolio 2011 Annual Report

Schedule of investments (cont’d)

August 31, 2011

Tax Free Reserves Portfolio

Summary of Investments by Industry* (unaudited)
Health care	21.0	%
General obligation	18.0
Education	14.5
Industrial revenue	9.4
Housing: multi-family	7.1
Transportation	6.6
Miscellaneous	5.8
Housing: single family	4.7
Public facilities	2.4
Water & sewer	2.1
Power	1.9
Solid waste/resource recovery	1.6
Utilities	1.6
Finance	1.2
Other	0.8
Pollution control	0.8
Tax allocation	0.5
	100.0	%

* As a percentage of total investments. Please note that Fund holdings are as of August 31, 2011 and are subject to change.

Ratings table† (unaudited)
Standard & Poor’s/Moody’s/Fitch‡
A-1	55.8	%
VMIG 1	24.0
P-1	3.7
MIG 1	3.2
F-1	2.6
SP-1	2.6
AA/Aa	0.7
AAA/Aaa	0.0
NR	7.4
	100.0	%

† As a percentage of total investments.

‡ Standard & Poor’s primary rating; Moody’s secondary; then Fitch. The ratings shown are based on each portfolio security’s rating as determined by Standard & Poor’s, Moody’s or Fitch, each a Nationally Recognized Statistical Rating Organization (“NRSRO”). These ratings are the opinions of the NRSRO and are not measures of quality or guarantees of performance. Securities may be rated by other NRSROs, and these ratings may be higher or lower.

See pages 57 through 61 for definitions of ratings.

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 57

Bond ratings

The definitions of the applicable rating symbols are set forth below:

Long-term security ratings (unaudited)

Standard & Poor’s Ratings Service (“Standard & Poor’s”) Long-term Issue Credit

Ratings — 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 — An obligation rated “AAA” has the highest rating assigned by Standard & Poor’s. The obligor’s capacity to meet its financial commitment on the obligation is extremely strong.

AA — An obligation rated “AA” differs from the highest-rated obligations only to a small degree. The obligor’s capacity to meet its financial commitment on the obligation is very strong.

A — An obligation rated “A” is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than obligations in higher-rated categories. However, the obligor’s capacity to meet its financial commitment on the obligation is still strong.

BBB — An obligation rated “BBB” exhibits adequate protection parameters. However, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity of the obligor to meet its financial commitment on the obligation.

BB — An obligation rated “BB” is less vulnerable to nonpayment than other speculative issues. However, it faces major ongoing uncertainties or exposure to adverse business, financial, or economic conditions, which could lead to the obligor’s inadequate capacity to meet its financial commitment on the obligation.

B — An obligation rated “B” is more vulnerable to nonpayment than obligations rated “BB”, but the obligor currently has the capacity to meet its financial commitment on the obligation. Adverse business, financial, or economic conditions will likely impair the obligor’s capacity or willingness to meet its financial commitment on the obligation.

CCC — An obligation rated “CCC” is currently vulnerable to nonpayment, and is dependent upon favorable business, financial, and economic conditions for the obligor to meet its financial commitment on the obligation. In the event of adverse business, financial, or economic conditions, the obligor is not likely to have the capacity to meet its financial commitment on the obligation.

CC — An obligation rated “CC” is currently highly vulnerable to nonpayment.

C — The “C” rating may be used to cover a situation where a bankruptcy petition has been filed or similar action has been taken, but payments on this obligation are being continued.

D — An obligation rated “D” is in payment default. The “D” rating category is used when payments on an obligation are not made on the date due, even if the applicable grace period has not expired, unless Standard & Poor’s believes that such payments will be made during

58 Tax Free Reserves Portfolio 2011 Annual Report

Long-term security ratings (unaudited) (cont’d)

such grace period. The “D” rating also will be used upon the filing of a bankruptcy petition or the taking of a similar action if payments of an obligation are jeopardized.

Moody’s Investors Service (“Moody’s”) Long-term Obligation Ratings — 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 — Obligations rated “Aaa” are judged to be of the highest quality, with minimal credit risk.

Aa — Obligations rated “Aa” are judged to be of high quality and are subject to very low credit risk.

