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)

620 Eighth Avenue, 49^th Floor, New York, NY 10018

(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, 2015

ITEM 1. REPORT TO STOCKHOLDERS.

The Annual Report to Stockholders is filed herewith.

Schedule of investments

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Short-Term Investments — 100.8%
Alabama — 0.8%
Huntsville, AL, Health Care Authority, TECP		0.080	%		10/5/15	$	10,000,000	$	10,000,000
Alaska — 0.4%
Alaska Industrial Development & Export Authority Revenue, Greater Fairbanks Community Hospital Foundation Inc., LOC-Bank of Montreal		0.010	%		4/1/29		5,635,000		5,635,000	(a)(b)
Arizona — 0.4%
Maricopa County, AZ, IDA, MFH Revenue, Sonora Vista II Apartments, LOC-Wells Fargo Bank N.A.		0.150	%		12/1/39		1,110,000		1,110,000	(a)(b)(c)
Phoenix, AZ, IDA, Health Care Facilities Revenue, Mayo Clinic, SPA-Wells Fargo Bank N.A.		0.010	%		11/15/52		1,600,000		1,600,000	(a)(b)
Phoenix, AZ, IDA, MFH Revenue, Sunrise Vista Apartments-A, LOC-Wells Fargo Bank N.A.		0.150	%		6/1/31		1,950,000		1,950,000	(a)(b)(c)
Total Arizona									4,660,000
California — 12.6%
ABAG Finance Authority for Nonprofit Corp., CA, Revenue, Pathways Home Health Hospice, LOC-U.S. Bank		0.050	%		10/1/34		3,730,000		3,730,000	(a)(b)
Alameda County, CA, IDA Revenue, JMS Family Partnership, LOC-Wells Fargo Bank N.A.		0.040	%		10/1/25		1,930,000		1,930,000	(a)(b)(c)
Alameda, CA, Public Financing Authority, Multi-Family Revenue, LIQ-FNMA		0.030	%		5/15/35		490,000		490,000	(a)(b)
California Health Facilities Financing Authority Revenue, St. Joseph Health Systems, LOC-Northern Trust Company		0.010	%		7/1/41		5,235,000		5,235,000	(a)(b)
California Infrastructure & Economic Development Bank Revenue, Loyola High School District, LOC-First Republic Bank, FHLB		0.020	%		12/1/35		8,880,000		8,880,000	(a)(b)
California MFA Revenue, Louisiana Sierra University, LOC-Wells Fargo Bank N.A.		0.020	%		8/1/20		385,000		385,000	(a)(b)
California State Health Facilities Financing Authority Revenue, St. Joseph Health Systems, LOC-Wells Fargo Bank N.A.		0.010	%		7/1/41		6,875,000		6,875,000	(a)(b)
California State PCFA, Solid Waste Disposal Revenue:
Bay Counties Waste Services Inc., LOC-Comerica Bank		0.100	%		8/1/41		1,580,000		1,580,000	(a)(b)(c)
Burrtec Waste Group Inc., LOC-U.S. Bank N.A.		0.060	%		10/1/38		2,910,000		2,910,000	(a)(b)(c)
Edco Disposal Corp. Project, LOC-Wells Fargo Bank N.A.		0.060	%		10/1/37		210,000		210,000	(a)(b)(c)
Metropolitan Recycling LLC Project, LOC-Comerica Bank		0.100	%		6/1/42		1,325,000		1,325,000	(a)(b)(c)
Mill Valley Refuse Service Inc. Project, LOC-Comerica Bank		0.100	%		2/1/44		1,165,000		1,165,000	(a)(b)(c)
Pleasanton Garbage Service Inc. Project, LOC-Wells Fargo Bank N.A.		0.020	%		6/1/40		450,000		450,000	(a)(b)
Recycling Industries Inc. Project, LOC-Comerica Bank		0.100	%		11/1/41		1,195,000		1,195,000	(a)(b)(c)
Zerep Management Corp. Project, LOC-Comerica Bank		0.100	%		10/1/36		2,205,000		2,205,000	(a)(b)(c)

See Notes to Financial Statements.

30 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
California — continued
California State, GO:
LOC-Bank of Montreal		0.010	%		5/1/33	$	3,570,000	$	3,570,000	(a)(b)
LOC-JPMorgan Chase		0.010	%		5/1/40		1,635,000		1,635,000	(a)(b)
California Statewide CDA Revenue:
John Muir Health, LOC-Wells Fargo Bank N.A.		0.010	%		8/15/27		1,550,000		1,550,000	(a)(b)
Kaiser Permanente		0.010	%		4/1/45		4,700,000		4,700,000	(a)(b)
Kaiser Permanente		0.010	%		4/1/46		9,200,000		9,200,000	(a)(b)
Painted Turtle Gang Camp Foundation, LOC-Wells Fargo Bank N.A.		0.010	%		4/1/33		3,200,000		3,200,000	(a)(b)
Young Men’s Christian Association of The East Bay Project, LOC-Wells Fargo Bank N.A.		0.010	%		6/1/27		840,000		840,000	(a)(b)
California Statewide CDA, MFH Revenue, Phoenix Terrace Apartments, FNMA, LIQ-FNMA		0.020	%		3/15/32		1,800,000		1,800,000	(a)(b)(c)
Central Basin Municipal Water District, CA, COP, LOC-U.S. Bank N.A.		0.010	%		8/1/37		4,765,000		4,765,000	(a)(b)
Eastern, CA, Municipal Water District, Water & Wastewater Revenue, SPA-Wells Fargo Bank N.A.		0.010	%		7/1/30		4,000,000		4,000,000	(a)(b)
Hillsborough, CA, COP, Water & Sewer Systems Project, SPA-JPMorgan Chase		0.010	%		6/1/30		4,000,000		4,000,000	(a)(b)
Irvine Ranch, CA, Water District, GO:
Consolidated Improvement District, LOC-Bank of America N.A.		0.010	%		10/1/41		400,000		400,000	(a)(b)
LOC-Sumitomo Mitsui Banking		0.010	%		1/1/21		600,000		600,000	(a)(b)
Irvine, CA, USD Special Tax Revenue:
Community Facilities District No. 09-1, LOC-Sumitomo Mitsui Banking		0.010	%		9/1/51		1,400,000		1,400,000	(a)(b)
Community Facilities District No. 09-1, LOC-Sumitomo Mitsui Banking		0.010	%		9/1/54		8,500,000		8,500,000	(a)(b)
Community Facilities District No. 09-1, LOC-U.S. Bank N.A.		0.010	%		9/1/51		1,000,000		1,000,000	(a)(b)
Community Facilities District No. 09-1, LOC-U.S. Bank N.A.		0.010	%		9/1/54		5,300,000		5,300,000	(a)(b)
Livermore, CA, COP		0.010	%		10/1/30		3,800,000		3,800,000	(a)(b)
Long Beach, CA, Health Facilities Revenue, Memorial Health Services		0.010	%		10/1/16		6,200,000		6,200,000	(a)(b)
Los Angeles, CA, Department of Water & Power Revenue, Subordinated, SPA-Bank of America		0.010	%		7/1/34		800,000		800,000	(a)(b)
Metropolitan Water District of Southern California Revenue		0.010	%		7/1/35		7,950,000		7,950,000	(a)(b)
Northern, CA, Power Agency Revenue, Hydroelectric Project, LOC-Dexia Credit Local		0.010	%		7/1/32		3,800,000		3,800,000	(a)(b)
Sacramento County, CA, Housing Authority, MFH Revenue, Chesapeake Commons, Wasatch Pool Holdings LLC, FNMA, LIQ-FNMA		0.030	%		2/15/31		7,065,000		7,065,000	(a)(b)(c)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 31

