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 | 811-21339 | |||||||
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MORGAN STANLEY INSTITUTIONAL LIQUIDITY FUNDS | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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1221 AVENUE OF THE AMERICAS 22ND FLOOR NEW YORK, NY |
| 10020 | ||||||
(Address of principal executive offices) |
| (Zip code) | ||||||
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RONALD E. ROBISON | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | 1-888-378-1630 |
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Date of fiscal year end: | 10/31 |
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Date of reporting period: | 10/31/05 |
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Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Fund’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
2005 Annual Report | |
| |
October 31, 2005 |
Morgan Stanley Institutional Liquidity Funds
Money Market Portfolio
Prime Portfolio
Government Portfolio
Treasury Portfolio
Tax-Exempt Portfolio
| 2005 Annual Report |
|
|
| October 31, 2005 |
Table of Contents
Shareholder’s Letter | 3 |
Performance Summary | 5 |
Investment Overviews and Portfolio of Investments |
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Money Market Portfolio | 6 |
Prime Portfolio | 11 |
Government Portfolio | 16 |
Treasury Portfolio | 20 |
Tax-Exempt Portfolio | 24 |
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Statements of Assets and Liabilities | 32 |
Statements of Operations | 34 |
Statements of Changes in Net Assets | 35 |
Financial Highlights | 40 |
Notes to Financial Statements | 44 |
Report of Independent Registered Public |
|
Accounting Firm | 47 |
Federal Income Tax Information | 48 |
Trustee and Officer Information | 49 |
This report is authorized for distribution only when preceded or accompanied by prospectuses of the Morgan Stanley Institutional Liquidity Funds. To receive a prospectus and/or SAI, which contains more complete information such as investment objectives, charges, expenses, policies for voting proxies, risk considerations, and describes in detail each of the Portfolio’s investment policies to the prospective investor, please call 1 (888) 378-1630. Please read the prospectus carefully before you invest or send money. Additionally, you can access portfolio information including performance, yields, characteristics, and investment team commentary through Morgan Stanley Investment Management’s website: www.morganstanley.com/im.
IS05-01062I–Y10/05
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| 2005 Annual Report |
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| October 31, 2005 |
Shareholder’s Letter
Dear Shareholders:
Overview
We are pleased to present the Morgan Stanley Institutional Liquidity Funds (“MSILF”) Annual Report for the year ended October 31, 2005. MSILF currently offers five portfolios (Money Market, Prime, Government, Treasury and Tax-Exempt), which together are designed to provide flexible cash management options. MSILF’s portfolios provide investors with a means to help them meet specific cash investment needs, whether they need a rated fund, capital preservation, or tax-efficient returns.
Sincerely,
Ronald E. Robison
President & Principal Executive Officer
November 2005
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| 2005 Annual Report |
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| October 31, 2005 |
Performance Summary (unaudited)
The seven-day current and seven-day effective yields (which assume an annualization of the current yield with all dividends reinvested) as of October 31, 2005, were as follows:
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| Institutional |
| Service |
| Investor |
| Administrative |
| Advisory |
| Participant |
| Cash Management |
| ||||||||||||||
|
| Class |
| Class |
| Class |
| Class |
| Class |
| Class |
| Class |
| ||||||||||||||
|
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
| 7-day |
|
|
| Current |
| Effective |
| Current |
| Effective |
| Current |
| Effective |
| Current |
| Effective |
| Current |
| Effective |
| Current |
| Effective |
| Current |
| Effective |
|
|
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
| Yield |
|
Portfolio: |
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|
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|
|
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|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
Money Market |
| 3.82% |
| 3.89% |
| 3.77% |
| 3.85% |
| 3.72% |
| 3.79% |
| 3.67% |
| 3.74% |
| 3.57% |
| 3.64% |
| 3.42% |
| 3.48% |
| 3.77% |
| 3.84% |
|
Prime |
| 3.82% |
| 3.89% |
| 3.77% |
| 3.84% |
| 3.72% |
| 3.79% |
| 3.67% |
| 3.74% |
| 3.57% |
| 3.63% |
| 3.42% |
| 3.48% |
| — |
| — |
|
Government |
| 3.86% |
| 3.94% |
| 3.81% |
| 3.88% |
| 3.76% |
| 3.83% |
| 3.71% |
| 3.78% |
| 3.61% |
| 3.68% |
| 3.46% |
| 3.52% |
| — |
| — |
|
Treasury |
| 3.80% |
| 3.87% |
| 3.75% |
| 3.82% |
| 3.70% |
| 3.77% |
| 3.65% |
| 3.72% |
| 3.55% |
| 3.61% |
| 3.40% |
| 3.46% |
| 3.75% |
| 3.82% |
|
Tax-Exempt |
| 2.61% |
| 2.65% |
| 2.56% |
| 2.60% |
| 2.51% |
| 2.54% |
| 2.46% |
| 2.49% |
| 2.36% |
| 2.39% |
| 2.21% |
| 2.24% |
| 2.56% |
| 2.60% |
|
Performance data quoted represent past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Performance assumes that all dividends and distributions, if any, were reinvested. For the most recent month-end performance figures, please visit www.morganstanley.com/im. Investment return and principal value will fluctuate causing portfolio shares, when redeemed, to be worth more or less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares.
Investments in the Money Market, Prime, Government, Treasury and Tax-Exempt Portfolios (the “Portfolios”) are neither insured nor guaranteed by the Federal Deposit Insurance Corporation. Although the Portfolios seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these Portfolios. Please read MSILF’s prospectuses carefully before you invest or send money.
Yield quotation more closely reflects the current earnings of the Portfolios than the total return. As with all money market portfolios, yields will fluctuate as market conditions change and the seven-day yields are not necessarily indicative of future performance.
IS05-01062I-Y10/05
5
2005 Annual Report | |
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|
October 31, 2005 |
Investment Overview (unaudited)
Money Market Portfolio
The Money Market Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Portfolio seeks to maintain a stable net asset value of $1.00 per share by investing in liquid, high quality U.S. dollar denominated money market instruments of U.S. and foreign financial and non-financial corporations.
Performance
For the fiscal year ended October 31, 2005, the Portfolio’s Institutional Share Class had a total return of 2.87%. For the seven-day period ended October 31, 2005, the Portfolio’s Institutional Share Class provided an annualized current yield of 3.82%, while its 30-day moving average annualized yield was 3.76%.
Factors Affecting Performance
In response to continued economic expansion and with higher energy prices threatening to feed through into broader inflation, the Federal Open Market Committee (“FOMC”) raised its federal funds target rate to 3.75% at its September 20th meeting. This was the eighth 25 basis point increase during the fiscal period under review and the eleventh consecutive meeting at which the FOMC raised monetary policy by this amount. At the September 20th FOMC meeting, the Federal Reserve (“Fed”) gave no indication of pausing its campaign of removing monetary policy accommodation at a measured pace. The Fed’s formal risk assessment for economic growth and price stability remains balanced.
During the fiscal period under review, the gross domestic product (“GDP”) consistently expanded at a healthy pace. Most recently, GDP grew an estimated 3.8% during the third quarter of 2005, a slight increase from the 3.3% rate of growth posted during the second quarter. First quarter 2005 and fourth quarter 2004, GDP advanced by 3.8% and 3.3%, respectively. Although recently depressed by several major hurricanes, non-farm payrolls grew by 158,250, on average, per month over the past fiscal year. October’s unemployment rate was 5.0%, a decline of 0.5% from the 5.5% rate that existed at the start of the fiscal period. Core inflation (excluding food and energy) measures have remained relatively tame during the past year. However, higher energy prices have partially contributed to a significant decline in consumer confidence over the past two months.
Management Strategy
As of October 31, 2005, the Portfolio had net assets of $3.1 billion and a weighted average maturity of 29 days. The Portfolio was composed of 51% commercial paper, 32% corporate notes, 11% repurchase agreements, and 8% certificates of deposit based on net assets.
Over the past fiscal year, we have continued to primarily follow a strategy of concentrating maturing investments near the next FOMC meeting date in order to capitalize on higher expected money market interest rates. This has primarily been achieved by investing in short commercial paper and certificates of deposit. In addition, we have focused on short reset floating rate notes, preferring bonds that reset based off of one month Libor, Fed Funds, and Prime. In order to diversify the maturity structure of the Portfolio and to also take advantage of the steepness in the money market yield curve, we have also selectively added several positions in commercial paper in the six-month or longer portion of the money market curve.
Expense Example
As a shareholder of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the six-month period ended October 31, 2005 for the Institutional, Service, Investor, Administrative, Advisory and Participant Classes and August 15, 2005 to October 31, 2005 for the Cash Management Class and held for the entire period.
Actual Expenses
The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Please note that Cash Management Class commenced operations on August 15, 2005, therefore, “Actual Expenses Paid During the Period” reflect activity from August 15, 2005 through October 31, 2005. All other share classes reflect activity from May 1, 2005 through October 31, 2005.
Hypothetical Example for Comparison Purposes
The second line of the tables below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and
6
| 2005 Annual Report |
|
|
| October 31, 2005 |
Investment Overview (cont’d)
Money Market Portfolio
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that while Cash Management Class commenced operations on August 15, 2005, the “Hypothetical Expenses Paid During the Period” reflect projected activity for the full six month period for the purposes of comparability. This projection assumes that the annualized expense ratio for Cash Management Class was in effect during the period from May 1, 2005 to October 31, 2005.
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.90 |
| $0.51 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.70 |
| 0.51 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.10%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Service Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.70 |
| $0.76 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.45 |
| 0.77 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Investor Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.40 |
| $1.02 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.20 |
| 1.02 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Administrative Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.20 |
| $1.27 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.95 |
| 1.28 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.25%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Advisory Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.70 |
| $1.78 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.44 |
| 1.79 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.35%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Participant Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,014.90 |
| $2.54 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,022.68 |
| 2.55 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
| Beginning |
| Ending Account |
| During Period* |
|
|
| Account Value |
| Value |
| August 15, 2005 |
|
|
| August 15, |
| October 31, |
| — October 31, |
|
|
| 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Cash Management Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,007.70 |
| $0.32 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.45 |
| 0.77 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 78/365 (to reflect the period).
7
2005 Annual Report |
|
October 31, 2005 |
Investment Overview (cont’d)
Money Market Portfolio
Graphic Presentation of Portfolio Holdings
The following graph depicts the Portfolio’s holdings by investment type, as a percentage of total investments.
8
| 2005 Annual Report |
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|
| October 31, 2005 |
Portfolio of Investments
Money Market Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Certificate of Deposit (8.2%) |
|
|
|
|
|
International Banks (8.2%) |
|
|
|
|
|
Credit Suisse First Boston |
|
|
|
|
|
3.80%, 12/8/05 |
| $ 40,000 |
| $ 39,989 |
|
HSH Nordbank AG |
|
|
|
|
|
3.77%, 11/1/05 |
| 50,000 |
| 50,000 |
|
Natexis Banques Populaires |
|
|
|
|
|
3.80%, 12/13/05 |
| 65,000 |
| 65,000 |
|
UBS AG |
|
|
|
|
|
3.77%, 11/1/05 |
| 49,000 |
| 49,000 |
|
Unicredito Italiano/New York |
|
|
|
|
|
3.90%, 12/28/05 |
| (b)50,000 |
| 49,997 |
|
Total Certificate of Deposit (Cost $253,986) |
|
|
| 253,986 |
|
Commercial Paper (50.6%) |
|
|
|
|
|
Asset Backed — Automotive (1.2%) |
|
|
|
|
|
Fcar Owner Trust |
|
|
|
|
|
4.04%, 12/9/05 |
| 36,659 |
| 36,503 |
|
Asset Backed — Consumer (1.5%) |
|
|
|
|
|
Bryant Park Funding LLC |
|
|
|
|
|
3.74%, 11/3/05 |
| (a)15,000 |
| 14,997 |
|
Gemini Securitization Corp. |
|
|
|
|
|
3.80%, 11/1/05 |
| (a)30,000 |
| 30,000 |
|
|
|
|
| 44,997 |
|
Asset Backed — Corporate (3.0%) |
|
|
|
|
|
Atlantis One Funding Corp. |
|
|
|
|
|
3.42%, 12/1/05 |
| 25,000 |
| 24,929 |
|
3.42%, 12/5/05 |
| (a)13,093 |
| 13,051 |
|
3.98%, 3/20/06 |
| 15,000 |
| 14,773 |
|
4.34%, 4/24/06 |
| 25,000 |
| 24,486 |
|
Eureka Securitization, Inc. |
|
|
|
|
|
4.07%, 12/8/05 |
| (a)15,000 |
| 14,938 |
|
|
|
|
| 92,177 |
|
Asset Backed — Diversified (2.1%) |
|
|
|
|
|
CRC Funding LLC |
|
|
|
|
|
3.72%, 11/4/05 |
| (a)15,000 |
| 14,995 |
|
4.06%, 12/12/05 |
| 20,000 |
| 19,908 |
|
Falcon Asset Securitization Corp. |
|
|
|
|
|
4.05%, 12/2/05 |
| (a)30,000 |
| 29,896 |
|
|
|
|
| 64,799 |
|
Asset Backed — Securities (16.5%) |
|
|
|
|
|
Amstel Funding Corp. |
|
|
|
|
|
3.85%, 12/15/05 |
| 50,000 |
| 49,766 |
|
4.05%, 12/1/05 |
| 40,000 |
| 39,865 |
|
4.17%, 3/27/06 |
| (a)20,000 |
| 19,667 |
|
Cancara Asset Securitization Ltd. |
|
|
|
|
|
4.05%, 11/1/05 |
| (a)25,000 |
| 25,000 |
|
CC USA, Inc. |
|
|
|
|
|
3.50%, 3/10/06 |
| (a)13,000 |
| 12,982 |
|
3.82%, 5/19/06 |
| (b)78,000 |
| 77,997 |
|
4.05%, 7/24/06 |
| 7,500 |
| 7,500 |
|
4.39%, 4/27/06 |
| 15,000 |
| 14,683 |
|
|
|
|
|
|
|
Dorada Finance, Inc. |
|
|
|
|
|
3.79%, 11/1/05 |
| $ (a)28,000 |
| $ 28,000 |
|
4.39%, 4/28/06 |
| 10,000 |
| 9,787 |
|
Golden Fish LLC |
|
|
|
|
|
4.06%, 12/13/05 |
| 20,000 |
| 19,906 |
|
Grampian Funding Ltd. |
|
|
|
|
|
3.50%, 12/9/05 |
| 30,000 |
| 29,889 |
|
3.60%, 12/20/05 |
| 20,000 |
| 19,904 |
|
3.74%, 12/30/05 |
| (a)20,273 |
| 20,149 |
|
3.75%, 11/10/05 |
| 25,000 |
| 24,975 |
|
Scaldis Capital LLC |
|
|
|
|
|
4.11%, 3/20/06 |
| 50,000 |
| 49,218 |
|
Solitaire Funding Ltd. |
|
|
|
|
|
3.99%, 12/13/05 |
| (a)15,579 |
| 15,507 |
|
White Pine Finance LLC |
|
|
|
|
|
3.95%, 3/15/06 |
| (a)43,000 |
| 42,996 |
|
|
|
|
| 507,791 |
|
Banking (0.6%) |
|
|
|
|
|
HSBC USA, Inc. |
|
|
|
|
|
3.97%, 3/20/06 |
| 20,000 |
| 19,696 |
|
Diversified Financial Services (4.7%) |
|
|
|
|
|
General Electric Capital Corp. |
|
|
|
|
|
3.42%, 11/28/05 |
| 30,000 |
| 29,923 |
|
3.68%, 3/14/06 |
| 10,000 |
| 9,866 |
|
4.07%, 6/16/06 — 8/17/06 |
| 85,000 |
| 85,088 |
|
General Electric Co. |
|
|
|
|
|
4.03%, 12/27/05 |
| 20,000 |
| 19,876 |
|
|
|
|
| 144,753 |
|
Finance — Corporate (1.6%) |
|
|
|
|
|
CIT Group, Inc. |
|
|
|
|
|
3.99%, 12/12/05 |
| 20,000 |
| 19,909 |
|
4.00%, 12/9/05 |
| 30,000 |
| 29,874 |
|
|
|
|
| 49,783 |
|
Insurance (1.4%) |
|
|
|
|
|
Allianz Finance Corp. |
|
|
|
|
|
3.70%, 11/2/05 |
| (a)(b)23,600 |
| 23,597 |
|
Irish Life & Permanent plc |
|
|
|
|
|
3.77%, 12/8/05 |
| (a)20,000 |
| 19,923 |
|
|
|
|
| 43,520 |
|
International Banks (14.8%) |
|
|
|
|
|
Banque Generale Du Luxembourg |
|
|
|
|
|
3.39%, 12/2/05 |
| 35,000 |
| 34,898 |
|
Banque Nationale de Paris |
|
|
|
|
|
3.91%, 6/19/06 |
| (b)70,000 |
| 69,990 |
|
Barclays U.S. Funding Corp. |
|
|
|
|
|
3.77%, 11/1/05 |
| 30,000 |
| 30,000 |
|
3.82%, 7/5/06 |
| (b)75,000 |
| 74,991 |
|
3.94%, 6/21/06 |
| (b)70,000 |
| 69,992 |
|
CBA Delaware Finance, Inc. |
|
|
|
|
|
3.47%, 12/14/05 |
| 12,325 |
| 12,274 |
|
Nordea N.A. |
|
|
|
|
|
3.36%, 11/14/05 |
| 50,000 |
| 49,940 |
|
The accompanying notes are an integral part of the financial statements.
9
2005 Annual Report |
|
October 31, 2005 |
Portfolio of Investments (cont’d)
Money Market Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
International Banks (cont’d) |
|
|
|
|
|
4.23%, 4/3/06 |
| $ 15,000 |
| $ 14,735 |
|
Skandinaviska Enskilda |
|
|
|
|
|
3.75%, 11/1/05 |
| (a)54,615 |
| 54,615 |
|
UBS Finance (Delaware) LLC |
|
|
|
|
|
3.78%, 11/1/05 |
| 45,310 |
| 45,310 |
|
|
|
|
| 456,745 |
|
Investment Bankers/Brokers/Services (3.2%) |
|
|
|
|
|
Goldman Sachs Group, Inc. |
|
|
|
|
|
3.97%, 6/9/06 — 7/14/06 |
| 100,000 |
| 100,000 |
|
Total Commercial Paper (Cost $1,560,764) |
|
|
| 1,560,764 |
|
Corporate Notes (32.0%) |
|
|
|
|
|
Asset Backed — Consumer (2.4%) |
|
|
|
|
|
Regency Markets No. 1 LLC |
|
|
|
|
|
3.85%, 11/15/05 |
| (a)72,879 |
| 72,770 |
|
Asset Backed — Diversified (0.8%) |
|
|
|
|
|
Preferred Receivable Funding |
|
|
|
|
|
4.05%, 11/10/05 |
| (a)25,000 |
| 24,975 |
|
Asset Backed — Securities (8.6%) |
|
|
|
|
|
Amstel Funding Corp. |
|
|
|
|
|
3.97%, 2/27/06 |
| (a)20,000 |
| 19,743 |
|
Beta Finance, Inc. |
|
|
|
|
|
3.81%, 6/13/06 |
| (a)(b)25,000 |
| 24,998 |
|
3.82%, 5/25/06 |
| (b)51,000 |
| 50,998 |
|
4.13%, 7/20/06 |
| (b)50,000 |
| 50,004 |
|
Dorada Finance, Inc. |
|
|
|
|
|
3.93%, 7/14/06 |
| (b)35,000 |
| 35,003 |
|
Grampian Funding Ltd. |
|
|
|
|
|
3.56%, 12/5/05 |
| (a)30,000 |
| 29,899 |
|
3.94%, 2/7/06 |
| 15,000 |
| 14,841 |
|
3.97%, 2/17/06 |
| 15,000 |
| 14,824 |
|
Scaldis Capital LLC |
|
|
|
|
|
3.43%, 12/7/05 |
| 15,000 |
| 14,949 |
|
4.06%, 11/21/05 |
| (a)10,514 |
| 10,490 |
|
|
|
|
| 265,749 |
|
Banking (1.3%) |
|
|
|
|
|
HSBC USA, Inc. |
|
|
|
|
|
4.00%, 7/18/06 |
| 20,000 |
| 20,000 |
|
4.30%, 4/18/06 |
| 19,000 |
| 19,000 |
|
|
|
|
| 39,000 |
|
Insurance (0.7%) |
|
|
|
|
|
Irish Life & Permanent plc |
|
|
|
|
|
3.76%, 12/2/05 |
| (a)20,000 |
| 19,935 |
|
International Banks (8.8%) |
|
|
|
|
|
Commerce Bank |
|
|
|
|
|
4.00%, 8/24/06 |
| 50,000 |
| 50,000 |
|
Nordea N.A. |
|
|
|
|
|
3.75%, 11/1/05 |
| 12,230 |
| 12,230 |
|
Norinchukin Bank/New York |
|
|
|
|
|
3.81%, 11/1/05 |
| 75,000 |
| 75,000 |
|
Royal Bank of Scotland plc |
|
|
|
|
|
3.97%, 4/21/10 |
| $(a)(b)135,000 |
| $ 135,000 |
|
|
|
|
| 272,230 |
|
Investment Bankers/Brokers/Services (9.4%) |
|
|
|
|
|
Bank of America Corp. |
|
|
|
|
|
3.81%, 12/9/05 - 8/10/06 |
| (b)80,000 |
| 80,000 |
|
4.14%, 2/20/06 |
| 75,000 |
| 75,000 |
|
Goldman Sachs Group, Inc. |
|
|
|
|
|
3.99%, 11/10/05 |
| 50,000 |
| 50,000 |
|
Merrill Lynch & Co., Inc. |
|
|
|
|
|
3.95%, 9/15/10 |
| (b)50,000 |
| 50,000 |
|
4.14%, 11/9/06 |
| 35,000 |
| 35,088 |
|
|
|
|
| 290,088 |
|
Total Corporate Notes (Cost $984,747) |
|
|
| 984,747 |
|
Repurchase Agreements (11.0%) |
|
|
|
|
|
Goldman Sachs Group, Inc., 4.03%, dated 10/31/05, due 11/1/05, repurchase price $278,586: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal National Mortgage Association, Adjustable Rate Mortgages: 3.62% to 7.00%, due 5/1/17 to 12/1/34, valued at $284,126. |
| 278,555 |
| 278,555 |
|
UBS Securities LLC, 4.03%, dated 10/31/05, due 11/1/05, repurchase price $60,007: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 3.87% to 5.47%, due 8/1/32 to 11/1/34; Federal National Mortgage Association, Adjustable Rate Mortgages: 3.44% to 5.23%, due 1/1/32 to 9/1/34, valued at $61,203. |
| 60,000 |
| 60,000 |
|
Total Repurchase Agreements (Cost $338,555) |
|
|
| 338,555 |
|
Total Investments (101.8%) (Cost $3,138,052) |
|
|
| 3,138,052 |
|
Liabilities in Excess of Other Assets (-1.8%) |
|
|
| (55,238) |
|
Net Assets (100%) |
|
|
| $ 3,082,814 |
|
(a) | 144A Security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(b) | Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on October 31, 2005. |
The accompanying notes are an integral part of the financial statements.
10
| 2005 Annual Report |
|
|
| October 31, 2005 |
Investment Overview (unaudited)
Prime Portfolio
The Prime Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Portfolio seeks to maintain a stable net asset value of $1.00 per share by investing in liquid, high quality money market instruments of domestic financial and non-financial corporations, as well as obligations of the U.S. government and its agencies and instrumentalities.
Performance
For the fiscal year ended October 31, 2005, the Portfolio’s Institutional Share Class had a total return of 2.87%. For the seven-day period ended October 31, 2005, the Portfolio’s Institutional Share Class provided an annualized current yield of 3.82%, while its 30-day moving average annualized yield was 3.75%.
Factors Affecting Performance
In response to continued economic expansion and with higher energy prices threatening to feed through into broader inflation, the Federal Open Market Committee (“FOMC”) raised its federal funds target rate to 3.75% at its September 20th meeting. This was the eighth 25 basis point increase during the fiscal period under review and the eleventh consecutive meeting at which the FOMC raised monetary policy by this amount. At the September 20th FOMC meeting, the Federal Reserve (“Fed”) gave no indication of pausing its campaign of removing monetary policy accommodation at a measured pace. The Fed’s formal risk assessment for economic growth and price stability remains balanced.