A — Obligations rated “A” are considered upper-medium grade and are subject to low credit risk.

Baa — Obligations rated “Baa” are subject to moderate credit risk. They are considered medium grade and as such may possess certain speculative characteristics.

Ba — Obligations rated “Ba” are judged to have speculative elements and are subject to substantial credit risk.

B — Obligations rated “B” are considered speculative and are subject to high credit risk.

Caa — Obligations rated “Caa” are judged to be of poor standing and are subject to very high credit risk.

Ca — Obligations rated “Ca” are highly speculative and are likely in, or very near, default, with some prospect of recovery for principal and interest.

C — Obligations rated “C” are the lowest rated class and are typically in default, with little prospect of recovery for principal and interest.

Fitch Ratings Service (“Fitch”) Structured, Project & Public Finance Obligations — 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 — Obligations rated “AAA” by Fitch denote the lowest expectation of default risk. They are assigned only in cases of exceptionally strong capacity for payment of financial commitments. This capacity is highly unlikely to be adversely affected by foreseeable events.

AA — Obligations rated “AA” denote expectations of very low default risk. They indicate very strong capacity for payment of financial commitments. This capacity is not significantly vulnerable to foreseeable events.

A — Obligations rated “A” denote expectations of low default risk. The capacity for payment of financial commitments is considered strong. This capacity may, nevertheless, be more vulnerable to adverse business or economic conditions than is the case for higher ratings.

BBB — Obligations rated “BBB” indicate that expectations of default risk are currently low. The capacity for payment of financial commitments is considered adequate but adverse business or economic conditions are more likely to impair this capacity.

Tax Free Reserves Portfolio 2011 Annual Report 59

BB — Obligations rated “BB” indicate an elevated vulnerability to default risk, particularly in the event of adverse changes in business or economic conditions over time; however, business or financial flexibility exists which supports the servicing of financial commitments.

B — Obligations rated “B” indicate that material default risk is present, but a limited margin of safety remains. Financial commitments are currently being met; however, capacity for continued payment is vulnerable to deterioration in the business and economic environment.

CCC — Default is a real possibility.

CC — Default of some kind appears probable.

C — Default is imminent or inevitable, or the issuer is in standstill.

NR — Indicates that the obligation is not rated by Standard & Poor’s, Moody’s or Fitch.

Short-term security ratings (unaudited)

Standard & Poor’s Municipal Short-Term Notes Ratings

SP-1 — A short-term obligation rated “SP-1” is rated in the highest category by Standard & Poor’s. Strong capacity to pay principal and interest. An issue determined to possess a very strong capacity to pay debt service is given a plus (+) designation.

SP-2 — A short-term obligation rated “SP-2” is a Standard & Poor’s rating indicating satisfactory capacity to pay principal and interest, with some vulnerability to adverse financial and economic changes over the term of the notes.

SP-3 — A short-term obligation rated “SP-3” is a Standard & Poor’s rating indicating speculative capacity to pay principal and interest.

Standard & Poor’s Short-Term Issues Credit Ratings

A-1 — A short-term obligation rated “A-1” is rated in the highest category by Standard & Poor’s. The obligor’s capacity to meet its financial commitment on the obligation is strong. Within this category, certain obligations are designated with a plus sign (+). This indicates that the obligor’s capacity to meet its financial commitment on these obligations is extremely strong.

A-2 — A short-term obligation rated “A-2” by Standard & Poor’s is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than obligations in higher rating categories. However, the obligor’s capacity to meet its financial commitment on the obligation is satisfactory.

A-3 — A short-term obligation rated “A-3” by Standard & Poor’s exhibits adequate protection parameters. However, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity of the obligor to meet its financial commitment on the obligation.

60 Tax Free Reserves Portfolio 2011 Annual Report

Short-term security ratings (unaudited) (cont’d)

B — A short-term obligation rated “B” by Standard & Poor’s is regarded as having significant speculative characteristics. Ratings of “B-1”, “B-2” and “B-3” may be assigned to indicate finer distinctions within the “B” category. The obligor currently has the capacity to meet its financial commitment on the obligation; however, it faces major ongoing uncertainties which could lead to the obligor’s inadequate capacity to meet its financial commitment on the obligation.