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
California — continued
Sacramento, CA, MUD Revenue, LOC-State Street Bank & Trust Co.		0.010	%		8/15/41	$	6,845,000	$	6,845,000	(a)(b)
San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue, SPA-JPMorgan Chase		0.010	%		4/1/38		1,000,000		1,000,000	(a)(b)
San Francisco, CA, City & County MFH Revenue, Folsom Dore Apartment Project, LOC-Citibank N.A.		0.050	%		12/1/34		1,000,000		1,000,000	(a)(b)(c)
San Mateo County, CA, Joint Powers Financing Authority, Lease Revenue, Public Safety Project, LOC-Wells Fargo Bank N.A.		0.030	%		4/1/39		760,000		760,000	(a)(b)
Santa Clara Valley, CA, Transportation Authority, Sales Tax Revenue:
Measure A, SPA-Sumitomo Mitsui Banking		0.010	%		4/1/36		7,000,000		7,000,000	(a)(b)
SPA-JPMorgan Chase		0.010	%		4/1/36		300,000		300,000	(a)(b)
SPA-Sumitomo Mitsui Banking		0.010	%		4/1/36		9,400,000		9,400,000	(a)(b)
SPA-Sumitomo Mitsui Banking		0.010	%		4/1/36		2,200,000		2,200,000	(a)(b)
Southern California State Public Power Authority Revenue, Magnolia Power Project, LOC-Wells Fargo Bank		0.010	%		7/1/36		500,000		500,000	(a)(b)
State of California, GO, TECP		0.080	%		9/30/15		4,000,000		4,000,000
University of California, CA, Revenue		0.010	%		5/15/48		1,900,000		1,900,000	(a)(b)
Total California									159,545,000
Colorado — 0.8%
Arapahoe County, CO, Exelsior Youth Centers Inc., LOC-US Bank		0.030	%		12/1/15		275,000		275,000	(a)(b)
Colorado Educational and Cultural Facilities, Nature Conservancy, Project A		0.020	%		7/1/27		414,000		414,000	(a)(b)
Colorado HFA Revenue, Multi-Family Project, SPA-FHLB		0.020	%		10/1/30		2,470,000		2,470,000	(a)(b)
Colorado Springs, CO, Utilities Revenue, Subordinated Lien, SPA-Dexia Credit Local		0.020	%		11/1/23		6,850,000		6,850,000	(a)(b)
Total Colorado									10,009,000
Connecticut — 3.8%
Connecticut Innovations Inc., CT, Revenue, ISO New England Inc. Project, LOC-TD Bank N.A.		0.020	%		12/1/39		1,845,000		1,845,000	(a)(b)
Connecticut State HEFA Revenue:
Hospital for Special Care, LOC-Webster Bank N.A., FHLB		0.010	%		7/1/37		1,610,000		1,610,000	(a)(b)
Hotchkiss School, SPA-U.S. Bank N.A.		0.010	%		7/1/30		7,400,000		7,400,000	(a)(b)
Trinity College, LOC-JPMorgan Chase		0.010	%		7/1/34		1,660,000		1,660,000	(a)(b)
Wesleyan University		0.010	%		7/1/40		2,500,000		2,500,000	(a)(b)
Westover School, LOC-TD Bank N.A.		0.010	%		7/1/30		4,015,000		4,015,000	(a)(b)
Yale University		0.010	%		7/1/36		1,100,000		1,100,000	(a)(b)
Connecticut State HFA Revenue, CIL Realty Inc., LOC-HSBC Bank USA N.A.		0.020	%		7/1/32		495,000		495,000	(a)(b)

See Notes to Financial Statements.

32 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Connecticut — continued
Connecticut State HFA, Housing Mortgage Finance Program Revenue:
SPA-Bank of Tokyo-Mitsubishi UFJ		0.010	%		5/15/34	$	5,000,000	$	5,000,000	(a)(b)
SPA-Bank of Tokyo-Mitsubishi UFJ		0.020	%		11/15/34		1,500,000		1,500,000	(a)(b)
SPA-Bank of Tokyo-Mitsubishi UFJ		0.010	%		11/15/41		7,500,000		7,500,000	(a)(b)
SPA-Barclays Bank PLC		0.020	%		5/15/35		1,270,000		1,270,000	(a)(b)
SPA-FHLB		0.030	%		5/15/31		900,000		900,000	(a)(b)(c)
SPA-Royal Bank of Canada		0.010	%		11/15/45		7,500,000		7,500,000	(a)(b)
Derby, CT, GO, BAN		1.000	%		3/15/16		2,175,000		2,183,678	(d)
Ellington, CT, GO		2.000	%		6/15/16		255,000		258,097
Stamford, CT, Housing Authority, Multi-Family Revenue, Fairfield Apartments Project, FHLMC		0.020	%		12/1/28		300,000		300,000	(a)(b)(c)
Thomaston, CT, GO, BAN		1.250	%		11/5/15		600,000		601,044
Total Connecticut									47,637,819
Delaware — 0.2%
University of Delaware Revenue, SPA-Bank of America N.A.		0.010	%		11/1/34		1,950,000		1,950,000	(a)(b)
District of Columbia — 1.1%
District of Columbia Revenue, Washington Center for Internships and Academic Seminars, LOC-Branch Banking & Trust		0.020	%		2/1/48		6,655,000		6,655,000	(a)(b)
District of Columbia University Revenue, American University		0.020	%		10/1/36		6,975,000		6,975,000	(a)(b)
Total District of Columbia									13,630,000
Florida — 5.3%
Florida Housing Finance Corp., Multi-Family Mortgage Revenue, Cutler Riverside Preservation Apartments, LIQ-FHLMC		0.030	%		6/1/48		9,900,000		9,900,000	(a)(b)(c)
Highlands County, FL, Health Facilities Authority Revenue:
Hospital Adventist Health System		0.010	%		11/15/26		1,900,000		1,900,000	(a)(b)
Hospital Adventist Health System		0.010	%		11/15/32		300,000		300,000	(a)(b)
Hospital Adventist Health System		0.020	%		11/15/33		17,900,000		17,900,000	(a)(b)
Hospital Adventist Health System		0.010	%		11/15/34		6,400,000		6,400,000	(a)(b)
Hospital Adventist Health System		0.020	%		11/15/35		2,000,000		2,000,000	(a)(b)
Hillsborough County, FL, School Board COP, Master Lease, NATL, LOC-Wells Fargo Bank N.A.		0.010	%		7/1/30		185,000		185,000	(a)(b)
Jacksonville, FL, Excise Taxes Revenue		5.000	%		10/1/15		100,000		100,376
JEA, FL, Electric System Revenue		5.000	%		10/1/15		220,000		220,826
JEA, FL, St. Johns River Power Park System Revenue, Issue 2		5.000	%		10/1/15		385,000		386,471
JEA, FL, Water & Sewer Revenue		3.000	%		10/1/15		200,000		200,450

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 33

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Florida — continued
Miami-Dade County, FL, IDA Revenue, Professional Modification, AAR Aircraft Services Inc., LOC-Wells Fargo Bank N.A.		0.050	%		8/1/18	$	6,300,000	$	6,300,000	(a)(b)(c)
Miami-Dade County, FL, Professional Sports Franchise Facilities Tax Revenue, LOC-Wells Fargo Bank N.A.		0.020	%		10/1/48		1,000,000		1,000,000	(a)(b)
Miami-Dade County, FL, Special Obligation, Juvenile Courthouse, AMBAC, LOC-TD Bank N.A.		0.020	%		4/1/43		3,850,000		3,850,000	(a)(b)
North Broward, FL, Hospital District Revenue, NATL, LOC-Wells Fargo Bank N.A.		0.020	%		1/15/27		3,200,000		3,200,000	(a)(b)
Orange County, FL, Housing Finance Authority, Walk Apartments LLC, FNMA, LIQ-FNMA		0.020	%		6/1/25		4,900,000		4,900,000	(a)(b)
Orlando, FL, Utilities Commission, Utility System Revenue, SPA-JPMorgan Chase		0.010	%		10/1/33		5,100,000		5,100,000	(a)(b)
Volusia County, FL, HFA, MFH Revenue, Cape Morris Cove Apartments II, LOC-FHLB & JPMorgan Chase		0.040	%		10/15/42		2,690,000		2,690,000	(a)(b)(c)
Total Florida									66,533,123
Georgia — 3.4%
Atlanta, GA, Development Authority Revenue, Georgia Aquarium Inc. Project, LOC-SunTrust Bank & FHLB		0.020	%		10/1/33		3,200,000		3,200,000	(a)(b)
Cobb County, GA, Housing Authority Revenue, Walton Reserve Apartments Project, LOC-FHLB & SunTrust Bank		0.040	%		10/1/35		15,250,000		15,250,000	(a)(b)(c)
Coweta County, GA, Development Authority Revenue, W.Y. Newnan Holding LLC Project, LOC-Wells Fargo Bank N.A.		0.150	%		4/1/32		3,520,000		3,520,000	(a)(b)(c)
De Kalb County, GA, Housing Authority, MFH Revenue, Friendly Heights LP, LOC-FHLMC		0.040	%		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.		0.050	%		12/1/27		2,900,000		2,900,000	(a)(b)(c)
Fulton County, GA, Development Authority Revenue, Shepherd Center Inc., LOC-FHLB, SunTrust Bank		0.020	%		9/1/35		3,125,000		3,125,000	(a)(b)
Georgia State, GO		5.500	%		9/1/15		100,000		100,000
Georgia State, GO		5.000	%		10/1/15		200,000		200,780
Gwinnett County, GA, Development Authority, IDR, Barco Inc. Project, LOC-Branch Banking & Trust		0.080	%		11/1/20		3,995,000		3,995,000	(a)(b)(c)
Savannah, GA, EDA Revenue, Savannah Country Day School, LOC-Branch Banking & Trust		0.080	%		5/1/32		270,000		270,000	(a)(b)
Stephens County, GA, Development Authority, IDR, CMC of Georgia Inc. Project, LOC-Branch Banking & Trust		0.080	%		8/1/21		3,870,000		3,870,000	(a)(b)(c)
Total Georgia									43,290,780
Hawaii — 0.5%
Hawaii State Department of Budget & Finance Special Purpose Revenue:
Queens Health System		0.260	%		7/1/39		3,500,000		3,500,000	(a)(b)

See Notes to Financial Statements.