During the fiscal period under review, the gross domestic product (“GDP”) consistently expanded at a healthy pace. Most recently, GDP grew an estimated 3.8% during the third quarter of 2005, a slight increase from the 3.3% rate of growth posted during the second quarter. First quarter 2005 and fourth quarter 2004, GDP advanced by 3.8% and 3.3%, respectively. Although recently depressed by several major hurricanes, non-farm payrolls grew by 158,250, on average, per month over the past fiscal year. October’s unemployment rate was 5.0%, a decline of 0.5% from the 5.5% rate that existed at the start of the fiscal period. Core inflation (excluding food and energy) measures have remained relatively tame during the past year. However, higher energy prices have partially contributed to a significant decline in consumer confidence over the past two months.
Management Strategy
As of October 31, 2005, the Portfolio had net assets of $14.1 billion and an average maturity of 25 days. The Portfolio was comprised of 51% commercial paper, 24% corporate notes, 14% repurchase agreements, 8% certificates of deposit, and 6% time deposits based on net assets.
Over the past fiscal year, we have continued to primarily follow a strategy of concentrating maturing investments near the next FOMC meeting date in order to capitalize on higher expected money market interest rates. This has primarily been achieved by investing in short commercial paper and certificates of deposit. In addition, we have focused reset floating rate notes, preferring bonds that reset based off of one month Libor, Fed Funds, and Prime. In order diversify the maturity structure of the Portfolio and to also take advantage of the steepness in the money market yield curve, we have also selectively added several positions in commercial paper in the six-month or longer portion of t money market curve.
Expense Example
As a shareholder of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compar these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested from May 1, 2005 to October 31, 2005 and held for the entir period.
Actual Expenses
The first line of the tables below provides information actual account values and actual expenses. You may us information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the tables below provides information about hypothetical account values and hypothetical expe based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is n Portfolio’s actual return. The hypothetical account va expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. Y use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this hypothetical example with the 5% hypothetical examples appear in the shareholder reports of the other funds.
11
| 2005 Annual Report |
|
|
| October 31, 2005 |
Investment Overview (cont’d)
Prime Portfolio
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.90 |
| $0.56 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.65 |
| 0.56 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.11%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Service Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.70 |
| $0.81 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.40 |
| 0.82 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.16%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Investor Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.40 |
| $1.07 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.15 |
| 1.07 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.21%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Administrative Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.10 |
| $1.32 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.89 |
| 1.33 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.26%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Advisory Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.60 |
| $1.83 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.39 |
| 1.84 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.36%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Participant Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.00 |
| $2.59 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,022.63 |
| 2.60 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.51%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Graphic Presentation of Portfolio Holdings
The following graph depicts the Portfolio’s holdings by investment type, as a percentage of total investments.
12
2005 Annual Report |
|
|
|
October 31, 2005 |
|
Portfolio of Investments
Prime Portfolio
|
| Face |
|
|
| ||
|
| Amount |
| Value |
| ||
|
| (000) |
| (000) |
| ||
Certificate of Deposit (7.8%) |
|
|
|
|
| ||
Banking (1.6%) |
|
|
|
|
| ||
HSBC USA, Inc. |
|
|
|
|
| ||
4.25%, 4/3/06 |
| $100,000 |
| $99,992 |
| ||
4.30%, 4/18/06 |
| 58,000 |
| 58,001 |
| ||
Wells Fargo Bank NA |
|
|
|
|
| ||
4.03%, 12/2/05 |
| 69,400 |
| 69,400 |
| ||
|
|
|
| 227,393 |
| ||
Major Banks (6.2%) |
|
|
|
|
| ||
First Tennessee Bank NA |
|
|
|
|
| ||
2.75%, 12/13/05 |
| 75,000 |
| 74,881 |
| ||
3.77%, 11/1/05 |
| 400,000 |
| 400,000 |
| ||
SunTrust Bank |
|
|
|
|
| ||
4.00%, 9/26/06 |
| 152,000 |
| 151,983 |
| ||
Washington Mutual Bank FA |
|
|
|
|
| ||
4.04%, 12/6/05 |
| 250,000 |
| 250,000 |
| ||
|
|
|
| 876,864 |
| ||
Total Certificate of Deposit (Cost $1,104,257) |
|
|
| 1,104,257 |
| ||
Commercial Paper (51.4%) |
|
|
|
|
| ||
Asset Backed — Automotive (1.7%) |
|
|
|
|
| ||
DaimlerChrysler Revolving Auto Conduit LLC |
|
|
|
|
| ||
4.01%, 11/30/05 |
| 55,118 |
| 54,938 |
| ||
4.06%, 11/1/05 |
| 80,263 |
| 80,263 |
| ||
FCAR Owner Trust |
|
|
|
|
| ||
3.77%, 12/8/05 |
| 100,000 |
| 99,585 |
| ||
|
|
|
| 234,786 |
| ||
Asset Backed — Consumer (11.8%) |
|
|
|
|
| ||
Barton Capital Corp. |
|
|
|
|
| ||
3.42%, 12/5/05 |
| (a)135,728 |
| 135,213 |
| ||
3.56%, 11/1/05 |
| (a)136,713 |
| 136,713 |
| ||
3.98%, 12/6/05 |
| (a)100,934 |
| 100,539 |
| ||
4.34%, 12/8/05 |
| (a)160,000 |
| 159,338 |
| ||
Bryant Park Funding LLC |
|
|
|
|
| ||
2.52%, 11/15/05 |
| (a)100,204 |
| 100,047 |
| ||
3.92%, 12/12/05 |
| (a)45,381 |
| 45,173 |
| ||
4.04%, 11/1/05 - 11/3/05 |
| (a)102,658 |
| 102,648 |
| ||
Gemini Securitization Corp. |
|
|
|
|
| ||
4.39%, 11/15/05 |
| (a)100,000 |
| 99,854 |
| ||
Mont Blanc Capital Corp. |
|
|
|
|
| ||
3.81%, 11/30/05 |
| (a)70,000 |
| 69,772 |
| ||
4.00%, 12/9/05 |
| (a)75,000 |
| 74,682 |
| ||
Old Line Funding LLC |
|
|
|
|
| ||
4.27%, 11/1/05 |
| (a)72,517 |
| 72,517 |
| ||
Ranger Funding Corp. |
|
|
|
|
| ||
3.95%, 11/1/05 |
| (a)76,735 |
| 76,735 |
| ||
Regency Markets No. 1 LLC |
|
|
|
|
| ||
4.05%, 11/15/05 |
| (a)314,157 |
| 313,684 |
| ||
Sheffield Receivables Corp. |
|
|
|
|
| ||
3.99%, 11/1/05 |
| (a)175,000 |
| 175,000 |
| ||
|
|
|
| 1,661,915 |
| ||
Asset Backed — Corporate (4.3%) |
|
|
|
|
| ||
Atlantis One Funding Corp. |
|
|
|
|
| ||
3.70%, 12/28/05 |
| $ | (a)75,000 |
| $ | 74,580 |
|
3.85%, 3/20/06 |
| (a)53,373 |
| 52,565 |
| ||
3.88%, 12/14/05 |
| (a)38,786 |
| 38,602 |
| ||
3.89%, 12/1/05 |
| (a)35,000 |
| 34,901 |
| ||
4.03%, 11/16/05 |
| (a)45,885 |
| 45,821 |
| ||
4.09%, 4/24/06 |
| (a)100,000 |
| 97,946 |
| ||
CAFCO LLC |
|
|
|
|
| ||
3.95%, 11/2/05 |
| (a)64,596 |
| 64,589 |
| ||
4.12%, 12/5/05 |
| (a)100,000 |
| 99,622 |
| ||
Eureka Securitization, Inc. |
|
|
|
|
| ||
3.73%, 11/1/05 |
| (a)50,000 |
| 50,000 |
| ||
3.77%, 12/13/05 |
| (a)40,000 |
| 39,813 |
| ||
|
|
|
| 598,439 |
| ||
Asset Backed — Diversified (2.4%) |
|
|
|
|
| ||
CRC Funding LLC |
|
|
|
|
| ||
3.84%, 11/4/05 |
| (a)60,000 |
| 59,981 |
| ||
3.92%, 12/9/05 |
| (a)100,000 |
| 99,574 |
| ||
3.99%, 12/13/05 |
| (a)50,000 |
| 49,764 |
| ||
4.06%, 12/12/05 |
| (a)30,000 |
| 29,862 |
| ||
4.39%, 11/1/05 |
| (a)49,250 |
| 49,250 |
| ||
Preferred Receivables Funding |
|
|
|
|
| ||
3.96%, 12/2/05 |
| (a)51,203 |
| 51,025 |
| ||
|
|
|
| 339,456 |
| ||
Asset Backed — Securities (17.1%) |
|
|
|
|
| ||
Amstel Funding Corp. |
|
|
|
|
| ||
3.98%, 3/27/06 |
| (a)60,000 |
| 59,002 |
| ||
3.99%, 12/15/05 |
| (a)175,000 |
| 174,181 |
| ||
4.00%, 2/27/06 |
| (a)75,000 |
| 74,036 |
| ||
4.02%, 12/1/05 |
| (a)214,690 |
| 213,967 |
| ||
Cancara Asset Securitization LLC |
|
|
|
|
| ||
4.00%, 11/25/05 |
| (a)47,231 |
| 47,105 |
| ||
4.05%, 11/1/05 |
| (a)125,000 |
| 125,000 |
| ||
CC USA, Inc. |
|
|
|
|
| ||
3.74%, 4/27/06 |
| (a)45,000 |
| 44,049 |
| ||
3.80%, 11/1/05 |
| (a)40,000 |
| 40,000 |
| ||
Clipper Receivables Co., LLC |
|
|
|
|
| ||
3.72%, 11/14/05 |
| 30,000 |
| 29,960 |
| ||
Dorada Finance, Inc. |
|
|
|
|
| ||
4.30%, 4/28/06 |
| (a)40,000 |
| 39,149 |
| ||
Golden Fish LLC |
|
|
|
|
| ||
3.15%, 12/8/05 |
| (a)225,000 |
| 224,059 |
| ||
3.36%, 12/7/05 |
| (a)58,636 |
| 58,396 |
| ||
3.42%, 12/9/05 |
| (a)100,721 |
| 100,289 |
| ||
3.68%, 12/13/05 |
| 33,590 |
| 33,432 |
| ||
3.74%, 12/12/05 |
| (a)145,000 |
| 144,340 |
| ||
3.77%, 11/1/05 - 11/30/05 |
| (a)114,552 |
| 114,458 |
| ||
The accompanying notes are an integral part of the financial statements.
13
2005 Annual Report |
|
October 31, 2005 |
Portfolio of Investments (cont’d)
Prime Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Asset Backed — Securities (cont’d) |
|
|
|
|
|
Grampian Funding LLC |
|
|
|
|
|
3.75%, 11/10/05 |
| $ (a)100,000 |
| $ 99,899 |
|
3.97%, 3/24/06 |
| (a)166,500 |
| 163,821 |
|
4.02%, 12/5/05 |
| (a)110,000 |
| 109,631 |
|
4.06%, 12/9/05 |
| (a)110,000 |
| 109,595 |
|
4.08%, 2/17/06 |
| (a)60,000 |
| 59,294 |
|
4.09%, 2/7/06 |
| (a)60,000 |
| 59,363 |
|
4.11%, 12/20/05 |
| (a)60,000 |
| 59,711 |
|
Scaldis Capital LLC |
|
|
|
|
|
3.78%, 11/28/05 |
| (a)42,530 |
| 42,422 |
|
4.04%, 11/22/05 |
| (a)23,097 |
| 23,052 |
|
4.14%, 12/7/05 |
| (a)58,346 |
| 58,147 |
|
Solitaire Funding Ltd. |
|
|
|
|
|
4.04%, 12/13/05 |
| (a)47,000 |
| 46,782 |
|
White Pine Finance LLC |
|
|
|
|
|
3.92%, 2/15/06 |
| (a)49,000 |
| 48,997 |
|
|
|
|
| 2,402,137 |
|
Banking (0.7%) |
|
|
|
|
|
HSBC USA, Inc. |
|
|
|
|
|
3.97%, 3/20/06 |
| 95,000 |
| 93,555 |
|
Diversified Financial Services (4.5%) |
|
|
|
|
|
General Electric Capital Corp. |
|
|
|
|
|
3.75%, 11/1/05 |
| 175,000 |
| 175,000 |
|
3.82%, 11/28/05 |
| 150,000 |
| 149,617 |
|
3.99%, 3/14/06 |
| 65,000 |
| 64,128 |
|
4.02%, 11/14/05 |
| 50,000 |
| 49,939 |
|
4.06%, 11/17/05 |
| 90,000 |
| 89,874 |
|
General Electric Co. |
|
|
|
|
|
4.11%, 12/27/05 |
| 100,000 |
| 99,378 |
|
|
|
|
| 627,936 |
|
Finance — Automotive (0.8%) |
|
|
|
|
|
Toyota Motor Credit Corp. |
|
|
|
|
|
3.81%, 12/9/05 |
| 85,000 |
| 84,640 |
|
3.87%, 12/30/05 |
| 25,000 |
| 24,861 |
|
|
|
|
| 109,501 |
|
Finance — Consumer (1.4%) |
|
|
|
|
|
Pfizer, Inc. |
|
|
|
|
|
3.85%, 12/12/05 |
| 200,000 |
| 199,083 |
|
Finance — Corporate (1.9%) |
|
|
|
|
|
CIT Group, Inc. |
|
|
|
|
|
3.71%, 12/9/05 |
| 63,800 |
| 63,531 |
|
3.79%, 12/12/05 |
| 93,000 |
| 92,579 |
|
4.02%, 12/8/05 |
| 59,750 |
| 59,506 |
|
4.04%, 12/7/05 |
| 49,000 |
| 48,803 |
|
|
|
|
| 264,419 |
|
Insurance (0.5%) |
|
|
|
|
|
Allianz Finance Corp. |
|
|
|
|
|
4.30%, 11/2/05 |
| (a)70,000 |
| 69,993 |
|
International Banks (0.8%) |
|
|
|
|
|
Barclays U.S. Funding Corp. |
|
|
|
|
|
3.99%, 11/1/05 |
| 120,000 |
| 120,000 |
|
Investment Bankers/Brokers/Services (3.5%) |
|
|
|
|
|
Citigroup Global Markets Holdings, Inc. |
|
|
|
|
|
3.82%, 11/28/05 |
| $ 250,000 |
| $ 250,000 |
|
Credit Suisse First Boston USA, Inc. |
|
|
|
|
|
4.06%, 12/12/05 - 12/22/05 |
| 99,500 |
| 99,049 |
|
Goldman Sachs Group, Inc. |
|
|
|
|
|
3.84%, 7/14/06 |
| 150,000 |
| 150,000 |
|
|
|
|
| 499,049 |
|
Total Commercial Paper (Cost $7,220,269) |
|
|
| 7,220,269 |
|
Corporate Notes (23.8%) |
|
|
|
|
|
Asset Backed — Securities (9.5%) |
|
|
|
|
|
Beta Finance, Inc. |
|
|
|
|
|
3.82%, 5/24/06 - 5/25/06 |
| (a)(b)283,000 |
| 282,988 |
|
3.93%, 3/14/06 |
| (a)(b)50,000 |
| 50,002 |
|
3.96%, 3/20/06 |
| (a)(b)125,000 |
| 125,004 |
|
4.13%, 9/11/06 |
| (a)(b)50,000 |
| 50,004 |
|
CC USA, Inc. |
|
|
|
|
|
3.90%, 1/17/06 |
| (a)(b)115,000 |
| 114,995 |
|
4.05%, 7/24/06 |
| (a)15,000 |
| 14,999 |
|
4.06%, 12/1/05 |
| (a)(b)100,000 |
| 99,999 |
|
Dorada Finance, Inc. |
|
|
|
|
|
3.82%, 5/25/06 |
| (a)(b)125,000 |
| 124,995 |
|
3.90%, 1/17/06 |
| (a)(b)138,000 |
| 137,994 |
|
White Pine Finance LLC |
|
|
|
|
|
3.81%, 10/16/06 |
| (a)(b)80,000 |
| 79,984 |
|
3.99%, 8/25/06 |
| (a)(b)185,000 |
| 184,976 |
|
4.01%, 9/25/06 |
| (a)(b)75,000 |
| 74,987 |
|
|
|
|
| 1,340,927 |
|
Banking (2.0%) |
|
|
|
|
|
Fifth Third Bank |
|
|
|
|
|
3.99%, 11/23/09 |
| (a)(b)150,000 |
| 150,000 |
|
HSBC USA, Inc. |
|
|
|
|
|
3.81%, 5/16/06 |
| (b)75,000 |
| 75,000 |
|
4.00%, 7/18/06 |
| 55,000 |
| 55,000 |
|
|
|
|
| 280,000 |
|
Diversified Financial Services (0.4%) |
|
|
|
|
|
General Electric Capital Corp. |
|
|
|
|
|
4.04%, 11/9/06 |
| 50,000 |
| 50,081 |
|
Finance — Automotive (0.7%) |
|
|
|
|
|
Toyota Motor Credit Corp. |
|
|
|
|
|
3.79%, 11/6/06 |
| (b)100,000 |
| 100,000 |
|
Insurance (0.5%) |
|
|
|
|
|
MassMutual Global Funding II |
|
|
|
|
|
4.04%, 12/13/05 |
| (a)(b)65,000 |
| 65,014 |
|
Investment Bankers/Brokers/Services (7.6%) |
|
|
|
|
|
Bank of America Securities LLC |
|
|
|
|
|
4.28%, 2/20/06 |
| 273,500 |
| 273,500 |
|
Citigroup Global Markets Holdings, Inc. |
|
|
|
|
|
4.16%, 6/6/06 |
| (b)45,000 |
| 45,053 |
|
Goldman Sachs Group, Inc. |
|
|
|
|
|
3.97%, 6/9/06 |
| 200,000 |
| 200,000 |
|
3.99%, 11/10/05 |
| 125,000 |
| 125,000 |
|
The accompanying notes are an integral part of the financial statements.
14
| 2005 Annual Report |
|
|
| October 31, 2005 |
Portfolio of Investments (cont’d)
Prime Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Investment Bankers/Brokers/Services (cont’d) |
|
|
|
|
|
Merrill Lynch & Co., Inc. |
|
|
|
|
|
3.95%, 9/15/10 |
| $ (b)175,000 |
| $ 175,000 |
|
4.14%, 11/9/06 |
| 75,000 |
| 75,188 |
|
4.49%, 2/17/06 |
| (b)177,000 |
| 177,215 |
|
|
|
|
| 1,070,956 |
|
Major Banks (3.1%) |
|
|
|
|
|
Bank of America Corp. |
|
|
|
|
|
4.06%, 12/9/05 - 8/10/06 |
| (b)310,000 |
| 310,000 |
|
Fifth Third Bank |
|
|
|
|
|
3.79%, 11/1/05 |
| (b)25,000 |
| 25,000 |
|
Harris Trust & Savings Bank |
|
|
|
|
|
4.07%, 5/3/06 |
| (b)100,000 |
| 100,000 |
|
|
|
|
| 435,000 |
|
Total Corporate Notes (Cost $3,341,978) |
|
|
| 3,341,978 |
|
Time Deposit (6.3%) |
|
|
|
|
|
International Banks (1.1%) |
|
|
|
|
|
Sanpaolo IMI SpA |
|
|
|
|
|
4.00%, 11/1/05 |
| 160,000 |
| 160,000 |
|
Major Banks (5.2%) |
|
|
|
|
|
Regions Bank of Alabama |
|
|
|
|
|
3.99%, 11/1/05 |
| 325,000 |
| 325,000 |
|
SunTrust Bank |
|
|
|
|
|
4.00%, 11/1/05 |
| (b)400,000 |
| 400,000 |
|
|
|
|
| 725,000 |
|
Total Time Deposit (Cost $885,000) |
|
|
| 885,000 |
|
Repurchase Agreements (14.4%) |
|
|
|
|
|
Bear Stearns Cos., Inc., 4.03%, dated 10/31/05, due 11/1/05, repurchase price $775,087: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 3.53% to 5.88%, due 8/1/17 to 11/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 3.28% to 5.20%, due 11/1/17 to 2/1/44, valued at $790,502. |
| 775,000 |
| 775,000 |
|
Goldman Sachs Group, Inc., 4.03%, dated 10/31/05, due 11/1/05, repurchase price $1,054,233: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal National Mortgage Association, Conventional Pools: 3.66% to 11.00%, due 4/1/15 to 9/1/39; Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 4.13% to 5.10%, due 10/1/30 to 8/1/35; Federal Home Loan Mortgage Corp., Gold Pool: 9.50%, due 9/17/22, valued at $1,075,197. |
| 1,054,115 |
| 1,054,115 |
|
|
|
|
|
|
|
J.P. Morgan Securities, Inc., 4.02%, dated 10/31/05, due 11/1/05, repurchase price $200,022: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp. Discount Note: Zero coupon, due 3/13/06; Federal National Mortgage Association Discount Note: Zero coupon, due 11/1/05; U.S. Treasury Inflationary Indexed Bond, Fixed Rate, 2.38%, due 1/15/25, valued at $204,001. |
|
|
| $ 200,000 |
|
Total Repurchase Agreements (Cost $2,029,115) |
|
|
| 2,029,115 |
|
Total Investments (103.7%) (Cost $14,580,619) |
|
|
| 14,580,619 |
|
Liabilities in Excess of Other Assets (-3.7%) |
|
|
| (515,261) |
|
Net Assets (100%) |
|
|
| $ 14,065,358 |
|
(a) 144A Security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(b) Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on October 31, 2005.
The accompanying notes are an integral part of the financial statements.
15
2005 Annual Report |
|
|
|
October 31, 2005 |
|
Investment Overview (unaudited)
Government Portfolio
The Government Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Portfolio seeks to maintain a stable net asset value of $1.00 per share by investing exclusively in obligations of the U.S. government and its agencies and instrumentalities and in repurchase agreements collateralized by such securities.
Performance
For the fiscal year ended October 31, 2005, the Portfolio’s Institutional Share Class had a total return of 2.91%. For the seven-day period ended October 31, 2005, the Portfolio’s Institutional Share Class provided an annualized current yield of 3.86%, while its 30-day moving average annualized yield was 3.79%.
Factors Affecting Performance
In response to continued economic expansion and with higher energy prices threatening to feed through into broader inflation, the Federal Open Market Committee (“FOMC”) raised its federal funds target rate to 3.75% at its September 20th meeting. This was the eighth 25 basis point increase during the fiscal period under review and the eleventh consecutive meeting at which the FOMC raised monetary policy by this amount. At the September 20th FOMC meeting, the Federal Reserve (“Fed”) gave no indication of pausing its campaign of removing monetary policy accommodation at a measured pace. The Fed’s formal risk assessment for economic growth and price stability remains balanced.
During the fiscal period under review, the gross domestic product (“GDP”) consistently expanded at a healthy pace. Most recently, GDP grew an estimated 3.8% during the third quarter of 2005, a slight increase from the 3.3% rate of growth posted during the second quarter. First quarter 2005 and fourth quarter 2004, GDP advanced by 3.8% and 3.3%, respectively. Although recently depressed by several major hurricanes, non-farm payrolls grew by 158,250, on average, per month over the past fiscal year. October’s unemployment rate was 5.0%, a decline of 0.5% from the 5.5% rate that existed at the start of the fiscal period. Core inflation (excluding food and energy) measures have remained relatively tame during the past year. However, higher energy prices have partially contributed to a significant decline in consumer confidence over the past two months.
Management Strategy
As of October 31, 2005, the Portfolio had net assets of $2.6 billion and an average maturity of 9 days. As of the end of October, approximately 82% of the Portfolio was invested in overnight and term repurchase agreements, and 18% in Federal agency obligations based on net assets.
Over the past fiscal year, we have continued to follow primarily a strategy of concentrating our investments in either fixed rate securities that mature or floating rate notes that reset near the next FOMC meeting date in order to capitalize on higher expected money market interest rates. This has primarily been achieved by investing in overnight and term repurchase agreements, one-month Federal agency discount notes and floating rate notes. In order to diversify the maturity structure of the Portfolio and to also take advantage of the steepness in the money market yield curve, we have also selectively added several positions in discount notes or debentures in the six-month or longer portion of the money market curve.