Moody’s Variable Rate Demand Obligations (VRDO) Ratings

VMIG 1 — Moody’s highest rating for issues having a variable rate demand feature — VRDO. This designation denotes superior credit quality. Excellent protection is afforded by the superior short-term credit strength of the liquidity provider and structural and legal protections that ensure the timely payment of purchase price on demand.

VMIG 2 — This designation denotes strong credit quality. Good protection is afforded by the strong short-term credit strength of the liquidity provider and structural and legal protections that ensure the timely payment of purchase price on demand.

VMIG 3 — This designation denotes acceptable credit quality. Adequate protection is afforded by the strong short-term credit strength of the liquidity provider and structural and legal protections that ensure the timely payment of purchase price on demand.

Moody’s Short-Term Municipal Obligations Ratings

MIG 1 — Moody’s highest rating for short-term municipal obligations. This designation denotes superior credit quality. Excellent protection is afforded by established cash flows, highly reliable liquidity support, or demonstrated broad-based access to the market for refinancing.

MIG 2 — This designation denotes strong credit quality. Margins of protection are ample, although not as large as the preceding group.

MIG 3 — This designation denotes acceptable credit quality. Liquidity and cash flow protection may be narrow, and market access for refinancing is likely to be less well-established.

SG — This designation denotes speculative-grade credit quality. Debt instruments in this category may lack sufficient margins of protection.

Moody’s Short-Term Obligations Ratings

P-1 — Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating. Have a superior ability to repay short-term debt obligations.

P-2 — Have a strong ability to repay short-term debt obligations.

P-3 — Have an acceptable ability to repay short-term debt obligations.

NP — Issuers do not fall within any of the Prime rating categories.

Fitch’s Short-Term Issuer or Obligations Ratings

F1 — Fitch’s highest rating indicating the strongest intrinsic capacity for timely payment of financial commitments; may have an added “+” to denote any exceptionally strong credit feature.

Tax Free Reserves Portfolio 2011 Annual Report 61

F2 — Fitch rating indicating good intrinsic capacity for timely payment of financial commitments.

F3 — Fitch rating indicating intrinsic capacity for timely payment of financial commitments is adequate.

NR — Indicates that the obligation is not rated by Standard & Poor’s, Moody’s or Fitch.

62 Tax Free Reserves Portfolio 2011 Annual Report

Statement of assets and liabilities

August 31, 2011

Assets:
Investments, at value	$	2,819,323,582
Cash		25,343
Receivable for securities sold		3,000,777
Interest receivable		2,700,949
Total Assets		2,825,050,651
Liabilities:
Payable for securities purchased		9,740,265
Investment management fee payable		295,744
Trustees’ fees payable		339
Accrued expenses		93,410
Total Liabilities		10,129,758
Total Net Assets	$	2,814,920,893
Represented by:
Paid-in Capital	$	2,814,920,893

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 63

Statement of operations

For the Year Ended August 31, 2011

Investment Income:
Interest	$	10,481,235
Expenses:
Investment management fee (Note 2)		4,116,918
Fund accounting fees		133,610
Legal fees		119,745
Trustees’ fees		41,665
Audit and tax		31,185
Custody fees		17,055
Miscellaneous expenses		48,032
Total Expenses		4,508,210
Less: Fee waivers and/or expense reimbursements (Note 2)		(391,293)
Net Expenses		4,116,917
Net Investment Income		6,364,318
Net Realized Gain on Investments		19,787
Increase in Net Assets from Operations	$	6,384,105

See Notes to Financial Statements.