34 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Hawaii — continued
Queens Health System		0.260	%		7/1/39	$	2,470,000	$	2,470,000	(a)(b)
Total Hawaii									5,970,000
Idaho — 0.0%
Idaho State Bond Bank Authority Revenue, State Intercept		3.000	%		9/15/15		285,000		285,288
Illinois — 6.7%
Bloomington & Normal, IL, Airport Authority Revenue, Central Illinois Regional Airport, LOC-Northern Trust Co.		0.100	%		1/1/27		4,045,000		4,045,000	(a)(b)
Chicago, IL, MFH Revenue, Renaissance Center LP, LOC-Harris Trust and Savings Bank		0.140	%		10/1/34		2,300,000		2,300,000	(a)(b)(c)
Chicago, IL, Midway Airport Revenue, LOC-Bank of Montreal		0.050	%		1/1/35		5,085,000		5,085,000	(a)(b)(c)
Illinois Housing Development Authority, MFH Revenue, Galesburg Towers Associates II, LOC-Harris N.A.		0.210	%		12/1/35		3,500,000		3,500,000	(a)(b)(c)
Illinois State Development Finance Authority Revenue:
Fenwick High School Project, LOC-PNC Bank N.A.		0.020	%		3/1/32		9,450,000		9,450,000	(a)(b)
Goodman Theatre Project, LOC-Bank One N.A., Northern Trust Co.		0.010	%		12/1/33		2,900,000		2,900,000	(a)(b)
Illinois State EFA Revenue, The Adler Planetarium, LOC-PNC Bank N.A.		0.020	%		4/1/31		4,000,000		4,000,000	(a)(b)
Illinois State Finance Authority Revenue:
Everest Academy of Lemont Inc., LOC-First Midwest Bank N.A., FHLB		0.120	%		2/1/34		5,845,000		5,845,000	(a)(b)
Illinois College, LOC-U.S. Bank		0.020	%		10/1/30		6,135,000		6,135,000	(a)(b)
Latin School Project, LOC-JPMorgan Chase		0.010	%		8/1/35		2,000,000		2,000,000	(a)(b)
Loyola Academy, LOC-JPMorgan Chase		0.030	%		10/1/37		8,500,000		8,500,000	(a)(b)
Northwestern Memorial Hospital		0.010	%		8/15/42		10,715,000		10,715,000	(a)(b)
Northwestern Memorial Hospital		0.010	%		8/15/42		2,300,000		2,300,000	(a)(b)
Northwestern Memorial Hospital, SPA-UBS AG		0.010	%		8/15/42		1,870,000		1,870,000	(a)(b)
OSF Healthcare System, LOC-PNC Bank N.A.		0.020	%		11/15/37		2,500,000		2,500,000	(a)(b)
Illinois State Finance Authority, MFH Revenue, Liberty Towers Associates, LOC-Harris N.A.		0.100	%		10/1/39		4,705,000		4,705,000	(a)(b)
Illinois State Housing Development Authority Revenue, Florida House		0.020	%		7/1/41		2,625,000		2,625,000	(a)(b)(c)
Illinois State Toll Highway Authority, Toll Highway Revenue, LOC-PNC Bank N.A.		0.020	%		7/1/30		3,000,000		3,000,000	(a)(b)
Lombard, IL, Revenue, National University Health Sciences Project, LOC-JPMorgan Chase		0.010	%		6/1/36		130,000		130,000	(a)(b)
Peoria, IL, Multi-Family Revenue, Housing, Oak Woods Apartments Project, FNMA, LIQ-FNMA		0.040	%		10/15/28		2,725,000		2,725,000	(a)(b)(c)
Total Illinois									84,330,000

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 35

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Indiana — 1.8%
Hobart, IN, EDR, Albanese Confectionery, LOC-Harris N.A.		0.140	%		7/1/31	$	1,915,000	$	1,915,000	(a)(b)(c)
Indiana Finance Authority Midwestern Disaster Relief Revenue, Ohio Valley Electric Corp. Project, LOC-Bank of Nova Scotia		0.020	%		6/1/40		10,000,000		10,000,000	(a)(b)
Indiana State Finance Authority Revenue, Lease Appropriation, SPA-JPMorgan Chase		0.010	%		2/1/37		3,885,000		3,885,000	(a)(b)
Indianapolis, IN, MFH Revenue, Washington Pointe LP Project, FNMA, LIQ-FNMA		0.030	%		4/15/39		4,690,000		4,690,000	(a)(b)
St. Joseph County, IN, EDR, Logan Community Resources Inc. Project, LOC-PNC Bank N.A.		0.020	%		5/1/34		1,745,000		1,745,000	(a)(b)
Total Indiana									22,235,000
Iowa — 0.5%
Iowa Finance Authority, IDR, Embria Health Sciences Project, LOC-Wells Fargo Bank		0.150	%		6/1/32		1,270,000		1,270,000	(a)(b)(c)
Iowa State Finance Authority Health Facilities Revenue:
Iowa Health System, LOC-JPMorgan Chase		0.010	%		2/15/35		1,925,000		1,925,000	(a)(b)
Unity Point HealthCare, LOC-Union Bank N.A.		0.010	%		2/15/39		2,935,000		2,935,000	(a)(b)
Total Iowa									6,130,000
Kentucky — 1.8%
Berea, KY, Educational Facilities Revenue:
Berea College Project		0.010	%		6/1/29		4,660,000		4,660,000	(a)(b)
Berea College Project		0.010	%		6/1/32		9,375,000		9,375,000	(a)(b)
Boone County, KY, Industrial Building Revenue, Kiswel Inc. Project, LOC-Branch Banking & Trust		0.080	%		5/1/27		3,560,000		3,560,000	(a)(b)(c)
Richmond, KY, League of Cities Funding Trust Lease Program Revenue, LOC-U.S. Bank		0.030	%		3/1/36		2,330,000		2,330,000	(a)(b)
Williamstown, KY, League of Cities Funding Trust Lease Revenue, LOC-U.S. Bank N.A.		0.030	%		7/1/38		2,450,000		2,450,000	(a)(b)
Total Kentucky									22,375,000
Louisiana — 1.6%
Louisiana State PFA Revenue, Tiger Athletic Foundation, LOC-Capital One N.A., FHLB		0.020	%		9/2/39		10,400,000		10,400,000	(a)(b)
St. James Parish, LA, Revenue, Nustar Logistics LP Project, LOC-JPMorgan Chase		0.030	%		12/1/40		9,400,000		9,400,000	(a)(b)
Total Louisiana									19,800,000
Maryland — 0.8%
Maryland State Community Development Administration, Department of Housing & Community Development Revenue:
Hopkins Village Preservation LP, LIQ FHLMC		0.040	%		11/1/38		2,700,000		2,700,000	(a)(b)
Residential, SPA-TD Bank N.A.		0.020	%		9/1/43		3,000,000		3,000,000	(a)(b)

See Notes to Financial Statements.