Expense Example
As a shareholder of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested from May 1, 2005 to October 31, 2005 and held for the entire period.
Actual Expenses
The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the tables below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
16
| 2005 Annual Report |
|
|
| October 31, 2005 |
Investment Overview (cont’d)
Government Portfolio
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending |
| During Period* |
|
|
| Beginning |
| Account Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,017.10 |
| $0.25 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.95 |
| 0.26 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.05%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending |
| During Period* |
|
|
| Beginning |
| Account Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Service Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.80 |
| $0.51 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.70 |
| 0.51 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.10%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending |
| During Period* |
|
|
| Beginning |
| Account Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Investor Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.60 |
| $0.76 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.45 |
| 0.77 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending |
| During Period* |
|
|
| Beginning |
| Account Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Administrative Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.30 |
| $1.02 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.20 |
| 1.02 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending |
| During Period* |
|
|
| Beginning |
| Account Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Advisory Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.80 |
| $1.52 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.69 |
| 1.53 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.30%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending |
| During Period |
|
|
| Beginning |
| Account Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Participant Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.00 |
| $2.29 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,022.94 |
| 2.29 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.45%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Graphic Presentation of Portfolio Holdings
The following graph depicts the Portfolio’s holdings by investment type, as a percentage of total investments.
17
2005 Annual Report |
|
October 31, 2005 |
Portfolio of Investments
Government Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
U.S. Government & Agency Securities (18.5%) |
|
|
|
|
|
Federal Farm Credit Bank |
|
|
|
|
|
3.26%, 4/20/06 - 10/6/06 |
| $(b)40,000 |
| $ 39,993 |
|
3.27%, 8/18/06 |
| (b)25,000 |
| 24,996 |
|
3.51%, 12/28/06 |
| (b)40,000 |
| 39,991 |
|
3.80%, 3/22/07 |
| (b)25,000 |
| 24,991 |
|
3.83%, 10/6/06 |
| (b)19,800 |
| 19,804 |
|
3.98%, 12/29/06 |
| (b)30,000 |
| 29,995 |
|
Federal Home Loan Bank |
|
|
|
|
|
2.05%, 7/24/06 |
| 2,500 |
| 2,461 |
|
2.13%, 11/15/05 |
| 10,230 |
| 10,223 |
|
2.20%, 2/27/06 |
| 4,500 |
| 4,473 |
|
2.25%, 7/24/06 |
| 1,700 |
| 1,676 |
|
3.10%, 8/2/06 |
| (b)22,100 |
| 22,090 |
|
3.15%, 5/16/06 |
| (b)6,500 |
| 6,497 |
|
3.23%, 6/2/06 |
| (b)15,000 |
| 14,994 |
|
3.28%, 1/27/06 |
| (b)11,500 |
| 11,500 |
|
3.32%, 8/21/06 |
| (b)25,000 |
| 24,988 |
|
3.36%, 12/29/06 |
| (b)20,000 |
| 19,989 |
|
3.75%, 6/1/06 |
| (b)11,300 |
| 11,296 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
2.13%, 6/12/06 |
| 11,500 |
| 11,370 |
|
2.15%, 2/10/06 |
| 4,000 |
| 3,982 |
|
2.27%, 4/28/06 |
| 9,000 |
| 8,938 |
|
2.81%, 2/2/06 |
| 9,000 |
| 8,975 |
|
2.98%, 11/15/05 |
| 5,590 |
| 5,584 |
|
3.00%, 5/5/06 |
| 1,500 |
| 1,495 |
|
3.03%, 12/5/05 |
| 3,000 |
| 2,991 |
|
3.18%, 11/7/05 |
| (b)35,600 |
| 35,600 |
|
3.20%, 12/12/05 |
| 19,717 |
| 19,640 |
|
3.32%, 12/30/05 |
| 5,715 |
| 5,683 |
|
3.33%, 12/28/05 |
| 7,000 |
| 6,963 |
|
3.36%, 12/9/05 |
| 13,000 |
| 12,954 |
|
3.39%, 11/28/05 |
| 850 |
| 848 |
|
3.58%, 1/3/06 |
| 992 |
| 986 |
|
3.70%, 2/7/06 |
| 4,000 |
| 3,960 |
|
3.92%, 3/31/06 |
| 8,000 |
| 7,872 |
|
4.37%, 7/15/06 |
| 5,000 |
| 4,838 |
|
5.50%, 7/15/06 |
| 7,000 |
| 7,059 |
|
Federal National Mortgage Association |
|
|
|
|
|
2.15%, 4/13/06 |
| 3,125 |
| 3,099 |
|
3.69%, 12/7/05 |
| 1,910 |
| 1,903 |
|
3.97%, 12/29/05 |
| (b)21,000 |
| 20,999 |
|
Total U.S. Government & Agency Securities |
|
|
| 485,696 |
|
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Repurchase Agreements (81.7%) |
|
|
|
|
|
Bear Stearns Cos., Inc., 3.81%, dated 10/18/05, due 11/1/05, repurchase price $40,059: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgage: 4.21%, due 4/1/34; Federal National Mortgage Association, Adjustable Rate Mortgages: 3.89% to 4.51%, due 7/1/33 to 1/1/35, valued at $40,801. |
| $ 40,000 |
| $ 40,000 |
|
Bear Stearns Cos., Inc., 3.85%, dated 10/25/05, due 11/1/05, repurchase price $90,067: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 4.21% to 5.73%, due 7/1/32 to 4/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 4.46% to 5.04%, due 10/1/32 to 6/1/35, valued at $91,803. |
| 90,000 |
| 90,000 |
|
Bear Stearns Cos., Inc., 4.03%, dated 10/31/05, due 11/1/05, repurchase price $423,047: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 4.70% to 5.44%, due 10/1/32 to 10/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 3.57% to 5.24%, due 10/1/23 to 7/1/35, valued at $431,461. |
| 423,000 |
| 423,000 |
|
CS First Boston LLC, 4.02% dated 10/31/05, due 11/7/05, repurchase price $105,082: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal National Mortgage Association, Adjustable Rate Mortgages: 4.84% to 5.06%, due 9/1/34 to 3/1/35, valued at $107,102. |
| 105,000 |
| 105,000 |
|
CS First Boston LLC, 4.03%, dated 10/31/05, due 11/1/05, repurchase price $463,052: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgage: 5.24%, due 4/1/33; Federal National Mortgage Association, Adjustable Rate Mortgages: 4.08% to 5.06%, due 2/1/33 to 3/1/35, valued at $472,261. |
| 463,000 |
| 463,000 |
|
Goldman Sachs Group, Inc., 4.03%, dated 10/31/05, due 11/1/05, repurchase price $427,928: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Conventional Pool: 4.70% to 5.58, due 9/1/32 to 2/1/35; Federal National Mortgage Association, Fixed Rate Mortgages: 4.06% to 6.50%, due 11/1/32 to 11/1/35, valued at $436,438. |
| 427,880 |
| 427,880 |
|
The accompanying notes are an integral part of the financial statements.
18
| 2005 Annual Report |
|
|
| October 31, 2005 |
Portfolio of Investments (cont’d)
Government Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Repurchase Agreements (cont’d) |
|
|
|
|
|
UBS Securities LLC, 3.78%, dated 9/28/05, due 11/1/05, repurchase price $40,143: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 4.81% to 5.12%, due 2/1/32 to 4/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 4.01% to 4.86%, due 12/1/31 to 4/1/35, valued at $40,804. |
| $ 40,000 |
| $ 40,000 |
|
UBS Securities LLC, 3.78%, dated 9/29/05, due 11/1/05, repurchase price $35,121: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 4.21%, due 5/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 4.33% to 5.26%, due 10/1/31 to 7/1/35, valued at $35,704. |
| 35,000 |
| 35,000 |
|
UBS Securities LLC, 3.78%, dated 10/4/05, due 11/1/05, repurchase price $50,147: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 4.95% to 5.73%, due 6/1/32 to 6/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 3.89% to 5.60%, due 6/1/32 to 10/1/35, valued at $51,002. |
| 50,000 |
| 50,000 |
|
UBS Securities LLC, 3.95%, dated 10/24/05, due 11/14/05, repurchase price $40,092: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 3.66% to 4.21%, due 8/1/33 to 5/1/35; Federal National Mortgage Association, Adjustable Rate Mortgages: 4.34% to 4.79%, due 8/1/34 to 7/1/35, valued at $40,801. |
| 40,000 |
| 40,000 |
|
UBS Securities LLC, 4.03%, dated 10/27/05, due 12/13/05, repurchase price $30,158: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal National Mortgage Association, Adjustable Rate Mortgages: 4.13% to 4.98%, due 5/1/34 to 8/1/35, valued at $30,601. |
| 30,000 |
| 30,000 |
|
UBS Securities LLC, 4.03%, dated 10/31/05, due 11/1/05, repurchase price $395,044: fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corp., Adjustable Rate Mortgages: 3.20% to 6.12%, due 9/1/30 to 10/1/35; Federal National Mortgage Association, Conventional Pools: 5.78%, due 10/1/08; Federal National Mortgage Association, Adjustable Rate Mortgages: 3.59% to 5.36%, due 3/1/28 to 9/1/39, valued at $402,904. |
| $ 395,000 |
| $ 395,000 |
|
Total Repurchase Agreements (Cost $2,138,880) |
|
|
| 2,138,880 |
|
Total Investments (100.2%) (Cost $2,624,576) |
|
|
| 2,624,576 |
|
Liabilities in Excess of Other Assets (-0.2%) |
|
|
| (6,032) |
|
Net Assets (100%) |
|
|
| $ 2,618,544 |
|
(b) Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on October 31, 2005.
The accompanying notes are an integral part of the financial statements.
19
2005 Annual Report |
|
October 31, 2005 |
Investment Overview (unaudited)
Treasury Portfolio
The Treasury Portfolio seeks preservation of capital, daily liquidity and maximum current income. The Portfolio seeks to maintain a stable net asset value of $1.00 per share by investing exclusively in U.S. Treasury obligations and repurchase agreements collateralized by such securities.
Performance
For the fiscal year ended October 31, 2005, the Portfolio’s Institutional Share Class had a total return of 2.79%. For the seven-day period ended October 31, 2005, the Portfolio’s Institutional Share Class provided an annualized current yield of 3.80%, while its 30-day moving average annualized yield was 3.69%.
Factors Affecting Performance
In response to continued economic expansion and with higher energy prices threatening to feed through into broader inflation, the Federal Open Market Committee (“FOMC”) raised its federal funds target rate to 3.75% at its September 20th meeting. This was the eighth 25 basis point increase during the fiscal period under review and the eleventh consecutive meeting at which the FOMC raised monetary policy by this amount. At the September 20th FOMC meeting, the Federal Reserve (“Fed”) gave no indication of pausing its campaign of removing monetary policy accommodation at a measured pace. The Fed’s formal risk assessment for economic growth and price stability remains balanced.
During the fiscal period under review, the gross domestic product (“GDP”) consistently expanded at a healthy pace. Most recently, GDP grew an estimated 3.8% during the third quarter of 2005, a slight increase from the 3.3% rate of growth posted during the second quarter. First quarter 2005 and fourth quarter 2004, GDP advanced by 3.8% and 3.3%, respectively. Although recently depressed by several major hurricanes, non-farm payrolls grew by 158,250, on average, per month over the past fiscal year. October’s unemployment rate was 5.0%, a decline of 0.5% from the 5.5% rate that existed at the start of the fiscal period. Core inflation (excluding food and energy) measures have remained relatively tame during the past year. However, higher energy prices have partially contributed to a significant decline in consumer confidence over the past two months.
Management Strategy
As of October 31, 2005, the Portfolio had net assets of $88.2 million and a weighted average maturity of 2 days. As of the end of October, approximately 99% of the Portfolio was invested in overnight and term repurchase agreements along with 1% held in a U.S. Treasury note based on net assets.
Over the past fiscal year, we have continued to primarily follow a strategy of concentrating maturing investments near the next FOMC meeting date in order to capitalize on higher expected money market interest rates. This has primarily been achieved by investing in overnight and term repurchase agreements backed by Treasury collateral.
Expense Example
As a shareholder of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the six-month period ended October 31, 2005 for the Institutional, Service, Investor, Administrative, Advisory and Participant Classes and August 15, 2005 to October 31, 2005 for the Cash Management Class and held for the entire period.
Actual Expenses
The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Please note that Cash Management Class commenced operations on August 15, 2005, therefore, “Actual Expenses Paid During the Period” reflect activity from August 15, 2005 through October 31, 2005. All other share classes reflect activity from May 1, 2005 through October 31, 2005.
Hypothetical Example for Comparison Purposes
The second line of the tables below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
20
| 2005 Annual Report |
|
|
| October 31, 2005 |
Investment Overview (cont’d)
Treasury Portfolio
Please note that while Cash Management Class commenced operations on August 15, 2005, the “Hypothetical Expenses Paid During the Period” reflect projected activity for the full six month period for the purposes of comparability. This projection assumes that the annualized expense ratio for Cash Management Class was in effect during the period from May 1, 2005 to October 31, 2005.
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.60 |
| $0.25 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.95 |
| 0.26 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.05%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Service Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.30 |
| $0.51 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.70 |
| 0.51 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.10%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Investor Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,016.10 |
| $0.76 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.45 |
| 0.77 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.15%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Administrative Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.80 |
| $1.02 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.20 |
| 1.02 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.20%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Advisory Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,015.30 |
| $1.52 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.69 |
| $1.53 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.30%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Participant Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,014.50 |
| $2.28 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,022.94 |
| $2.29 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.45%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
| Beginning |
| Ending Account |
| During Period* |
|
|
| Account Value |
| Value |
| August 15, 2005 |
|
|
| August 15, |
| October 31, |
| — October 31, |
|
|
| 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Cash Management Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,007.60 |
| $0.21 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.70 |
| $0.51 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.10%, multiplied by the average account value over the period, multiplied by 78/365 (to reflect the period).
21
2005 Annual Report |
|
October 31, 2005 |
Investment Overview (cont’d)
Treasury Portfolio
Graphic Presentation of Portfolio Holdings
The following graph depicts the Portfolio’s holdings by investment type, as a percentage of total investments.
22
| 2005 Annual Report |
|
|
| October 31, 2005 |
Portfolio of Investments
Treasury Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
U.S Treasury Securities (0.9%) |
|
|
|
|
|
U.S. Treasury Note (0.9%) |
|
|
|
|
|
U.S. Treasury Note |
|
|
|
|
|
1.88%, 1/31/06 |
| $ 800 |
| $ 797 |
|
Total U.S Treasury Securities (Cost $797) |
|
|
| 797 |
|
Repurchase Agreements (99.3%) |
|
|
|
|
|
CS First Boston LLC, 3.94%, dated 10/31/05, due 11/1/05, repurchase price $20,402; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Note, 4.25%, due 10/31/07, valued at $20,810. |
| 20,400 |
| 20,400 |
|
Deutsche Bank Securities, Inc., 3.95%, dated 10/31/05, due 11/1/05, repurchase price $20,787; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Notes, 3.50% to 4.25%, due 11/15/06 to 8/15/14, valued at $21,201. |
| 20,785 |
| 20,785 |
|
Goldman Sachs Group, Inc., 3.70%, dated 10/18/05, due 11/1/05, repurchase price $2,003; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Bonds, 13.25%, due 5/15/14, valued at $2,041. |
| 2,000 |
| 2,000 |
|
Goldman Sachs Group, Inc., 3.74%, dated 10/25/05, due 11/1/05, repurchase price $3,002; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Bonds, 12.50% to 13.25%, due 5/15/14 to 8/15/14, valued at $3,061. |
| 3,000 |
| 3,000 |
|
Lehman Brothers, Inc., 3.91%, dated 10/31/05, due 11/1/05, repurchase price $18,102; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Note, 3.875%, due 9/15/10, valued at $18,466. |
| 18,100 |
| 18,100 |
|
Merrill Lynch, 3.88%, dated 10/31/05, due 11/1/05, repurchase price $3,000; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Note, 3.875%, due 5/15/10, valued at $3,064. |
| 3,000 |
| 3,000 |
|
UBS Securities LLC, 3.93%, dated 10/31/05, due 11/1/05, repurchase price $20,302; fully collateralized by U.S. government securities at the date of this Portfolio of Investments as follows: U.S. Treasury Note, 4.25%, due 10/15/10, valued at $20,708. |
| 20,300 |
| 20,300 |
|
Total Repurchase Agreements (Cost $87,585) |
|
|
| 87,585 |
|
Total Investments (100.2%) (Cost $88,382) |
|
|
| 88,382 |
|
Liabilities in Excess of Other Assets (-0.2%) |
|
|
| (220) |
|
Net Assets (100%) |
|
|
| $88,162 |
|
The accompanying notes are an integral part of the financial statements.
23
2005 Annual Report |
|
October 31, 2005 |
Investment Overview (unaudited)
Tax-Exempt Portfolio
The Tax-Exempt Portfolio seeks to maximize current income exempt from federal income tax to the extent consistent with preservation of capital and maintenance of liquidity. The Portfolio seeks to maintain a stable net asset value of $1.00 per share by investing at least 80% of its assets in high quality short-term municipal obligations, the interest of which is exempt from federal income taxes and is not subject to the federal alternative minimum tax.
Performance
For the fiscal year ended October 31, 2005, the Portfolio’s Institutional Share Class had a total return of 2.17%. For the seven-day period ended October 31, 2005, the Portfolio’s Institutional Share Class provided an annualized current yield of 2.61%, while its 30-day annualized moving average yield was 2.59%.
Factors Affecting Performance
The 100 basis point rise in the Federal Open Market Committee’s (“FOMC”) federal funds target rate to 3.75% combined with surging oil prices and a slow down in residential real estate activity helped short-term yields remainattractive throughout the period.
Yields for short-term instruments rose in response to the FOMC actions. Within the municipal money market, variable-rate securities performed particularly well, quickly adjusting their yields in response to changes in interest rates.
Demand for tax-exempt money market instruments remains strong as investors seek to preserve capital in a rising interest rate environment.
Management Strategy
We continued to manage the Portfolio conservatively in anticipation of subsequent interest-rate increases, favoring securities with daily or weekly rate reset features. This strategy allowed the Portfolio to benefit as yields rose.
Additionally, among fixed-rate instruments, we emphasized commercial paper with maturities of one to three months and to a lesser extent, municipal notes and bonds in the six to nine month range.
Meanwhile, we decreased exposure to notes with one-year maturities, to avoid hindering the Portfolio’s ability to reinvest assets in higher yielding securities as they came to market.
Expense Example
As a shareholder of the Portfolio, you incur ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the six-month period ended October 31, 2005 for the Institutional, Service, Investor, Administrative, Advisory and Participant Classes and August 15, 2005 to October 31, 2005 for the Cash Management Class and held for the entire period.
Actual Expenses
The first line of the tables below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Please note that Cash Management Class commenced operations on August 15, 2005, therefore, “Actual Expenses Paid During the Period” reflect activity from August 15, 2005 through October 31, 2005. All other share classes reflect activity from May 1, 2005 through October 31, 2005.
Hypothetical Example for Comparison Purposes
The second line of the tables below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that while Cash Management Class commenced operations on August 15, 2005, the “Hypothetical Expenses Paid During the Period” reflect projected activity for the full six month period for the purposes of comparability. This projection assumes that the annualized expense ratio for Cash Management Class was in effect during the period from May 1, 2005 to October 31, 2005
24
| 2005 Annual Report |
|
|
| October 31, 2005 |
Investment Overview (cont’d)
Tax-Exempt Portfolio
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,012.50 |
| $0.46 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.75 |
| 0.46 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.09%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Service Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,012.30 |
| $0.71 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.50 |
| 0.71 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.14%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Investor Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,012.00 |
| $0.96 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.25 |
| 0.97 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.19%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Administrative Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,011.70 |
| $1.22 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.00 |
| 1.22 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.24%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Advisory Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,011.20 |
| $1.72 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,023.49 |
| 1.73 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.34%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
|
|
| Ending Account |
| During Period* |
|
|
| Beginning |
| Value |
| May 1, 2005 — |
|
|
| Account Value |
| October 31, |
| October 31, |
|
|
| May 1, 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Participant Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,010.50 |
| $2.48 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,022.74 |
| 2.50 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.49%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
|
|
|
|
|
| Expenses Paid |
|
|
| Beginning |
| Ending Account |
| During Period* |
|
|
| Account Value |
| Value |
| August 15, 2005 |
|
|
| August 15, |
| October 31, |
| — October 31, |
|
|
| 2005 |
| 2005 |
| 2005 |
|
|
|
|
|
|
|
|
|
Cash Management Class |
|
|
|
|
|
|
|
Actual |
| $1,000.00 |
| $1,005.30 |
| $0.30 |
|
Hypothetical (5% average annual return before expenses) |
| 1,000.00 |
| 1,024.50 |
| 0.71 |
|
* Expenses are equal to the Portfolio’s annualized net expense ratio of 0.14%, multiplied by the average account value over the period, multiplied by 78/365 (to reflect the period).
Graphic Presentation of Portfolio Holdings
The following graph depicts the Portfolio’s holdings by investment type, as a percentage of total investments.
*Investment types which represent less than 3% of total investments are included in the category labeled “Other”.