64 Tax Free Reserves Portfolio 2011 Annual Report

Statements of changes in net assets

For the Years Ended August 31,	2011		2010
Operations:
Net investment income	$	6,364,318	$	4,494,117
Net realized gain		19,787		5,109
Increase in Net Assets From Operations		6,384,105		4,499,226
Capital Transactions
Proceeds from contributions		4,098,396,436		3,785,484,412
Value of withdrawals		(3,943,072,929)		(3,745,279,110)
Increase in Net Assets From Capital Transactions		155,323,507		40,205,302
Increase in Net Assets		161,707,612		44,704,528
Net Assets:
Beginning of year		2,653,213,281		2,608,508,753
End of year	$	2,814,920,893	$	2,653,213,281

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2011 Annual Report 65

Financial highlights

For the years ended August 31:
	2011			2010			2009			2008			2007
Net assets, end of year (millions)	$	2,815		$	2,653		$	2,609		$	2,710		$	1,835
Total return1		0.23	%		0.17	%		1.22	%		2.54	%		3.56	%
Ratios to average net assets:
Gross expenses		0.16	%		0.16	%		0.16	%		0.16	%		0.16	%2
Net expenses3,4,5		0.15			0.15			0.15			0.15			0.15	2
Net investment income		0.23			0.18			1.23			2.49			3.51

¹  Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

²  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 the same.

³  As a result of a voluntary expense limitation, the ratio of expenses, other than brokerage, interest, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of the Portfolio will not exceed 0.15%.

⁴  Reflects fee waivers and/or expense reimbursements.

⁵  The impact of compensating balance arrangements, if any, was less than 0.01%.

See Notes to Financial Statements.

66 Tax Free Reserves Portfolio 2011 Annual Report

Notes to financial statements

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 statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment company. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At August 31, 2011, all investors in the Portfolio were portfolios 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 date the financial statements were issued.

(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 (“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.

Ÿ Level 1 — quoted prices in active markets for identical investments

Ÿ Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Ÿ 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 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 discount estimated future cash flows to present value.

Tax Free Reserves Portfolio 2011 Annual Report 67

The following is a summary of the inputs used in valuing the Portfolio’s assets carried at fair value:

			ASSETS
Description	Quoted Prices (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Short-term investments†		—	$	2,819,323,582		—	$	2,819,323,582

† 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.

(c) Method of allocation. Net investment income of the Portfolio is allocated pro rata, based on respective ownership interests, among the Fund and other investors in the Portfolio (the “Holders”) at the time of such determination. Gross realized gains and/or losses of the Portfolio are allocated to the Holders in a manner such that, the net asset values per share of each Holder, after each such allocation is closer to the total of all Holders’ net asset values divided by the aggregate number of shares outstanding for all Holders.

(d) 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. Demand features are often issued by third party financial institutions, generally domestic and foreign banks, and by brokerage firms or insurance companies. Frequently, floating rate and variable rate obligations are secured by letters of credit or other credit support arrangements provided by banks. Accordingly, the credit quality and liquidity of the Portfolio’s investments may be dependent in part on the credit quality of the institutions supporting the Portfolio’s investments and changes in the credit quality of these institutions could cause losses to the Portfolio and affect its share price. 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.

(e) Compensating balance arrangements. 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 on deposit with the bank.

68 Tax Free Reserves Portfolio 2011 Annual Report

Notes to financial statements (cont’d)

(f) 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 uncertain tax positions taken on income tax returns for all open tax years and has concluded that as of August 31, 2011, no provision for income tax is 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.

(g) 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 year ended August 31, 2011, the Portfolio had a voluntary expense limitation in place of 0.15% of the Portfolio’s average daily net assets. This arrangement may be reduced or terminated under certain circumstances.

During the year ended August 31, 2011, fees waived and/or expenses reimbursed amounted to $391,293.

The manager is permitted to recapture amounts previously waived or reimbursed to the Portfolio during the same fiscal year if the Portfolio’s total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expense incurred. 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 or any other lower limit then in effect.

Tax Free Reserves Portfolio 2011 Annual Report 69

All officers and one Trustee of the Trust are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.

3. Derivative instruments and hedging activities

Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.

During the year ended August 31, 2011, the Portfolio did not invest in derivative instruments 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, SBAM and SBFM as investment advisers to the identified funds, as well as CGM as a distributor for the identified funds

70 Tax Free Reserves Portfolio 2011 Annual Report

Notes to financial statements (cont’d)

(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. On June 9, 2011, the Court of Appeals issued a Summary Order affirming the District Court’s dismissal of all claims with the exception of Plaintiffs’ Section 36(b) claim as it relates to Transfer Agent fees paid to an affiliate of the Managers. The case has been remanded to the District Court for further proceedings in accordance with the Summary Order.