36 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Maryland — continued
Maryland State Health & Higher EFA Revenue, University of Maryland Medical System, LOC-TD Bank N.A.		0.010	%		7/1/41	$	900,000	$	900,000	(a)(b)
Montgomery County, MD, Housing Opportunities Commission, Multi-Family Revenue, Housing Development, GNMA, FNMA, FHLMC, FHA, LOC-FNMA, FHLMC		0.030	%		7/1/36		1,485,000		1,485,000	(a)(b)
University System of Maryland Auxiliary Facility and Tuition Revenue		3.750	%		10/1/15		150,000		150,429
Washington County, MD, EDR, St. James School Project, LOC-PNC Bank N.A.		0.030	%		11/1/29		1,900,000		1,900,000	(a)(b)
Total Maryland									10,135,429
Massachusetts — 3.5%
Massachusetts School Building Authority, TECP		0.110	%		9/4/15		5,000,000		5,000,000
Massachusetts School Building Authority, TECP		0.070	%		10/7/15		5,000,000		5,000,000
Massachusetts State DFA Revenue:
Bancroft Schools & Communities Inc., LOC-TD Bank N.A.		0.020	%		9/1/31		2,645,000		2,645,000	(a)(b)
Partners Healthcare System Inc., LOC-U.S. Bank NA		0.010	%		7/1/48		2,700,000		2,700,000	(a)(b)
Partners Healthcare System, LOC-Bank of New York		0.010	%		7/1/48		2,500,000		2,500,000	(a)(b)
Partners Healthcare Systems Inc., SPA-Wells Fargo Bank N.A.		0.020	%		7/1/46		1,000,000		1,000,000	(a)(b)
Massachusetts State DFA, MFH Revenue, Archstone Readstone, LOC-FHLMC		0.040	%		12/1/37		2,600,000		2,600,000	(a)(b)(c)
Massachusetts State HEFA Revenue:
Baystate Medical Center, LOC-Bank of America N.A.		0.010	%		7/1/39		3,000,000		3,000,000	(a)(b)
Partners Healthcare Systems, SPA-JPMorgan Chase		0.010	%		7/1/27		14,800,000		14,800,000	(a)(b)
Massachusetts State IFA Revenue, Nova Realty Trust, LOC-TD Bank N.A.		0.020	%		12/1/24		400,000		400,000	(a)(b)
Massachusetts State Water Resources Authority Revenue, SPA-JPMorgan Chase		0.030	%		8/1/37		3,765,000		3,765,000	(a)(b)
Massachusetts State, GO, Consolidated Loan, NATL		5.500	%		11/1/15		150,000		151,254
Total Massachusetts									43,561,254
Michigan — 0.9%
Michigan State Municipal Bond Authority Revenue, Clean Water Revenue Fund		5.500	%		10/1/15		200,000		200,848
Michigan State Strategic Fund Ltd. Obligation Revenue, Kroger Co. Recovery Zone, LOC-Bank of Tokyo-Mitsubishi UFJ		0.020	%		1/1/26		5,500,000		5,500,000	(a)(b)
Michigan State Trunk Line Fund Revenue, AGM		5.000	%		9/1/15		580,000		580,000
Michigan State University Revenue, SPA-Landesbank Hessen-Thuringen		0.010	%		2/15/34		4,500,000		4,500,000	(a)(b)
Total Michigan									10,780,848

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 37

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Minnesota — 1.1%
Minnesota Housing Finance Agency Revenue, Residential Housing, SPA-Royal Bank of Canada		0.030	%		1/1/46	$	5,675,000	$	5,675,000	(a)(b)(c)
Rochester, MN, Health Care Facilities Revenue:
Mayo Clinic, SPA-Northern Trust Co.		0.020	%		11/15/38		6,780,000		6,780,000	(a)(b)
Mayo Foundation, SPA-Bank of America N.A.		0.020	%		8/15/32		1,500,000		1,500,000	(a)(b)
Total Minnesota									13,955,000
Mississippi — 0.7%
Mississippi State Business Finance Commission Gulf Opportunity Revenue:
Chevron U.S.A. Inc.		0.010	%		11/1/35		5,000,000		5,000,000	(a)(b)
Chevron U.S.A. Inc.		0.010	%		11/1/35		4,000,000		4,000,000	(a)(b)
Total Mississippi									9,000,000
Missouri — 3.1%
Kansas City, MO, Special Obligation Revenue, Chouteau I-35 Project, LOC-JPMogan Chase & Co.		0.020	%		3/1/24		4,430,000		4,430,000	(a)(b)
Missouri State Development Finance Board, MO, Cultural Facilities Revenue, Kauffman Center, SPA-Bank of America		0.010	%		6/1/37		2,300,000		2,300,000	(a)(b)
Missouri State HEFA Revenue:
BJC Health System		0.010	%		5/15/38		14,790,000		14,790,000	(a)(b)
St. Louis University, SPA-U.S. Bank N.A.		0.010	%		10/1/24		2,300,000		2,300,000	(a)(b)
Washington University, SPA-JPMorgan Chase		0.010	%		2/15/33		2,375,000		2,375,000	(a)(b)
Missouri State HEFA, Educational Facilities Revenue:
St. Louis Priory School Project, LOC-U.S. Bank N.A.		0.040	%		2/1/33		795,000		795,000	(a)(b)
St. Louis University, LOC-Bank of America N.A.		0.010	%		10/1/35		395,000		395,000	(a)(b)
Springfield, MO, IDA Revenue, McIntosh Holdings LLC Project, LOC-U.S. Bank N.A.		0.040	%		9/1/26		1,685,000		1,685,000	(a)(b)(c)
St. Charles County, MO, IDA Revenue, Newco Enterprises Inc. Project, LOC-BMO Harris Bank N.A.		0.030	%		12/1/29		3,945,000		3,945,000	(a)(b)(c)
Washington, MO, Industrial Revenue, Pauwels Transformers Inc. Project, LOC-HSBC Bank USA N.A.		0.160	%		12/1/28		6,585,000		6,585,000	(a)(b)(c)
Total Missouri									39,600,000
New Hampshire — 1.2%
New Hampshire State Business Finance Authority Revenue, The Mark H. Wentworth Home, LOC-TD Bank N.A.		0.030	%		12/1/36		1,290,000		1,290,000	(a)(b)
New Hampshire State HEFA Revenue, University System		0.010	%		7/1/33		13,925,000		13,925,000	(a)(b)
Total New Hampshire									15,215,000
New Jersey — 1.4%
Livingston Township, NJ, GO, BAN		1.000	%		1/12/16		2,800,000		2,806,599
Pennsauken Township, NJ, GO, TAN		1.000	%		9/11/15		7,500,000		7,501,215

See Notes to Financial Statements.

38 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
New Jersey — continued
Woodbury, NJ, GO, BAN		1.000	%		12/17/15	$	7,400,000	$	7,411,442
Total New Jersey									17,719,256
New Mexico — 1.2%
University of New Mexico, NM, Revenue, Subordinated Lien System, SPA-U.S. Bank N.A.		0.020	%		6/1/30		14,600,000		14,600,000	(a)(b)
New York — 16.7%
Batavia, NY, GO, BAN		1.000	%		5/12/16		3,000,000		3,006,197
Beacon, NY, City School District, GO, BAN		1.500	%		6/24/16		2,000,000		2,012,402
Build NYC Resource Corp., NY, Revenue, Loan Enhanced Assistance Program, LOC-JPMorgan Chase		0.010	%		3/1/38		3,450,000		3,450,000	(a)(b)
Camillus, NY, GO, BAN		1.000	%		3/25/16		1,100,000		1,102,458
Carmel, NY, GO, BAN		1.000	%		10/9/15		3,000,000		3,002,208
Chemung County, NY, GO:
BAN		1.000	%		10/16/15		4,000,000		4,002,846
BAN		1.000	%		12/18/15		1,100,000		1,101,357
Fallsburg, NY, CSD, GO, BAN		1.000	%		6/24/16		4,700,000		4,712,853
Huntington, NY, GO, BAN		1.000	%		12/16/15		2,550,000		2,554,412
Irondequoit, NY, GO		1.125	%		12/11/15		700,000		701,145
Irondequoit, NY, GO, BAN		1.000	%		12/18/15		1,200,000		1,201,658
LaGrange, NY, GO, BAN		1.000	%		12/23/15		1,500,000		1,502,308
Lewis County, NY, GO, BAN		2.000	%		8/12/16		2,150,000		2,175,607
Mamaroneck Village, NY, GO, BAN		1.000	%		9/3/15		2,200,000		2,200,080
MTA, NY, Dedicated Tax Fund Revenue, LOC-State Street Bank & Trust Co.		0.010	%		11/1/22		2,000,000		2,000,000	(a)(b)
MTA, NY, Revenue:
LOC-Bank of Montreal		0.010	%		11/1/35		8,500,000		8,500,000	(a)(b)
LOC-Royal Bank of Canada		0.010	%		11/1/35		700,000		700,000	(a)(b)
Nassau County, NY, GO:
RAN		2.000	%		3/15/16		7,500,000		7,556,085
TAN		2.000	%		9/15/15		2,000,000		2,001,269
Nassau County, NY, Interim Finance Authority Revenue, SPA-Sumitomo Mitsui Banking, Sales Tax Secured		0.010	%		11/15/21		17,340,000		17,340,000	(a)(b)
Nassau Health Care Corp., NY, Revenue, Nassau County GTD, LOC-TD Bank N.A.		0.010	%		8/1/29		1,525,000		1,525,000	(a)(b)
New Hartford, NY, CSD, GO, BAN		1.000	%		10/2/15		900,000		900,357
New Paltz, NY, GO, BAN		1.000	%		9/23/15		1,100,000		1,100,276
New Windsor, NY, GO:
BAN		1.000	%		12/30/15		2,300,000		2,303,607
BAN		1.000	%		1/15/16		2,000,000		2,003,331