25
2005 Annual Report |
|
October 31, 2005 |
Portfolio of Investments
Tax-Exempt Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Tax-Exempt Instruments (101.2%) |
|
|
|
|
|
Commercial Paper (24.3%) |
|
|
|
|
|
Baltimore County, MD, Consolidated Public Improvement, Series 2002 BANs |
|
|
|
|
|
2.68%, 11/21/05 |
| $16,600 |
| $ 16,600 |
|
Board of Governors of the University of North Carolina, Chapel Hill, Series 2004 B |
|
|
|
|
|
2.80%, 1/26/06 |
| 10,000 |
| 10,000 |
|
Clark County, NV, Motor Vehicle Fuel Tax, Series 2005 B |
|
|
|
|
|
2.70%, 11/17/05 |
| 1,600 |
| 1,600 |
|
Harris County, TX, Series A-1 |
|
|
|
|
|
2.78%, 12/14/05 |
| 13,943 |
| 13,943 |
|
2.80%, 12/14/05 |
| 730 |
| 730 |
|
Houston, TX, 1993, Series A |
|
|
|
|
|
2.82%, 1/25/06 |
| 15,000 |
| 15,000 |
|
Illinois Health Facilities Authority, Evanston Hospital Corp., Series 1995 |
|
|
|
|
|
2.63%, 11/3/05 |
| 1,500 |
| 1,500 |
|
Intermountain Power Agency, UT, 1997, Series B-3 |
|
|
|
|
|
2.73%, 12/13/05 |
| 6,000 |
| 6,000 |
|
Intermountain Power Agency, UT, 1997, Series B-4 |
|
|
|
|
|
2.75%, 12/19/05 |
| 5,000 |
| 5,000 |
|
Jacksonville, FL, Florida Power & Light Co., Series 1994 |
|
|
|
|
|
2.75%, 11/8/05 |
| 10,000 |
| 10,000 |
|
2.78%, 12/6/05 |
| 10,000 |
| 10,000 |
|
Louisiana Public Facilities Authority, Christus Health, Series 1999 B (Ambac) |
|
|
|
|
|
2.60%, 11/8/05 |
| 11,000 |
| 11,000 |
|
Lower Colorado River Authority, CO, Series A |
|
|
|
|
|
2.75%, 12/14/05 |
| 7,300 |
| 7,300 |
|
Metropolitan Atlanta Rapid Transit Authority, GA, Sales Tax, Series 2004 A |
|
|
|
|
|
2.72%, 11/29/05 |
| 5,000 |
| 5,000 |
|
Michigan, Multi-Modal School Loan, Series 2005 C |
|
|
|
|
|
2.63%, 12/5/05 |
| 10,000 |
| 10,000 |
|
Missouri Development Finance Board, Missouri Association of Municipal Utilities, Series 2005 A |
|
|
|
|
|
2.72%, 12/1/05 |
| 1,298 |
| 1,298 |
|
2.74%, 12/1/05 |
| 4,110 |
| 4,110 |
|
New York City Municipal Water Finance Authority, NY, Series 6 |
|
|
|
|
|
2.70%, 12/22/05 |
| 9,600 |
| 9,600 |
|
Palm Beach County School District, FL, Sales Tax, Series 2005 |
|
|
|
|
|
2.80%, 1/18/06 |
| 6,000 |
| 6,000 |
|
Salt River Project Agricultural Improvement & Power District, AZ, Series B |
|
|
|
|
|
2.72%, 11/21/05 |
| 17,450 |
| 17,450 |
|
San Antonio, TX, Electric & Gas, Series 1995 A |
|
|
|
|
|
2.82%, 1/19/06 |
| 10,000 |
| 10,000 |
|
2.85%, 1/19/06 |
| 5,500 |
| 5,500 |
|
San Antonio, TX, Water System, Series 2001 A |
|
|
|
|
|
2.70%, 11/21/05 |
| 6,000 |
| 6,000 |
|
Sunshine State Governmental Financing Commission, FL, City of Orlando, Series H |
|
|
|
|
|
2.80%, 1/18/06 |
| $ 6,000 |
| $ 6,000 |
|
Texas A&M University, Series B |
|
|
|
|
|
2.67%, 12/13/05 |
| 15,100 |
| 15,100 |
|
Texas Department of Transportation, State Highway Fund, Series 2005 A |
|
|
|
|
|
2.82%, 1/11/06 |
| 15,000 |
| 15,000 |
|
University of Minnesota Regents, Series 2005 A |
|
|
|
|
|
2.63%, 11/28/05 |
| 15,000 |
| 15,000 |
|
2.80%, 1/18/06 |
| 17,100 |
| 17,100 |
|
University of Texas Regents, Series 2002 A |
|
|
|
|
|
2.68%, 12/8/05-12/19/05 |
| 23,947 |
| 23,947 |
|
2.70%, 12/20/05 |
| 15,000 |
| 15,000 |
|
2.80%, 1/10/06 |
| 7,537 |
| 7,537 |
|
|
|
|
| 298,315 |
|
Daily Variable Rate Bonds (9.2%) |
|
|
|
|
|
Adelanto Public Utility Authority, CA, Utility System, Series 2005 A (Ambac) |
|
|
|
|
|
2.67%, 11/1/34 |
| 10,600 |
| 10,600 |
|
Allegheny County Higher Education Building Authority, PA, Carnegie Mellon University, Series 1998 |
|
|
|
|
|
2.60%, 12/1/33 |
| 700 |
| 700 |
|
Bell County Health Facilities Development Corp., TX, Scott & White Memorial Hospital, Series 2001-1 (MBIA) |
|
|
|
|
|
2.68%, 8/15/31 |
| 10,110 |
| 10,110 |
|
Bell County Health Facilities Development Corp., TX, Scott & White Memorial Hospital, Series 2001-2 (MBIA) |
|
|
|
|
|
2.68%, 8/15/31 |
| 1,400 |
| 1,400 |
|
California Department of Water Resources, Power Supply, Series 2002 B, Subseries B-1 |
|
|
|
|
|
2.64%, 5/1/22 |
| 11,200 |
| 11,200 |
|
Clarksville Public Building Authority, TN, Pooled Financing, Series 2001 |
|
|
|
|
|
2.72%, 7/1/31 |
| 4,200 |
| 4,200 |
|
Harris County Health Facilities Development Corp., TX, Young Men’s Christian Association of the Greater Houston Area, Series 1999 |
|
|
|
|
|
2.68%, 7/1/34 |
| 8,065 |
| 8,065 |
|
Illinois Finance Authority, Northwestern Memorial Hospital, Series 2004 B, Subseries |
|
|
|
|
|
2.68%, 8/15/38 |
| 1,300 |
| 1,300 |
|
Illinois Finance Authority, Northwestern Memorial Hospital, Series 2004 B, Subseries |
|
|
|
|
|
2.60%, 8/15/38 |
| 27,210 |
| 27,210 |
|
Illinois Health Facilities Authority, University of Chicago Hospitals, Series 1998 (MBIA) |
|
|
|
|
|
2.68%, 8/1/26 |
| 700 |
| 700 |
|
Jacksonville Health Facilities Authority, FL, Baptist Medical Center, Series 2003 A |
|
|
|
|
|
2.70%, 8/15/33 |
| 1,900 |
| 1,900 |
|
The accompanying notes are an integral part of the financial statements.
26
| 2005 Annual Report |
|
|
| October 31, 2005 |
Portfolio of Investments (cont’d)
Tax-Exempt Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Daily Variable Rate Bonds (cont’d) |
|
|
|
|
|
Louisiana Public Facilities Authority, Kenner Hotel Ltd., Series 1985 |
|
|
|
|
|
2.72%, 12/1/15 |
| $17,170 |
| $ 17,170 |
|
Missouri Development Finance Board, Nelson Gallery Foundation, Series 2004 A |
|
|
|
|
|
2.67%, 12/1/33 |
| 1,000 |
| 1,000 |
|
Missouri Health & Educational Facilities Authority, SSM Health Care, Series 2005 C-1 (FSA) |
|
|
|
|
|
2.60%, 6/1/19 |
| 1,200 |
| 1,200 |
|
Missouri Health & Educational Facilities Authority, Washington University, Series 2000 B |
|
|
|
|
|
2.68%, 3/1/40 |
| 2,100 |
| 2,100 |
|
Missouri Health & Educational Facilities Authority, Washington University, Series 2004 A |
|
|
|
|
|
2.68%, 2/15/34 |
| 320 |
| 320 |
|
Philadelphia Industrial Development Authority, PA, NewCourtland Elder Services, Series 2003 |
|
|
|
|
|
2.60%, 3/1/27 |
| 10,300 |
| 10,300 |
|
Pittsburgh Redevelopment Agency, CA, Los Medanos Community Development Sub 2004, Series A (Ambac) |
|
|
|
|
|
2.67%, 9/1/35 |
| 1,000 |
| 1,000 |
|
University of Delaware, Series 2001 B |
|
|
|
|
|
2.60%, 11/1/26 |
| 2,090 |
| 2,090 |
|
Washington Health Care Facilities Authority, Providence Services, Series 2002 A (MBIA) |
|
|
|
|
|
2.68%, 12/1/30 |
| 1,000 |
| 1,000 |
|
|
|
|
| 113,565 |
|
Municipal Bonds & Notes (7.5%) |
|
|
|
|
|
Aiken County Consolidated School District, SC, Series 2005 BANs |
|
|
|
|
|
3.25%, 7/14/06 |
| 2,800 |
| 2,804 |
|
Beaufort County School District, SC, Series 2005 A BANs |
|
|
|
|
|
3.15%, 7/14/06 |
| 2,200 |
| 2,202 |
|
Beaver Area School District, PA, Series 2005 TRANs |
|
|
|
|
|
3.50%, 6/30/06 |
| 1,709 |
| 1,714 |
|
Bend-La Pine Administrative School District No 1, OR, Series 2005 TRANs |
|
|
|
|
|
4.00%, 6/29/06 |
| 5,000 |
| 5,035 |
|
Burnt Hills - Ballston Lake Central School District, NY, Series 2005 A TANs |
|
|
|
|
|
3.75%, 7/13/06 |
| 1,250 |
| 1,259 |
|
Cobb County School District, GA, Series 2005 Notes |
|
|
|
|
|
3.00%, 12/30/05 |
| 4,200 |
| 4,202 |
|
Davis County, UT, Series 2005 TRANs |
|
|
|
|
|
3.75%, 12/29/05 |
| 3,000 |
| 3,006 |
|
Friendship Central School District, NY, Series 2005 BANs |
|
|
|
|
|
4.00%, 8/3/06 |
| 3,000 |
| 3,025 |
|
Gwinnett County School District, GA, Series 2005 TANs |
|
|
|
|
|
4.00%, 12/30/05 |
| 5,000 |
| 5,010 |
|
Hastings, NY, Series 2005 BANs |
|
|
|
|
|
3.25%, 7/14/06 |
| $ 1,500 |
| $ 1,502 |
|
Illinois Finance Authority, School Notes, Series 2005 A |
|
|
|
|
|
3.00%, 12/1/05 |
| 630 |
| 630 |
|
Indiana Bond Bank, Midyear Funding Notes, Series 2005 A |
|
|
|
|
|
3.50%, 1/27/06 |
| 4,510 |
| 4,521 |
|
Indianapolis Local Public Improvement Bond Bank, IN, Series 2005 F |
|
|
|
|
|
4.00%, 1/6/06 |
| 2,300 |
| 2,306 |
|
Lexington, MA, Series 2005 BANs |
|
|
|
|
|
3.25%, 2/1/06 |
| 6,803 |
| 6,810 |
|
Marlboro Central School District, NY, Series 2005 BANs |
|
|
|
|
|
4.25%, 4/13/06 |
| 3,273 |
| 3,290 |
|
Maryland Community Development Administration, Department of Housing and Community Development Residential Notes 2005, Series F |
|
|
|
|
|
3.12%, 11/24/06 |
| 7,000 |
| 7,000 |
|
Menomonee Falls School District, WI, Series 2005 TRANs |
|
|
|
|
|
4.25%, 8/24/06 |
| 11,000 |
| 11,097 |
|
New Bedford, MA, Series 2005 BANs |
|
|
|
|
|
4.00%, 2/24/06 |
| 13,605 |
| 13,653 |
|
New Berlin School District, WI, Series 2005 NANs |
|
|
|
|
|
4.00%, 2/15/06 |
| 8,500 |
| 8,527 |
|
Pioneer Valley Transportation Authority, MA, Series 2005 RANs |
|
|
|
|
|
4.00%, 8/3/06 |
| 1,000 |
| 1,007 |
|
Utica City School District, NY, Series 2005 RANs |
|
|
|
|
|
4.00%, 6/23/06 |
| 1,500 |
| 1,509 |
|
Wachusett Regional School District, MA, Series 2005 RANs |
|
|
|
|
|
3.75%, 6/30/06 |
| 1,500 |
| 1,509 |
|
Wood-Ridge, NJ, Series 2005 TRANs |
|
|
|
|
|
3.75%, 1/31/06 |
| 1,000 |
| 1,002 |
|
|
|
|
| 92,620 |
|
Put Option Bonds (2.3%) |
|
|
|
|
|
Northside Independent School District, TX, Series 2005 |
|
|
|
|
|
2.85%, 6/15/35 |
| 9,000 |
| 9,000 |
|
Oklahoma Water Resources Board, State Loan, Series 1994 A |
|
|
|
|
|
2.80%, 9/1/23 |
| 6,020 |
| 6,020 |
|
Oklahoma Water Resources Board, State Loan, Series 1999 |
|
|
|
|
|
2.80%, 9/1/32 |
| 3,200 |
| 3,200 |
|
Oklahoma Water Resources Board, State Loan, Series 2003 A |
|
|
|
|
|
2.85%, 10/1/36 |
| 5,000 |
| 5,000 |
|
Plaquemines Port Harbor & Terminal District, LA, Chevron Pipe Line Corp., Series 1984 |
|
|
|
|
|
3.00%, 9/1/08 |
| 4,700 |
| 4,700 |
|
|
|
|
| 27,920 |
|
The accompanying notes are an integral part of the financial statements.
27
2005 Annual Report |
|
October 31, 2005 |
Portfolio of Investments (cont’d)
Tax-Exempt Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Weekly Variable Rate Bonds (57.9%) |
|
|
|
|
|
American Public Energy Agency, NE, National Public Gas Agency 2003, Series A |
|
|
|
|
|
2.69%, 2/1/14 |
| $24,219 |
| $ 24,219 |
|
Arizona Tourism & Sports Authority, Multipurpose Stadium, Series 2003 A ROCs II-R, Subseries 2134 (MBIA) |
|
|
|
|
|
2.74%, 7/1/21 |
| 1,790 |
| 1,790 |
|
Barbers Hill Independent School District, TX, Series 2005 P-FLOATs PT-2982 |
|
|
|
|
|
2.74%, 2/15/24 |
| 9,140 |
| 9,140 |
|
Berkeley County School District, SC, School Building, Series 2005 P-FLOATs PT-3094 |
|
|
|
|
|
2.74%, 2/1/17 |
| 5,325 |
| 5,325 |
|
Bexar County Housing Finance Corp., TX, Multi-Family P-FLOATs PT-2082 |
|
|
|
|
|
2.74%, 1/20/10 |
| 1,500 |
| 1,500 |
|
Broomfield Urban Renewal Authority, CO, Broomfield Event Center, Series 2005 |
|
|
|
|
|
2.74%, 12/1/30 |
| 12,000 |
| 12,000 |
|
Broward County School Board, FL, Series 2005 COPs (FSA) |
|
|
|
|
|
2.70%, 7/1/21 |
| 14,000 |
| 14,000 |
|
Centerra Metropolitan District No 1, CO, Series 2004 |
|
|
|
|
|
2.73%, 12/1/29 |
| 11,900 |
| 11,900 |
|
Charlotte, NC, Convention Facility, Series 2003 B COPs |
|
|
|
|
|
2.75%, 12/1/21 |
| 5,000 |
| 5,000 |
|
Chicago Board of Education, IL, Series 2004 D (FSA) |
|
|
|
|
|
2.72%, 3/1/23 |
| 4,000 |
| 4,000 |
|
Clark County, NV, Airport Improvement Refunding 1993, Series A (MBIA) |
|
|
|
|
|
2.69%, 7/1/12 |
| 15,700 |
| 15,700 |
|
Colorado Educational & Cultural Facilities Authority, Oklahoma’s Public Radio, Series 2005 A |
|
|
|
|
|
2.72%, 3/1/25 |
| 6,255 |
| 6,255 |
|
Colorado Health Facilities Authority, Catholic Health Initiatives, Series 2004 B-4 |
|
|
|
|
|
2.70%, 3/1/23 |
| 1,300 |
| 1,300 |
|
Columbus Development Authority, GA, Student Housing Facilities, Series 2005 A |
|
|
|
|
|
2.74%, 9/1/30 |
| 5,425 |
| 5,425 |
|
Denver Urban Renewal Authority, CO, Stapleton Senior Tax Increment, Series 2004 A-1 P-FLOATs PT-999 |
|
|
|
|
|
2.79%, 12/1/24 |
| 1,500 |
| 1,500 |
|
Derry Township Industrial & Commercial Development Authority, PA, Hotel Tax Arena, Series 2000 A |
|
|
|
|
|
2.73%, 11/1/30 |
| 10,700 |
| 10,700 |
|
Detroit, MI, Water Supply System Refg Second Lien, Series 2001-C (FGIC) |
|
|
|
|
|
2.71%, 7/1/29 |
| 8,095 |
| 8,095 |
|
Dickinson County Economic Development Corp., MI, International Paper, Series 2002 A ROCs II-R, Subseries-439CE |
|
|
|
|
|
2.76%, 6/1/16 |
| $ 5,330 |
| $ 5,330 |
|
Duncanville Independent School District, TX, Series 2005 P-FLOATs PT-3224 |
|
|
|
|
|
2.74%, 2/15/26 |
| 6,000 |
| 6,000 |
|
East Bay Municipal Utility District, CA, Water System Sub Refunding, Series 2005 B-1 (XLCA) |
|
|
|
|
|
2.64%, 6/1/38 |
| 5,500 |
| 5,500 |
|
Easton Area School District, PA, Series 2005 (FSA) |
|
|
|
|
|
2.72%, 4/1/21 |
| 5,000 |
| 5,000 |
|
Fairfax County Industrial Development Authority, VA, Inova Health System Foundation, Series 2005 A-2 |
|
|
|
|
|
2.68%, 5/15/35 |
| 8,000 |
| 8,000 |
|
Fort Wayne, IN, Health Quest Realty X, Series 1993 A TOBs (FHA) |
|
|
|
|
|
2.87%, 8/1/13 |
| 1,250 |
| 1,250 |
|
Franklin County, OH, Doctors OhioHealth Corp., Series 2001 A ROCs II-R, Subseries 55 |
|
|
|
|
|
2.74%, 6/1/17 |
| 14,750 |
| 14,750 |
|
Glendale Heights, IL, Glendale Lakes, Series 2000 |
|
|
|
|
|
2.70%, 3/1/30 |
| 2,445 |
| 2,445 |
|
Hamilton County, OH, Twin Towers and Twin Lakes, Series 2003 A |
|
|
|
|
|
2.73%, 7/1/23 |
| 1,500 |
| 1,500 |
|
Hawaii Department of Budget and Finance, Queens Health System 1998, Series A |
|
|
|
|
|
2.68%, 7/1/26 |
| 4,800 |
| 4,800 |
|
Holt Public Schools, MI, Refunding, Series 2002 |
|
|
|
|
|
2.67%, 5/1/305 |
| 3,645 |
| 3,645 |
|
Houston, TX, Combined Utility System MERLOTs 2004, Series C13 (MBIA) |
|
|
|
|
|
2.72%, 5/15/25 |
| 1,310 |
| 1,310 |
|
Illinois Development Finance Authority, Jewish Federation of Metropolitan Chicago, Series 1999 (Ambac) |
|
|
|
|
|
2.70%, 9/1/24 |
| 7,460 |
| 7,460 |
|
Illinois Development Finance Authority, Palos Community Hospital, Series 1998 |
|
|
|
|
|
2.74%, 9/1/15 |
| 8,000 |
| 8,000 |
|
Illinois Finance Authority, Resurrection Health Care System, Series 2005 C |
|
|
|
|
|
2.71%, 5/15/35 |
| 7,100 |
| 7,100 |
|
Illinois Toll Highway Authority, Toll Highway Senior Priority, Series 2005 A P-FLOATs PT-3158 (FSA) |
|
|
|
|
|
2.74%, 1/1/23 |
| 5,355 |
| 5,355 |
|
Indiana Educational Facilities Authority, Bethel College, Series 2004 |
|
|
|
|
|
2.70%, 2/1/34 |
| 6,220 |
| 6,220 |
|
Indiana Health Facility Financing Authority, Community Health Network, Series 2005 C |
|
|
|
|
|
2.70%, 5/1/35 |
| 7,000 |
| 7,000 |
|
The accompanying notes are an integral part of the financial statements.
28
| 2005 Annual Report |
|
|
| October 31, 2005 |
Portfolio of Investments (cont’d)
Tax-Exempt Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Weekly Variable Rate Bonds (cont’d) |
|
|
|
|
|
Jackson County Hospital Finance Authority, MI, W. A. Foote Memorial Hospital, Series |
|
|
|
|
|
2.72%, 6/1/32 |
| $ 2,400 |
| $ 2,400 |
|
Kansas Department of Transportation, Highway, Series 2004 C-4 |
|
|
|
|
|
2.65%, 9/1/24 |
| 6,500 |
| 6,500 |
|
King County, WA, Harborview Medical Center ROCs II-R, Series 5036 (Ambac) |
|
|
|
|
|
2.74%, 12/1/13 |
| 1,820 |
| 1,820 |
|
Kirkwood School District Educational Facilities Authority, MO, Series 2005 B P-FLOATs PT-3164 (MBIA) |
|
|
|
|
|
2.74%, 2/15/24 |
| 8,015 |
| 8,015 |
|
Knoxville, TN, Wastewater System, Series 2005 A P-FLOATs PT-3155 (MBIA) |
|
|
|
|
|
2.74%, 4/1/32 |
| 5,515 |
| 5,515 |
|
Las Vegas, NV, Andre Agassi Charitable Foundation, Series 2005 |
|
|
|
|
|
2.70%, 10/1/35 |
| 9,500 |
| 9,500 |
|
Maine Health & Higher Educational Facilities Authority, VHA of New England Capital Asset Financing 1985, Series B (Ambac) |
|
|
|
|
|
2.72%, 12/1/25 |
| 1,400 |
| 1,400 |
|
Massachusetts Bay Transportation Authority, Series 2000 |
|
|
|
|
|
2.68%, 3/1/30 |
| 22,300 |
| 22,300 |
|
Massachusetts Development Finance Agency, Dana Hall School, Series 2004 |
|
|
|
|
|
2.71%, 6/1/34 |
| 2,500 |
| 2,500 |
|
Massachusetts Health & Educational Facilities Authority, Cape Cod Healthcare Obligated Group, 2004, Series D (Assured Guaranty) |
|
|
|
|
|
2.76%, 11/15/35 |
| 5,000 |
| 5,000 |
|
Massachusetts Health & Educational Facilities Authority, Partners HealthCare System Inc., 2003, Series D-4 |
|
|
|
|
|
2.68%, 7/1/38 |
| 3,900 |
| 3,900 |
|
Merrillville, IN, Southlake Care Center, Series 1992 A TOBs (FHA) |
|
|
|
|
|
2.87%, 7/1/11 |
| 640 |
| 640 |
|
Miami-Dade County Educational Facilities Authority, FL, Carlos Albizu University, Series 2000 |
|
|
|
|
|
2.75%, 12/1/25 |
| 9,200 |
| 9,200 |
|
Michigan State University, Series 2003 A |
|
|
|
|
|
2.67%, 2/15/33 |
| 27,200 |
| 27,200 |
|
Milan Area Schools, MI, Refunding, Series 2002 |
|
|
|
|
|
2.67%, 5/1/30 |
| 300 |
| 300 |
|
Minneapolis, MN, Fairview Health Services, Series 2005 A (Ambac) |
|
|
|
|
|
2.68%, 11/15/32 |
| 4,000 |
| 4,000 |
|
Minneapolis, MN, Guthrie Theater on the River, Series 2003 A |
|
|
|
|
|
2.70%, 10/1/23 |
| 17,300 |
| 17,300 |
|
Mississippi Development Bank, MGAM Natural Gas Supply, Series 2005 |
|
|
|
|
|
2.69%, 7/1/15 |
| $ 8,500 |
| $ 8,500 |
|
Mississippi Hospital Equipment & Facilities Authority, Baptist Memorial Health Care, Series 2004B1 P-FLOATs PA-1276 |
|
|
|
|
|
2.75%, 9/1/24 |
| 7,100 |
| 7,100 |
|
Municipal Securities Pooled Trust Receipts, Various States, Series 2004 SG P-18 |
|
|
|
|
|
2.85%, 1/1/35 |
| 15,410 |
| 15,410 |
|
Nevada System of Higher Education, NV, PUTTERs, Series 1134 2005 B (Ambac) |
|
|
|
|
|
2.74%, 7/1/13 |
| 5,300 |
| 5,300 |
|
New Castle County, DE, University Courtyard Apartments, Series 2005 |
|
|
|
|
|
2.73%, 8/1/31 |
| 5,000 |
| 5,000 |
|
New Hampshire Business Finance Authority, Cottage Hospital, Series 2005 |
|
|
|
|
|
2.70%, 7/1/35 |
| 6,600 |
| 6,600 |
|
New Hampshire Health & Education Facilities Authority, Weeks Medical Center, Series |
|
|
|
|
|
2.70%, 7/1/35 |
| 3,545 |
| 3,545 |
|
New Jersey Economic Development Authority, School Facilities Construction, Series 2005 O ROCs II-R, Subseries 437 |
|
|
|
|
|
2.75%, 3/1/30 |
| 5,620 |
| 5,620 |
|
New Jersey Transportation Trust Fund Authority, Series 2004 A PUTTERs, Subseries 503 (FGIC) |
|
|
|
|
|
2.73%, 6/15/12 |
| 2,450 |
| 2,450 |
|
New York City, NY, Fiscal 2006, Subseries E-4 |
|
|
|
|
|
2.71%, 8/1/34 |
| 28,500 |
| 28,500 |
|
New York State Dormitory Authority, Mental Health Facilities, Series 2003D-2F |
|
|
|
|
|
2.69%, 2/15/31 |
| 15,000 |
| 15,000 |
|
New York State Dormitory Authority, Mount St. Mary College, Series 2005 (Radian) |
|
|
|
|
|
2.74%, 7/1/355 |
| 3,000 |
| 3,000 |
|
New York State Dormitory Authority, Rochester General Hospital, Series 2005 P-FLOATs PA-1335 (Radian) |
|
|
|
|
|
2.75%, 12/1/35 |
| 17,940 |
| 17,940 |
|
New York State Local Government Assistance Corp., Series 1994 B |
|
|
|
|
|
2.59%, 4/1/23 |
| 3,700 |
| 3,700 |
|
North Carolina Capital Facilities Finance Agency, Barton College, Series 2004 |
|
|
|
|
|
2.72%, 7/1/19 |
| 5,200 |
| 5,200 |
|
North Carolina Medical Care Commission, Firsthealth of the Carolinas, Series 2002 |
|
|
|
|
|
2.69%, 10/1/32 |
| 2,600 |
| 2,600 |
|
North Carolina Medical Care Commission, Mission-St Joseph’s Health System, Series 2003 |
|
|
|
|
|
2.75%, 10/1/18 |
| 4,740 |
| 4,740 |
|
North Carolina, Series 2002 E |
|
|
|
|
|
2.68%, 5/1/21 |
| 15,295 |
| 15,295 |
|
The accompanying notes are an integral part of the financial statements.