Additional lawsuits arising out of these circumstances and presenting similar allegations and requests for relief may be filed in the future.

5. Other matters

On or about May 30, 2006, John Halebian, a purported shareholder of Western Asset New York Tax Free Money Market Fund (prior to May 31, 2010, the Fund was known as Western Asset / Citi^SM New York Tax Free Reserves, and prior to June 1, 2009, as Citi^SM 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 a derivative claim 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 (the “Derivative Claim”). 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 “Putative Class Claims”). 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

Tax Free Reserves Portfolio 2011 Annual Report 71

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 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 reserved judgment after determining that the propriety of the district court’s dismissal depended upon an unsettled question of Massachusetts state law regarding the statute governing derivative proceedings was better addressed by a Massachusetts court and certified the question to the Massachusetts Supreme Judicial Court.

On August 23, 2010, the Massachusetts Supreme Judicial Court answered the certified question, concluding that a derivative action must be dismissed under applicable state law following a corporation’s independent determination, made in good faith and after reasonable inquiry, that maintenance of the derivative proceeding is not in the best interests of the corporation, regardless whether the derivative complaint has been filed before or after the corporation’s rejection of the shareholder’s demand.

On May 6, 2011, the U.S. Court of Appeals for the Second Circuit affirmed the district court’s dismissal of the Putative Class Claims. With regard to the Derivative Claim, to which the certified question related and as to which the district court granted a motion to dismiss, the Second Circuit vacated the district court’s judgment and remanded with instructions to the court to convert the motion to dismiss to a motion for summary judgment, and to rule on that motion, after further discovery should the court determine that such further discovery is warranted.

72 Tax Free Reserves Portfolio 2011 Annual Report

Report of independent registered public accounting firm

The Board of Trustees and Investors

Master Portfolio Trust:

We have audited the accompanying statement of assets and liabilities of Tax Free Reserves Portfolio, a series of Master Portfolio Trust, including the schedule of investments, as of August 31, 2011, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2011, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Tax Free Reserves Portfolio as of August 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

New York, New York

October 17, 2011

Tax Free Reserves Portfolio

Additional information (unaudited)

Information about Trustees and Officers

The business and affairs of Tax Free Reserves Portfolio (the “Portfolio”) are conducted by management under the supervision and subject to the direction of its Board of Trustees. The business address of each Trustee is c/o R. Jay Gerken, 620 Eighth Avenue, New York, New York 10018. Information pertaining to the Trustees and officers of the Portfolio is set forth below.

The Statement of Additional Information includes additional information about Trustees and is available, without charge, upon request by calling the Fund at 1-877-721-1926 or 1-212-857-8181.

Independent Trustees†:
Elliott J. Berv
Year of birth	1943
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1989
Principal occupation(s) during past five years	President and Chief Executive Officer, Catalyst (consulting) (since 1984); formerly, Chief Executive Officer, Rocket City Enterprises (media) (2000 to 2005)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	World Affairs Council (since 2009); formerly, Board Member, American Identity Corp. (doing business as Morpheus Technologies) (biometric information management) (2001 to 2008); formerly, Director, Lapoint Industries (industrial filter company) (2002 to 2007); formerly, Director, Alzheimer’s Association (New England Chapter) (1998 to 2008)
A. Benton Cocanougher
Year of birth	1938
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1991
Principal occupation(s) during past five years	Retired; Dean Emeritus and Professor Emeritus, Texas A&M University (since 2008); Interim Dean, George Bush School of Government and Public Service, Texas A&M University (2009 to 2010); A.P. Wiley Professor, Texas A&M University (2001 to 2008); Interim Chancellor, Texas A&M University System (2003 to 2004); Dean of the Mays Business School, Texas A&M University (1987 to 2001)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	Formerly, Director, First American Bank, Texas (1994 to 1999); formerly, Director, Randle Foods, Inc. (1991 to 1999); formerly, Director, Petrolon, Inc. (engine lubrication products) (1991 to 1994)