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 39

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
New York — continued
New York City, NY, GO:
LOC-Bank of New York Mellon		0.010	%		3/1/34	$	3,900,000	$	3,900,000	(a)(b)
LOC-Bank of Tokyo-Mitsubishi UFJ		0.010	%		4/1/42		1,800,000		1,800,000	(a)(b)
LOC-Mizuho Corporate Bank		0.010	%		10/1/38		730,000		730,000	(a)(b)
LOC-Mizuho Corporate Bank		0.010	%		4/1/42		4,570,000		4,570,000	(a)(b)
LOC-Royal Bank of Canada		0.010	%		8/1/36		100,000		100,000	(a)(b)
Subordinated, SPA-JPMorgan Chase		0.010	%		1/1/36		6,000,000		6,000,000	(a)(b)
New York City, NY, HDC, MFH Rent Revenue, Royal Properties, LIQ-FNMA		0.010	%		4/15/35		16,400,000		16,400,000	(a)(b)
New York City, NY, HDC, MFH Revenue, LIQ-JPMorgan Chase		0.020	%		5/1/18		5,200,000		5,200,000	(a)(b)
New York City, NY, Industrial Development Agency, Civic Facility Revenue, Jewish Board of Family and Children’s Services Inc., LOC-TD Bank N.A.		0.010	%		7/1/25		270,000		270,000	(a)(b)
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, SPA-Mizuho Corporate Bank		0.010	%		6/15/33		6,000,000		6,000,000	(a)(b)
New York City, NY, TFA Revenue:
New York City Recovery Project, SPA-Royal Bank of Canada		0.010	%		11/1/22		10,735,000		10,735,000	(a)(b)
New York City Recovery Project, SPA-Royal Bank of Canada		0.010	%		11/1/22		8,280,000		8,280,000	(a)(b)
New York State Dormitory Authority Revenue:
Cornell University, SPA-JPMorgan Chase		0.010	%		7/1/30		190,000		190,000	(a)(b)
Non-State Supported Debt, Columbia University		0.010	%		9/1/39		400,000		400,000	(a)(b)
Non-State Supported Debt, Rockefeller University, SPA-JPMorgan Chase		0.010	%		7/1/32		200,000		200,000	(a)(b)
Non-State Supported Debt, University of Rochester, LOC-JPMorgan Chase		0.010	%		7/1/33		1,350,000		1,350,000	(a)(b)
New York State Housing Finance Agency Revenue:
42nd & 10th Housing, FHLMC, LIQ-FHLMC		0.010	%		11/1/41		400,000		400,000	(a)(b)
Housing 160 Madison Avenue LLC, LOC-PNC Bank N.A.		0.010	%		11/1/46		4,145,000		4,145,000	(a)(b)
Worth Street, LIQ-FNMA		0.010	%		5/15/33		19,200,000		19,200,000	(a)(b)(c)
New York, NY, GO, LOC-Mizuho Corporate Bank		0.010	%		10/1/40		2,800,000		2,800,000	(a)(b)
Onondaga County, NY, Trust Cultural Resource Revenue, Syracuse University Project, LOC-Wells Fargo Bank N.A.		0.010	%		12/1/29		7,700,000		7,700,000	(a)(b)
Orchard Park Town, NY, GO, BAN		1.000	%		10/22/15		5,000,000		5,004,031
Port of Jefferson, NY, GO, BAN		1.000	%		12/17/15		1,600,000		1,602,800
Port of Jervis, NY, GO, BAN		1.000	%		1/21/16		3,000,000		3,004,634
Ramapo, NY, Housing Authority Revenue, Spring Valley Homes Redevelopment Project LLC, LIQ-FNMA		0.030	%		12/15/38		2,500,000		2,500,000	(a)(b)(c)

See Notes to Financial Statements.

40 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
New York — continued
Ridge Road, NY, Fire District, GO, BAN		1.000	%		10/7/15	$	800,000	$	800,274
Saltaire Village, NY, GO, RAN		1.000	%		10/23/15		6,000,000		6,005,103
Southold, NY, GO, BAN		1.750	%		8/26/16		2,000,000		2,021,284
Triborough Bridge & Tunnel Authority, NY, Revenue:
LOC-Bank of Tokyo-Mitsubishi UFJ		0.010	%		1/1/32		2,500,000		2,500,000	(a)(b)
LOC-TD Bank N.A.		0.010	%		11/1/35		200,000		200,000	(a)(b)
Tuckahoe, NY, Union Free School District, GO, TAN		1.500	%		6/20/16		1,400,000		1,407,778
Valhalla, NY, Union Free School District, GO, BAN		1.000	%		10/16/15		2,600,000		2,601,978
Victor, NY, GO, BAN		1.000	%		12/18/15		3,000,000		3,004,767
Westchester County, NY, Industrial Development Agency, Civic Facility Revenue, Northern Westchester Hospital Association, LOC-TD Bank N.A.		0.010	%		11/1/24		1,020,000		1,020,000	(a)(b)
Total New York									210,698,105
North Carolina — 4.3%
Charlotte, NC, COP:
2003 Governmental Facilities Project, LIQ-Wells Fargo Bank N.A.		0.010	%		6/1/33		3,300,000		3,300,000	(a)(b)
Central Yard Project, SPA-Bank of America N.A.		0.020	%		3/1/25		8,585,000		8,585,000	(a)(b)
North Carolina HFA Revenue:
Home Ownership 1998 TR-19C, LIQ-Bank of America		0.040	%		1/1/35		3,000,000		3,000,000	(a)(b)(c)
Home Ownership, LIQ-Bank of America N.A.		0.040	%		7/1/33		1,400,000		1,400,000	(a)(b)(c)
North Carolina Medical Care Community, Health Care Facilities Revenue, First Mortgage Deerfield, LOC-Branch Banking & Trust		0.020	%		11/1/38		5,000,000		5,000,000	(a)(b)
North Carolina State Capital Facilities Finance Agency, Educational Facilities Revenue:
Guilford College Project, LOC-Branch Banking & Trust		0.020	%		5/1/24		2,555,000		2,555,000	(a)(b)
High Point University Project, LOC-Branch Banking & Trust		0.020	%		5/1/30		3,025,000		3,025,000	(a)(b)
Meredith College, LOC-Wells Fargo Bank N.A.		0.020	%		6/1/38		2,255,000		2,255,000	(a)(b)
Summit School Inc. Project, LOC-Branch Banking & Trust		0.020	%		6/1/33		5,225,000		5,225,000	(a)(b)
North Carolina State Capital Facilities Finance Agency, Recreational Facilities Revenue, YMCA of Greater Charlotte Project, LOC-Wells Fargo Bank N.A.		0.020	%		4/1/29		4,220,000		4,220,000	(a)(b)
North Carolina State Medical Care Commission Hospital Revenue, Southeastern Regional Medical Center, LOC-BB&T Corp.		0.020	%		6/1/37		2,285,000		2,285,000	(a)(b)
Orange, NC, Water & Sewer Authority, System Revenue, SPA-Wells Fargo Bank N.A.		0.020	%		7/1/29		10,700,000		10,700,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 41

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
North Carolina — continued
Raleigh, NC, Combined Enterprise System Revenue, SPA-Wells Fargo Bank N.A.		0.020	%		3/1/35	$	2,350,000	$	2,350,000	(a)(b)
University of North Carolina at Chapel Hill Revenue, General		5.000	%		12/1/15		150,000		151,737
Total North Carolina									54,051,737
North Dakota — 0.1%
North Dakota State Housing Finance Agency Revenue, Housing Finance Program, Home Mortgage Finance		0.020	%		7/1/39		1,900,000		1,900,000	(a)(b)
Ohio — 1.9%
Franklin County, OH, Hospital Facilities Revenue, Various Improvment, Nationwide Childrens Hospital Inc.		0.010	%		11/1/45		5,000,000		5,000,000	(a)(b)
Ohio State University Revenue		0.010	%		12/1/34		12,500,000		12,500,000	(a)(b)
Ohio State University Revenue		0.010	%		12/1/39		5,000,000		5,000,000	(a)(b)
Ohio State, GO:
Common Schools		5.000	%		9/15/15		275,000		275,495
Common Schools		5.000	%		9/15/15		150,000		150,273
Common Schools		5.000	%		9/15/15		135,000		135,242
Common Schools		0.010	%		6/15/26		860,000		860,000	(a)(b)
Conservation Project		3.500	%		9/1/15		100,000		100,000
Conservation Project		4.000	%		9/1/15		100,000		100,000
Total Ohio									24,121,010
Oklahoma — 0.1%
Oklahoma State Turnpike Authority Revenue, SPA-JPMorgan Chase		0.010	%		1/1/28		1,060,000		1,060,000	(a)(b)
Oregon — 1.3%
Oregon State Health Housing, Educational & Cultural Facilities Authority Revenue, PeaceHealth, LOC-U.S. Bank N.A.		0.010	%		12/1/15		1,000,000		1,000,000	(a)(b)
Oregon State Housing & Community Services Department, Mortgage Revenue, Single-Family Mortgage Program, SPA-State Street Bank & Trust Co.		1.000	%		7/1/45		6,600,000		6,600,000	(d)
Oregon State, GO:
Veterans Welfare, SPA-U.S. Bank N.A.		0.010	%		6/1/28		1,645,000		1,645,000	(a)(b)
Veterans Welfare, SPA-U.S. Bank N.A.		0.010	%		6/1/40		3,530,000		3,530,000	(a)(b)
Veterans Welfare, SPA-U.S. Bank N.A.		0.010	%		6/1/41		3,900,000		3,900,000	(a)(b)
Total Oregon									16,675,000
Pennsylvania — 5.6%
Adams County, PA, IDA Revenue, LOC-PNC Bank N.A.		0.020	%		6/1/32		5,170,000		5,170,000	(a)(b)
Allegheny County, PA, Higher Education Building Authority, University Revenue, Carnegie Mellon University, SPA-Bank of New York		0.010	%		12/1/37		14,100,000		14,100,000	(a)(b)

See Notes to Financial Statements.