29
2005 Annual Report |
|
October 31, 2005 |
Portfolio of Investments (cont’d)
Tax-Exempt Portfolio
|
| Face |
|
|
|
|
| Amount |
| Value |
|
|
| (000) |
| (000) |
|
Weekly Variable Rate Bonds (cont’d) |
|
|
|
|
|
Oak Forest, IL, Homewood South Suburban Mayors & Managers Association, Series 1989 |
|
|
|
|
|
2.70%, 7/1/24 |
| $13,050 |
| $ 13,050 |
|
Omaha, NE, Eagle #2004001 Class A |
|
|
|
|
|
2.74%, 4/1/27 |
| 1,000 |
| 1,000 |
|
Oregon Department of Administrative Services, COPs, Series 2005 B ROCs II-R, Subseries 7017 (FGIC) |
|
|
|
|
|
2.74%, 11/1/23 |
| 3,000 |
| 3,000 |
|
Oregon, Homeowner, Series 2005 A P-FLOATs MT-133 |
|
|
|
|
|
2.75%, 5/1/10 |
| 12,000 |
| 12,000 |
|
Orlando-Orange County Expressway Authority, FL, Series 2003C3 (FSA) |
|
|
|
|
|
2.68%, 7/1/25 |
| 5,150 |
| 5,150 |
|
Orlando-Orange County Expressway Authority, FL, Series 2005, Subseries A-1 (Ambac) |
|
|
|
|
|
2.68%, 7/1/40 |
| 5,400 |
| 5,400 |
|
Palm Beach County, FL, Hospice of Palm Beach County Inc., Series 2001 |
|
|
|
|
|
2.72%, 10/1/31 |
| 1,900 |
| 1,900 |
|
Park Creek Metropolitan District, CO, Series 2005 P-FLOATs MT-157 |
|
|
|
|
|
2.79%, 12/1/37 |
| 14,995 |
| 14,995 |
|
Pennsylvania Turnpike Commission, 2002, Series A-2 |
|
|
|
|
|
2.70%, 12/1/30 |
| 9,000 |
| 9,000 |
|
Perry County, MS, Leaf River Forest Products Inc., Series 2002 |
|
|
|
|
|
2.70%, 2/1/22 |
| 25,200 |
| 25,200 |
|
Phoenix Industrial Development Authority, AZ, Sunset Ranch Floater-TRs, Series 2001 FR/RI-C11 |
|
|
|
|
|
2.86%, 12/1/27 |
| 7,900 |
| 7,900 |
|
Pima County Industrial Development Authority, AZ, El Dorado Hospital, Series 2004 |
|
|
|
|
|
2.72%, 4/1/38 |
| 1,000 |
| 1,000 |
|
Polk County School Board, FL, Series 2003 A COPs (FSA) |
|
|
|
|
|
2.69%, 1/1/28 |
| 4,700 |
| 4,700 |
|
Portsmouth, VA, Series 2005 A ROCs II-R, Series 6054 (MBIA) |
|
|
|
|
|
2.74%, 4/1/21 |
| 3,180 |
| 3,180 |
|
Purdue University, IN, Student Facilities System, Series 2005 A |
|
|
|
|
|
2.67%, 7/1/29 |
| 3,200 |
| 3,200 |
|
Rhode Island Convention Center Authority, Refunding 2001, Series A (MBIA) |
|
|
|
|
|
2.70%, 5/15/27 |
| 1,255 |
| 1,255 |
|
Rhode Island Economic Development Corp., Airport 2005, Series C P-FLOATS PT-2953 (MBIA) |
|
|
|
|
|
2.74%, 7/1/23 |
| 2,165 |
| 2,165 |
|
Rhode Island Health & Educational Building Corp., Brown University 2005, Series A |
|
|
|
|
|
2.66%, 5/1/35 |
| $20,000 |
| $ 20,000 |
|
Rhode Island Health & Educational Building Corp., Meeting Street Center, Series 2005 |
|
|
|
|
|
2.70%, 6/1/35 |
| 6,400 |
| 6,400 |
|
Roaring Fork Municipal Products, WA, Washington Class A Certificates, Series 2005-4 (FSA) |
|
|
|
|
|
2.78%, 1/1/20 |
| 9,425 |
| 9,425 |
|
Saline Area Schools, MI, Series 2002 B |
|
|
|
|
|
2.67%, 5/1/30 |
| 7,460 |
| 7,460 |
|
Sayre Health Care Facilities Authority, PA, VHA of Pennsylvania Inc Capital Asset Financing, Series 1985 B (Ambac) |
|
|
|
|
|
2.72%, 12/1/20 |
| 1,700 |
| 1,700 |
|
South Carolina Jobs - Economic Development Authority, Oconee Memorial Hospital, Series 2005 A (Radian) |
|
|
|
|
|
2.75%, 10/1/35 |
| 5,000 |
| 5,000 |
|
Texas Water Development Board, Revolving Fund Senior Lien, Series 2000 A P-FLOATs PT-2187 |
|
|
|
|
|
2.72%, 7/15/21 |
| 1,040 |
| 1,040 |
|
Triborough Bridge & Tunnel Authority, NY, Series 2005 B-4 |
|
|
|
|
|
2.67%, 1/1/32 |
| 5,000 |
| 5,000 |
|
University of Minnesota Regents, Series 1999 A |
|
|
|
|
|
2.81%, 1/1/34 |
| 1,065 |
| 1,065 |
|
Virginia Public Building Authority, Series B ROCs II-R Series 6027 |
|
|
|
|
|
2.74%, 8/1/14 |
| 1,390 |
| 1,390 |
|
Volusia County Educational Facilities Authority, FL, Embry-Riddle Aeronautical University, Series 2005 ROCs II-R, Subseries 440 (Radian) |
|
|
|
|
|
2.75%, 10/15/35 |
| 3,125 |
| 3,125 |
|
Washington County Authority, PA, The Trustees of the University of Pennsylvania, Series 2004 |
|
|
|
|
|
2.65%, 7/1/34 |
| 8,000 |
| 8,000 |
|
Washington Higher Education Facilities Authority, Whitman College, Series 2004 |
|
|
|
|
|
2.68%, 10/1/29 |
| 5,070 |
| 5,070 |
|
Williamsburg, KY, Cumberland College, Series 2002 |
|
|
|
|
|
2.70%, 9/1/32 |
| 1,375 |
| 1,375 |
|
|
|
|
| 711,649 |
|
Total Tax-Exempt Instruments (Cost $1,244,069) |
|
|
| 1,244,069 |
|
Total Investments (101.2%) (Cost $1,244,069) |
|
|
| 1,244,069 |
|
Liabilities in Excess of Other Assets (-1.2%) |
|
|
| (14,251) |
|
Net Assets (100%) |
|
|
| $1,229,818 |
|
Ambac |
| — Ambac Assurance Corp. |
Assured Guaranty |
| — Assured Guaranty, Ltd. |
BANs |
| — Bond Anticipation Notes |
COPs |
| — Certificates of Participation |
FGIC |
| — Financial Guaranty Insurance Co. |
FHA |
| — Federal Housing Administration |
FSA |
| — Financial Security Assurance, Inc. |
The accompanying notes are an integral part of the financial statements.
30
| 2005 Annual Report |
|
|
| October 31, 2005 |
Portfolio of Investments (cont’d)
Tax-Exempt Portfolio
MBIA |
| — MBIA Insurance Corp. |
NANs |
| — Note Anticipation Notes |
P-FLOATS |
| — Puttable Floating Option Tax-Exempt Receipts |
Radian |
| — Radian Group, Inc. |
RANs |
| — Revenue Anticipation Notes |
ROCs |
| — Reset Option Certificates |
TANs |
| — Tax Anticipation Notes |
TOBs |
| — Tender Option Bonds |
TRANs |
| — Tax and Revenue Anticipation Notes |
XLCA |
| — XL Capital Assurance |
SUMMARY OF TAX-EXEMPT INSTRUMENTS BY STATE/TERRITORY
|
|
|
| Percent |
| |
|
| Value |
| of Net |
| |
STATE/TERRITORY |
| (000) |
| Assets |
| |
Texas |
| $ 175,323 |
| 14.3 | % |
|
New York |
| 93,325 |
| 7.6 |
|
|
Illinois |
| 78,750 |
| 6.4 |
|
|
Florida |
| 77,375 |
| 6.3 |
|
|
Michigan |
| 64,430 |
| 5.3 |
|
|
Massachusetts |
| 56,679 |
| 4.6 |
|
|
Colorado |
| 55,250 |
| 4.5 |
|
|
Minnesota |
| 54,465 |
| 4.4 |
|
|
Pennsylvania |
| 47,114 |
| 3.8 |
|
|
North Carolina |
| 42,835 |
| 3.5 |
|
|
Mississippi |
| 40,800 |
| 3.3 |
|
|
Louisiana |
| 32,870 |
| 2.7 |
|
|
Nevada |
| 32,100 |
| 2.6 |
|
|
Rhode Island |
| 29,820 |
| 2.4 |
|
|
California |
| 28,300 |
| 2.3 |
|
|
Arizona |
| 28,140 |
| 2.3 |
|
|
Nebraska |
| 25,219 |
| 2.1 |
|
|
Indiana |
| 25,136 |
| 2.1 |
|
|
Maryland |
| 23,600 |
| 1.9 |
|
|
Delaware |
| 22,500 |
| 1.8 |
|
|
Oregon |
| 20,035 |
| 1.6 |
|
|
Georgia |
| 19,636 |
| 1.6 |
|
|
Wisconsin |
| 19,625 |
| 1.6 |
|
|
Missouri |
| 18,043 |
| 1.5 |
|
|
Washington |
| 17,315 |
| 1.4 |
|
|
Ohio |
| 16,250 |
| 1.3 |
|
|
South Carolina |
| 15,331 |
| 1.3 |
|
|
Oklahoma |
| 14,220 |
| 1.2 |
|
|
Utah |
| 14,006 |
| 1.1 |
|
|
Virginia |
| 12,570 |
| 1.0 |
|
|
New Hampshire |
| 10,145 |
| 0.8 |
|
|
Tennessee |
| 9,715 |
| 0.8 |
|
|
New Jersey |
| 9,072 |
| 0.7 |
|
|
Kansas |
| 6,500 |
| 0.5 |
|
|
Hawaii |
| 4,800 |
| 0.4 |
|
|
Maine |
| 1,400 |
| 0.1 |
|
|
Kentucky |
| 1,375 |
| 0.1 |
|
|
|
| $ 1,244,069 |
| 101.2 | % |
|
The accompanying notes are an integral part of the financial statements.
31
2005 Annual Report |
|
October 31, 2005 |
Statements of Assets and Liabilities
|
| Money Market |
| Prime |
| Government |
| Treasury |
| Tax-Exempt |
|
|
| Portfolio |
| Portfolio |
| Portfolio |
| Portfolio |
| Portfolio |
|
|
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
Investments, at Cost: |
| $ 3,138,052 |
| $ 14,580,619 |
| $ 2,624,576 |
| $ 88,382 |
| $ 1,244,069 |
|
Investments, at Value:(1) |
| 3,138,052 |
| 14,580,619 |
| 2,624,576 |
| 88,382 |
| 1,244,069 |
|
Cash |
| 2 |
| 1 |
| 5 |
| @— |
| 28,603 |
|
Interest Receivable |
| 5,234 |
| 19,280 |
| 2,642 |
| 18 |
| 3,720 |
|
Receivable for Investments Sold |
| — |
| — |
| — |
| — |
| 1,810 |
|
Receivable from Investment Adviser |
| — |
| — |
| 183 |
| 8 |
| 53 |
|
Other Assets |
| 68 |
| 263 |
| 28 |
| 2 |
| 10 |
|
Total Assets |
| 3,143,356 |
| 14,600,163 |
| 2,627,434 |
| 88,410 |
| 1,278,265 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
Payable for Investments Purchased |
| 49,949 |
| 489,789 |
| — |
| — |
| 46,258 |
|
Dividends Declared |
| 10,217 |
| 43,130 |
| 8,387 |
| 228 |
| 2,020 |
|
Investment Advisory Fees Payable |
| 104 |
| 423 |
| — |
| — |
| — |
|
Payable for Administrative Fees |
| 148 |
| 607 |
| 117 |
| 3 |
| 42 |
|
Payable for Custodian Fees |
| 33 |
| 96 |
| 7 |
| 5 |
| 5 |
|
Payable for Transfer Agency Fees |
| 1 |
| 3 |
| @— |
| @— |
| @— |
|
Shareholder Administration Plan Fees Payable — |
|
|
|
|
|
|
|
|
|
|
|
Service Class |
| @— |
| 1 |
| @— |
| @— |
| @— |
|
Shareholder Administration Plan Fees Payable — |
|
|
|
|
|
|
|
|
|
|
|
Investor Class |
| @— |
| 2 |
| 26 |
| @— |
| @— |
|
Shareholder Administration Plan Fees Payable — |
|
|
|
|
|
|
|
|
|
|
|
Administrative Class |
| @— |
| @— |
| 2 |
| @— |
| @— |
|
Service and Shareholder Administration Plan Fees Payable — |
|
|
|
|
|
|
|
|
|
|
|
Advisory Class |
| @— |
| 15 |
| 31 |
| 2 |
| 10 |
|
Distribution and Shareholder Service Plans Fees Payable — |
|
|
|
|
|
|
|
|
|
|
|
Participant Class |
| @— |
| @— |
| @— |
| @— |
| @— |
|
Distribution Plan Fees Payable — |
|
|
|
|
|
|
|
|
|
|
|
Cash Management Class |
| @— |
| — |
| — |
| @— |
| @— |
|
Other Liabilities |
| 90 |
| 739 |
| 320 |
| 10 |
| 112 |
|
Total Liabilities |
| 60,542 |
| 534,805 |
| 8,890 |
| 248 |
| 48,447 |
|
Net Assets |
| $ 3,082,814 |
| $ 14,065,358 |
| $ 2,618,544 |
| $ 88,162 |
| $ 1,229,818 |
|
Net Assets Consist Of: |
|
|
|
|
|
|
|
|
|
|
|
Paid-in Capital |
| $ 3,082,814 |
| $ 14,065,364 |
| $ 2,618,544 |
| $ 88,161 |
| $ 1,229,818 |
|
Undistributed (Distributions in Excess of) Net |
|
|
|
|
|
|
|
|
|
|
|
Investment Income |
| @— |
| 4 |
| @— |
| — |
| — |
|
Accumulated Net Realized Gain (Loss) |
| @— |
| (10) |
| @— |
| 1 |
| — |
|
Net Assets |
| $ 3,082,814 |
| $ 14,065,358 |
| $ 2,618,544 |
| $ 88,162 |
| $ 1,229,818 |
|
(1) Including: |
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements, at Value: |
| $ 338,555 |
| $ 2,029,115 |
| $ 2,138,880 |
| $ 87,585 |
| $ — |
|
The accompanying notes are an integral part of the financial statements.
32
| 2005 Annual Report |
|
|
| October 31, 2005 |
Statements of Assets and Liabilities (cont’d)
|
| Money Market |
| Prime |
| Government |
| Treasury |
| Tax-Exempt |
|
|
| Portfolio |
| Portfolio |
| Portfolio |
| Portfolio |
| Portfolio |
|
|
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
|
INSTITUTIONAL CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $3,082,234 |
| $13,965,500 |
| $2,196,511 |
| $70,087 |
| $1,130,489 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 3,082,236,478 |
| 13,965,506,413 |
| 2,196,515,050 |
| 70,086,061 |
| 1,130,489,180 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
|
SERVICE CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 100 |
| $ 10,457 |
| $ 484 |
| $ 100 |
| $ 100 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 100,000 |
| 10,457,000 |
| 484,192 |
| 100,000 |
| 100,000 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
|
INVESTOR CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 100 |
| $ 20,000 |
| $ 279,012 |
| $ 100 |
| $ 104 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 100,000 |
| 20,000,000 |
| 279,011,850 |
| 100,000 |
| 104,380 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
|
ADMINISTRATIVE CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 100 |
| $ 100 |
| $ 10,877 |
| $ 100 |
| $ 100 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 100,000 |
| 100,000 |
| 10,876,984 |
| 100,000 |
| 100,000 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
|
ADVISORY CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 80 |
| $ 69,201 |
| $ 131,513 |
| $ 17,575 |
| $ 98,823 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 80,058 |
| 69,200,251 |
| 131,512,565 |
| 17,574,615 |
| 98,822,797 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
|
PARTICIPANT CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 100 |
| $ 100 |
| $ 147 |
| $ 100 |
| $ 102 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 100,000 |
| 100,000 |
| 147,370 |
| 100,000 |
| 101,536 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
| $ 1.00 |
|
CASH MANAGEMENT CLASS: |
|
|
|
|
|
|
|
|
|
|
|
Net Assets |
| $ 100 |
| $ — |
| $ — |
| $ 100 |
| $ 100 |
|
Shares Outstanding $0.01 par value shares of |
|
|
|
|
|
|
|
|
|
|
|
(unlimited number of shares authorized) (not in 000’s) |
| 100,000 |
| — |
| $ — |
| 100,000 |
| 100,000 |
|
Net Asset Value, Offering and Redemption Price Per Share |
| $ 1.00 |
| $ — |
| $ — |
| $ 1.00 |
| $ 1.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
@ Amount is less than $500.
The accompanying notes are an integral part of the financial statements.
33
2005 Annual Report | |
|
|
October 31, 2005 |
Statements of Operations
For the Year Ended October 31, 2005
|
| Money Market |
| Prime |
| Government |
| Treasury |
| Tax-Exempt |
|
|
| Portfolio |
| Portfolio |
| Portfolio |
| Portfolio |
| Portfolio |
|
|
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
Interest |
| $98,808 |
| $383,702 |
| $46,015 |
| $2,824 |
| $8,456 |
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
Investment Advisory Fees (Note B) |
| 5,023 |
| 19,430 |
| 2,219 |
| 158 |
| 519 |
|
Administration Fees (Note C) |
| 1,679 |
| 6,496 |
| 741 |
| 53 |
| 175 |
|
Registration and Filing Fees |
| 300 |
| 836 |
| 543 |
| 213 |
| 338 |
|
Custodian Fees (Note E) |
| 130 |
| 438 |
| 38 |
| 23 |
| 19 |
|
Professional Fees |
| 87 |
| 285 |
| 47 |
| 26 |
| 29 |
|
Trustees’ Fees and Expenses |
| 41 |
| 159 |
| 13 |
| 1 |
| 3 |
|
Shareholder Reporting Fees |
| 28 |
| 100 |
| 17 |
| 7 |
| 8 |
|
Transfer Agency Fees (Note C) |
| 2 |
| 6 |
| 1 |
| @— |
| @— |
|
Bank Overdraft Expense |
| 1 |
| 4 |
| 10 |
| @— |
| 1 |
|
Shareholder Administration Plan Fees — Service Class (Note D) |
| @— |
| 1 |
| 6 |
| @— |
| @— |
|
Shareholder Administration Plan Fees — Investor Class (Note D) |
| @— |
| 14 |
| 208 |
| @— |
| @— |
|
Shareholder Administration Plan Fees — Administrative Class (Note D) |
| @— |
| @— |
| 37 |
| @— |
| @— |
|
Service and Shareholder Administration Plan Fees — Advisory Class (Note D) |
| 1 |
| 84 |
| 102 |
| 13 |
| 70 |
|
Distribution and Shareholder Service Plans Fees — Participant Class (Note D) |
| @— |
| @— |
| @— |
| @— |
| 1 |
|
Distribution Plan Fees — Cash Management Class (Note D) |
| @— |
| — |
| — |
| @— |
| @— |
|
Other Expenses |
| 144 |
| 467 |
| 51 |
| 33 |
| 30 |
|
Total Expenses |
| 7,436 |
| 28,320 |
| 4,033 |
| 527 |
| 1,193 |
|
Waiver of Investment Advisory Fees (Note B) |
| (4,083 | ) | (14,341 | ) | (2,219 | ) | (158 | ) | (519 | ) |
Expenses Reimbursed by Adviser (Note B) |
| — |
| — |
| (706 | ) | (303 | ) | (291 | ) |
Expense Offset (Note E) |
| @— |
| (20 | ) | (4 | ) | @— |
| (2 | ) |
Net Expenses |
| 3,353 |
| 13,959 |
| 1,104 |
| 66 |
| 381 |
|
Net Investment Income (Loss) |
| 95,455 |
| 369,743 |
| 44,911 |
| 2,758 |
| 8,075 |
|
Realized Gain (Loss): |
|
|
|
|
|
|
|
|
|
|
|
Investments |
| 2 |
| 5 |
| @— |
| 1 |
| — |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
| $95,457 |
| $369,748 |
| $44,911 |
| $2,759 |
| $8,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
@ Amount is less than $500.
The accompanying notes are an integral part of the financial statements.
34
| 2005 Annual Report |
|
|
| October 31, 2005 |
Statements of Changes in Net Assets
|
| Money Market |
| Prime |
| ||||
|
|
|
| Period from |
|
|
| Period from |
|
|
|
|
| February 2, |
|
|
| February 2, |
|
|
| Year Ended |
| 2004* to |
| Year Ended |
| 2004* to |
|
|
| October 31, |
| October 31, |
| October 31, |
| October 31, |
|
|
| 2005 |
| 2004 |
| 2005 |
| 2004 |
|
|
| (000) |
| (000) |
| (000) |
| (000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| $ 95,455 |
| $ 19,002 |
| $ 369,743 |
| $ 49,256 |
|
Net Realized Gain (Loss) |
| 2 |
| (2 | ) | 5 |
| (15 | ) |
Net Increase (Decrease) in Net Assets Resulting from Operations |
| 95,457 |
| 19,000 |
| 369,748 |
| 49,241 |
|
Distributions from and/or in Excess of: |
|
|
|
|
|
|
|
|
|
Institutional Class: |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (95,432 | ) | (18,959 | ) | (368,357 | ) | (49,172 | ) |
Service Class:** |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (3 | ) | — |
| (81 | ) | — |
|
Investor Class:^ |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (3 | ) | (37 | ) | (382 | ) | — |
|
Administrative Class:** |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (3 | ) | — |
| (3 | ) | — |
|
Advisory Class:† |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (11 | ) | (6 | ) | (914 | ) | (84 | ) |
Participant Class:** |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (2 | ) | — |
| (2 | ) | — |
|
Cash Management Class:*** |
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (1 | ) | — |
| — |
| — |
|
Total Distributions |
| (95,455 | ) | (19,002 | ) | (369,739 | ) | (49,256 | ) |
Capital Share Transactions:(1) |
|
|
|
|
|
|
|
|
|
Institutional Class: |
|
|
|
|
|
|
|
|
|
Subscribed |
| 22,656,999 |
| 11,439,898 |
| 113,064,803 |
| 33,974,259 |
|
Distributions Reinvested |
| 66,407 |
| 8,193 |
| 199,398 |
| 24,233 |
|
Redeemed |
| (22,718,202 | ) | (8,371,061 | ) | (108,031,572 | ) | (25,265,715 | ) |
Service Class:** |
|
|
|
|
|
|
|
|
|
Subscribed |
| 100 |
| — |
| 58,993 |
| — |
|
Distributions Reinvested |
| — |
| — |
| — |
| — |
|
Redeemed |
| — |
| — |
| (48,536 | ) | — |
|
Investor Class:^ |
|
|
|
|
|
|
|
|
|
Subscribed |
| 100 |
| 50,004 |
| 146,900 |
| — |
|
Distributions Reinvested |
| — |
| 37 |
| 310 |
| — |
|
Redeemed |
| — |
| (50,041 | ) | (127,210 | ) | — |
|
Administrative Class:** |
|
|
|
|
|
|
|
|
|
Subscribed |
| 100 |
| — |
| 100 |
| — |
|
Distributions Reinvested |
| — |
| — |
| — |
| — |
|
Redeemed |
| — |
| — |
| — |
| — |
|
Advisory Class:† |
|
|
|
|
|
|
|
|
|
Subscribed |
| 15,830 |
| 4,832 |
| 428,211 |
| 70,860 |
|
Distributions Reinvested |
| — |
| — |
| 624 |
| 62 |
|
Redeemed |
| (17,255 | ) | (3,327 | ) | (375,984 | ) | (54,572 | ) |
Participant Class:** |
|
|
|
|
|
|
|
|
|
Subscribed |
| 100 |
| — |
| 100 |
| — |
|
Distributions Reinvested |
| — |
| — |
| — |
| — |
|
Redeemed |
| — |
| — |
| — |
| — |
|
Cash Management Class:*** |
|
|
|
|
|
|
|
|
|
Subscribed |
| 100 |
| — |
| — |
| — |
|
Distributions Reinvested |
| — |
| — |
| — |
| — |
|
Redeemed |
| @— |
| — |
| — |
| — |
|
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions |
| 4,279 |
| 3,078,535 |
| 5,316,137 |
| 8,749,127 |
|
Total Increase (Decrease) in Net Assets |
| 4,281 |
| 3,078,533 |
| 5,316,146 |
| 8,749,112 |
|
The accompanying notes are an integral part of the financial statements.