Tax Free Reserves Portfolio

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Independent Trustees cont’d
Jane F. Dasher
Year of birth	1949
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1999
Principal occupation(s) during past five years	Chief Financial Officer, Korsant Partners, LLC (a family investment company) (since 1997)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	None
Mark T. Finn
Year of birth	1943
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1989
Principal occupation(s) during past five years	Adjunct Professor, College of William & Mary (since 2002); Chairman, Chief Executive Officer and Owner, Vantage Consulting Group, Inc. (investment management) (since 1988); Principal/Member, Balvan Partners (investment management) (2002 to 2009)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	None
Rainer Greeven
Year of birth	1936
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1994
Principal occupation(s) during past five years	Attorney, Rainer Greeven PC (since 1998); President and Director, 62nd Street East Corporation (real estate) (since 2002)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	Avica, Ltd (industrial and real estate holding) (since 2002)

Tax Free Reserves Portfolio

Independent Trustees cont’d
Stephen R. Gross
Year of birth	1947
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1986
Principal occupation(s) during past five years	Chairman, HLB Gross Collins, P.C. (accounting and consulting firm) (since 1974); Executive Director of Business Builders Team, LLC (since 2005); formerly, Managing Director, Fountainhead Ventures, L.L.C. (technology accelerator) (1998 to 2003)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	Director, Andersen Calhoun (assisted living) (since 1987); formerly, Director, United Telesis, Inc. (telecommunications) (1997 to 2002); formerly, Director, ebank Financial Services, Inc. (1997 to 2004)
Richard E. Hanson, Jr.
Year of birth	1941
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1985
Principal occupation(s) during past five years	Retired; formerly Headmaster, The New Atlanta Jewish Community High School, Atlanta, Georgia (1996 to 2000)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	None
Diana R. Harrington
Year of birth	1940
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1992
Principal occupation(s) during past five years	Babson Distinguished Professor of Finance, Babson College (since 1992)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	None

Tax Free Reserves Portfolio

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Independent Trustees cont’d
Susan M. Heilbron
Year of birth	1945
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1994
Principal occupation(s) during past five years	Retired; formerly, President, Lacey & Heilbron (communications consulting) (1990 to 2002); formerly, General Counsel and Executive Vice President, The Trump Organization (1986 to 1990); formerly, Senior Vice President, New York State Urban Development Corporation (1984 to 1986)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	Formerly, Director, Lincoln Savings Bank, FSB (1991 to 1994); formerly, Director, Trump Shuttle, Inc. (air transportation) (1989 to 1990); formerly, Director, Alexander’s Inc. (department store) (1987 to 1990)
Susan B. Kerley
Year of birth	1951
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1992
Principal occupation(s) during past five years	Investment Consulting Partner, Strategic Management Advisors, LLC (investment consulting) (since 1990)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	Director and Trustee (since 1990) and Chairman (since 2005) of various series of MainStay Family of Funds (66 funds)
Alan G. Merten
Year of birth	1941
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1990
Principal occupation(s) during past five years	President, George Mason University (since 1996)
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	Director, Cardinal Financial Corporation (since 2006); Trustee, First Potomac Realty Trust (since 2005); formerly, Director, Xybernaut Corporation (information technology) (2004 to 2006); formerly, Director, Digital Net Holdings, Inc. (2003 to 2004); formerly, Director, Comshare, Inc. (information technology) (1985 to 2003)

Tax Free Reserves Portfolio

Independent Trustees cont’d
R. Richardson Pettit
Year of birth	1942
Position(s) with Trust	Trustee
Term of office1 and length of time served2	Since 1990
Principal occupation(s) during past five years	Retired; formerly, Duncan Professor of Finance, University of Houston (1977 to 2006); previous academic or management positions include: University of Washington, University of Pennsylvania and Purdue University
Number of funds in fund complex overseen by Trustee	58
Other board memberships held by Trustee during past five years	None
Interested Trustee and Officer:
R. Jay Gerken3
Year of birth	1951
Position(s) with Trust	Trustee, President, Chairman and Chief Executive Officer
Term of office1 and length of time served2	Since 2002
Principal occupation(s) during past five years	Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2005); Officer and Trustee/Director of 159 funds associated with Legg Mason Partners Fund Advisor, LLC (“LMPFA”) or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006); President and Chief Executive Officer (“CEO”) of LMPFA (since 2006); President and CEO of Smith Barney Fund Management LLC (“SBFM”) and Citi Fund Management, Inc. (“CFM”) (formerly registered investment advisers) (since 2002); formerly, Chairman, President and CEO, Travelers Investment Adviser Inc. (prior to 2005)
Number of funds in fund complex overseen by Trustee	159
Other board memberships held by Trustee during past five years	Former Trustee, Consulting Group Capital Markets Funds (11 funds) (prior to 2006)
Additional Officers:
Ted P. Becker Legg Mason 620 Eighth Avenue, New York, NY 10018
Year of birth	1951
Position(s) with Trust	Chief Compliance Officer
Term of office1 and length of time served2	Since 2007
Principal occupation(s) during past five years	Director of Global Compliance at Legg Mason (since 2006); Chief Compliance Officer of LMPFA (since 2006); Managing Director of Compliance of Legg Mason & Co. (since 2005); Chief Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006)