42 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Pennsylvania — continued
Allegheny County, PA, IDA Revenue:
Education Center Watson, LOC-PNC Bank N.A.		0.020	%		5/1/31	$	3,000,000	$	3,000,000	(a)(b)
Little Sisters of the Poor Project, LOC-PNC Bank N.A.		0.030	%		1/1/28		1,700,000		1,700,000	(a)(b)
Western Pennsylvania School for Blind Children, SPA-PNC Bank N.A.		0.020	%		7/1/31		5,000,000		5,000,000	(a)(b)
Butler County, PA, General Authority Revenue, School District Erie Project, LOC-PNC Bank N.A.		0.020	%		9/1/29		6,620,000		6,620,000	(a)(b)
Emmaus, PA, General Authority Revenue, Local Government Subordinated		0.020	%		3/1/24		1,200,000		1,200,000	(a)(b)
Lancaster County, PA, Hospital Authority Revenue, Masonic Homes Project, LOC-JPMorgan Chase		0.010	%		7/1/34		400,000		400,000	(a)(b)
Luzerne County, PA, IDA, Lease Revenue, GTD, LOC-PNC Bank N.A.		0.020	%		11/1/26		5,800,000		5,800,000	(a)(b)
Montgomery County, PA , GO, SPA-PNC Bank N.A.		0.010	%		8/15/24		10,565,000		10,565,000	(a)(b)
Montgomery County, PA, IDA Revenue, Friends’ Central School Corp. Project, LOC-Wells Fargo Bank N.A.		0.020	%		3/1/32		910,000		910,000	(a)(b)
Pennsylvania State Economic Development Financing Authority Revenue, Fitzpatrick Container Co., LOC-PNC Bank N.A.		0.130	%		8/1/26		1,400,000		1,400,000	(a)(b)
Pennsylvania State Housing Finance Agency Revenue, Building Development, SPA-PNC Bank N.A.		0.020	%		1/1/34		4,550,000		4,550,000	(a)(b)
Pennsylvania State Housing Finance Agency, Single-Family Mortgage Revenue, SPA-Sumitomo Mitsui Banking		0.030	%		4/1/26		6,750,000		6,750,000	(a)(b)(c)
Philadelphia, PA, Authority For Industrial Development Revenue, Gift of Life Donor Programme Project, LOC-Commerce Bank N.A.		0.020	%		12/1/34		1,200,000		1,200,000	(a)(b)
Ridley, PA, School District, GO, LOC-TD Bank N.A.		0.020	%		11/1/29		2,425,000		2,425,000	(a)(b)
Total Pennsylvania									70,790,000
Rhode Island — 0.2%
Rhode Island State Health & Educational Building Corp., Revenue, Higher Education Facilities-Brown University, SPA-Northern Trust Co.		0.010	%		9/1/43		2,500,000		2,500,000	(a)(b)
South Carolina — 0.7%
North Charleston, SC, COP, Public Facilities Convention Project, LOC-Bank of America N.A.		0.020	%		9/1/19		2,110,000		2,110,000	(a)(b)
South Carolina Jobs EDA, IDR, South Carolina Electric & Gas Co., LOC-Branch Banking & Trust		0.040	%		12/1/38		6,930,000		6,930,000	(a)(b)(c)
Total South Carolina									9,040,000
South Dakota — 0.2%
South Dakota State Housing Development Authority, MFH Revenue, Country Meadows Apartments Project, LIQ-FHLMC		0.040	%		1/1/44		2,420,000		2,420,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 43

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Tennessee — 0.4%
Blount County, TN, Public Building Authority Revenue:
Local Government Public Improvement, LOC-Branch Banking & Trust		0.020	%		6/1/37	$	370,000	$	370,000	(a)(b)
Local Government Public Improvement, LOC-Branch Banking & Trust		0.020	%		6/1/39		5,000,000		5,000,000	(a)(b)
Total Tennessee									5,370,000
Texas — 5.7%
Austin, TX, GO, Public Improvement		4.000	%		9/1/15		100,000		100,000
Denton, TX, GO, NATL		4.250	%		2/15/16		300,000		305,217
Harris County, TX, Cultural Education Facilities Finance Corp. Revenue:
Methodist Hospital		0.010	%		12/1/24		9,500,000		9,500,000	(a)(b)
Methodist Hospital		0.010	%		12/1/27		4,375,000		4,375,000	(a)(b)
Harris County, TX, Cultural Education Facilities Finance Corp. Special Facilities Revenue, Texas Medical Center, LOC-JPMorgan Chase		0.010	%		9/1/31		100,000		100,000	(a)(b)
Houston, TX, Utility System Revenue, Combined First Lien, AGM		5.250	%		11/15/15		100,000		100,994
Irving, TX, GO, Improvement		1.500	%		9/15/15		250,000		250,114
Metropolitan Higher Education Authority, TX, Revenue, University of Dallas, LOC-JPMorgan Chase		0.030	%		8/1/38		3,715,000		3,715,000	(a)(b)
Rockwall, TX, ISD, GO, School Building, PSFG, SPA-Dexia Credit Local		0.020	%		8/1/37		19,700,000		19,700,000	(a)(b)
San Antonio, TX, Educational Facilities Corp. Revenue, Higher Education, Trinity University		0.010	%		6/1/33		8,500,000		8,500,000	(a)(b)
State of Texas, GO, Veterans, SPA-Bank of New York Mellon		0.010	%		12/1/43		2,380,000		2,380,000	(a)(b)
Texas State Revenue, Stephen Austin State University		5.000	%		10/15/15		125,000		125,700
Texas State, GO:
Public Finance Authority		5.000	%		10/1/15		200,000		200,780
Veterans Housing Assistance, SPA-JPMorgan Chase		0.020	%		6/1/38		12,480,000		12,480,000	(a)(b)(c)
Veterans Housing Fund II		0.030	%		6/1/33		5,100,000		5,100,000	(a)(b)(c)
University of Texas, TX, Revenue, Financing System		0.010	%		8/1/39		4,405,000		4,405,000	(a)(b)
Total Texas									71,337,805
Utah — 0.2%
Weber County, UT, Hospital Revenue, IHC Health Services Inc., SPA-Westdeutsche Landesbank		0.010	%		2/15/32		2,800,000		2,800,000	(a)(b)
Vermont — 1.1%
Vermont Housing Finance Agency, Student Housing Facilities Revenue, West Block University Vermont Project, LOC-Sovereign Bank FSB & Lloyds TSB Bank PLC		0.030	%		7/1/37		14,300,000		14,300,000	(a)(b)

See Notes to Financial Statements.

44 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Virginia — 1.9%
Fauquier County, VA, IDA Revenue, Highland School Project, LOC-Branch Banking & Trust		0.020	%		12/1/33	$	3,220,000	$	3,220,000	(a)(b)
Loudoun County, VA, Sanitation Authority Water & Sewer Revenue, Parity Indebtness, LOC-Bank of America N.A.		0.020	%		1/1/30		2,850,000		2,850,000	(a)(b)
Lynchburg, VA, IDA Revenue:
Central Health Inc., NATL, LOC-Branch Banking & Trust		0.020	%		1/1/35		7,285,000		7,285,000	(a)(b)
Central Health Inc., NATL, LOC-Branch Banking & Trust		0.020	%		1/1/35		6,550,000		6,550,000	(a)(b)
Virginia Beach, VA, Water & Sewer System Revenue		5.000	%		10/1/15		125,000		125,479
Virginia College Building Authority, VA, Educational Facilities Revenue, Washington & Lee University		0.010	%		1/1/43		4,400,000		4,400,000	(a)(b)
Total Virginia									24,430,479
Washington — 3.6%
King County, WA, GO, LOC-State Street Bank & Trust Co.		0.010	%		1/1/40		5,000,000		5,000,000	(a)(b)
Olympia, WA, EDA, Spring Air Northwest Project, LOC-U.S. Bank		0.170	%		11/1/23		945,000		945,000	(a)(b)(c)
Seattle, WA, GO		4.250	%		12/1/15		305,000		307,994
Washington State Health Care Facilities Authority Revenue, Multicare Health System, LOC-Barclays Bank PLC		0.010	%		8/15/41		28,385,000		28,385,000	(a)(b)
Washington State HFC, Non-Profit Housing Revenue:
Overlake School Project, LOC-Wells Fargo Bank		0.020	%		10/1/29		500,000		500,000	(a)(b)
Panorama City Project, LOC-Wells Fargo Bank N.A.		0.020	%		1/1/27		5,765,000		5,765,000	(a)(b)
Washington State Higher EFA Revenue, Seattle University Project, LOC-U.S. Bank N.A.		0.020	%		5/1/28		4,550,000		4,550,000	(a)(b)
Total Washington									45,452,994
West Virginia — 0.0%
West Virginia State, EDA, Solid Waste Disposal Facilities Revenue, Appalachian Power Co., LOC-Sumitomo Mitsui Banking		0.020	%		12/1/42		200,000		200,000	(a)(b)
Wisconsin — 0.9%
East Troy, WI, Community School District Revenue, BAN		2.000	%		10/1/15		2,750,000		2,753,581
Racine, WI, GO, Anticipation Notes		2.000	%		8/15/16		2,500,000		2,511,225	(d)
Wisconsin State HEFA Revenue, Indian Community School of Milwaukee, LOC-JPMorgan Chase		0.010	%		12/1/36		6,700,000		6,700,000	(a)(b)
Total Wisconsin									11,964,806
Wyoming — 0.3%
Sweetwater Country, WY, PCR, Pacific Corp., LOC-Bank of Nova Scotia		0.010	%		12/1/20		1,200,000		1,200,000	(a)(b)