35
2005 Annual Report | |
|
|
October 31, 2005 |
Statements of Changes in Net Assets (cont’d)
|
| Money Market |
| Prime |
| |||||
|
|
|
| Period from |
|
|
| Period from |
| |
|
|
|
| February 2, |
|
|
| February 2, |
| |
|
| Year Ended |
| 2004* to |
| Year Ended |
| 2004* to |
| |
|
| October 31, |
| October 31, |
| October 31, |
| October 31, |
| |
|
| 2005 |
| 2004 |
| 2005 |
| 2004 |
| |
|
| (000) |
| (000) |
| (000) |
| (000) |
| |
Net Assets: |
|
|
|
|
|
|
|
|
| |
Beginning of Period |
| 3,078,533 |
| — |
| 8,749,212 |
| 100 |
| |
End of Period |
| $ 3,082,814 |
| $ 3,078,533 |
| $ 14,065,358 |
| $ 8,749,212 |
| |
Undistributed (Distributions in Excess of) Net Investment |
|
|
|
|
|
|
|
|
| |
| Income Included in End of Period Net Assets |
| $ @— |
| $ @— |
| $ 4 |
| $ @— |
|
(1) | Capital Share Transactions: |
|
|
|
|
|
|
|
|
|
| Institutional Class: |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 22,656,996 |
| 11,439,897 |
| 113,064,798 |
| 33,974,258 |
|
| Shares Issued on Distributions Reinvested |
| 66,407 |
| 8,193 |
| 199,394 |
| 24,233 |
|
| Shares Redeemed |
| (22,718,196 | ) | (8,371,061 | ) | (108,031,564 | ) | (25,265,713 | ) |
| Net Increase (Decrease) in Institutional Class Shares Outstanding |
| 5,207 |
| 3,077,029 |
| 5,232,628 |
| 8,732,778 |
|
| Service Class:** |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 100 |
| — |
| 58,993 |
| — |
|
| Shares Issued on Distributions Reinvested |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| — |
| — |
| (48,536 | ) | — |
|
| Net Increase (Decrease) in Service Class Shares Outstanding |
| 100 |
| — |
| 10,457 |
| — |
|
| Investor Class:^ |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 100 |
| 50,004 |
| 146,900 |
| — |
|
| Shares Issued on Distributions Reinvested |
| — |
| 37 |
| 310 |
| — |
|
| Shares Redeemed |
| — |
| (50,041 | ) | (127,210 | ) | — |
|
| Net Increase (Decrease) in Investor Class Shares Outstanding |
| 100 |
| — |
| 20,000 |
| — |
|
| Administrative Class:** |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 100 |
| — |
| 100 |
| — |
|
| Shares Issued on Distributions Reinvested |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| — |
| — |
| — |
| — |
|
| Net Increase (Decrease) in Administrative Class Shares Outstanding |
| 100 |
| — |
| 100 |
| — |
|
| Advisory Class:† |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 15,830 |
| 4,832 |
| 428,211 |
| 70,838 |
|
| Shares Issued on Distributions Reinvested |
| — |
| — |
| 624 |
| 84 |
|
| Shares Redeemed |
| (17,255 | ) | (3,327 | ) | (375,984 | ) | (54,572 | ) |
| Net Increase (Decrease) in Advisory Class Shares Outstanding |
| (1,425 | ) | 1,505 |
| 52,851 |
| 16,350 |
|
| Participant Class:** |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 100 |
| — |
| 100 |
| — |
|
| Shares Issued on Distributions Reinvested |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| — |
| — |
| — |
| — |
|
| Net Increase (Decrease) in Participant Class Shares Outstanding |
| 100 |
| — |
| 100 |
| — |
|
| Cash Management Class:*** |
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 100 |
| — |
| — |
| — |
|
| Shares Issued on Distributions Reinvested |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| @— |
| — |
| — |
| — |
|
| Net Increase (Decrease) in Cash Management Class Shares Outstanding |
| 100 |
| — |
| — |
| — |
|
* | Commencement of Operations |
** | The Money Market and Prime Portfolios’ Service, Administrative and Participant classes commenced offering on November 1, 2004. |
*** | The Money Market Portfolio’s Cash Management class commenced offering on August 15, 2005. |
^ | The Money Market and Prime Portfolios’ Investor classes commenced offering on June 16, 2004 and November 1, 2004, respectively. |
† | The Money Market and Prime Portfolios’ Advisory classes commenced offering on February 6, 2004 and April 29, 2004, respectively. |
@ | Amount is less than $500 or 500 shares. |
The accompanying notes are an integral part of the financial statements.
36
| 2005 Annual Report |
|
|
| October 31, 2005 |
Statements of Changes in Net Assets
|
| Government |
| Treasury |
| Tax-Exempt |
| ||||||
|
|
|
| Period from |
|
|
| Period from |
|
|
| Period from |
|
|
|
|
| August 9, |
|
|
| August 9, |
|
|
| February 2, |
|
|
| Year Ended |
| 2004* to |
| Year Ended |
| 2004* to |
| Year Ended |
| 2004* to |
|
|
| October 31, |
| October 31, |
| October 31, |
| October 31, |
| October 31, |
| October 31, |
|
|
| 2005 |
| 2004 |
| 2005 |
| 2004 |
| 2005 |
| 2004 |
|
|
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
|
Increase (Decrease) in Net Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| $ 44,911 |
| $ 1,004 |
| $ 2,758 |
| $ 738 |
| $ 8,075 |
| $ 735 |
|
Net Realized Gain (Loss) |
| @— |
| @— |
| 1 |
| — |
| — |
| — |
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
| 44,911 |
| 1,004 |
| 2,759 |
| 738 |
| 8,075 |
| 735 |
|
Distributions from and/or in Excess of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (36,620 | ) | (612 | ) | (2,599 | ) | (679 | ) | (7,542 | ) | (694 | ) |
Service Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (325 | ) | — |
| (3 | ) | — |
| (2 | ) | — |
|
Investor Class: ^ |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (6,049 | ) | (362 | ) | (3 | ) | — |
| (2 | ) | (18 | ) |
Administrative Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (640 | ) | — |
| (3 | ) | — |
| (2 | ) | — |
|
Advisory Class:† |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (1,274 | ) | (30 | ) | (147 | ) | (59 | ) | (524 | ) | (23 | ) |
Participant Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| (3 | ) | — |
| (2 | ) | — |
| (2 | ) | — |
|
Cash Management Class:*** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investment Income |
| — |
| — |
| (1 | ) | — |
| (1 | ) | — |
|
Total Distributions |
| (44,911 | ) | (1,004 | ) | (2,758 | ) | (738 | ) | (8,075 | ) | (735 | ) |
Capital Share Transactions:(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| 10,110,092 |
| 456,075 |
| 600,333 |
| 365,647 |
| 2,556,703 |
| 296,506 |
|
Distributions Reinvested |
| 19,694 |
| 5 |
| 2,477 |
| 298 |
| 4,578 |
| 368 |
|
Redeemed |
| (8,347,842 | ) | (41,512 | ) | (720,494 | ) | (178,175 | ) | (1,540,084 | ) | (187,582 | ) |
Service Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| 46,181 |
| — |
| 100 |
| — |
| 100 |
| — |
|
Distributions Reinvested |
| 321 |
| — |
| — |
| — |
| — |
| — |
|
Redeemed |
| (46,017 | ) | — |
| — |
| — |
| — |
| — |
|
Investor Class:^ |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| 3,252,446 |
| 875,167 |
| 100 |
| — |
| 100 |
| 6,106 |
|
Distributions Reinvested |
| 2,485 |
| 16 |
| — |
| — |
| 2 |
| 16 |
|
Redeemed |
| (3,085,696 | ) | (765,407 | ) | — |
| — |
| (1,118 | ) | (5,001 | ) |
Administrative Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| 645,610 |
| — |
| 100 |
| — |
| 100 |
| — |
|
Distributions Reinvested |
| 591 |
| — |
| — |
| — |
| — |
| — |
|
Redeemed |
| (635,324 | ) | — |
| — |
| — |
| — |
| — |
|
Advisory Class:† |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| 607,041 |
| 85,813 |
| 22,873 |
| 24,325 |
| 227,121 |
| 62,003 |
|
Distributions Reinvested |
| 844 |
| — |
| 134 |
| 41 |
| 453 |
| 3 |
|
Redeemed |
| (500,122 | ) | (62,064 | ) | (7,639 | ) | (22,159 | ) | (184,751 | ) | (6,006 | ) |
Participant Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| 147 |
| — |
| 100 |
| — |
| 130 |
| — |
|
Distributions Reinvested |
| @— |
| — |
| — |
| — |
| @— |
| — |
|
Redeemed |
| — |
| — |
| — |
| — |
| (29 | ) | — |
|
Cash Management Class:*** |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subscribed |
| — |
| — |
| 100 |
| — |
| 100 |
| — |
|
Distributions Reinvested |
| — |
| — |
| — |
| — |
| — |
| — |
|
Redeemed |
| — |
| — |
| — |
| — |
| @— |
| — |
|
Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions |
| 2,070,451 |
| 548,093 |
| (101,816 | ) | 189,977 |
| 1,063,405 |
| 166,413 |
|
Total Increase (Decrease) in Net Assets |
| 2,070,451 |
| 548,093 |
| (101,815 | ) | 189,977 |
| 1,063,405 |
| 166,413 |
|
The accompanying notes are an integral part of the financial statements.
37
2005 Annual Report | |
|
|
October 31, 2005 |
Statements of Changes in Net Assets (cont’d)
|
| Government |
| Treasury |
| Tax-Exempt |
| |||||||
|
|
|
| Period from |
|
|
| Period from |
|
|
| Period from |
| |
|
|
|
| August 9, |
|
|
| August 9, |
|
|
| February 2, |
| |
|
| Year Ended |
| 2004* to |
| Year Ended |
| 2004* to |
| Year Ended |
| 2004* to |
| |
|
| October 31, |
| October 31, |
| October 31, |
| October 31, |
| October 31, |
| October 31, |
| |
|
| 2005 |
| 2004 |
| 2005 |
| 2004 |
| 2005 |
| 2004 |
| |
|
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
| (000) |
| |
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Beginning of Period |
| 548,093 |
| — |
| 189,977 |
| — |
| 166,413 |
| — |
| |
End of Period |
| $2,618,544 |
| $ 548,093 |
| $ 88,162 |
| $ 189,977 |
| $1,229,818 |
| $ 166,413 |
| |
Undistributed (Distributions in Excess of) Net |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment Income Included in End of Period Net Assets |
| $ @— |
| $ @— |
| $ — |
| $ — |
| $ — |
| $ — |
|
(1) | Capital Share Transactions: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Institutional Class: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 10,110,090 |
| 456,074 |
| 600,334 |
| 365,647 |
| 2,556,703 |
| 296,506 |
|
| Shares Issued on Distributions Reinvested |
| 19,694 |
| 5 |
| 2,477 |
| 298 |
| 4,578 |
| 368 |
|
| Shares Redeemed |
| (8,347,836 | ) | (41,512 | ) | (720,494 | ) | (178,176 | ) | (1,540,084 | ) | (187,582 | ) |
| Net Increase (Decrease) in Institutional Class Shares Outstanding |
| 1,781,948 |
| 414,567 |
| (117,683 | ) | 187,769 |
| 1,021,197 |
| 109,292 |
|
| Service Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 46,181 |
| — |
| 100 |
| — |
| 100 |
| — |
|
| Shares Issued on Distributions Reinvested |
| 320 |
| — |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| (46,017 | ) | — |
| — |
| — |
| — |
| — |
|
| Net Increase (Decrease) in Service Class Shares Outstanding |
| 484 |
| — |
| 100 |
| — |
| 100 |
| — |
|
| Investor Class:^ |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 3,252,445 |
| 875,167 |
| 100 |
| — |
| 100 |
| 6,106 |
|
| Shares Issued on Distributions Reinvested |
| 2,485 |
| 16 |
| — |
| — |
| 2 |
| 16 |
|
| Shares Redeemed |
| (3,085,694 | ) | (765,407 | ) | — |
| — |
| (1,118 | ) | (5,001 | ) |
| Net Increase (Decrease) in Investor Class Shares Outstanding |
| 169,236 |
| 109,776 |
| 100 |
| — |
| (1,016 | ) | 1,121 |
|
| Administrative Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 645,610 |
| — |
| 100 |
| — |
| 100 |
| — |
|
| Shares Issued on Distributions Reinvested |
| 591 |
| — |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| (635,324 | ) | — |
| — |
| — |
| — |
| — |
|
| Net Increase (Decrease) in Administrative Class Shares Outstanding |
| 10,877 |
| — |
| 100 |
| — |
| 100 |
| — |
|
| Advisory Class:† |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 607,041 |
| 85,813 |
| 22,873 |
| 24,325 |
| 227,121 |
| 62,003 |
|
| Shares Issued on Distributions Reinvested |
| 844 |
| — |
| 134 |
| 41 |
| 453 |
| 3 |
|
| Shares Redeemed |
| (500,122 | ) | (62,064 | ) | (7,639 | ) | (22,159 | ) | (184,751 | ) | (6,006 | ) |
| Net Increase (Decrease) in Advisory Class Shares Outstanding |
| 107,763 |
| 23,749 |
| 15,368 |
| 2,207 |
| 42,823 |
| 56,000 |
|
| Participant Class:** |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| 147 |
| — |
| 100 |
| — |
| 130 |
| — |
|
| Shares Issued on Distributions Reinvested |
| @— |
| — |
| — |
| — |
| @— |
| — |
|
| Shares Redeemed |
| — |
| — |
| — |
| — |
| (29 | ) | — |
|
| Net Increase (Decrease) in Participant Class Shares Outstanding |
| 147 |
| — |
| 100 |
| — |
| 101 |
| — |
|
| Cash Management Class:*** |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares Subscribed |
| — |
| — |
| 100 |
| — |
| 100 |
| — |
|
| Shares Issued on Distributions Reinvested |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Shares Redeemed |
| — |
| — |
| — |
| — |
| @— |
| — |
|
| Net Increase (Decrease) in Cash Management Class Shares Outstanding |
| — |
| — |
| 100 |
| — |
| 100 |
| — |
|
* Commencement of Operations
** The Government, Treasury and Tax-Exempt Portfolios’ Service, Administrative and Participant classes commenced offering on November 1, 2004.
The accompanying notes are an integral part of the financial statements.
38
| 2005 Annual Report |
|
|
| October 31, 2005 |
Statements of Changes in Net Assets (cont’d)
*** The Treasury and Tax-Exempt Portfolios’ Cash Management classes commenced offering on August 15, 2005.
^ The Government, Treasury and Tax-Exempt Portfolios’ Investor classes commenced offering on August 9, 2004, November 1, 2004, and June 8, 2004, respectively.
† The Government, Treasury, and Tax-Exempt Portfolios’ Advisory classes commenced offering on October 1, 2004, August 9, 2004, and June 15, 2004, respectively.
@ Amount is less than $500 or 500 shares.
The accompanying notes are an integral part of the financial statements.
39
2005 Annual Report | |
|
|
October 31, 2005 |
Financial Highlights
|
| Net Asset |
|
|
|
|
| Net Asset |
|
|
| Value, |
| Net |
| Distributions |
| Value, |
|
|
| Beginning |
| Investment |
| From Net |
| End of |
|
|
| of Period |
| Income |
| Investment Income |
| Period |
|
Money Market Portfolio: |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
2/2/04** through 10/31/04 |
| 1.000 |
| 0.009 |
| (0.009 | ) | 1.000 |
|
Service Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
Investor Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/051 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Administrative Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Advisory Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.026 |
| $(0.026 | ) | $1.000 |
|
2/6/04** through 10/31/04 |
| 1.000 |
| 0.008 |
| (0.008 | ) | 1.000 |
|
Participant Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.024 |
| $(0.024 | ) | $1.000 |
|
Cash Management Class |
|
|
|
|
|
|
|
|
|
8/15/05** through 10/31/05 |
| $1.000 |
| $0.008 |
| $(0.008 | ) | $1.000 |
|
Prime Portfolio: |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
2/2/04** through 10/31/04 |
| 1.000 |
| 0.009 |
| (0.009 | ) | 1.000 |
|
Service Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
Investor Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Administrative Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Advisory Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.026 |
| $(0.026 | ) | $1.000 |
|
4/29/04** through 10/31/04 |
| 1.000 |
| 0.006 |
| (0.006 | ) | 1.000 |
|
Participant Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.024 |
| $(0.024 | ) | $1.000 |
|
Government Portfolio: |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.029 |
| $(0.029 | ) | $1.000 |
|
8/9/04** through 10/31/04 |
| 1.000 |
| 0.004 |
| (0.004 | ) | 1.000 |
|
Service Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
Investor Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
8/9/04** through 10/31/04 |
| 1.000 |
| 0.004 |
| (0.004 | ) | 1.000 |
|
Administrative Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Advisory Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.026 |
| $(0.026 | ) | $1.000 |
|
10/1/04** through 10/31/04 |
| 1.000 |
| 0.001 |
| (0.001 | ) | 1.000 |
|
Participant Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.025 |
| $(0.025 | ) | $1.000 |
|
The accompanying notes are an integral part of the financial statements.
40
| 2005 Annual Report |
|
|
| October 31, 2005 |
Financial Highlights (cont’d)
|
|
|
|
|
|
|
|
|
| Ratio of |
|
|
| Ratio of Net |
|
|
|
|
| Net |
|
|
| Ratio of |
| Expenses to |
| Ratio of Net |
| Investment Income |
|
|
|
|
| Assets |
| Ratio of |
| Expenses to |
| Average Net |
| Investment |
| to Average |
|
|
|
|
| End of |
| Expenses to |
| Average Net |
| Assets |
| Income to |
| Net Assets |
|
|
| Total |
| Period |
| Average Net |
| Assets Including |
| (Before Waivers/ |
| Average Net |
| (Before Waivers/ |
|
|
| Return |
| (000) |
| Assets |
| Expense Offsets |
| Reimbursement) |
| Assets |
| Reimbursement) |
|
Money Market Portfolio: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.87 | % | $3,082,234 |
| 0.10 | % | 0.10 | % | 0.22 | % | 2.85 | % | 2.73 | % |
2/2/04** through 10/31/04 |
| 0.95 | %‡ | 3,077,029 |
| 0.07 | %*† | — | †† | 0.24 | %*† | 1.41 | %* | 1.24 | %* |
Service Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.82 | % | $100 |
| 0.15 | % | 0.15 | % | 0.27 | % | 2.78 | % | 2.66 | % |
Investor Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/051 |
| 2.76 | % | $100 |
| 0.20 | % | 0.20 | % | 0.32 | % | 2.73 | % | 2.61 | % |
Administrative Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.71 | % | $100 |
| 0.25 | % | 0.25 | % | 0.37 | % | 2.68 | % | 2.56 | % |
Advisory Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.61 | % | $80 |
| 0.35 | % | 0.35 | % | 0.47 | % | 2.52 | % | 2.40 | % |
2/6/04** through 10/31/04 |
| 0.76 | %‡ | 1,504 |
| 0.31 | %*† | — | †† | 0.50 | %*† | 1.12 | %* | 0.93 | %* |
Participant Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.46 | % | $100 |
| 0.50 | % | 0.50 | % | 0.62 | % | 2.43 | % | 2.31 | % |
Cash Management Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/15/05** through 10/31/05 |
| 0.77 | %‡ | $100 |
| 0.15 | %* | 0.15 | %* | 0.27 | %* | 3.58 | %* | 3.46 | %* |
Prime Portfolio: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.87 | % | $13,965,500 |
| 0.11 | % | 0.11 | % | 0.22 | % | 2.85 | % | 2.74 | % |
2/2/04** through 10/31/04 |
| 0.94 | %‡ | 8,732,862 |
| 0.08 | %* | — | †† | 0.24 | %* | 1.41 | %* | 1.25 | %* |
Service Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.82 | % | $10,457 |
| 0.16 | % | 0.16 | % | 0.27 | % | 3.54 | % | 3.43 | % |
Investor Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.77 | % | $20,000 |
| 0.21 | % | 0.21 | % | 0.32 | % | 2.67 | % | 2.56 | % |
Administrative Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.72 | % | $100 |
| 0.26 | % | 0.26 | % | 0.37 | % | 2.68 | % | 2.57 | % |
Advisory Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.62 | % | $69,201 |
| 0.36 | % | 0.36 | % | 0.47 | % | 2.73 | % | 2.62 | % |
4/29/04** through 10/31/04 |
| 0.57 | %‡ | 16,350 |
| 0.33 | %* | — | †† | 0.49 | %* | 1.14 | %* | 0.98 | %* |
Participant Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.47 | % | $100 |
| 0.51 | % | 0.51 | % | 0.62 | % | 2.43 | % | 2.32 | % |
Government Portfolio: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.91 | % | $2,196,511 |
| 0.05 | % | 0.05 | % | 0.25 | % | 3.07 | % | 2.87 | % |
8/9/04** through 10/31/04 |
| 0.38 | %‡ | 414,567 |
| 0.05 | %*† | — | †† | 0.37 | %*† | 1.73 | %* | 1.41 | %* |
Service Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.86 | % | $484 |
| 0.10 | % | 0.10 | % | 0.30 | % | 2.65 | % | 2.45 | % |
Investor Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.81 | % | $279,012 |
| 0.15 | % | 0.15 | % | 0.35 | % | 2.91 | % | 2.71 | % |
8/9/04** through 10/31/04 |
| 0.35 | %‡ | 109,776 |
| 0.15 | %*† | — | †† | 0.53 | %*† | 1.53 | %* | 1.15 | %* |
Administrative Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.76 | % | $10,877 |
| 0.20 | % | 0.20 | % | 0.40 | % | 2.60 | % | 2.39 | % |
Advisory Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.65 | % | $131,513 |
| 0.30 | % | 0.30 | % | 0.50 | % | 3.12 | % | 2.92 | % |
10/1/04** through 10/31/04 |
| 0.13 | %‡ | 23,750 |
| 0.30 | %*† | — | †† | 0.55 | %*† | 1.53 | %* | 1.28 | %* |
Participant Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.50 | % | $147 |
| 0.45 | % | 0.45 | % | 0.65 | % | 2.53 | % | 2.33 | % |
The accompanying notes are an integral part of the financial statements.