Tax Free Reserves Portfolio

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Additional Officers cont’d
Vanessa A. Williams Legg Mason 100 First Stamford Place, Stamford, CT 06902
Year of birth	1979
Position(s) with Trust	Chief Anti-Money Laundering Compliance Officer and Identity Theft Prevention Officer
Term of office1 and length of time served2	Since 2011
Principal occupation(s) during past five years	Identity Theft Prevention Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011); Chief Anti-Money Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011); formerly, Assistant Vice President and Senior Compliance Officer of Legg Mason & Co. (2008-2011); formerly, Compliance Analyst of Legg Mason & Co. (2006 to 2008) and Legg Mason & Co. predecessors (prior to 2006)
Robert I. Frenkel Legg Mason 100 First Stamford Place, Stamford, CT 06902
Year of birth	1954
Position(s) with Trust	Secretary and Chief Legal Officer
Term of office1 and length of time served2	Since 2007
Principal occupation(s) during past five years	Vice President and Deputy General Counsel of Legg Mason (since 2006); Managing Director and General Counsel of Global Mutual Funds for Legg Mason & Co. (since 2006) and Legg Mason & Co. predecessors (since 1994); Secretary and Chief Legal Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006)
Thomas C. Mandia Legg Mason 100 First Stamford Place, Stamford, CT 06902
Year of birth	1962
Position(s) with Trust	Assistant Secretary
Term of office1 and length of time served2	Since 2007
Principal occupation(s) during past five years	Managing Director and Deputy General Counsel of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005); Secretary of LMPFA (since 2006); Assistant Secretary of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006); Secretary to SBFM and CFM (since 2002)

Tax Free Reserves Portfolio

Additional Officers cont’d
Kaprel Ozsolak Legg Mason 55 Water Street, New York, NY 10041
Year of birth	1965
Position(s) with Trust	Chief Financial Officer
Term of office1 and length of time served2	Since 2010
Principal occupation(s) during past five years	Director of Legg Mason & Co. (since 2005); Chief Financial Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2010) and Legg Mason & Co. predecessors (prior to 2005); formerly, Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to 2010) and Legg Mason & Co. predecessors (prior to 2005); formerly, Controller of certain mutual funds associated with Legg Mason & Co. predecessors (prior to 2004)
Jeanne M. Kelly Legg Mason 620 Eighth Avenue, New York, NY 10018
Year of birth	1951
Position(s) with Trust	Senior Vice President
Term of office1 and length of time served2	Since 2007
Principal occupation(s) during past five years	Senior Vice President of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2007); Senior Vice President of LMPFA (since 2006); Managing Director of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005)

† Trustees who are not “interested persons” of the Fund within the meaning of section 2(a)(19) of the 1940 Act.

¹  Each Trustee and officer serves until his or her respective successor has been duly elected and qualified or until his or her earlier death, resignation, retirement or removal.

²  Indicates the earliest year in which the Trustee became a board member for a fund in the Legg Mason fund complex or the officer took such office.

³  Mr. Gerken is an “interested person” of the Fund, as defined in the 1940 Act, because of his position with LMPFA and/or certain of its affiliates.