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 45

Schedule of investments (cont’d)

August 31, 2015

Tax Free Reserves Portfolio

Security	Rate			Maturity Date		Face Amount		Value
Wyoming — continued
Uinta County, WY, PCR, Chevron USA Inc. Project		0.010	%		8/15/20	$	2,800,000	$	2,800,000	(a)(b)
Total Wyoming									4,000,000
Total Investments — 100.8% (Cost — $1,271,694,733#)									1,271,694,733
Liabilities in Excess of Other Assets — (0.8)%									(10,654,274	)
Total Net Assets — 100.0%								$	1,261,040,459

^(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)  Security is purchased on a when-issued basis.

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

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
CIL	— Corporation for Independent Living
COP	— Certificates of Participation
CSD	— Central School District
DFA	— Development Finance Agency
EDA	— Economic Development Authority
EDR	— Economic Development Revenue
EFA	— Educational Facilities Authority
FHA	— Federal Housing Administration
FHLB	— Federal Home Loan Bank
FHLMC	— Federal Home Loan Mortgage Corporation
FNMA	— Federal National Mortgage Association
GNMA	— Government National Mortgage Association
GO	— General Obligation
GTD	— Guaranteed
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
IFA	— Industrial Finance Agency
ISD	— Independent School District
ISO	— Independent System Operator
LIQ	— Liquidity Facility
LOC	— Letter of Credit

See Notes to Financial Statements.

46 Tax Free Reserves Portfolio 2015 Annual Report

Tax Free Reserves Portfolio

MFA	— Municipal Finance Authority
MFH	— Multi-Family Housing
MTA	— Metropolitan Transportation Authority
MUD	— Municipal Utility District
NATL	— National Public Finance Guarantee Corporation — Insured Bonds
PCFA	— Pollution Control Financing Authority
PCR	— Pollution Control Revenue
PFA	— Public Facilities Authority
PSFG	— Permanent School Fund Guaranty
RAN	— Revenue Anticipation Notes
SPA	— Standby Bond Purchase Agreement — Insured Bonds
TAN	— Tax Anticipation Notes
TECP	— Tax Exempt Commercial Paper
TFA	— Transitional Finance Authority
USD	— Unified School District

Ratings table* (unaudited)
Standard & Poor’s/Moody’s/Fitch**
A-1	69.8	%
VMIG 1	19.8
F-1	1.6
SP-1	1.2
MIG 1	0.8
P-1	0.8
AA/Aa	0.3
AAA/Aaa	0.1
NR***	5.6
	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.

*** The credit quality of unrated investments is evaluated based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments.

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 47

Statement of assets and liabilities

August 31, 2015

Assets:
Investments, at value	$	1,271,694,733
Cash		71,134
Interest receivable		659,945
Total Assets		1,272,425,812
Liabilities:
Payable for securities purchased		11,294,903
Trustees’ fees payable		1,563
Accrued expenses		88,887
Total Liabilities		11,385,353
Total Net Assets	$	1,261,040,459
Represented by:
Paid-in capital	$	1,261,040,459

See Notes to Financial Statements.

48 Tax Free Reserves Portfolio 2015 Annual Report

Statement of operations

For the Year Ended August 31, 2015

Investment Income:
Interest	$	625,293
Expenses:
Investment management fee (Note 2)		1,179,141
Fund accounting fees		65,819
Audit and tax fees		44,780
Legal fees		26,642
Custody fees		21,759
Trustees’ fees		12,326
Miscellaneous expenses		46,044
Total Expenses		1,396,511
Less: Fee waivers and/or expense reimbursements (Note 2)		(1,179,278)
Net Expenses		217,233
Net Investment Income		408,060
Net Realized Gain from Investments		4
Increase in Net Assets from Operations	$	408,064

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 49

Statements of changes in net assets

For the Years Ended August 31,	2015		2014
Operations:
Net investment income	$	408,060	$	185,549
Net realized gain (loss)		4		(3,441)
Increase in Net Assets from Operations		408,064		182,108
Capital Transactions:
Proceeds from contributions		1,473,822,622		1,092,335,067
Value of withdrawals		(1,428,059,265)		(1,486,411,352)
In-kind capital contribution (Note 3)		541,229,678		—
Increase (Decrease) in Net Assets from Capital Transactions		586,993,035		(394,076,285)
Increase (Decrease) in Net Assets		587,401,099		(393,894,177)
Net Assets:
Beginning of year		673,639,360		1,067,533,537
End of year	$	1,261,040,459	$	673,639,360

See Notes to Financial Statements.

50 Tax Free Reserves Portfolio 2015 Annual Report

Financial highlights

For the years ended August 31:
	2015			2014			2013			2012			2011
Net assets, end of year (millions)		$1,261			$674			$1,068			$1,561			$2,815
Total return1		0.05	%		0.03	%		0.05	%		0.11	%		0.23	%
Ratios to average net assets:
Gross expenses		0.18	%		0.19	%		0.17	%		0.17	%		0.16	%
Net expenses2,3		0.03			0.09			0.13			0.15			0.15
Net investment income		0.05			0.02			0.05			0.12			0.23

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  As a result of a voluntary expense limitation arrangement, the ratio of expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of the Portfolio did not exceed 0.15%. This arrangement may be reduced or terminated under certain circumstances. Additional amounts may be voluntarily waived and/or reimbursed from time to time.

³  Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

Tax Free Reserves Portfolio 2015 Annual Report 51

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 an open-end management investment company. The Declaration of Trust permits the Trustees to issue beneficial interests in the Portfolio. At August 31, 2015, all investors in the Portfolio were funds advised or administered by the manager of the Portfolio and/or its affiliates.

The following are significant accounting policies consistently followed by the Portfolio and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the 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 Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (formerly, Legg Mason North American Fund Valuation Committee) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Portfolio’s pricing policies, and reporting to the Board of Trustees.

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.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

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

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

• Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

52 Tax Free Reserves Portfolio 2015 Annual Report

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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†		—	$	1,271,694,733		—	$	1,271,694,733

† 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.

Tax Free Reserves Portfolio 2015 Annual Report 53

Notes to financial statements (cont’d)

(e) Securities traded on a when-issued basis. The Portfolio may trade securities on a when-issued basis. In a when-issued transaction, the securities are purchased or sold by the Portfolio with payment and delivery taking place in the future in order to secure what is considered to be an advantageous price and yield to the Portfolio at the time of entering into the transaction.

Purchasing such securities involves risk of loss if the value of the securities declines prior to settlement. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.

(f) 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.

(g) Income taxes. The Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Portfolio is treated as owner of its proportionate share of the net assets, income, expenses and realized and unrealized gains and losses of the Portfolio. Therefore, no federal income tax provision is required. It is intended that the Portfolio’s assets will be managed so an investor in the Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code.

Management has analyzed the Portfolio’s tax positions taken on income tax returns for all open tax years and has concluded that as of August 31, 2015, 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 the Internal Revenue Service and state departments of revenue.

(h) 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.

54 Tax Free Reserves Portfolio 2015 Annual Report

During the year ended August 31, 2015, as a result of a voluntary expense limitation arrangement, the ratio of expenses, other than interest, brokerage, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets did not exceed 0.15%. This arrangement may be reduced or terminated under certain circumstances. Additional amounts may be voluntarily waived and/or reimbursed from time to time.

During the year ended August 31, 2015, fees waived and/or expenses reimbursed amounted to $1,179,278.