41
2005 Annual Report | |
|
|
October 31, 2005 |
Financial Highlights (cont’d)
|
| Net Asset |
|
|
|
|
| Net Asset |
|
|
| Value, |
| Net |
| Distributions |
| Value, |
|
|
| Beginning |
| Investment |
| From Net |
| End of |
|
|
| of Period |
| Income |
| Investment Income |
| Period |
|
Treasury Portfolio: |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.028 |
| $(0.028 | ) | $1.000 |
|
8/9/04** through 10/31/04 |
| 1.000 |
| 0.004 |
| (0.004 | ) | 1.000 |
|
Service Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Investor Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.027 |
| $(0.027 | ) | $1.000 |
|
Administrative Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.026 |
| $(0.026 | ) | $1.000 |
|
Advisory Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.025 |
| $(0.025 | ) | $1.000 |
|
8/9/04** through 10/31/04 |
| 1.000 |
| 0.003 |
| (0.003 | ) | 1.000 |
|
Participant Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.024 |
| $(0.024 | ) | $1.000 |
|
Cash Management Class |
|
|
|
|
|
|
|
|
|
8/15/05** through 10/31/05 |
| $1.000 |
| $0.008 |
| $(0.008 | ) | $1.000 |
|
Tax-Exempt Portfolio: |
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.022 |
| $(0.022 | ) | $1.000 |
|
2/2/04** through 10/31/04 |
| 1.000 |
| 0.008 |
| (0.008 | ) | 1.000 |
|
Service Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.021 |
| $(0.021 | ) | $1.000 |
|
Investor Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.020 |
| $(0.020 | ) | $1.000 |
|
6/8/04** through 10/31/04 |
| 1.000 |
| 0.005 |
| (0.005 | ) | 1.000 |
|
Administrative Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.020 |
| $(0.020 | ) | $1.000 |
|
Advisory Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.019 |
| $(0.019 | ) | $1.000 |
|
6/15/04** through 10/31/042 |
| 1.000 |
| 0.002 |
| (0.002 | ) | 1.000 |
|
Participant Class |
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| $1.000 |
| $0.018 |
| $(0.018 | ) | $1.000 |
|
Cash Management Class |
|
|
|
|
|
|
|
|
|
8/15/05** through 10/31/05 |
| $1.000 |
| $0.005 |
| $(0.005 | ) | $1.000 |
|
* Annualized
** Commencement of Operations
‡ Not Annualized
1 The Money Market Portfolio’s Investor Share Class commenced offering on June 16, 2004. There were no Investor shares outstanding during the period July 28, 2004 to October 31, 2004.
2 The Tax- Exempt Portfolio’s Advisory Share Class had no shares outstanding during the periods June 30, 2004 to July 22, 2004, July 30, 2004 to August 9, 2004, August 30, 2004 to August 31, 2004 and September 2, 2004 to September 21, 2004.
† Ratios of Expenses to Average Net Assets before and after Expense Limitations may vary among share classes by more or less than the service and shareholder administration plan fees due to different periods of operation for each share class as well as fluctuations in daily net asset amounts.
†† Prior to March 1, 2005, there were no expense offsets.
The accompanying notes are an integral part of the financial statements.
42
| 2005 Annual Report |
|
|
| October 31, 2005 |
Financial Highlights (cont’d)
|
|
|
|
|
|
|
|
|
| Ratio of |
|
|
| Ratio of Net |
|
|
|
|
| Net |
|
|
| Ratio of |
| Expenses to |
| Ratio of Net |
| Investment Income |
|
|
|
|
| Assets, |
| Ratio of |
| Expenses to |
| Average Net |
| Investment |
| to Average |
|
|
|
|
| End of |
| Expenses to |
| Average Net |
| Assets |
| Income to |
| Net Assets |
|
|
| Total |
| Period |
| Average Net |
| Assets Including |
| (Before Waivers/ |
| Average Net |
| (Before Waivers/ |
|
|
| Return |
| (000) |
| Assets |
| Expense Offsets |
| Reimbursement) |
| Assets |
| Reimbursement) |
|
Treasury Portfolio: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.79 | % | $70,087 |
| 0.05 | % | 0.05 | % | 0.49 | %† | 2.61 | % | 2.17 | % |
8/9/04** through 10/31/04 |
| 0.36 | %‡ | 187,770 |
| 0.05 | %*† | — | †† | 0.35 | %*† | 1.57 | %* | 1.27 | %* |
Service Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.74 | % | $100 |
| 0.10 | % | 0.10 | % | 0.53 | %† | 2.70 | % | 2.27 | % |
Investor Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.69 | % | $100 |
| 0.15 | % | 0.15 | % | 0.58 | %† | 2.65 | % | 2.22 | % |
Administrative Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.64 | % | $100 |
| 0.20 | % | 0.20 | % | 0.63 | %† | 2.60 | % | 2.17 | % |
Advisory Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.53 | % | $17,575 |
| 0.30 | % | 0.30 | % | 0.64 | % | 2.92 | % | 2.58 | % |
8/9/04** through 10/31/04 |
| 0.30 | %‡ | 2,207 |
| 0.30 | %*† | — | †† | 0.67 | %*† | 1.30 | %* | 0.93 | %* |
Participant Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.38 | % | $100 |
| 0.45 | % | 0.45 | % | 0.88 | %† | 2.35 | % | 1.92 | % |
Cash Management Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/15/05** through 10/31/05 |
| 0.76 | %‡ | $100 |
| 0.10 | %* | 0.10 | %* | 0.43 | %*† | 3.52 | %* | 3.19 | %* |
Tax-Exempt Portfolio: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.17 | % | $1,130,489 |
| 0.09 | % | 0.09 | % | 0.32 | %† | 2.35 | % | 2.12 | % |
2/2/04** through 10/31/04 |
| 0.84 | %‡ | 109,292 |
| 0.06 | %*† | — | †† | 0.35 | %*† | 1.19 | %* | 0.90 | %* |
Service Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.12 | % | $100 |
| 0.14 | % | 0.14 | % | 0.40 | %† | 2.10 | % | 1.84 | % |
Investor Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.07 | % | $104 |
| 0.19 | % | 0.19 | % | 0.45 | %† | 2.01 | % | 1.75 | % |
6/8/04** through 10/31/04 |
| 0.45 | %‡ | 1,121 |
| 0.17 | %*† | — | †† | 0.38 | %*† | 1.06 | %* | 0.85 | %* |
Administrative Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 2.02 | % | $100 |
| 0.24 | % | 0.24 | % | 0.50 | %† | 2.00 | % | 1.74 | % |
Advisory Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 1.92 | % | $98,823 |
| 0.34 | % | 0.34 | % | 0.62 | %† | 1.86 | % | 1.58 | % |
6/15/04** through 10/31/042 |
| 0.24 | %‡ | 56,000 |
| 0.33 | %*† | — | †† | 0.55 | %*† | 1.32 | %* | 1.10 | %* |
Participant Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended 10/31/05 |
| 1.77 | % | $102 |
| 0.49 | % | 0.49 | % | 0.75 | %† | 1.76 | % | 1.49 | % |
Cash Management Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/15/05** through 10/31/05 |
| 0.53 | %‡ | $100 |
| 0.14 | %* | 0.14 | %* | 0.30 | %*† | 2.47 | %* | 2.30 | %* |
The accompanying notes are an integral part of the financial statements.
43
2005 Annual Report |
|
October 31, 2005 |
Notes to Financial Statements
Morgan Stanley Institutional Liquidity Funds (the “Fund”) is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as a Massachusetts business trust. The Fund is comprised of five separate, active, diversified portfolios(individually referred to as a “Portfolio”, collectively as the “Portfolios”). The Fund offers up to seven different classes of shares for certain Portfolios - Institutional Class, Service Class, Investor Class, Administrative Class, Advisory Class, Participant Class and Cash Management Class. All classes of shares have identical voting rights (except that shareholders of a Class have exclusive voting rights regarding any matter relating solely to that Class of shares), dividend, liquidation and other rights.
For detailed descriptions of the investment objectives of each of the Portfolios and other related information, please refer to the Prospectuses of the Fund. Generally, the investment objective of the Portfolios is to seek preservation of capital, daily liquidityand maximum current income (exempt from federal income tax in the case of Tax-Exempt Portfolio).
A. Accounting Policies: The following significant accounting policies are in conformity with U.S. generally accepted accounting principles. Such policies are consistently followed by the Fund in the preparation of the financial statements. U.S. generally accepted accounting principles may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results may differ from those estimates.
1. Security Valuation: Securities owned by the Portfolios are stated at amortized cost which approximates market value.
2. Repurchase Agreements: Certain Portfolios may enter into repurchase agreements under which a Portfolio lends excess cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In connection with transactions in repurchase agreements, a bank as custodian for the Fund takes possession of the underlying securities which are held as collateral, with a market value at least equal to the amount of the repurchase transaction, including principal and accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market on a daily basis to determine the adequacy of the collateral. In the event of default on the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings. The Portfolios, along with other affiliated investment companies, may utilize a joint trading account for the purpose of entering into repurchase agreements.
3. Other: Security transactions are accounted for on the date the securities are purchased or sold. Realized gains and losses on the sale of investment securities are determined on a “first-in-first-out” basis. Interest income is recognized on the accrual basis except where collection is in doubt. Discounts and premiums on securities purchased are amortized over their respective lives. Most expenses of the Fund can be directly attributed to a particular Portfolio. Expenses which cannot be directly attributed are apportioned among the Portfolios based upon relative net assets. Income, expenses (other than class specific expenses) and realized and unrealized gains or losses are allocated to each class of shares based upon their relative net assets. Dividends to the shareholders of the Portfolios are accrued daily and are distributed on the last business day of each month.
B. Investment Advisory Fees: Morgan Stanley Investment Management Inc. (the “Adviser” or “MS Investment Management”), a wholly-owned subsidiary of Morgan Stanley, provides the Fund with investment advisory services under the terms of an Investment Advisory Agreement (the “Agreement”) at the annual rates of average daily net assets indicated below. The Adviser has voluntarily agreed to reduce its advisory fee and/or absorb other expenses so that total annual operating expenses of each share class will not exceed the amounts noted below. This fee and expense waiver may be discontinued at any time.
|
| Advisory |
| |
Portfolio |
| Fee |
| |
Money Market |
| 0.15 | % |
|
Prime |
| 0.15 |
|
|
Government |
| 0.15 |
|
|
Treasury |
| 0.15 |
|
|
Tax-Exempt |
| 0.15 |
|
|
|
| Maximum |
| |||||||||||||
|
| Expense Ratio |
| |||||||||||||
|
| Money |
|
|
|
|
|
|
| Tax- |
| |||||
Class |
| Market |
| Prime |
| Government |
| Treasury |
| Exempt |
| |||||
Institutional Class |
| 0.20 | % |
| 0.20 | % |
| 0.20 | % |
| 0.20 | % |
| 0.20 | % |
|
Service Class |
| 0.25 |
|
| 0.25 |
|
| 0.25 |
|
| 0.25 |
|
| 0.25 |
|
|
Investor Class |
| 0.30 |
|
| 0.30 |
|
| 0.30 |
|
| 0.30 |
|
| 0.30 |
|
|
Administrative Class |
| 0.35 |
|
| 0.35 |
|
| 0.35 |
|
| 0.35 |
|
| 0.35 |
|
|
Advisory Class |
| 0.45 |
|
| 0.45 |
|
| 0.45 |
|
| 0.45 |
|
| 0.45 |
|
|
Participant Class |
| 0.60 |
|
| 0.60 |
|
| 0.60 |
|
| 0.60 |
|
| 0.60 |
|
|
Cash Management Class |
| 0.25 |
|
| — |
|
| — |
|
| 0.25 |
|
| 0.25 |
|
|
The Ratio of Expenses to Average Net Assets disclosed in the Portfolios’ Financial Highlights may be lower than the maximum ratios indicated in the table above due to additional voluntary expense limitations imposed by the Adviser. The Adviser may terminate these additional voluntary limitations at any time at its sole discretion.
The Adviser has entered into a Sub-Advisory Agreement with Morgan Stanley Investment Advisors Inc. (the “Sub-Adviser”), a wholly-owned subsidiary of Morgan Stanley. The Sub-Adviser, subject to the control and supervision of the Fund, its officers, Trustees and the Adviser, and in accordance with the investment objectives, policies and restrictions of the Portfolios, makes day-to-day investment decisions for the Portfolios and places the Portfolios’ purchase and sales orders. The Adviser pays the Sub-Adviser on a monthly basis a portion of the net advisory fees the Adviser receives from the Portfolios.
44
| 2005 Annual Report |
|
|
| October 31, 2005 |
Notes to Financial Statements (cont’d)
C. Administration Fees: MS Investment Management (the “Administrator”) also serves as Administrator to the Fund pursuant to an Administration Agreement. Under the agreement, MS Investment Management receives an annual fee, accrued daily and payable monthly, of 0.05% of each Portfolio’s average daily net assets, plus reimbursement of out-of-pocket expenses. J.P. Morgan Investor Services Co. (“JPMIS”), a corporate affiliate of JPMorgan Chase Bank, N.A., provides fund accounting and other services pursuant to a sub-administration agreement with MS Investment Management and receives compensation for these services from MS Investment Management. JPMIS also serves as the Transfer Agent to the Fund pursuant to a Transfer Agency Agreement. An employee of JPMIS is an officer of the Fund.
D. Distribution and Service and Shareholder Administration Plan Fees:
Morgan Stanley Distribution, Inc. (the “Distributor”), a wholly-owned subsidiary of MS Investment Management, and an indirect subsidiary of Morgan Stanley, serves as the distributor of the Fund. The Fund has entered into an Administration Plan with respect to its Service Class, Investor Class and Administrative Class shares pursuant to which each class of shares will pay the Distributor a monthly or quarterly fee at an annual rate of up to 0.05%, 0.10% and 0.15%, of the average daily net assets of each such class of shares, respectively to compensate certain financial intermediaries who provide administrative services to shareholders. The Fund has also entered into a Service and Shareholder Administration Plan with respect to its Advisory Class shares pursuant to which its Advisory Class shares pays the Distributor a monthly or quarterly fee at an annual rate of up to 0.25% of the average daily net assets of such class of shares, to compensate certain financial intermediaries who provide administrative services, personnel and account maintenance services to shareholders. The Fund has also entered into a Shareholder Service Plan and a Distribution Plan with respect to its Participant Class shares. Pursuant to the Shareholder Service Plan, the Participant Class shares will pay the Distributor a monthly or quarterly fee at an annual rate of up to 0.25% of the average daily net assets of such class of shares, to compensate certain financial intermediaries who provide administrative services, personnel and account maintenance services. Pursuant to the Distribution Plan, the Participant Class shares will pay the Distributor a monthly or quarterly fee at an annual rate of up to 0.15% of the average daily net assets of such class of shares, to compensate for any activities or expenses primarily intended to result in the sale ofsuch class of shares. The Fund has also entered into a Distribution Plan with respect to its Cash Management Class shares pursuant to which its Cash Management Class shares pays the Distributor a monthly or quarterly fee at an annual rate of up to 0.05% of the average daily net assets of such class of shares, to compensate certain financial intermediaries who provide any activities or expenses primarily intended to result in the sale of such class of shares. Prior to April 29, 2005 Morgan Stanley & Co. Incorporated, a wholly-owned subsidiary of Morgan Stanley, and an affiliate of MS Investment Management, served as the distributor of the Fund.
E. Custodian Fees: JPMorgan Chase Bank, N.A. (the “Custodian”) serves as custodian for the Fund in accordance with a custodian agreement. The Custodian holds cash, securities, and other assets of the Fund as required by the 1940 Act.
The Fund has entered into an arrangement with its custodian whereby credits realized on uninvested cash balances were used to offset a portion of each applicable Portfolio’s expenses. These custodian credits are shown as “Expense Offset” on the Statements of Operations.
F. Federal Income Taxes: It is each Portfolio’s intention to qualify as a regulated investment company and distribute all of its taxable and tax-exempt income. Accordingly, no provision for Federal income taxes is required in the financial statements.
The tax character of distributions paid may differ from the character of distributions shown on the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2005 and 2004 were as follows:
|
| 2005 |
| 2004 |
| ||||
|
| Distributions |
| Distributions |
| ||||
|
| Paid From: |
| Paid From: |
| ||||
|
| Ordinary |
| Long-term |
| Ordinary |
| Long-term |
|
|
| Income |
| Capital Gain |
| Income |
| Capital Gain |
|
Portfolio |
| (000) |
| (000) |
| (000) |
| (000) |
|
Money Market |
| $ 95,455 |
| $ — |
| $ 19,002 |
| $ — |
|
Prime |
| 369,739 |
| — |
| 49,256 |
| — |
|
Government |
| 44,911 |
| — |
| 1,004 |
| — |
|
Treasury |
| 2,758 |
| — |
| 738 |
| — |
|
Tax-Exempt |
| 8,075 | * | — |
| 735 | * | — |
|
* Distributions are tax-exempt.
The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.
At October 31, 2005, the components of distributable earnings on a tax basis were as follows:
|
| Undistributed |
|
|
| Ordinary |
|
|
| Income |
|
Portfolio |
| (000) |
|
Money Market |
| $ 10,220 |
|
Prime |
| 43,146 |
|
Government |
| 8,388 |
|
Treasury |
| 228 |
|
Tax-Exempt |
| 2,020 |
|
At October 31, 2005, cost for U.S. Federal income tax purposes for the investments of the Portfolios were as follows:
|
| Cost |
|
Portfolio |
| (000) |
|
Money Market |
| $ 3,138,052 |
|
Prime |
| 14,580,619 |
|
Government |
| 2,624,576 |
|
Treasury |
| 88,382 |
|
Tax-Exempt |
| 1,244,069 |
|
45
2005 Annual Report |
|
October 31, 2005 |
Notes to Financial Statements (cont’d)
At October 31, 2005, the Prime Portfolio had capital loss carryforwards for U.S. Federal income tax purposes of approximately $10,000 available to offset future capital gains which will expire on October 31, 2012.
During the year ended October 31, 2005, the Money Market and Prime Portfolios utilized capital loss carryforwards for U.S. Federal income tax purposes of approximately $2,000 and $5,000, respectively.
G. Contractual Obligations: The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
H. Other: A portion of the securities of the Tax-Exempt Portfolio are insured by certain companies specializing in the insurance of municipal debt obligations. At October 31, 2005, approximately 16.7% of the net assets of the Tax-Exempt Portfolio are covered by such insurance. The insurers and their obligations are as follows:
|
| Percentage of |
| |
Insurer |
| Net Assets |
| |
Ambac |
| 4.0 | % |
|
Assured Guaranty |
| 0.4 |
|
|
FGIC |
| 1.1 |
|
|
FHA |
| 0.2 |
|
|
FSA |
| 4.0 |
|
|
MBIA |
| 4.2 |
|
|
Radian |
| 2.4 |
|
|
XLCA |
| 0.4 |
|
|
At October 31, 2005, certain Portfolios had otherwise unaffiliated record owners of 10% or greater. Investment activities of these shareholders could have a material impact on these Portfolios. These Portfolios and the aggregate percentage of such owners were as follows:
|
| Percentage of Ownership |
| |||||||||||||
|
| Money |
|
|
|
|
|
|
| Tax- |
| |||||
Class |
| Market |
| Prime |
| Government |
| Treasury |
| Exempt |
| |||||
Institutional Class |
| 12.9 | % |
| 40.7 | % |
| 62.1 | % |
| — | % |
| 15.1 | % |
|
Service Class |
| — |
|
| 99.0 |
|
| 70.1 |
|
| — |
|
| — |
|
|
Investor Class |
| — |
|
| 99.5 |
|
| 62.3 |
|
| — |
|
| — |
|
|
Administrative Class |
| — |
|
| — |
|
| 68.4 |
|
| — |
|
| — |
|
|
Advisory Class |
| 99.4 |
|
| 93.1 |
|
| 76.4 |
|
| 90.7 |
|
| 97.8 |
|
|
Participant Class |
| — |
|
| — |
|
| 32.2 |
|
| — |
|
| — |
|
|
Cash Management Class |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
|
46
| 2005 Annual Report |
|
|
| October 31, 2005 |
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Morgan Stanley Institutional Liquidity Funds
We have audited the accompanying statements of assets and liabilities of Money Market Portfolio, Prime Portfolio, Government Portfolio, Treasury Portfolio and Tax-Exempt Portfolio (the “Funds”) (five of the portfolios constituting Morgan Stanley Institutional Liquidity Funds), including the portfolios of investments, as of October 31, 2005, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ 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. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2005 by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. 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 each of the portfolios constituting Morgan Stanley Institutional Liquidity Funds at October 31, 2005, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
December 9, 2005
47
2005 Annual Report |
|
October 31, 2005 |
Federal Income Tax Information (unaudited)
For the year ended October 31, 2005, the percentage of income earned from direct U.S. Treasury Obligations for the Government Portfolio and Treasury Portfolio is 28.6% and 19.0%, respectively.
For the year ended October 31, 2005, the percentage of exempt interest dividends paid by the Tax- Exempt Portfolio is 100.0%.
48
| 2005 Annual Report |
|
|
| October 31, 2005 |
Trustee and Officer Information (unaudited)
Independent Trustees:
|
|
|
|
|
|
|
| Number of |
|
|
|
|
|
|
|
|
|
|
| Portfolios in |
|
|
|
|
|
|
| Term of Office |
|
|
| Fund Complex |
|
|
|
Name, Age and Address of |
| Position(s) Held |
| and Length of |
|
|
| Overseen by |
|
|
|
Trustee |
| with Registrant |
| Time Served* |
| Principal Occupation(s) During Past 5 Years |
| Trustee** |
| Other Directorships Held by Trustee |
|
Michael Bozic (64) |
| Trustee |
| Trustee since |
| Private Investor; Director or Trustee of the Retail Funds (since April 1994) and the Institutional Funds (since July 2003); formerly Vice Chairman of Kmart Corporation (December 1998-October 2000), Chairman and Chief Executive Officer of Levitz Furniture Corporation (November 1995-November 1998) and President and Chief Executive Officer of Hills Department Stores (May 1991-July 1995); formerly variously Chairman, Chief Executive Officer, President and Chief Operating Officer (1987-1991) of the Sears Merchandise Group of Sears, Roebuck & Co. |
| 197 |
| Director of various business organizations. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Edwin J. Garn (73) |
| Trustee |
| Trustee since |
| Consultant; Director or Trustee of the Retail Funds (since January 1993) and the Institutional Funds (since July 2003); member of the Utah Regional Advisory Board of Pacific Corp. (utility company); formerly Managing Director of Summit Ventures LLC (2000-2004) (lobbying and consulting firm); United States Senator (R- Utah) (1974-1992) and Chairman, Senate Banking Committee (1980-1986), Mayor of Salt Lake City, Utah (1971-1974), Astronaut, Space Shuttle Discovery (April 12-19, 1985), and Vice Chairman, Huntsman Corporation (chemical company). |
| 197 |
| Director of Franklin Covey (time management systems), BMW Bank of North America, Inc. (industrial loan corporation), Escrow Bank USA (industrial loan corporation), United Space Alliance (joint venture between Lockheed Martin and the Boeing Company) and Nuskin Asia Pacific (multi-level marketing); member of the board of various civic and charitable organizations. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wayne E. Hedien (71) |
| Trustee |
| Trustee since |
| Retired; Director or Trustee of the Retail Funds (since September 1997) and the Institutional Funds (since July 2003); formerly associated with the Allstate Companies (1966-1994), most recently as Chairman of The Allstate Corporation (March 1993-December 1994) and Chairman and Chief Executive Officer of its wholly-owned subsidiary, Allstate Insurance Company (July 1989-December 1994). |
| 197 |
| Director of the PMI Group Inc. (private mortgage insurance); Trustee and Vice Chairman of The Field Museum of Natural History; director of various other business and charitable organizations. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dr. Manuel H. Johnson (56) |
| Trustee |
| Trustee since |
| Senior Partner, Johnson Smick International, Inc., a consulting firm; Chairman of the Audit Committee and Director or Trustee of the Retail Funds (since July 1991) and the Institutional Funds (since July 2003); Co-Chairman and a founder of the Group of Seven Council (G7C), an international economic commission; formerly Vice Chairman of the Board of Governors of the Federal Reserve System and Assistant Secretary of the U.S. Treasury. |
| 197 |
| Director of NVR, Inc. (home construction); Director of KFX Energy; Director of RBS Greenwich Capital Holdings (financial holdings company). |
|
|
|
|
|
|
|
|
|
|
|
|
|
Joseph J. Kearns (63) |
| Trustee |
| Trustee since |
| President, Kearns & Associates LLC (investment consulting); Deputy Chairman of the Audit Committee and Director or Trustee of the Retail Funds (since July 2003) and the Institutional Funds (since August 1994); previously Chairman of the Audit Committee of the Institutional Funds (October 2001- July 2003); formerly CFO of the J. Paul Getty Trust. |
| 198 |
| Director of Electro Rent Corporation (equipment leasing), The Ford Family Foundation, and the UCLA Foundation. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Michael Nugent (69) |
| Trustee |
| Trustee since |
| General Partner of Triumph Capital, L.P., a private investment partnership; Chairman of the Insurance Committee and Director or Trustee of the Retail Funds (since July 1991) and the Institutional Funds (since July 2001); formerly Vice President, Bankers Trust Company and BT Capital Corporation (1984-1988). |
| 197 |
|
|
|
49
2005 Annual Report |
|
October 31, 2005 |
Trustee and Officer Information (cont’d)
Independent Trustees:
Fergus Reid (73) |
| Trustee |
| Trustee since |
| Chairman of Lumelite Plastics Corporation; Chairman of the Governance Committee and Director or Trustee of the Retail Funds (since July 2003) and the Institutional Funds (since June 1992). |
| 198 |
| Trustee and Director of certain investment companies in the JPMorgan Funds complex managed by JP Morgan Investment Management Inc. |
|
Interested Trustees:
|
|
|
|
|
|
|
| Number of |
|
|
|
|
|
|
|
|
|
|
| Portfolios in |
|
|
|
|
| Position(s) |
| Term of Office |
|
|
| Fund Complex |
|
|
|
|
| Held with |
| and Length of |
|
|
| Overseen by |
|
|
|
Name, Age and Address of Trustee |
| Registrant |
| Time Served* |
| Principal Occupation(s) During Past 5 Years |
| Trustee** |
| Other Directorships Held by Trustee |
|
Charles A. Fiumefreddo (72) |
| Chairman of the Board and Trustee |
| Chairman and Trustee since July 2003 |
| Chairman and Director or Trustee of the Retail Funds (since July 1991) and the Institutional Funds (since July 2003); formerly Chief Executive Officer of the Retail Funds (until September 2002). |
| 197 |
| None |
|
|
|
|
|
|
|
|
|
|
|
|
|
James F. Higgins (57) |
| Trustee |
| Trustee since July 2003 |
| Director or Trustee of the Retail Funds (since June 2000) and the Institutional Funds (since July 2003); Senior Advisor of Morgan Stanley (since August 2000); Director of Morgan Stanley Distributors Inc. and Dean Witter Realty Inc.; previously President and Chief Operating Officer of the Private Client Group of Morgan Stanley (May 1999-August 2000), and President and Chief Operating Officer of Individual Securities of Morgan Stanley (February 1997-May 1999). |
| 197 |
| Director of AXA Financial, Inc. and The Equitable Life Assurance Society of the United States (financial services). |
|
* Each Trustee serves an indefinite term, until his or her successor is elected.