ITEM 2. CODE OF ETHICS.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees of the registrant has determined that Stephen R. Gross the Chairman of the Board’s Audit Committee and Jane F. Dasher, possess the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as “audit committee financial experts,” and have designated Mr. Gross and Ms. Dasher as the Audit Committee’s financial experts. Mr. Gross and Ms. Dasher are “independent” Trustees pursuant to paragraph (a) (2) of Item 3 to Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

a) Audit Fees. The aggregate fees billed in the last two fiscal years ending August 31, 2010 and August 31, 2011 (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $111,600 in 2010 and $225,200 in 2011.

b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are reasonably related to the performance of the Registrant’s financial statements were $4,000 in 2010 and $4,000 in 2011. These services consisted of procedures performed in connection with the Re-domiciliation of the various reviews of Prospectus supplements, and consent issuances related to the N-1A filings for the Master Portfolio Trust.

In addition, there were no Audit-Related Fees billed in the Reporting Period for assurance and related services by the Auditor to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Master Portfolio Trust (“service affiliates”), that were reasonably related to the performance of the annual audit of the service affiliates. Accordingly, there were no such fees that required pre-approval by the Audit Committee for the Reporting Periods.

c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $22,800 in 2010 and $12,800 in 2011. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.

There were no fees billed for tax services by the Auditors to service affiliates during the Reporting Periods that required pre-approval by the Audit Committee.

d) All Other Fees. There were no other fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item for the Master Portfolio Trust.

All Other Fees. There were no other non-audit services rendered by the Auditor to Legg Mason Partners Fund Advisors, LLC (“LMPFA”), and any entity controlling, controlled by or under common control with LMPFA that provided ongoing services to Master Portfolio Trust requiring pre-approval by the Audit Committee in the Reporting Period.

(e) Audit Committee’s pre–approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation

S-X.

(1) The Charter for the Audit Committee (the “Committee”) of the Board of each registered investment company (the “Fund”) advised by LMPFA or one of their affiliates (each, an “Adviser”) requires that the Committee shall approve (a) all audit and permissible non-audit services to be provided to the Fund and (b) all permissible non-audit services to be provided by the Fund’s independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and financial reporting of the Fund. The Committee may implement policies and procedures by which such services are approved other than by the full Committee.

The Committee shall not approve non-audit services that the Committee believes may impair the independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that are not prohibited services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under common control with the Adviser that provide ongoing services to the Fund (“Covered Service Providers”) constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the permissible non-audit services are provided to (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit.

(2) For the Master Portfolio Trust, the percentage of fees that were approved by the audit committee, with respect to: Audit-Related Fees were 100% and 100% for 2010 and 2011; Tax Fees were 100% and 100% for 2010 and 2011; and Other Fees were 100% and 100% for 2010 and 2011.

(f) N/A

(g) Non-audit fees billed by the Auditor for services rendered to Master Portfolio Trust, LMPFA and any entity controlling, controlled by, or under common control with LMPFA that provides ongoing services to Master Portfolio Trust during the reporting period were $0 in 2011.

(h) Yes. Master Portfolio Trust’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Accountant’s independence. All services provided by the Auditor to the Master Portfolio Trust or to Service Affiliates, which were required to be pre-approved, were pre-approved as required.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

a) The independent board members are acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act. The Audit Committee consists of the following Board members:

Elliott J. Berv

A. Benton Cocanougher

Jane F. Dasher

Mark T. Finn

Rainer Greeven

Stephen R. Gross

Richard E. Hanson, Jr.

Diana R. Harrington

Susan M. Heilbron

Susan B. Kerley

Alan G. Merten

R. Richardson Pettit

b) Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

Included herein under Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Not applicable.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) (1) Code of Ethics attached hereto.

Exhibit 99.CODE ETH

(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.CERT

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.906CERT

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.

Master Portfolio Trust
By:	/s/ R. Jay Gerken
	(R. Jay Gerken)
	Chief Executive Officer of
	Master Portfolio Trust
Date:	October 26, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ R. Jay Gerken
	(R. Jay Gerken)
	Chief Executive Officer of
	Master Portfolio Trust
Date:	October 26, 2011
By:	/s/ Kaprel Ozsolak
	(Kaprel Ozsolak)
	Chief Financial Officer
	Master Portfolio Trust
Date:	October 26, 2011