LMPFA is permitted to recapture amounts waived and/or reimbursed to the Portfolio during the same fiscal year under certain circumstances.

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. Investments

On July 24, 2015, Western Asset Institutional AMT Free Municipal Money Market Fund transferred all of its investable assets, with a value of $540,906,314 to the Portfolio in exchange for an interest in the Portfolio. In addition, Western Asset Institutional AMT Free Municipal Money Market Fund transferred cash of $18,698 and interest receivables of $304,666. The transaction was structured to qualify as a tax free exchange of assets into a partnership.

4. Derivative instruments and hedging activities

During the year ended August 31, 2015, the Portfolio did not invest in derivative instruments.

5. Money market fund reform

In July 2014, the U.S. Securities and Exchange Commission adopted money market fund reform to address potential systemic risks associated with money market funds and to improve transparency for money market fund investors. The reforms require institutional prime and institutional municipal money market funds to sell and redeem shares at prices based on their market value (a floating net asset value). The reforms also allow money market funds to impose liquidity fees and suspend redemptions temporarily, and impose new requirements related to diversification, stress testing, and disclosure. As a result, the Portfolio may be required to implement changes that will impact and may adversely affect the Portfolio and its investors. The compliance date for most of these changes is October 14, 2016.

Tax Free Reserves Portfolio 2015 Annual Report 55

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 (the “Portfolio”), a series of Master Portfolio Trust, including the schedule of investments, as of August 31, 2015, 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, 2015, by correspondence with the custodian and broker 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, 2015, 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 16, 2015

56 Tax Free Reserves Portfolio 2015 Annual Report

Additional information (unaudited)

Information about Trustees and Officers

The business and affairs of Western Asset Tax Free Reserves (the “Fund”) 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 Jane Trust, Legg Mason, 100 International Drive, 11th Floor, Baltimore, Maryland 21202. Information pertaining to the Trustees and officers of the Fund 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 1-203-703-6002.

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	53
Other board memberships held by Trustee during past five years	None
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, Long Light Capital, LLC, formerly known as Korsant Partners, LLC (a family investment company) (since 1997)
Number of funds in fund complex overseen by Trustee	53
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	53
Other board memberships held by Trustee during past five years	None

Western Asset Tax Free Reserves 23

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

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 Emeritus (since 2011) and formerly Chairman, HLB Gross Collins, P.C. (accounting and consulting firm) (1974 to 2011); Executive Director of Business Builders Team, LLC (since 2005); Principal, Gross Consulting Group, LLC (since 2011); CEO, Gross Capital Advisors, LLC (since 2011); CEO, Trusted CFO Solutions, LLC (since 2011)
Number of funds in fund complex overseen by Trustee	53
Other board memberships held by Trustee during past five years	None
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	53
Other board memberships held by Trustee during past five years	None
Diana R. Harrington
Year of birth	1940
Position(s) with Trust	Trustee and Chair
Term of office1 and length of time served2	Since 1992 (Chair of the Board since 2013)
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	53
Other board memberships held by Trustee during past five years	None
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); formerly, Associate, Cravath, Swaine & Moore (1980 to 1984) and (1977 to 1979)
Number of funds in fund complex overseen by Trustee	53
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)

24 Western Asset Tax Free Reserves

Independent Trustees cont’d
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	53
Other board memberships held by Trustee during past five years	Director and Trustee (since 1990) and formerly, Chairman (2005 to 2012) of various series of MainStay Family of Funds (66 funds); Investment Company Institute (ICI) Board of Governors (2006 to 2014); ICI Executive Committee (2011 to 2014); Chairman of the Independent Directors Council (2012 to 2014)
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 Emeritus (since 2012) and formerly, President, George Mason University (1996 to 2012)
Number of funds in fund complex overseen by Trustee	53
Other board memberships held by Trustee during past five years	Director Emeritus (since 2012) and formerly, Director, Cardinal Financial Corporation (2006 to 2012); Trustee, First Potomac Realty Trust (since 2005); Director, DeVry Inc. (educational services) (since 2012); 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)
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; Duncan Professor of Finance Emeritus, 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	53
Other board memberships held by Trustee during past five years	None

Western Asset Tax Free Reserves 25

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Interested Trustee and Officer:
Jane Trust, CFA3
Year of birth	1962
Position(s) with Trust	Trustee, President, and Chief Executive Officer
Term of office1 and length of time served2	Since 2015
Principal occupation(s) during past five years	Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2015); Officer and/or Trustee/Director of 156 funds associated with LMPFA or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly, Senior Vice President of LMPFA (2015); formerly, Director of ClearBridge, LLC (formerly, Legg Mason Capital Management, LLC) (2007 to 2014); formerly, Managing Director of Legg Mason Investment Counsel & Trust Co. (2000 to 2007)
Number of funds in fund complex overseen by Trustee	147
Other board memberships held by Trustee during past five years	None
Additional Officers:
Ted P. Becker Legg Mason 620 Eighth Avenue, 49th Floor, 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)
Susan Kerr Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018
Year of birth	1949
Position(s) with Trust	Chief Anti-Money Laundering Compliance Officer
Term of office1 and length of time served2	Since 2013
Principal occupation(s) during past five years	Assistant Vice President of Legg Mason & Co. and Legg Mason Investor Services, LLC (“LMIS”) (since 2010); Chief Anti-Money Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2013) and Anti-Money Laundering Compliance Officer of LMIS (since 2012); Senior Compliance Officer of LMIS (since 2011); formerly, AML Consultant, DTCC (2010); formerly, AML Consultant, Rabobank Netherlands, (2009); formerly, First Vice President, Director of Marketing & Advertising Compliance and Manager of Communications Review Group at Citigroup Inc. (1996 to 2008)

26 Western Asset Tax Free Reserves

Additional Officers cont’d
Vanessa A. Williams Legg Mason 100 First Stamford Place, 6th Floor, Stamford, CT 06902
Year of birth	1979
Position(s) with Trust	Identity Theft Prevention Officer
Term of office1 and length of time served2	Since 2011
Principal occupation(s) during past five years	Vice President of Legg Mason & Co. (since 2012); Identity Theft Prevention Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011); formerly, Chief Anti-Money Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (2011 to 2013); formerly, Senior Compliance Officer of Legg Mason & Co. (2008 to 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, 6th Floor, 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 — U.S. 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, 6th Floor, 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 of LM Asset Services, LLC (“LMAS”) (since 2002) and Legg Mason Fund Asset Management, Inc. (“LMFAM”) (since 2013) (formerly registered investment advisers)

Western Asset Tax Free Reserves 27

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Additional Officers cont’d
Richard F. Sennett Legg Mason 100 International Drive, 7th Floor, Baltimore, MD 21202
Year of birth	1970
Position(s) with Trust	Principal Financial Officer
Term of office1 and length of time served2	Since 2011
Principal occupation(s) during past five years	Principal Financial Officer and Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011 and since 2013); Managing Director of Legg Mason & Co. and Senior Manager of the Treasury Policy group for Legg Mason & Co.’s Global Fiduciary Platform (since 2011); formerly, Chief Accountant within the SEC’s Division of Investment Management (2007 to 2011); formerly, Assistant Chief Accountant within the SEC’s Division of Investment Management (2002 to 2007)
Steven Frank Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018
Year of birth	1967
Position(s) with Trust	Treasurer
Term of office1 and length of time served2	Since 2014
Principal occupation(s) during past five years	Vice President of Legg Mason & Co. and Legg Mason & Co. predecessors (since 2002); Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2010); formerly, Controller of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to 2010); formerly, Assistant Controller of certain mutual funds associated with Legg Mason & Co. predecessors (prior to 2005)
Jeanne M. Kelly Legg Mason 620 Eighth Avenue, 49th Floor, 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); President and Chief Executive Officer of LMAS and LMFAM (since 2015); Managing Director of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005); formerly, Senior Vice President of LMFAM (2013 to 2015)

† 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  Effective June 1, 2015, Ms. Trust became a Trustee. Ms. Trust is an “interested person” of the Fund, as defined in the 1940 Act, because of her position with LMPFA and/or certain of its affiliates.

28 Western Asset Tax Free Reserves

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 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, 2014 and August 31, 2015 (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 $172,000 in 2014 and $191,300 in 2015.

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 $0 in 2014 and $0 in 2015.

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 $19,500 in 2014 and $21,690 in 2015. 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 2014 and 2015; Tax Fees were 100% and 100% for 2014 and 2015; and Other Fees were 100% and 100% for 2014 and 2015.

(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 2015.

(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

Jane F. Dasher

Mark T. Finn

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 second fiscal quarter of the period covered by this 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/ Jane Trust
	Jane Trust
	Chief Executive Officer
Date:	October 22, 2015

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/ Jane Trust
	Jane Trust
	Chief Executive Officer
Date:	October 22, 2015
By:	/s/ Richard F. Sennett
	Richard F. Sennett
	Principal Financial Officer
	Date: October 22, 2015