** The Fund Complex includes all funds advised by Morgan Stanley Investments LP (“MSI”) that have an investment advisor that is an affiliated entity of MSI (including but not limited to, Morgan Stanley Investment Management Inc. (“MSIM”), Morgan Stanley Investment Advisors Inc. (“MSIA”) and Morgan Stanley AIP GP LP). The Retail Funds are those funds advised by MSIA. The Institutional Funds are certain U.S. registered funds advised by MSI, MSIM and Morgan Stanley AIP GP LP.
Additional information about the Fund’s Trustees can be found in the Fund’s Statement of Additional Information (SAI). The SAI may be obtained without charge upon request, by calling the Fund at 1-800-354-8185. You may also retrieve this information on-line at the Securities and Exchange Commission’s website at “http://www.sec.gov”. To aid you in obtaining this information on-line, the Fund’s Central Index Key (CIK) number is 00001227155 and the SAI is found within form type 485BPOS.
50
| 2005 Annual Report |
|
|
| October 31, 2005 |
Trustee and Officer Information (cont’d)
Officers:
|
| Position(s) |
| Term of Office |
|
|
|
|
| Held with |
| and Length of |
|
|
|
Name, Age and Address of Executive Officer |
| Registrant |
| Time Served* |
| Principal Occupation(s) During Past 5 Years |
|
|
|
|
|
|
|
|
|
Ronald E. Robison (66) Morgan Stanley Investment Management Inc. 1221 Avenue of the Americas New York, NY 10020 |
| President and Principal Executive Officer |
| President (since September 2005) and Principal Executive Officer (since July 2003) |
| President (since September 2005) and Principal Executive Officer of funds in the Fund Complex (since May 2003); Managing Director of Morgan Stanley & Co. Incorporated and Morgan Stanley; Managing Director and Director of Morgan Stanley Investment Management Inc., Morgan Stanley Distribution Inc. and Morgan Stanley Distributors Inc.; Managing Director, Chief Administrative Officer and Director of Morgan Stanley Investment Advisors Inc. and Morgan Stanley Services Company Inc.; Chief Executive Officer and Director of Morgan Stanley Trust; Director of Morgan Stanley SICAV (since May 2004); President (since September 2005) and Principal Executive Officer (since May 2003) of the Van Kampen Funds; previously Executive Vice President (July 2003 - September 2005) of funds in the Fund Complex and the Van Kampen Funds. He was also previously President and Director of the Institutional Funds (March 2001-July 2003), Chief Global Operations Officer of Morgan Stanley Investment Management Inc. and Chief Executive Officer and Chairman of Van Kampen Investor Services. |
|
|
|
|
|
|
|
|
|
Joseph J. McAlinden (62) |
| Vice President |
| Vice President |
| Managing Director and Chief Investment Officer of Morgan Stanley Investment Advisors Inc. and Morgan Stanley Investment Management Inc.; Chief Investment Officer of the Van Kampen Funds; Vice President of the Institutional Funds (since July 2003) and the Retail Funds (since July 1995). |
|
Morgan Stanley Investment Management Inc. |
|
|
| since July |
|
| |
1221 Avenue of the Americas |
|
|
| 2003 |
|
| |
New York, NY 10020 |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
Barry Fink (50) Morgan Stanley Investment Management Inc. 1221 Avenue of the Americas New York, NY 10020 |
| Vice President |
| Vice President since July 2003 |
| General Counsel (since May 2000) and Managing Director (since December 2000) of Morgan Stanley Investment Management; Managing Director (since December 2000), Secretary (since February 1997) and Director (since July 1998) of Morgan Stanley Investment Advisors Inc. and Morgan Stanley Services Company Inc.; Vice President and General Counsel of the Retail Funds; Assistant Secretary of Morgan Stanley DW Inc.; Vice President of the Institutional Funds (since July 2003); Managing Director, Secretary and Director of Morgan Stanley Distributors Inc.; previously Secretary (February 1997- July 2003) of the Retail Funds and General Counsel (February 1997-April 2004) of the Retail Funds; Vice President and Assistant General Counsel of Morgan Stanley Investment Advisors Inc. and Morgan Stanley Services Company Inc. (February 1997- December 2001). |
|
|
|
|
|
|
|
|
|
Amy R. Doberman (43) Morgan Stanley Investment Management Inc. 1221 Avenue of the Americas New York, NY 10020 |
| Vice President |
| Vice President since July 2004 |
| Managing Director and General Counsel, U.S. Investment Management; Managing Director of the Investment Manager and Morgan Stanley Investment Advisor Inc.; Vice President of the Institutional and Retail Funds (since July 2004); Vice President of the Van Kampen Funds (since August 2004); previously, Managing Director and General Counsel - Americas, UBS Global Asset Management (July 2000-July 2004) and General Counsel, Aeltus Investment Management, Inc. (January 1997-July 2000). |
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Carsten Otto (41) Morgan Stanley Investment Management Inc. 1221 Avenue of the Americas New York, NY 10020 |
| Chief Compliance Officer |
| Chief Compliance Officer since 2004 |
| Executive Director and U.S. Director of Compliance for Morgan Stanley Investment Management (since October 2004); Executive Director of Morgan Stanley Investment Advisors Inc. and Morgan Stanley Investment Management Inc.; formerly Assistant Secretary and Assistant General Counsel of the Morgan Stanley Retail Funds. |
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Stefanie V. Chang (38) Morgan Stanley Investment Management Inc. 1221 Avenue of the Americas New York, NY 10020 |
| Vice President |
| Vice President since December 1997 |
| Executive Director of Morgan Stanley & Co. Incorporated, Morgan Stanley Investment Management Inc. and Morgan Stanley Investment Advisors Inc.; Vice President of the Institutional Funds (since December 1997) and the Retail Funds (since July 2003); formerly practiced law with the New York law firm of Rogers & Wells (now Clifford Chance US LLP). |
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James W. Garrett (36) |
| Treasurer and |
| Treasurer |
| Executive Director of Morgan Stanley & Co. Incorporated and Morgan Stanley Investment Management Inc.; Treasurer and Chief Financial Officer of the Institutional Funds; previously with PriceWaterhouse LLP (now PricewaterhouseCoopers LLP). |
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Morgan Stanley Investment Management Inc. |
| Chief |
| since February |
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1221 Avenue of the Americas |
| Financial |
| 2002; Chief |
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| Officer since |
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| July 2003 |
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Michael J. Leary (38) |
| Assistant |
| Assistant |
| Assistant Director and Vice President of Fund Administration, JPMorgan Investor Services Co. (formerly Chase Global Funds Services Company); formerly Audit Manager at Ernst & Young LLP. |
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J.P. Morgan Investor Services Co. |
| Treasurer |
| Treasurer |
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| |
Boston, MA 02108 |
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| 2003 |
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Mary E. Mullin (38) Morgan Stanley Investment Management Inc. 1221 Avenue of the Americas New York, NY 10020 |
| Secretary |
| Secretary since June 1999 |
| Executive Director of Morgan Stanley & Co. Incorporated, Morgan Stanley Investment Management Inc. and Morgan Stanley Investment Advisors Inc.; Secretary of the Institutional Funds (since June 1999) and the Retail Funds (since July 2003); formerly practiced law with the New York law firms of McDermott, Will & Emery and Skadden, Arps, Slate, Meagher & Flom LLP. |
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* Each Officer serves an indefinite term, until his or her successor is elected.
51
2005 Annual Report |
|
October 31, 2005 |
Investment Adviser and Administrator
Morgan Stanley Investment Management Inc.
1221 Avenue of the Americas
New York, NY 10020
Distributor
Morgan Stanley Distribution, Inc.
One Tower Bridge
100 Front Street, Suite 1100
West Conshohocken, PA 19428-2899
Custodian
JPMorgan Chase Bank, N.A.
270 Park Avenue
New York, NY 10017
Legal Counsel
Clifford Chance US LLP
31 West 52nd Street
New York, NY 10166
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116-5072
Reporting to Shareholders
Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semi-annual and annual reports within 60 days of the end of the fund’s second and fourth fiscal quarters by filing the schedule electronically with the Securities and Exchange Commission (SEC). The semi-annual reports are filed on Form N-CSRS and the annual reports are filed on Form N-CSR. Morgan Stanley also delivers the semi-annual and annual reports to fund shareholders and makes these reports available on its public website, www.morganstanley.com/im. Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund’s first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public website. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS filings) by accessing the SEC’s website, www.sec.gov. You may also review and copy them at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling the SEC at 1(800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC’s email address (publicinfo@sec.gov) or by writing the Public Reference section of the SEC, Washington, DC 20549-0102.
Proxy Voting Policies and Procedures and Proxy Voting Record
A copy of (1) the Fund’s policies and procedures with respect to the voting of proxies relating to the Fund’s portfolio securities; and (2) how the Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available without charge, upon request, by calling 1(800) 869-NEWS or by visiting the Mutual Fund Center on our website at www.morganstanley.com/im. This information is also available on the Securities and Exchange Commission’s website at http://www.sec.gov.
This report is authorized for distribution only when preceded or accompanied by the prospectus of the Morgan Stanley Institutional Liquidity Funds which describes in detail each Investment Portfolio’s investment policies, risks, fees and expenses. Please read the prospectus carefully before you invest or send money. For additional information, including information regarding the investments comprising the Portfolio, please visit our website at www.morganstanley.com/im or call 1(888) 378-1630.
52
Printed in U.S.A.
This Report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Morgan Stanley Investment Management Inc.
1221 Avenue of the Americas
New York, NY 10020
MSILF: (888) 378-1630
© 2005 Morgan Stanley
Item 2. Code of Ethics.
(a) The Fund has adopted a code of ethics (the “Code of Ethics”) that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Fund or a third party.
(b) No information need be disclosed pursuant to this paragraph.
(c) The Fund has amended its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto to delete from the end of the following paragraph on page 2 of the Code the phrase “to the detriment of the Fund.”:
“Each Covered Officer must not use his personal influence or personal relationship improperly to influence investment decisions or financial reporting by the Fund whereby the Covered Officer would benefit personally (directly or indirectly).”
Additionally, Exhibit B was amended to remove Mitchell M. Merin as a covered officer.
(d) Not applicable.
(e) Not applicable.
(f)
(1) The Fund’s Code of Ethics is attached hereto as Exhibit 12 A.
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial Expert.
The Fund’s Board of Trustees/Directors has determined that it has two “audit committee financial experts” serving on its audit committee, each of whom are “independent” Trustees/Directors: Dr. Manuel H. Johnson and Joseph J. Kearns. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees/Directors in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
(a)(b)(c)(d) and (g). Based on fees billed for the periods shown:
2005 |
| Registrant |
| Covered Entities(1) |
| ||
Audit Fees |
| $ | 105,000 |
| N/A |
| |
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Non-Audit Fees |
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Audit-Related Fees |
| $ |
| $ | 235,000 | (2) | |
Tax Fees |
| $ | 11,025 | (3) | $ | 58,688 | (4) |
All Other Fees |
| $ |
| $ | 805,088 | (5) | |
Total Non-Audit Fees. |
| $ | 11,025 |
| $ | 1,098,776 |
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| ||
Total |
| $ | 116,025 |
| $ | 1,098,776 |
|
2004 |
| Registrant |
| Covered Entities(1) |
| ||
Audit Fees |
| $ | 100,000 |
| N/A |
| |
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Non-Audit Fees |
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Audit-Related Fees |
| $ |
| $ | 115,000 | (2) | |
Tax Fees |
| $ | 10,500 | (3) | $ | 42,141 | (6) |
All Other Fees |
| $ |
| $ | 140,435 | (7) | |
Total Non-Audit Fees |
| $ | 10,500 |
| $ | 297,576 |
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Total |
| $ | 110,500 |
| $ | 297,576 |
|
N/A- Not applicable, as not required by Item 4.
(1) Covered Entities include the Adviser (excluding sub-advisors) and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Registrant.
(2) 160; Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Covered Entities and funds advised by the Adviser or its affiliates, specifically attestation services provided in connection with a SAS 70 Report.
(3) 60; Tax Fees represent tax advice and compliance services provided in connection with the review of the Registrant’s tax returns.
(4) Tax Fees represent tax advice services provided to Covered Entities, including assistance in obtaining a private letter ruling.
(5) All Other Fees represent attestation services provided in connection with performance presentation standards and a compliance review project performed.
(6) Tax Fees represent tax advice services provided to Covered Entities, including research and identification of PFIC entities.
(7) All Other Fees represent attestation services provided in connection with performance presentation standards.
APPENDIX A
AUDIT COMMITTEE
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY AND PROCEDURES
OF THE
MORGAN STANLEY RETAIL AND INSTITUTIONAL FUNDS
AS ADOPTED AND AMENDED JULY 23, 2004,(1)
1. Statement of Principles
The Audit Committee of the Board is required to review and, in its sole discretion, pre-approve all Covered Services to be provided by the Independent Auditors to the Fund and Covered Entities in order to assure that services performed by the Independent Auditors do not impair the auditor’s independence from the Fund.
The SEC has issued rules specifying the types of services that an independent auditor may not provide to its audit client, as well as the audit committee’s administration of the engagement of the independent auditor. The SEC’s rules establish two different approaches to pre-approving services, which the SEC considers to be equally valid. Proposed services either: may be pre-approved without consideration of specific case-by-case services by the Audit Committee (“general pre-approval”); or require the specific pre-approval of the Audit Committee or its delegate (“specific pre-approval”). The Audit Committee believes that the combination of these two approaches in this Policy will result in an effective and efficient procedure to pre-approve services performed by the Independent Auditors. As set forth in this Policy, unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee (or by any member of the Audit Committee to which pre-approval authority has been delegated) if it is to be provided by the Independent Auditors. Any proposed services exceeding pre-approved cost levels or budgeted amounts will also require specific pre-approval by the Audit Committee.
The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services that have the general pre-approval of the Audit Committee. The term of any general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee considers and provides a different period and states otherwise. The Audit Committee will annually review and pre-approve the services that may be provided by the Independent Auditors without obtaining specific pre-approval from the Audit Committee. The Audit Committee will add to or subtract from the list of general pre-approved services from time to time, based on subsequent determinations.
(1) This Audit Committee Audit and Non-Audit Services Pre-Approval Policy and Procedures (the “Policy”), adopted as of the date above, supersedes and replaces all prior versions that may have been adopted from time to time.
The purpose of this Policy is to set forth the policy and procedures by which the Audit Committee intends to fulfill its responsibilities. It does not delegate the Audit Committee’s responsibilities to pre-approve services performed by the Independent Auditors to management.
The Fund’s Independent Auditors have reviewed this Policy and believes that implementation of the Policy will not adversely affect the Independent Auditors’ independence.
2. Delegation
As provided in the Act and the SEC’s rules, the Audit Committee may delegate either type of pre-approval authority to one or more of its members. The member to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next scheduled meeting.
3. Audit Services
The annual Audit services engagement terms and fees are subject to the specific pre-approval of the Audit Committee. Audit services include the annual financial statement audit and other procedures required to be performed by the Independent Auditors to be able to form an opinion on the Fund’s financial statements. These other procedures include information systems and procedural reviews and testing performed in order to understand and place reliance on the systems of internal control, and consultations relating to the audit. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, Fund structure or other items.
In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant general pre-approval to other Audit services, which are those services that only the Independent Auditors reasonably can provide. Other Audit services may include statutory audits and services associated with SEC registration statements (on Forms N-1A, N-2, N-3, N-4, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings.
The Audit Committee has pre-approved the Audit services in Appendix B.1. All other Audit services not listed in Appendix B.1 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
4. Audit-related Services
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements and, to the extent they are Covered Services, the Covered Entities or that are traditionally performed by the Independent Auditors. Because the Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor and is consistent with the SEC’s rules on auditor independence, the Audit Committee may grant general pre-approval to Audit-related services. Audit-related services include, among others, accounting consultations related to accounting, financial reporting or disclosure matters
not classified as “Audit services”; assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Forms N-SAR and/or N-CSR.
The Audit Committee has pre-approved the Audit-related services in Appendix B.2. All other Audit-related services not listed in Appendix B.2 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
5. Tax Services
The Audit Committee believes that the Independent Auditors can provide Tax services to the Fund and, to the extent they are Covered Services, the Covered Entities, such as tax compliance, tax planning and tax advice without impairing the auditor’s independence, and the SEC has stated that the Independent Auditors may provide such services.
Pursuant to the preceding paragraph, the Audit Committee has pre-approved the Tax Services in Appendix B.3. All Tax services in Appendix B.3 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
6. All Other Services
The Audit Committee believes, based on the SEC’s rules prohibiting the Independent Auditors from providing specific non-audit services, that other types of non-audit services are permitted. Accordingly, the Audit Committee believes it may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence.
The Audit Committee has pre-approved the All Other services in Appendix B.4. Permissible All Other services not listed in Appendix B.4 must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
7. Pre-Approval Fee Levels or Budgeted Amounts
Pre-approval fee levels or budgeted amounts for all services to be provided by the Independent Auditors will be established annually by the Audit Committee. Any proposed services exceeding these levels or amounts will require specific pre-approval by the Audit Committee. The Audit Committee is mindful of the overall relationship of fees for audit and non-audit services in determining whether to pre-approve any such services.
8. Procedures
All requests or applications for services to be provided by the Independent Auditors that do not require specific approval by the Audit Committee will be submitted to the Fund’s Chief Financial Officer and must include a detailed description of the services to be
rendered. The Fund’s Chief Financial Officer will determine whether such services are included within the list of services that have received the general pre-approval of the Audit Committee. The Audit Committee will be informed on a timely basis of any such services rendered by the Independent Auditors. Requests or applications to provide services that require specific approval by the Audit Committee will be submitted to the Audit Committee by both the Independent Auditors and the Fund’s Chief Financial Officer, and must include a joint statement as to whether, in their view, the request or application is consistent with the SEC’s rules on auditor independence.
The Audit Committee has designated the Fund’s Chief Financial Officer to monitor the performance of all services provided by the Independent Auditors and to determine whether such services are in compliance with this Policy. The Fund’s Chief Financial Officer will report to the Audit Committee on a periodic basis on the results of its monitoring. Both the Fund’s Chief Financial Officer and management will immediately report to the chairman of the Audit Committee any breach of this Policy that comes to the attention of the Fund’s Chief Financial Officer or any member of management.
9. Additional Requirements
The Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the Independent Auditors and to assure the auditor’s independence from the Fund, such as reviewing a formal written statement from the Independent Auditors delineating all relationships between the Independent Auditors and the Fund, consistent with Independence Standards Board No. 1, and discussing with the Independent Auditors its methods and procedures for ensuring independence.
10. Covered Entities
Covered Entities include the Fund’s investment adviser(s) and any entity controlling, controlled by or under common control with the Fund’s investment adviser(s) that provides ongoing services to the Fund(s). Beginning with non-audit service contracts entered into on or after May 6, 2003, the Fund’s audit committee must pre-approve non-audit services provided not only to the Fund but also to the Covered Entities if the engagements relate directly to the operations and financial reporting of the Fund. This list of Covered Entities would include:
Morgan Stanley Retail Funds
Morgan Stanley Investment Advisors Inc.
Morgan Stanley & Co. Incorporated
Morgan Stanley DW Inc.
Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Management Limited
Morgan Stanley Investment Management Private Limited
Morgan Stanley Asset & Investment Trust Management Co., Limited
Morgan Stanley Investment Management Company
Van Kampen Asset Management
Morgan Stanley Services Company, Inc.
Morgan Stanley Distributors Inc.
Morgan Stanley Trust FSB
Morgan Stanley Institutional Funds
Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Advisors Inc.
Morgan Stanley Investment Management Limited
Morgan Stanley Investment Management Private Limited
Morgan Stanley Asset & Investment Trust Management Co., Limited
Morgan Stanley Investment Management Company
Morgan Stanley & Co. Incorporated
Morgan Stanley Distribution, Inc.
Morgan Stanley AIP GP LP
Morgan Stanley Alternative Investment Partners LP
(e)(2) Beginning with non-audit service contracts entered into on or after May 6, 2003, the audit committee also is required to pre-approve services to Covered Entities to the extent that the services are determined to have a direct impact on the operations or financial reporting of the Registrant. 100% of such services were pre-approved by the audit committee pursuant to the Audit Committee’s pre-approval policies and procedures (attached hereto).
(f) Not applicable.
(g) See table above.
(h) The audit committee of the Board of Trustees/Directors has considered whether the provision of services other than audit services performed by the auditors to the Registrant and Covered Entities is compatible with maintaining the auditors’ independence in performing audit services.
Item 5. Audit Committee of Listed Registrants.
(a) The Fund has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act whose members are: Michael Bozic, Edwin J. Garn, Wayne E. Hedien, Manual H. Johnson, Joseph J. Kearns, Michael Nugent and Fergus Reid.
(b) Not applicable.
Item 6. Schedule of Investments
Refer to Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Applicable only to reports filed by closed-end funds.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
Applicable only to reports filed by closed-end funds.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) The Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley Institutional Liquidity Funds
/s/ Ronald E. Robison |
|
|
Ronald E. Robison |
| |
Principal Executive Officer |
| |
December 19, 2005 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ Ronald E. Robison |
|
| |
Ronald E. Robison |
| ||
Principal Executive Officer |
| ||
December 19, 2005 |
| ||
|
| ||
/s/ James Garrett |
|
| |
James Garrett |
| ||
Principal Financial Officer |
| ||
December 19, 2005 |
| ||